UCITS Annual Report - calamos.com

Atlantic House Defined Returns Fund (AHFM)*Atlantic House US Enhanced Equity Fund (AUEE)**

Atlantic House Total Return Fund (ATRF)***GSI Global Sustainable Value Fund (GSI)

London & Capital Global Balanced Fixed Income Fund (L&CGBFI)London & Capital Global Conservative Fixed Income Fund (L&CGCFI)

London & Capital Global Defensive Equity Fund (L&CGDE)****London & Capital Global Growth Fund (L&CGG)

London & Capital Global Growth Fixed Income Fund (L&CGGFI)London & Capital Global Star Equity Fund (L&CGSE)

London & Capital Global Balanced Fund (L&CGB)Principal Asset Allocation Fund (PAAF)

Third Avenue Real Estate Value Fund (TAREVF)Semper Total Return Fund (STRF)

Causeway Defined Growth Fund (CDGF)*****Calamos Global Convertible Fund (CGCF)******

Registered Number: 485081

*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.**Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.***Formerly AHFM Total Return Fund. Name change effective on 5th October 2020.****L&CGDE was closed by way of compulsory redemption on 28th August 2020*****CDGF Launched on 31st January 2020******CGCF Launched on 30th November 2020

GemCap Investment Funds (Ireland) Plc

Annual Report and Audited Financial Statements

For the financial year ended 31st December 2020

1

Directors, Management and Administration 7 - 10

Statement of Directors’ Responsibilities 11

Report of the Directors 12 - 22

Report of the Depositary to the Shareholders 23

Independent Auditor’s Report 24 - 31

Atlantic House Defined Returns Fund (Formerly AHFM Defined Returns Fund. Namechange effective on 5th October 2020.) 32 - 46

- Investment Manager’s Report 32 - 35

- Statement of Financial Position 36

- Statement of Comprehensive Income 37

- Statement of Changes in Net Assets attributable to Holders of RedeemableParticipating Shares 38

- Statement of Cash Flows 39

- Schedule of Investments 40 - 45

- Significant Portfolio Movements (unaudited) 46

Atlantic House US Enhanced Equity Fund (Formerly AHFM US Enhanced EquityFund. Name change effective on 5th October 2020.) 47 - 56

- Investment Manager’s Report 47







Atlantic House Total Return Fund (Formerly AHFM Total Return Fund. Name changeeffective on 5th October 2020.) 57 - 68







- Significant Portfolio Movements (unaudited) 67 - 68


Annual Report and Audited Financial StatementsFor the financial year ended 31st December 2020

(Stated in US Dollars)

Pages

2

GSI Global Sustainable Value Fund 69 - 99








London & Capital Global Balanced Fixed Income Fund 100 - 112








London & Capital Global Conservative Fixed Income Fund 113 - 124








London & Capital Global Defensive Equity Fund (terminated on 28th August 2020) 125 - 132










Pages

3

London & Capital Global Growth Fund 133 - 149








London & Capital Global Growth Fixed Income Fund 150 - 162








London & Capital Global Star Equity Fund 163 - 174








London & Capital Global Balanced Fund 175 - 191











Pages

4

Principal Asset Allocation Fund 192 - 205








Third Avenue Real Estate Value Fund 206 - 219








Semper Total Return Fund 220 - 242








Causeway Defined Growth Fund (launched on 31st January 2020) 243 - 251











Pages

5

Calamos Global Convertible Fund (launched on 30th November 2020) 252 - 267








Combined Statement of Financial Position 268

Combined Statement of Comprehensive Income 269

Combined Statement of Changes in Net Assets attributable to Holders of RedeemableParticipating Shares 270

Combined Statement of Cash Flows 271

Notes forming part of the Financial Statements 272 - 383

Appendix 1 - Remuneration Policy & Cybersecurity Risk (unaudited) 384

Appendix 2 - Securities Financing Transactions Regulations (unaudited) 385




Pages

6

DIRECTORSStuart Alexander (British)Conor Hoey (Irish)Orla Quigley (Irish)Kevin O’Neill (Irish)*Karen Nolan (Chairperson) (Irish)*

*Independent Director

All Directors are non executive.

REGISTERED OFFICE1 WML1 Windmill LaneDublin 2Ireland

ADMINISTRATORRBC Investor Services Ireland Limited4th FloorOne George’s Quay PlazaGeorge’s QuayDublin 2Ireland

INDEPENDENT AUDITORSDeloitte Ireland LLPChartered Accountants and Statutory Audit FirmDeloitte and Touche HouseEarlsfort TerraceDublin 2Ireland

COMPANY SECRETARYPinsent Masons Corporate Services IrelandLimited1 WML1 Windmill LaneDublin 2Ireland

DEPOSITARYRBC Investor Services Bank S.A., Dublin Branch4th FloorOne George’s Quay PlazaGeorge’s QuayDublin 2Ireland

LEGAL ADVISERS AND LISTING AGENTDillon Eustace33 Sir John Rogerson’s QuayDublin 2Ireland

RISK MANAGEMENT CONSULTANTSMaraging Funds Limited (trading as RiskSystem)14 Merrion Square NorthDublin 2Ireland

MANAGERGemini Capital Management (Ireland) Limited1 WML1 Windmill LaneDublin 2Ireland

GLOBAL DISTRIBUTORGemCap UK Limited**(up to 12 March 2020)33 Turner StreetC/O Brierley Coleman & CoManchester M4 1DWUnited Kingdom

Gemini Capital Management (Ireland) Limited(from 13 March 2020)1 WML1 Windmill LaneDublin 2Ireland

**Name changed from Gemini Investment Management Limited on 24th June 2020.


Directors, Management and Administration

7

UK FACILITIES AGENTGemCap UK Limited33 Turner StreetC/O Brierley Coleman & CoManchester M4 1DWUnited Kingdom

LOCAL AGENT IN GIBRALTARHassans International Law Firm57/63 Line Wall RoadGibraltar

REPRESENTATIVE ANDPAYING AGENT IN SWITZERLANDRBC Investor Services Bank S.A.Esch-sur-Alzette, Zurich BranchBleicherweg 7CH-8027 ZurichSwitzerland

REPRESENTATIVE ANDPAYING AGENT IN FRANCESociete Generale29 Boulevard Haussmann75009 ParisFrance

REPRESENTATIVE ANDPAYING AGENT IN LUXEMBOURGRBC Investor Services Bank S.A.14 Porte de FranceL-4360 Esch-sur-AlzetteLuxembourg

PAYING AGENT IN GREECE*Piraeus Bank S.A.4, Amerikis Str.105 64 AthensGreece

PAYING AGENT IN SWEDEN*Skandinaviska Enskilda Banken AB(publ)Kungsträdgårdsgatan 8SE-106 40 StockholmSweden

*Appointed on 30th November 2020.

INFORMATION AGENT IN GERMANY*GerFIS – German Fund InformationService GmbHZum Eichhagen 421382 BrietlingenGermany

REPRESENTATIVE IN SPAIN*Seleccion E Inversion De Capital Global,Agencia De Valores, S.A.Maria Francisca, 928002 MadridSpain


Directors, Management and Administration(continued)

8

INVESTMENT MANAGERSAtlantic House Defined Returns Fund*Atlantic House US Enhanced Equity Fund**Atlantic House Total Return Fund***Atlantic House Fund Management LLPOne Eleven Edmund StreetBirmingham B3 2HJWest MidlandsUnited Kingdom

*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.

**Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.

***Formerly AHFM Total Return Fund. Name change effective on 5th October 2020.

London & Capital Global Balanced Fixed Income FundLondon & Capital Global Conservative Fixed Income FundLondon & Capital Global Defensive Equity Fund****London & Capital Global Growth FundLondon & Capital Global Growth Fixed Income FundLondon & Capital Global Star Equity FundLondon & Capital Global Balanced FundLondon and Capital Asset Management LimitedTwo Fitzroy Place, 8 Mortimer StreetLondon W1T 3JJUnited Kingdom

****L&CGDE was closed by way of compulsory redemption on 28th August 2020

Third Avenue Real Estate Value FundThird Avenue Management LLC622 Third Avenue32nd FloorNew YorkNY 10017United States

Semper Total Return FundSemper Capital Management L.P.52 Vanderbilt Avenue, Suite 401New YorkNY 10017United States

Causeway Defined Growth Fund*****Causeway Securities Limited12th Floor, Broadgate Tower20 Primrose StreetLondonEnglandEC2M 2QS

*****Launched on 31st January 2020.

******Launched on 30th November 2020.

GSI Global Sustainable Value FundGlobal Systematic Investors LLP75 King William StreetLondon EC4R 9ANUnited Kingdom

Calamos Global Convertible Fund******Calamos Advisors LLC2020 Calamos CourtNapervilleIllinois 60563United States



9

INVESTMENT MANAGERS (Continued)Principal Asset Allocation FundMansard Capital Management Ltd (up to 30 April 2020)85 St. John StreetValletta, VLT 1165Malta

Principal Asset Allocation FundMariana Investment Partners LLP (from 1 May 2020)100 Cannon StreetLondon EC4N 6EUUnited Kingdom

SUB-INVESTMENT MANAGERSCauseway Defined Growth FundAtlantic House Fund Management LLPOne Eleven Edmund StreetBirmingham B3 2HJWest MidlandsUnited Kingdom



10

The Directors are responsible for preparing the Directors’ report and the financial statements in accordance with

the Companies Act 2014 and the applicable regulations.

Irish company law requires the Directors to prepare financial statements for each financial year. Under the law, the

Directors have elected to prepare the financial statements in accordance with International Financial Reporting

Standards as adopted by the European Union (“Relevant Financial Reporting Framework”). Under company law,

the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view

of the assets, liabilities and financial position of GemCap Investment Funds (Ireland) Plc (the “Company”) as at the

financial year end date and of the profit or loss of the Company for the financial year and otherwise comply with the

Companies Act 2014.

In preparing these financial statements, the Directors are required to:

• select suitable accounting policies for the Company financial statements and then apply them consistently;

• make judgements and estimates that are reasonable and prudent;

• state whether the financial statements have been prepared in accordance with applicable accounting

standards, identify those standards, and note the effect and the reasons for any material departure from those

standards; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the

Company will continue in business.

The Directors are responsible for ensuring that the Company keeps or causes to be kept adequate accounting

records which correctly explain and record the transactions of the Company, enable at any time the assets,

liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy, enable

them to ensure that the financial statements and Directors’ report comply with the Companies Act 2014 and with

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

2011 and Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective

Investment in Transferable Securities) Regulations, 2019 (as amended) and the Listing Rules of the Irish Stock

Exchange and enable the financial statements to be audited. They are also responsible for safeguarding the assets of

the Company and hence for taking reasonable steps for the prevention and detection of fraud and other

irregularities.

On behalf of the Directors:

Director: Karen Nolan Director: Stuart Alexander

Date: 22nd April 2021


Statement of Directors’ ResponsibilitiesFor the financial year ended 31st December 2020

11

The Directors present their annual report and the audited financial statements of the Company for the financial year

ended 31st December 2020.

Principal ActivityThe Company is an umbrella type open-ended investment company with variable capital incorporated on 1st June

2010 with limited liability under the laws of Ireland with registered number 485081 and segregated liability

between sub-funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS

Regulations. Accordingly, the Company is supervised by the Central Bank of Ireland.

The Directors have overall responsibility for the establishment of each sub-fund of the Company (each a "Sub-

Fund", together the "Sub-Funds") and the supervision of the investment objective and policy of each Sub-Fund.

Results for the financial year and state of affairs at 31st December 2020The Combined Statement of Financial Position as at 31st December 2020 and the Combined Statement of

Comprehensive Income for the financial year ended 31st December 2020 are set out on pages 268 to 269.

Review of the Development of the BusinessPlease see the Investment Managers’ Reports for further details.

Significant Events During the Financial YearOn 8th January 2020, the Central Bank of Ireland revoked the authorisation of the Third Avenue Value Fund.

On 13th January 2020, the Third Avenue Real Estate Value Fund (1) amended the Dealing Day for subscriptions

and redemptions in the Fund to “every Business Day, meaning a day on which both the New York Stock Exchange

and banks in Ireland are open for business, or such other day(s) as the Directors may determine and notify in

advance to Shareholders.”; (2) the investment policy of the Fund was amended to provide that the Sub-Fund will no

longer invest in open-ended collective investment schemes and to clarify in respect of the real estate investment

trusts (“REITs”) that the Sub-Fund may invest in, that any REITs in which the Sub-Fund invests will be

transferable securities or will be constituted as closed-ended collective investment schemes which may be treated

as transferable securities in accordance with the UCITS Regulations.

On 31st January 2020, a new Sub-Fund Causeway Defined Growth Fund was launched.

On 31st January 2020, Causeway Defined Growth Fund launched Share Class B GBP Hedged and Share Class B

USD.

On 4th February 2020, Causeway Defined Growth Fund launched Share Class A USD.

On 25th February 2020, Causeway Defined Growth Fund launched Share Class A GBP Hedged.

On 13th March 2020, the fourth addendum to the prospectus was noted by the Central Bank of Ireland. Gemini

Capital Management (Ireland) Limited replaced Gemini Investment Management Limited (now known as

GemCap UK Limited) as Global Distributor for the Company. GemCap UK Limited is no longer regulated by the

FCA.

On 23rd March 2020, an amended supplement for Semper Total Return Fund was noted by the Central Bank of

Ireland, removing the requirement to close Class I (Inc) and Class B Shares to new investors once subscription

monies totalling $250million USD have been received.

On 31st March 2020, amended supplements for AHFM Defined Returns Fund, AHFM Total Return Fund and

Causeway Defined Growth Fund were noted by the Central Bank of Ireland. Principal changes are AHFM Defined

Returns Fund changed its dealing deadline to 12pm, AHFM Total Return Fund changed its dealing deadline to


Report of the DirectorsFor the financial year ended 31st December 2020

12

Significant Events During the Financial Year (Continued)12pm and anticipated leverage to be within the range of 100% to 400% and Causeway Defined Growth Fund

changed its subscription fee disclosure and the registered address of its investment manager.

Deirdre Toner was appointed MLRO for the Company with effect from 30th April 2020.

On 1st May 2020, Principal Asset Allocation Fund changed it’s investment manager to Mariana Investment

Partners LLP.

On 2nd June 2020, an amended supplement for GSI Global Sustainable Value Fund was noted by the Central Bank

of Ireland, changing the dealing deadline to 5pm on the relevant dealing day, incorporating reference that is

considered to be actively managed in reference to Solactive GBS Developed Markets Large and Mid Cap Index

NTR and changing the names of the classes to ensure that it is clear which classes are accumulating and

distributing.

On 15th June 2020, an amended supplement for AHFM US Enhanced Equity Fund was noted by the Central Bank

of Ireland, incorporating two new classes, Class A Accumulation (GBP) Shares and Class D Distribution (GBP)

Shares and changing the name of the existing Class D Distribution shares denominated in United States of America

Dollars to become Class D Distribution (USD).

On 24th June 2020, Gemini Investment Management Limited changed it’s name to GemCap UK Limited.

On 30th June 2020, an amended supplement for AHFM Defined Returns Fund was noted by the Central Bank of

Ireland, incorporating a new class, Class I Distribution 5% Shares.

The London & Capital Global Defensive Equity Fund was closed by way of compulsory redemption on

28th August 2020. Shares in this Sub-Fund are no longer available for investment. The Company intends to apply

to the Central Bank of Ireland to revoke this Sub-Fund's approval following preparation of the audited financial

statements for the year ended 31st December 2020.

The Memorandum & Articles of Association of the Company were amended by special resolution passed on

18th September 2020.

On 5th October 2020, amended supplements for AHFM Defined Returns Fund, AHFM US Enhanced Equity Fund,

AHFM Total Return Fund and Causeway Defined Growth Fund were noted by the Central Bank of Ireland.

Principal changes were as follows: AHFM Total Return Fund changing the name of the Sub-Fund to Atlantic

House Total Return Fund; AHFM Defined Returns Fund changing the name of the Sub-Fund to Atlantic House

Defined Returns Fund, changing the calculation of the global exposure from employing the absolute Value at Risk

approach to the relative Value at Risk approach, changing the name of the existing “Class I Distributing” Shares to

“Class I Distribution 4%” Shares and incorporating benchmarks used for performance comparison purposes;

AHFM US Enhanced Equity Fund changing the name of the Sub-Fund to Atlantic House US Enhanced Equity

Fund, changing the calculation of the global exposure from employing the absolute Value at Risk approach to the

relative Value at Risk approach, changing the name of the existing “Class A Accumulation” Shares which are

denominated in US Dollars to “Class A Accumulation (USD)” Shares and incorporating the benchmark used for

performance comparison purposes; Causeway Defined Growth Fund changing the calculation of the global

exposure from employing the absolute Value at Risk approach to the relative Value at Risk approach and

incorporating benchmarks used for performance comparison purposes.

On 9th October 2020, an amended supplement for Third Avenue Real Estate Value Fund was noted by the Central

Bank of Ireland. Principal changes were: change to number of decimal places for the issue, transfer or conversion

of Shares from four to three, reduction to the investment manger’s fees, removing the following sentence in respect

of the administrator’s fee: “The maximum annual fee for fund accounting activities is €100,000 and the maximum



(Continued)

13

Significant Events During the Financial Year (Continued)annual fee for shareholder services activities is €100,000”, incorporating the benchmark used for performance

comparison purposes and amending the name of the “D2 (Sterling UK Distributing)” Class to “D2 (Sterling UK

Institutional Distributing)” Class.

The Calamos Global Convertible Fund was approved by the Central Bank of Ireland on 14th October 2020 and

launched on 30th November 2020.

On 24th November 2020, an amended supplement for Calamos Global Convertible Fund was noted by the Central

Bank of Ireland amending the disclosure regarding fees which may be paid to distributors and/or platforms for

certain administrative services to their clients and/or maintenance fees.

The Calamos Global Convertible Fund, a Sub-Fund of Calamos Global Funds PLC merged into Calamos Global

Convertible Fund, a Sub-Fund of the Company effective 30th November 2020. The investment objective of the

Sub-Fund is to achieve high long-term total return through capital appreciation and current income.

Team International Equity Fund was approved by the Central Bank of Ireland on 30th November 2020. This Sub-

Fund has not yet launched.

GSI Global Sustainable Focused Value Fund was approved by the Central Bank of Ireland on 1st December 2020.

This Sub-Fund has not yet launched.

On 22nd December 2020, an amended supplement for Team International Equity Fund was noted by the Central

Bank of Ireland amending the names and certain characteristics of the classes of shares in the Sub-Fund.

COVID 19Since early January 2020, global financial markets have been monitoring and reacting to the Coronavirus (Covid-

19) that is believed to have originated in Wuhan, China. As at late March 2021, the virus has infected over

117 million people, across 185 countries, with at least 2.6 million having succumbed to the virus. While

containment efforts may have helped to slow the growth of the virus, global financial markets reacted sharply to the

news that the virus was continuing to spread at the start of March 2020, as well as concerns regarding the larger

economic impact this may have on a global scale. However, this was followed by a remarkable rebound with

notable public policy intervention by governments globally to reinstate investor confidence in the financial markets

while majority of countries re-introduced lockdown measures after a short easing in the summer. The fight and

hope against Covid-19 is now placed on vaccine development which is moving at record speed with more than

170 different vaccines in trials and at least 4 vaccines approved for global roll out. Since December 2020, there has

been vaccination rolled out globally with Israel, the UK and US among the countries ahead of the race to vaccinate

their nation. The eventual impact on the global economy and markets will largely depend upon the scale and the

duration of the outbreak which at this point is not fully known.

The GemCap Investment Funds (Ireland) Plc Board has been monitoring the outbreak as markets reacted to the

pandemic with increased volatility and uncertainty. Since the onset of the pandemic the Board has also noted the

operational risks that are posed to the Company and its service providers due to global and local movement

restrictions that have been enacted by various governments. The Board will continue to monitor this situation. The

Gemini Capital Management (Ireland) Limited team continues to monitor this situation closely on behalf of the

Company and has put in place measures to safeguard its ability to provide services to the Company and each

Sub-Fund documented in its business continuity plan, supported by guidance from the WHO as well as

international and local government agencies and health authorities. Staff are able to work from home effectively

and there is no impact on the business as usual. At this time there is also close and ongoing communication with the

Investment Managers. There were not any significant net redemptions from the Sub-Funds during the year or since

the year end. All redemptions in the Sub-Funds have been met fully and in a timely manner. The Sub-Funds

continue to be managed in accordance with their investment objectives, investment policies and risk profiles.



(Continued)

14

Subsequent EventsOn 11th January 2021, termination and compulsory repurchase of Class X Shares and Class I Shares in the London

& Capital Global Balanced Fund and London & Capital Global Growth Fund took effect.

On 11th January 2021, updated supplements for London & Capital Global Balanced Fund and London & Capital

Global Growth Fund were noted by the Central Bank of Ireland. Principal changes to each Sub-Fund

were: clarification that the fixed income securities the Sub-Funds may invest in includes exchange traded

commodities (ETCs), removing reference to Class X and Class I shares, removing the following sentence in respect


annual fee for shareholder services activities is €100,000”, incorporating that the Sub-Funds are actively managed

without reference to any benchmark and additionally in respect of London & Capital Global Growth Fund that the

Investment Manager may typically allocate between 50% and 90% of the Net Asset Value rather than 60%-100%

to equities.

On 21st January 2021, an updated supplement for Team International Equity Fund was noted by the Central Bank

of Ireland, changing the valuation point to the close of business of the relevant market on the Dealing Day.

On 25th January 2021, an updated supplement for London & Capital Global Star Equity Fund was noted by the

Central Bank of Ireland. Principal changes were: changing the investment policy of the Sub-Fund to remove the

reference to “and may be close to 30 different holdings” in “The Fund's holding range is diversified and it is

expected that the actual number of securities will be a minimum of 16 securities and may be close to 30 different

holdings.”, removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for

fund accounting activities is €100,000 and the maximum annual fee for shareholder services activities is

€100,000” and incorporating the index used as a performance target for the Sub-Fund.

On 29th January 2021, an updated supplement for the Principal Asset Allocation Fund was noted by the Central

Bank of Ireland. Principal changes were: to change the benchmark used for performance comparison purposes,

clarification that the corporate bonds rated BB or higher by Standard and Poor's that the Sub-Fund invests in may

also have an equivalent rating with Moody’s or Fitch, inclusion of an entry charge of up to 5.00% which may be

deducted from subscription money before the remainder is used to subscribe for shares in respect of Class A shares

and removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for fund

accounting activities is €100,000 and the maximum annual fee for shareholder services activities is €100,000”.

On 18th February 2021, a revised supplement for the Semper Total Return Fund was noted by the Central Bank of

Ireland following an extraordinary general meeting of the shareholders of the Sub-Fund to approve certain changes.

Principal changes were: amendment to the investment policies of the Sub-Fund to reflect that the Sub-Fund invests

primarily in US securities, with up to 10% of its assets in global (i.e. non-US) securities, change to number of

decimal places for the issue, transfer or conversion of Shares from four to three and incorporating the benchmark

used for performance comparison purposes.

Karen Nolan replaced Stuart Alexander as Chairperson of the Company with effect from 23rd February 2021.

On 10th March 2021, the Fifth Addendum to the Prospectus was noted by the Central Bank of Ireland. The Fifth

Addendum incorporates into the prospectus and supplements certain pre-contractual disclosures required by the

implementation of the Sustainable Finance Disclosure Regulation (SFDR).

On 15th March 2021, a revised supplement for the Third Avenue Real Estate Value Fund was noted by the Central

Bank of Ireland to incorporate that the Sub-Fund is considered to be actively managed without reference to any

benchmark.

On 24th March 2021, termination and compulsory repurchase of Class A GBP Hedged Shares in the Semper Total

Return Fund took effect.



(Continued)

15

Subsequent Events (Continued)On 25th March 2021, an amended supplement for Causeway Defined Growth Fund was noted by the Central Bank

of Ireland, incorporating two new classes, Class C (Hedged) Distributing Shares in euro and Class D (Hedged)

Distributing Shares in euro.

On 16th April 2021, amended supplements for Atlantic House Defined Returns Fund, Atlantic House US Enhanced

Equity Fund, Atlantic House Total Return Fund and Causeway Defined Growth Fund were noted by the Central

Bank of Ireland. Principal changes were as follows: change of legal status of the investment manager of Atlantic

House Defined Return Fund, Atlantic House US Enhanced Equity Fund, Atlantic House Total Return Fund and

sub-investment manager of Causeway Defined Growth Fund from Atlantic House Fund Management LLP to

Atlantic House Investments Limited; reduction of the investment manager’s fee for Atlantic House US Enhanced

Equity Fund from 0.55% to 0.40% and reduction of the investment manager’s fee for Atlantic House Total Return

Fund from 0.75% to 0.60%.

Year to date 22nd April 2021 the NAV of the Company has increased by approximately 12%, however to note that

there has been a decrease of 27.2% in the Semper Total Return Fund and 12.4% in the Atlantic House US Enhanced

Equity Fund. The opinion of the Board is that the Funds are a going concern, financially viable, able to meet their

obligations to shareholders and continue its business and investment strategy for the foreseeable future.

DividendsThe following dividends per share were declared with ex-date 2nd February 2020 and paid on 13th February 2020 :

Sub-Fund Name Class I – GBP ClassAHFM Defined Returns Fund £0.010917

The following dividends per share were declared with ex-date 2nd March 2020 and paid on 10th March 2020 :

Sub-Fund Name Class I – USD ClassClass I (Inc) – GBP

Unhedged ClassClass C – GBPHedged Class

Semper Total Return Fund $0.941340 £0.857676 £0.754851

Class I (Inc) – GBPHedged Class

£0.812856

The following dividends per share were declared with ex-date 6th April 2020 and paid on 8th April 2020 :

Sub-Fund NameClass X – EUR

ClassClass X – GBP

ClassClass X – USD

ClassLondon & Capital Global Conservative Fixed Income Fund £1.509425 $1.610987

London & Capital Global Balanced Fixed Income Fund €1.310953 £1.856743 $1.811356

London & Capital Global Star Equity Fund €1.102847 £0.954757 $1.110658

London & Capital Global Defensive Equity Fund £0.594451 $0.762260

London & Capital Global Growth Fixed Income Fund €1.406478 £1.862987 $1.776996

The following dividends per share were declared with ex-date 6th May 2020 and paid on 14th May 2020 :




(Continued)

16

Dividends (Continued)The following dividends per share were declared with ex-date 29th May 2020 and paid on 8th June 2020 :

Sub-Fund Name Class I – USD ClassClass I (Inc) – GBP

Unhedged ClassClass C – GBPHedged Class



£0.476386

The following dividends per share were declared with ex-date 29th May 2020 and paid on 12th June 2020 :

Sub-Fund Name

Class A –Distributing USD

ClassGSI Global Sustainable Value Fund $2.10

The following dividends per share were declared with ex-date 5th August 2020 and paid on 12th August 2020 :


The following dividends per share were declared with ex-date 1st September 2020 and paid on 8th September 2020 :

Sub-Fund Name Class I – USD Class Class I – GBP ClassClass C – GBPHedged Class



£0.455260

The following dividends per share were declared with ex-date 1st October 2020 and paid on 5th October 2020 :

Sub-Fund NameClass X – EUR

ClassClass X – GBP

ClassClass X – USD

ClassLondon & Capital Global Conservative Fixed Income Fund £0.981923 $1.258542

London & Capital Global Balanced Fixed Income Fund €0.838975 £1.254914 $1.807444

London & Capital Global Star Equity Fund €1.072285 £1.303216 $1.603292

London & Capital Global Growth Fund £1.502060 $2.691551

London & Capital Global Growth Fixed Income Fund €1.251379 £1.769267 $2.133323

London & Capital Global Balanced Fund £1.578077 $2.257896

The following dividends per share were declared with ex-date 5th November 2020 and paid on 13th November

2020 :


AHFM Defined Returns Fund £0.012605



(Continued)

17

Dividends (Continued)The following dividends per share were declared with ex-date 13th November 2020 and paid on 20th December

2020 :

Sub-Fund Name

Class D4 – USDInstitutional Dist

ClassThird Avenue Real Estate Value Fund $0.059298

The following dividends per share were declared with ex-date 30th November 2020 and paid on 15th December

2020 :

Sub-Fund Name

Class A –Distributing GBP

ClassGSI Global Sustainable Value Fund £1.3031

The following dividends per share were declared with ex-date 1st December 2020 and paid on 8th December 2020 :

Sub-Fund Name Class I – USD Class Class I – GBP ClassClass C – GBPHedged Class



£0.523166

Risk Management objectives and policiesDescriptions of the risks associated with the Company and the policies employed for managing these risks are

contained in Note 4 of these financial statements.

DirectorsThe Directors at the date of this report are listed on page 7.

Directors’ Interests in SharesAs at 31st December 2020 and 31st December 2019, there were no Directors’ interest in shares.

Accounting RecordsThe measures taken by the Directors to secure compliance with the requirements of Section 281 to 285 of the

Companies Act 2014 with regard to the keeping of accounting records are the use of appropriate accounting

systems and procedures and employment of competent persons. The accounting records are kept at RBC Investor

Services Ireland Limited, 4th Floor, One George’s Quay Plaza, George’s Quay, Dublin 2, Ireland.

Corporate Governance Code

General PrinciplesThe European Communities (Directive 2006/46/EC) Regulations (S.I. 450 of 2009 and S.I. 83 of 2010) (the

“Regulations”) requires the inclusion of a corporate governance statement in the Report of the Directors.

Although there is no specific statutory corporate governance code applicable to Irish collective investment schemes

whose shares are admitted to trading on the Irish Stock Exchange, the Company is subject to corporate governance

practices imposed by:

(i) The Irish Companies Act 2014 which is available for inspection at the registered office of the Company; and

may also be obtained at www.irishstatutebook.ie/home.html.



(Continued)

18

http://www.irishstatutebook.ie/home.html.

Corporate Governance Code (Continued)

General Principles (Continued)(ii) The Articles of Association of the Company which are available for inspection at the registered office of the

Company and at the Companies Registration Office in Ireland;

(iii) The Central Bank in their UCITS Regulations which can be obtained from the Central Bank’s website

at: www.centralbank.ie; and

(iv) The Irish Stock Exchange (“ISE”) through the ISE Code of Listing Requirements and Procedures which can be

obtained from the ISE’s website at: www.ise.ie/index.asp?locID=7&docID=-1.

Irish Funds has published a corporate governance code, the Corporate Governance Code for Collective Investment

Schemes and Management Companies (the “Code”) that may be adopted on a voluntary basis by Irish authorised

collective investment schemes. It should be noted that the Code reflects existing corporate governance practices

imposed on Irish authorised collective investment schemes, as noted above. If the Code is adopted on a voluntary

basis, it can be referred to in the disclosures made in the Report of the Directors in compliance with the provisions

of the European Communities (Directive 2006/46/EC) Regulations (i.e. S.I. 450 of 2009 and S.I. 83 of 2010).

The Board of Directors voluntarily complies with the Code which was adopted with effect on 31st December 2012.

The Board of Directors have assessed the measures included in the Code as being consistent with its corporate

governance practices and procedures for the financial year.

Internal Control and Risk Management Systems in Relation to Financial ReportingThe Board of Directors are responsible for establishing and maintaining adequate internal control and risk

management systems of the Company in relation to the financial reporting process. Such systems are designed to

manage rather than eliminate the risk of error or fraud in achieving the Company’s financial reporting objectives

and can only provide reasonable and not absolute assurance against material misstatement or loss.

The Board of Directors have procedures in place to ensure all relevant books of account are properly maintained

and are readily available, including production of annual and half-yearly financial statements. The annual financial

statements of the Company are required to be approved by the Board of Directors of the Company and the annual

and half-yearly financial statements of the Company are required to be filed with the Central Bank and the Irish

Stock Exchange. The statutory financial statements are required to be audited by independent auditors who report

annually to the Board on their findings.

The Board of Directors have appointed the Administrator to maintain the books and records of the Company. The

Administrator is authorised and regulated by the Central Bank of Ireland and must comply with the rules imposed

by the Central Bank of Ireland. The financial statements are prepared by the Administrator in compliance with

International Financial Reporting Standards (“IFRS”). The Administrator uses various internal controls and

checklists to ensure that the financial statements include complete and appropriate disclosures required under IFRS

and relevant legislation.

From time to time the Board also examines and evaluates the Administrator’s financial accounting and reporting

routines. The Board of Directors monitors and evaluates the independent auditor’s performance, qualifications and

independence. As part of the review procedures the Board of Directors receives reports on the audit process.

The Board evaluates and discusses significant accounting and reporting issues as the need arises.

Dealings with ShareholdersThe convening and conduct of Shareholders’ meetings are governed by the Articles of Association of the Company

and the Companies Acts. Although the Directors may convene an extraordinary general meeting of the Company at

any time, the Directors are required to convene an annual general meeting of the Company within fifteen months of

the date of the previous annual general meeting thereafter. Shareholders representing not less than one-tenth of the



(Continued)

19


Dealings with Shareholders (Continued)paid up share capital of the Company may also request the Directors to convene a Shareholders’ meeting. Not less

than twenty one days notice of every annual general meeting and any meeting convened for the passing of a special

resolution must be given to Shareholders and fourteen days’ notice must be given in the case of any other general

meeting unless the auditors of the Company and all the Shareholders of the Company entitled to attend and vote

agree to shorter notice.

Two members present either in person or by proxy constitutes a quorum at a general meeting provided that the

quorum for a general meeting convened to consider any alteration to the class rights of shares is two Shareholders

holding or representing by proxy at least one third of the issued shares of the relevant Sub-Fund or class.

Every holder of participating shares or non-participating shares present in person or by proxy who votes on a show

of hands is entitled to one vote. A poll may be demanded by the chairman of a general meeting of the Company or

at least two holders of participating or non-participating shares present in person or by proxy, or any holder or

holders of participating or non-participating shares present in person or by proxy representing at least one tenth of

the shares in issue having the right to vote at such meetings.

Shareholders may resolve to sanction an ordinary resolution or special resolution at a Shareholders’ meeting. An

ordinary resolution of the Company or of the Shareholders of a particular Sub-Fund or class requires a simple

majority of the votes cast by the Shareholders voting in person or by proxy at the meeting at which the resolution is

proposed. A special resolution of the Company or of the Shareholders of a particular Sub-Fund or class requires a

majority of not less than 75% of the Shareholders present in person or by proxy and voting in general meeting in

order to pass a special resolution including a resolution to amend the Articles of Association.

Board composition and activitiesUnless otherwise determined by the Company in a general meeting, the number of Directors may not be less than

two. Currently the Board of Directors of the Company is composed of five Directors, being those listed in the

directory in these financial statements.

The business of the Company is managed by the Directors, who exercise all such powers of the Company unless

required by the Companies Acts or by the Articles of Association of the Company to be exercised by the Company

in a general meeting.

A Director may, and the Company Secretary of the Company on the requisition of a Director will, at any time

summon a meeting of the Directors. Questions arising at any meeting of the Directors are determined by a majority

of votes. In the case of an equality of votes, the Chairperson has casting vote. The quorum necessary for the

transaction of business at a meeting of the Directors is two.

DiversityOwing to the organisational structure and operating model of the Company, whereby most activities/operational

tasks have been delegated by the Company to its various service providers, the Company does not have any

employees and therefore it has not been deemed necessary to put a documented diversity policy in place.

The Board acknowledges the importance of diversity to enhance its operation. During the selection process, the

Board is committed to selecting those with diversity of business skills, experience and gender and candidates for

appointment are considered based on these attributes.

The Board’s principle is that each member of the Board must have the skills, experience, knowledge and overall

suitability that will enable each Director to contribute individually, and as part of the board team, to the

effectiveness of the Board.



(Continued)

20


Diversity (Continued)Subject to that overriding principle, the Board believe that diversity of experience and approach, including

educational and professional background, gender, age and geographical provenance, amongst board members is of

great value when considering overall board balance in making new appointments to the Board.

The Board’s priority is to ensure that it continues to have strong leadership and the relevant skills to deliver the

business strategy.

The Board will ensure that all selection decisions are based on merit and that recruitment is fair and

nondiscriminatory.

Independent AuditorDeloitte Ireland LLP are the Company’s independent auditors and will continue in office in accordance with

Section 383 (2) of the Companies Act 2014, without need for a resolution at the AGM.

Directors Compliance StatementThe Directors acknowledge that they are responsible for securing the Company’s compliance with the relevant

obligations as defined in section 225 of the Companies Act 2014 which includes drawing up and adopting a

compliance policy statement. This sets out the Company’s policies that, in the Directors’ opinion, are appropriate

to the Company respecting compliance by the Company with its relevant obligations, putting in place appropriate

arrangements or structures, that are in the Directors’ opinion designed to secure material compliance with the

Company’s relevant obligations including reliance on the advice of persons employed by the Company and

external legal and tax advisers as considered appropriate from time to time and that they have reviewed the

effectiveness of these arrangements or structures during the financial year.

Statement of Relevant Audit InformationIn accordance with section 330 of the Companies Act 2014, the Directors confirm that during the financial year end

31st December 2020:

a) So far as the Directors are aware, there is no relevant audit information of which the Company’s statutory

auditors are unaware; and

b) The Directors have taken all steps that ought to have been taken by the Directors in order to make themselves

aware of any relevant audit information and to establish that the Company’s auditors are aware of that information.

Audit CommitteeThe Directors acknowledge that they are required, under Section 167 of the Companies Act 2014, as amended, to

consider the establishment of an audit committee. An audit committee's responsibilities under Section 167 must

comprise at least the following:

a) monitoring the financial reporting process;

b) monitoring the effectiveness of the systems of internal control, internal audit and risk management;

c) monitoring the statutory audits of the statutory financial statements; and

d) monitoring and reviewing the independence of the statutory auditors, in particular the provision of additional

services to the Company.

The Directors have decided not to establish an audit committee at this time. In the Directors' opinion, the

responsibilities of an audit committee under Section 167 are already being fulfilled by virtue of the Board’s

corporate governance regime and the existing arrangements and structures in place designed to monitor compliance

with the extensive legal and regulatory obligations of the Company including the Company’s financial reporting

process. In arriving at their decision, the Board have considered the nature, scale and complexity of the Company's

business activities in conjunction with the legal and regulatory obligations.



(Continued)

21

Audit Committee (Continued)The Board is formed of five non-executive Directors. All Directors are fully independent of the financial statement

preparation and production process. The Company complies with the provisions of the Corporate Governance

Code. Whilst continuing to retain the overall responsibilities as required by Section 167, the Directors have

appointed Gemini Capital Management (Ireland) Limited to act as manager of the Company and to provide or

procure the services of investment manager, administrator, registrar, transfer agent and distributor to the Company.

Gemini Capital Management (Ireland) Limited has appointed RBC Investor Services Ireland Limited to act as

administrator, registrar and transfer agent. The Company has appointed RBC Investors Services Bank S.A., Dublin

Branch as depositary of the assets of the Company. The Board regularly receives reporting from these delegates

(which include experienced financial, risk and compliance professionals) and auditors detailing reviews performed

during the year. The Board continues to monitor the relationship with the Company’s statutory auditors with regard

to independence and objectivity and to make appropriate decisions with regard to performance, remuneration,

selection and retention of statutory auditors.

Connected PersonsRegulation 43 of the Central Bank UCITS Regulations “Restrictions of transactions with connected persons” states

that “A responsible person shall ensure that any transaction between a UCITS and a connected person is conducted

a) at arm’s length; and b) in the best interest of the shareholders of the UCITS”.

As required under Central Bank UCITS Regulation 78.4, the Directors, as responsible persons are satisfied that

there are arrangements in place, evidenced by written procedures, to ensure that the obligations that are prescribed

by Regulation 43(1) are applied to all transactions with a connected party and all transactions with connected

parties that were entered into during the period to which the report relates complied with the obligations that are

prescribed by Regulation 43(l). The Directors are satisfied that the transactions with connected parties during the

financial year were carried out as if negotiated at arm's length and in the best interests of the Shareholders.

On behalf of the Directors:





(Continued)

22

RBC Investor Services Bank S.A.

Dublin Branch

4th Floor

One George’s Quay Plaza

George’s Quay, Dublin 2, Ireland

T +353 1 613 0400

F +353 1 613 1198

RBC Investor Services Bank S.A., Dublin Branch

is a branch of RBC Investor Services Bank S.A.

Registered office: 14, Porte de France, L-4360 Esch-sur-Alzette, Luxembourg

Registered in Ireland 905449

Incorporated in Luxembourg with Limited Liability

Registered in Luxembourg B 47 192

Report of the Depositary to the Shareholders For the year ended 31 December 2020

As required by the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (“the Regulations”) and solely within the context of our oversight duties as depositary, we are pleased to present our report as follows.

In our opinion, GemCap Investment Funds (Ireland) plc (the “Company”) has been managed for the year ended 31 December 2020:

(i) In accordance with the limitations imposed on the investment and borrowing powers of the Company by the Memorandum & Articles of Association and the Regulations; and

(ii) Otherwise in accordance with the provisions of the Memorandum & Articles of Association and the Regulations.

RBC INVESTOR SERVICES BANK S.A. Date: 9 April 2021DUBLIN BRANCH

Deloitte Ireland LLP Chartered Accountants & Statutory Audit Firm

Independent auditor’s report to the members of GemCap Investment Funds (Ireland) Plc Report on the audit of the financial statements Opinion on the financial statements of GemCap Investment Funds (Ireland) Plc (the ‘company’) In our opinion the financial statements:

• give a true and fair view of the assets, liabilities and financial position of the company as at 31 December 2020 and of the profit for the financial year then ended; and

• have been properly prepared in accordance with the relevant financial reporting framework and, in particular, with the requirements of the Companies Act 2014.

The financial statements we have audited comprise:

• the Statement of Financial Position; • the Statement of Comprehensive Income; • the Statement of Changes in Net Assets attributable to Holders of Redeemable Participating Shares; • the Statement of Cash Flows; • the Schedule of Investments; and • the related notes 1 to 20, including a summary of significant accounting policies as set out in note 2.

The relevant financial reporting framework that has been applied in their preparation is the Companies Act 2014 and International Financial Reporting Standards (IFRS) as adopted by the European Union (“the relevant financial reporting framework”). Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs (Ireland)) and applicable law. Our responsibilities under those standards are described below in the “Auditor's responsibilities for the audit of the financial statements” section of our report. We are independent of the company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority (IAASA), as applied to public interest entities, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Summary of our audit approach

Key audit matters

The key audit matters that we identified in the current year were: • Valuation of Swaps held by Atlantic House and Causeway sub-funds • Valuation of other investments • Existence of investments

Materiality The materiality that we used in the current year was dertermined on the basis of 1% of average net assets.

Scoping

Our audit is a risk based approach taking into account the structure of the company, types of investments, the involvement of the third parties service providers, the accounting processes and controls in place and the industry in which the company operates.

Significant changes in our approach

There were no significant changes in our audit approach for the current year.

Conclusions relating to going concern In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate. Our evaluation of the directors’ assessment of the company’s ability to continue to adopt the going concern basis of accounting included: As part of our risk assessment procedures, we obtained an understanding of the relevant controls in place regarding going concern.

• Challenged the reasonableness of the key assumptions applied by the directors in their assessment. • Held discussions with management on the directors’ going concern assessment, the future plans for

the company and the feasibility of those plans. • Reviewed all board meeting minutes during the period up to the date of approval of the financial

statements, for evidence of any discussions and/or decisions that could impact the company’s ability to continue as a going concern.

• Reviewed the capital activity and NAV movements, subsequent to the financial year end. • Assessed the adequacy of the relevant going concern disclosures made in the financial statements.

Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the company's ability to continue as a going concern for a period of at least twelve months from when the financial statements are authorised for issue. Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report. Key Audit Matters Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current financial year and include the most significant assessed risks of material misstatement (whether or not due to fraud) we identified, including those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

Valuation of swaps held by Atlantic House and Causeway sub-funds

Key audit matter description

For the financial year end, the swaps of $209,567,919 make up 6.03% of total net assets of $3,472,661,835. The valuation of swaps held by Atlantic House and Causeway sub-funds is considered a key audit matter as the valuation process is complex, with a number of valuation inputs. The movement in the valuation of the company’s investments balance is the main driver of the company’s performance. There is a risk that the inputs to the pricing model used for the swaps, are incorrect.

How the scope of our audit responded to the key audit matter

• We considered the valuation basis used in light of the valuation policy as stipulated in the Prospectuses and the requirements of IFRS.

• We obtained confirmation of the valuation of all swaps directly from the relevant counterparties.

• We valued a sample of the swaps, using inputs obtained from an independent source, and compared the results against the values that have been recorded in the financial statements.

• We assessed the design and implementation of the controls at the company, specific to the valuation of the swaps.

Valuation of other investments


For the financial year end, the other investments of the company of $3,084,289,182 make up 88.82% of total net assets of $3,472,661,835. The valuation of investments is considered a key audit matter as it is the most significant number on the Statement of Financial Position. There is a risk that investments traded on an exchange or a secondary market may not be valued correctly in accordance with IFRS.

How the scope of our audit responded to the key audit

matter

• We obtained an understanding and assessed the design of the key controls that have been implemented over the valuation process for investments.

• We obtained the SOC1 Report relating to RBC Investor Services Ireland Limited and identified the key controls relating to the valuation process.

• We considered if the company’s valuation policy for investments is in line with IFRS.

• We agreed the prices of the investments in the investment portfolio at year end to closing prices published by independent pricing sources.

Existence of Investments


The existence of investments is considered a key audit matter as the investments represent a significant number on the Statement of Financial Position. The existence of and the company’s investments is crucial to ensuring the Financial Statements are free from material misstatement. There is a risk that the investments may not exist at year end.

How the scope of our audit responded to the key audit

matter

• We obtained an understanding and assessed the design of the key controls that have been implemented over the investment reconciliation process from administrator to depositary.

• We obtained the SOC1 Report relating to RBC Investor Services Ireland Limited and identified the key controls relating to the reconciliation process and for those key controls considered any exceptions in the Report.

• We obtained independent confirmations from the depositary and other counterparties at the financial year-end and agreed the amounts held to the investment portfolio.

• We tested a sample of unsettled trades to ensure that they have been recorded in the correct period.

Our audit procedures relating to these matters were designed in the context of our audit of the financial statements as a whole, and not to express an opinion on individual accounts or disclosures. Our opinion on the financial statements is not modified with respect to any of the risks described above, and we do not express an opinion on these individual matters. Our application of materiality We define materiality as the magnitude of misstatement that makes it probable that the economic decisions of a reasonably knowledgeable person, relying on the financial statements, would be changed or influenced. We use materiality both in planning the scope of our audit work and in evaluating the results of our work. We determined materiality for each of the sub-funds to be 1% of the average net assets for the year. We have considered the average net assets to be the critical component for determining materiality because the main objective of each sub-fund is to provide investors with a total return. We have considered quantitative and qualitative factors such as understanding the entity and its environment, history of misstatements, complexity of the company, reliability of the control environment etc. We agreed with the Board of Directors (the “Board”) that we would report to them any audit differences in excess of 5% of materiality, as well as differences below that threshold which, in our view, warranted reporting on qualitative grounds. We also report to the Board on disclosure matters that we identified when assessing the overall presentation of the financial statements. An overview of the scope of our audit Our audit is a risk based approach taking into account the structure of the company, types of investments, the involvement of the third parties service providers, the accounting processes and controls in place and the industry in which the company operates. The Company is incorporated as an open-ended investment company with variable capital and is organised under the laws of Ireland as a public limited company pursuant to the Irish Companies Act 2014. The company is authorised by the Central Bank of Ireland (the “Central Bank”) as a UCITS (Undertaking for Collective Investment in Transferable Securities) pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011. The company is organised as an umbrella fund with segregated liability between sub-funds. We assess the risks of each sub-fund separately. We have conducted our audit based on the books and records maintained by the administrator RBC Investor Services Ireland Limited at 4th Floor, One George’s Quay Plaza, George’s Quay, Dublin 2, Ireland.

Other information The other information comprises the information included in the Annual Report and Audited Financial Statements, other than the financial statements and our auditor’s report thereon. The directors are responsible for the other information contained within the Annual Report and Audited Financial Statements. Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon. Our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard. Responsibilities of directors As explained more fully in the Statement of Directors’ Responsibilities, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view and otherwise comply with the Companies Act 2014, and for such internal control as the directors determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the directors are responsible for assessing the company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the company or to cease operations, or have no realistic alternative but to do so. Auditor’s responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with ISAs (Ireland), we exercise professional judgment and maintain professional scepticism throughout the audit. We also: • Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or

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

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

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates

and related disclosures made by the directors.

• Conclude on the appropriateness of the directors’ use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the company’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of the auditor’s report. However, future events or conditions may cause the entity (or where relevant, the group) to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the

disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that the auditor identifies during the audit. For listed entities and public interest entities, the auditor also provides those charged with governance with a statement that the auditor has complied with relevant ethical requirements regarding independence, including the Ethical Standard for Auditors (Ireland) 2016, and communicates with them all relationships and other matters that may reasonably be thought to bear on the auditor’s independence, and where applicable, related safeguards. Where the auditor is required to report on key audit matters, from the matters communicated with those charged with governance, the auditor determines those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. The auditor describes these matters in the auditor’s report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, the auditor determines that a matter should not be communicated in the auditor’s report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication. Report on other legal and regulatory requirements Opinion on other matters prescribed by the Companies Act 2014 Based solely on the work undertaken in the course of the audit, we report that: • We have obtained all the information and explanations which we consider necessary for the purposes of

our audit. • In our opinion the accounting records of the company were sufficient to permit the financial statements to

be readily and properly audited.

• The financial statements are in agreement with the accounting records. • In our opinion the information given in the directors’ report is consistent with the financial statements and

the directors’ report has been prepared in accordance with the Companies Act 2014. Corporate Governance Statement required by the Companies Act 2014 We report, in relation to information given in the Corporate Governance Statement on pages 18 to 20 that:

• In our opinion, based on the work undertaken during the course of the audit, the information given in the Corporate Governance Statement pursuant to subsection 2(c) of section 1373 of the Companies Act 2014 is consistent with the company’s statutory financial statements in respect of the financial year concerned and such information has been prepared in accordance with the Companies Act 2014. Based on our knowledge and understanding of the company and its environment obtained in the course of the audit, we have not identified any material misstatements in this information.

• In our opinion, based on the work undertaken during the course of the audit, the Corporate Governance Statement contains the information required by Regulation 6(3) of the European Union (Disclosure of Non-Financial and Diversity Information by certain large undertakings and groups) Regulations 2017 (as amended); and

• In our opinion, based on the work undertaken during the course of the audit, the information required pursuant to section 1373(2)(a),(b),(e) and (f) of the Companies Act 2014 is contained in the Corporate Governance Statement.

Matters on which we are required to report by exception Based on the knowledge and understanding of the company and its environment obtained in the course of the audit, we have not identified material misstatements in the the directors’ report. The Companies Act 2014 requires us to report to you if, in our opinion, the company has not provided the information required by Regulation 5(2) to 5(7) of the European Union (Disclosure of Non-Financial and Diversity Information by certain large undertakings and groups) Regulations 2017 (as amended) for the financial year ended 31 December 2020. We have nothing to report in this regard. We have nothing to report in respect of the provisions in the Companies Act 2014 which require us to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions specified by law are not made. Other matters which we are required to address We were appointed by the Board on 1 January 2011 to audit the financial statements for the financial year end 31 December 2011 and subsequent financial periods. The period of total uninterrupted engagement including previous renewals and reappointments of the firm is 10 years, covering the years ending 31 December 2011 to 31 December 2020. The non-audit services prohibited by IAASA’s Ethical Standard were not provided and we remained independent of the company in conducting the audit. Our audit opinion is consistent with the additional report to the audit committee we are required to provide in accordance with ISA (Ireland) 260.

Use of our report This report is made solely to the company’s members, as a body, in accordance with Section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the company and the company’s members as a body, for our audit work, for this report, or for the opinions we have formed.

Michael Hartwell For and on behalf of Deloitte Ireland LLP Chartered Accountants and Statutory Audit Firm Date: 28 April 2021

Introduction

This update provides a review of the performance of the Atlantic House Defined Returns Fund for the calendar year 2020. It

also aims to inform investors of the outlook for the Fund.

The Fund’s objective is to achieve an annualised return of 7-8% p.a. over the medium to long-term and should do so in anything

but the bleakest of market conditions. It is not necessarily aiming to outperform equity markets, although this could be a

by-product. Note that we will refer to the underlying markets in this report, but this is with the intention to provide investors

with colour and context to the Fund’s performance across a range of scenarios.

Performance Review

If you had decided to hibernate for a year on 31 December 2019 and then looked at the annual performance of the Fund when

you woke up, you would probably have had a tough time understanding the challenging environment you had slept through and

an even tougher time trying to figure out what markets had done over 2020. However, if into your hibernation cave you had

taken our December 2019 factsheet, which included the Fund’s forward looking scenario analysis table, we have three

observations. Firstly, you are probably a bit odd. Secondly, with hindsight, hibernation would have been a great shout. And

thirdly, even if the rest of the world made no sense, you could have made a reasonably accurate estimate as to where markets

ended up.

What Did We Predict the Fund Would Do?

Our scenario analysis tables are formed from our proprietary derivative pricing models. They give an indication, at a specific

point in time, as to how the Fund is likely to perform over different time periods for different market movements. It is important

to remember that while they have proved to be broadly accurate since we launched the Fund over 7 years ago, they are estimates

not guarantees and, in any case, we would ask investors to allow a margin of error around 3-4%. We do believe they are useful

to help understand whether the Fund is on target to meet its objective and to help make decisions about how to use the Fund

within your own portfolios to meet longer-term objectives.

This is what the table produced at the end of 2019 showed:

Market Move -20% -10% 0%

(flat markets)

+10% +20%

3 months -13.11% -4.19% 1.63% 3.76% +5.01%

1 year -9.10% 0.28% 6.26% 8.75% +10.23%

2 years -2.98% 7.02% 12.85% 14.94% +15.86%

3 years 5.57% 15.59% 20.20% 21.54% +22.27%

4 years 16.69% 22.57% 25.10% 25.79% +25.99%

Source: Bloomberg, Atlantic House as at 31 December 2019.

As you can see, if the equity markets to which the Fund was exposed ended 2020 at the same levels they had ended 2019, the

Fund would have increased in value by approximately 6.26%.

How Did That Compare to Actual Performance Over the Year?

Now for the actual numbers. The Fund ended 2020 almost flat on the year – falling by just 0.14%. Of course, the journey was

not smooth, but would our hibernating investor have been able to make an educated guess at how broad equity markets fared

over the year based on the Fund performance? We think so. Putting the -0.14% Fund performance into the context of the

scenario analysis in the table above, you would expect the investor to guess that the markets to which the Fund was exposed had

fallen by slightly more than -10% on average. (At -10%, we predicted the Fund would have risen by 0.28% as per the table). In


Investment Manager’s Report

Atlantic House Defined Returns Fund

32

fact, the weighted average fall of the markets we had exposure to was -11.71% (see details at the end of this document), so the

fall of 0.14% is entirely in keeping with the prediction, albeit the actual performance was probably slightly better than

estimated.

Was the scenario analysis table similarly useful over the final quarter of 2020? The September 2020 table is shown below.

Scenario Analysis Table as at 30 September 2020:

Market Move -20% -10% 0% +10% +20%

3 months -21.29% -8.75% 1.57% 9.05% 13.53%

1 year -19.39% -5.79% 5.49% 13.57% 18.48%

2 years -16.18% -0.36% 12.40% 21.21% 26.19%

3 years -15.78% 13.17% 22.66% 29.12% 32.29%

4 years -18.27% 17.80% 32.12% 34.82% 35.95%

Source: Bloomberg, Atlantic House

Over the final three months of 2020 the Fund rose just over 7% compared with the three major markets to which it was exposed

rising between 10% and 12%. One might have expected the Fund to rise somewhere between 9% and 10% therefore based on

the table above, so that actual performance undershot the estimate by 2% to 3%. We are comfortable with this difference for two

reasons. Firstly, we always make it clear that these tables are estimates and ask investors for 3% to 4% leeway as a general rule.

Secondly, we can almost always quantify why the table undershoots or overshoots. In this case, it is mainly because dividend

expectations on the UK and European markets increased significantly in the fourth quarter of 2020, which have a negative

short-term impact on the value of the investments in the Fund.

Outlook

Finally, at the risk of scenario analysis table overload, you can see below what we are predicting for 2021:

Scenario Analysis Table as at 31 December 2020:

Average Market

Move

-20% -10% 0% +10% +20%

3 months -17.55% -6.56% 1.83% 7.19% 9.77%

1 year -14.50% -2.67% 6.19% 11.76% 14.38%

2 years -9.33% 4.53% 13.81% 18.98% 21.09%

3 years 5.06% 16.34% 22.30% 25.38% 26.61%

4 years 8.42% 22.68% 25.36% 26.57% 26.85%

Source: Bloomberg, Atlantic House

As we have discussed, the scenario analysis tables give an investor a good idea of how the Fund might perform over the short

and medium-term. However, it is always worth finishing by highlighting how the Fund’s investments are positioned relative to

the barrier levels of the worst performing index that we have exposure to, which determines the final returns of those

investments. The chart overleaf is an illustration.


Investment Manager’s Report(Continued)

Atlantic House Defined Returns Fund (continued)

33

Source: Bloomberg, Solactive, 04 Nov-2013 to 31 Dec-2020.

Past performance is not a guide to future returns.

Importantly, it shows that every investment in the Fund has some degree of protection to both capital and positive return

barriers, which means that the Fund remains on target to hit its long-term annualised return targets of 7% to 8%. We are

therefore comfortable with the Fund’s current investments. We will continue using our scenario analysis tables to help investors

plan how they will use the Fund with their own portfolios, and to manage performance expectations.

Summary

2020 was a year that I imagine very few, if any of us, would like to see repeated. The Fund was tested like it has never been

tested before given the speed of the market fall in March and the rapid increase in volatility. Throughout the year we kept

investors updated about performance and what to expect, and the scenario analysis tables that we have used since the Fund’s

inception over 7 years ago, we believe, are one of the main reasons that the vast majority of investors stuck with the Fund

through the March nadir. Those investors have been rewarded with broadly predictable Fund performance when measured

against the scenario analysis tables produced in December 2019, and we hope 2021 will be more boring than 2020 from an

intra-year Fund performance point of view, more boring from a public health point of view, but more interesting from a “living”

point of view.

Calculating the Weighted Average Performance of the Markets

The chart below shows how the weighted average performance to the major markets to which the Fund is exposed - the UK,

European and US markets. It shows that UK market was down 14%, the European market was down 5% and the US market was

up 16% over the year. During 2020, approximately 85% of the Fund’s short-term equity sensitivity was to the UK market,

approximately 9% to Europe, approximately 4% to the US, with the remaining exposure to other markets. To estimate the

approximate “weighted average move” of the three major markets the Fund was exposed to, we could perform the calculation

illustrated in the table below:




34

Market Move Weight Weighted move

UK1 -14% 85% -11.9%

Europe2 -5% 9% -0.45%

US3 +16% 4% +0.64%

Other Negligible Negligible Negligible

Total -11.71%

Source: Atlantic House and Solactive

1: Solactive UK Large Cap Price Return Index, 2: Solactive Europe 50 Price Return Index, 3: Solactive US Large Cap Price

Return Index

Conor O’Donnell

Date: January 2021




35

Note

AHFM31 Dec 2020

£

AHFM31 Dec 2019

£

ASSETSFinancial Assets at Fair Value through Profit or Loss:

Investments in Transferable Securities 3 1,038,628,410 964,141,313

Investments in Financial Derivative Instruments 3 167,039,525 147,807,623

Cash at bank 5 70,594,365 106,307,184

Cash held as collateral 5 7,370,000 500,000

Dividends and interest receivable 3,222,231 3,274,503

Amount receivable on subscriptions 1,834,272 6,498,423

TOTAL ASSETS 1,288,688,803 1,228,529,046

LIABILITIESFinancial Liabilities at Fair Value through Profit or Loss:


Investment management fees payable 7 587,259 570,058

Manager fee payable 7 47,662 45,441

Administration fees payable 7 58,540 34,797

Transfer agency fees payable 7 3,754 1,247

Directors fees payable 7 10,952 218

Depositary and depositary oversight fees payable 7 67,777 41,050

Audit fees payable 7 2,925 5,028

Redemptions payable 1,147,201 998,150

Other fees payable 25,342 15,829

TOTAL LIABILITIES (excluding net assets attributable to holders of redeemableparticipating shares) 32,450,580 21,249,398

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLEPARTICIPATING SHARES 1,256,238,223 1,207,279,648


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


Statement of Financial Position as at 31st December 2020 and 2019

Atlantic House Defined Returns Fund*

36

Note

AHFM31 Dec 2020

£

AHFM31 Dec 2019

£INCOMEBond interest income 14,951,331 12,426,620

Net realised and unrealised gain on financial assets and liabilities at fair value through profit or

loss 9 1,831,147 148,110,337

Bank interest 110,194 165,491

Swap interest income 3,046,143 4,193,496

TOTAL INVESTMENT INCOME 19,938,815 164,895,944

EXPENSESInvestment management fees 7 6,740,683 5,570,561

Manager fees 7 541,128 471,045

Administration fees 7 397,912 372,219

Director fees 7 50,739 57,039

Depositary and depositary oversight fees 7 244,490 207,048

Audit fees 7 11,443 16,501

Transfer agency fees 7 53,731 37,585

Swap interest expenses 14,676,741 13,020,729

Bank interest expense 162,324 159,467

Other fees and expenses 7 135,487 65,557

Total Operating Expenses 23,014,678 19,977,751

Operating (Loss)/Profit (3,075,863) 144,918,193(Decrease)/Increase in net assets attributable to holders of redeemable participatingshares from operations (3,075,863) 144,918,193


The accompanying notes and schedules form an integral part of these financial statements. All of the results for the financial

year relate to continuing operations.


Statement of Comprehensive Incomefor the Financial Year Ended 31st December 2020 and 2019


37

AHFM31 Dec 2020

£

AHFM31 Dec 2019

£Net Assets attributable to holders of Redeemable Participating Shares at the beginning of thefinancial year 1,207,279,648 783,197,623

(Decrease)/Increase in net assets attributable to holders of redeemable participating shares from

operations (3,075,863) 144,918,193

Capital transactionsIssue of redeemable shares during the financial year 528,647,104 516,879,894

Redemption of redeemable shares during the financial year (466,343,401) (231,696,220)

Dividends to holders of redeemable participating shares (10,269,265) (6,019,842)

Net Assets attributable to Holders of Redeemable Participating Shares at the end of thefinancial year 1,256,238,223 1,207,279,648




Statement of Changes in Net Assets attributable to Holders ofRedeemable Participating Shares


38

AHFM31 Dec 2020

£

AHFM31 Dec 2019

£Cash flows from operating activities(Decrease)/Increase in net assets attributable to holders of redeemableparticipating shares from operations (3,075,863) 144,918,193

Adjustment to reconcile (decrease)/increase in net assets attributable to holders of

redeemable participating shares from operations to net cash used in operating

activities

Bond interest income (14,951,331) (12,426,620)

Operating (loss)/profit before working capital changes (18,027,194) 132,491,573

Changes in operating assets and liabilities

Net increase in financial assets and liabilities at fair value (82,757,411) (384,960,173)

Increase in other receivables (6,870,000) (4,262,049)

Increase in payables 90,543 116,249

Cash used in operating activities (107,564,062) (256,614,400)

Interest received 15,003,603 11,555,354

Net cash used in operating activities (92,560,459) (245,059,046)

Cash flows from financing activitiesProceeds from issue of redeemable participating shares 533,311,255 516,879,894

Payment on redemptions of redeemable participating shares (466,194,350) (231,443,073)


Net cash provided by financing activities 56,847,640 279,416,979

Net (decrease)/increase in cash (35,712,819) 34,357,933

Net Cash at the start of the financial year 106,307,184 71,949,251

Net Cash at the end of the financial year 70,594,365 106,307,184

Analysis of CashCash at the start of the financial year 106,307,184 71,949,251

Overdraft at the start of the financial year - -

Cash at the end of the financial year 70,594,365 106,307,184

Overdraft at the end of the financial year - -




Statement of Cash Flows


39

(expressed in GBP)Description Quantity Currency

Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS

A) TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING

1) LISTED SECURITIES : BONDS

CANADA

Royal Bank of Canada 0.94%

20/12/2024 EMTN 20,000,000 GBP 20,000,000 19,122,000 1.52

20,000,000 19,122,000 1.52

GREAT BRITAIN

Aon Plc 216,589,040 GBP 275,938,274 289,343,031 23.03

United Kingdom Gilt 1.75% 22/01/2049 20,000,000 GBP 24,052,000 25,163,000 2.01

United Kingdom Gilt Inflation Linked

0.13% 22/03/2024 118,505,581 GBP 154,788,310 158,294,660 12.60


1.25% 22/11/2027 81,354,863 GBP 164,673,344 163,553,619 13.02


1.88% 22/11/2022 9,020,000 GBP 14,157,303 14,134,430 1.13


2.50% 17/07/2024 80,421,911 GBP 293,714,771 287,067,218 22.85

927,324,002 937,555,958 74.64

TOTAL LISTED SECURITIES : BONDS 947,324,002 956,677,958 76.16

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCKEXCHANGE LISTING 947,324,002 956,677,958 76.16

B) OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHER REGULATED MARKET

1) OTHER ORGANISED MARKET : BONDS

GREAT BRITAIN

HSBC Bank Plc 0.00% 04/04/2023 8,260,000 GBP 8,281,138 10,232,488 0.81

HSBC Bank Plc 0.00% 16/11/2022 2,800,000 GBP 2,793,000 3,629,640 0.29

11,074,138 13,862,128 1.10

TOTAL OTHER ORGANISED MARKET : BONDS 11,074,138 13,862,128 1.10

TOTAL OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHERREGULATED MARKET 11,074,138 13,862,128 1.10


Schedule of InvestmentsAs at 31st December 2020



40


Acquisitioncost

Fairvalue

% netassets

C) OTHER TRANSFERABLE SECURITIES


FRANCE

Credit Agricole CIB Financial Solutions SA

0.00% 30/01/2026 EMTN 15,450,000 GBP 15,173,740 15,131,730 1.20

15,173,740 15,131,730 1.20


2) OTHER TRANSFERABLE SECURITIES : BONDS

GREAT BRITAIN

HSBC Bank Plc 0.00% 15/05/2023 5,740,000 GBP 5,774,842 7,083,734 0.56

Investec Bank Plc 0.00% 12/12/2024 18,000,000 GBP 18,049,712 21,198,600 1.69

23,824,554 28,282,334 2.25

LUXEMBOURG

Citigroup Global Markets Funding

Luxembourg SCA 0.42%

11/02/2022 EMTN 10,000,000 GBP 10,000,000 9,983,700 0.80

Natixis Structured Issuance SA 0.00%

11/03/2024 EMTN 12,800,000 GBP 12,785,850 14,690,560 1.17

22,785,850 24,674,260 1.97

TOTAL OTHER TRANSFERABLE SECURITIES : BONDS 46,610,404 52,956,594 4.22

TOTAL OTHER TRANSFERABLE SECURITIES 61,784,144 68,088,324 5.42


Schedule of Investments (Continued)As at 31st December 2020



41

D) DERIVATIVE INSTRUMENTS

1) FORWARD CURRENCY EXCHANGE CONTRACTS

Maturity Currency Bought Currency Sold Counterparty

UnrealisedAppreciation/

(Depreciation)% netassets

04/01/2021 GBP 6,909 USD (9,362) RBC IS Bank Luxembourg 60 0.00

04/01/2021 GBP 28 USD (39) RBC IS Bank Luxembourg 0 0.00


05/01/2021 GBP 1,899 EUR (2,103) RBC IS Bank Luxembourg 17 0.00

29/01/2021 USD 112,065 GBP (82,343) RBC IS Bank Luxembourg (381) 0.00

29/01/2021 EUR 4,824,472 GBP (4,380,148) RBC IS Bank Luxembourg (59,676) (0.01)

29/01/2021 USD 12,365,847 GBP (9,162,262) RBC IS Bank Luxembourg (118,074) (0.01)

29/01/2021 EUR 26,750 GBP (24,195) RBC IS Bank Luxembourg (240) 0.00


29/01/2021 EUR 2,103 GBP (1,903) RBC IS Bank Luxembourg (19) 0.00

(178,183) (0.02)

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS (178,183) (0.02)

AUTOCALLABLE SWAPS

Maturity Rate Floating CounterpartiesUnderlying IndexBasket Notional Currency

Fairvalue

% netassets

18/11/2022 3m GBP LIBOR Citigroup Global UKX/SPX 2,800,000 GBP (953,367) (0.08)

11/04/2023 3m GBP LIBOR Citigroup Global UKX/SPX 8,260,000 GBP (2,041,153) (0.16)

27/04/2023 3m GBP LIBOR JP Morgan Securities Plc. UKX/SX5E/NKY 27,605,000 GBP 8,270,458 0.66

22/05/2023 3m GBP LIBOR Citigroup Global UKX/SPX/SX5E 5,740,000 GBP (1,516,370) (0.12)

30/05/2023 3m GBP LIBOR Natixis Paris UKX/HSI/SX5E 39,096,000 GBP 8,429,098 0.67

13/06/2023 3m GBP LIBOR Credit Suisse International UKX/SPX/SX5E 48,921,000 GBP 11,841,260 0.94

20/06/2023 3m GBP LIBOR Citigroup Global UKX/SX5E 6,650,000 GBP 1,673,140 0.13

20/06/2023 3m GBP LIBOR JP Morgan Securities Plc. UKX/SX5E 32,335,000 GBP 8,526,739 0.68

27/07/2023 3m GBP LIBOR JP Morgan Securities Plc. UKX/SPX/SMI 35,235,000 GBP 9,252,711 0.74

27/07/2023 3m GBP LIBOR Societe Generale UKX/SPX/SMI 21,442,000 GBP 4,873,767 0.39


25/08/2023 3m GBP LIBOR Citigroup Global UKX/SPX/SX5E 21,450,000 GBP 4,821,960 0.38

25/08/2023 3m GBP LIBOR JP Morgan Securities Plc. UKX/SPX/SX5E 30,960,000 GBP 7,455,168 0.59

11/09/2023 3m GBP LIBOR Natixis Paris UKX/RTY 39,337,000 GBP 7,234,074 0.58

19/09/2023 3m GBP LIBOR Natixis Paris UKX/SPX/SX5E 31,358,000 GBP 6,058,366 0.48

05/12/2023 3m GBP LIBOR Citigroup Global UKX/SPX/NKY 18,000,000 GBP (3,423,600) (0.27)

13/12/2023 3m GBP LIBOR Natixis Paris UKX 42,570,000 GBP 6,232,248 0.50

10/01/2024 3m GBP LIBOR JP Morgan Securities Plc. UKX/SX5E/SMI 20,600,000 GBP 4,441,360 0.35

24/01/2024 3m GBP LIBOR Natixis Paris UKX/SPX/HSI 18,407,000 GBP 1,837,019 0.15

11/03/2024 3m GBP LIBOR Natixis Paris UKX/SX5E 40,185,000 GBP 7,381,984 0.59


18/06/2024 3m GBP LIBOR Citigroup Global UKX/SX5E 47,495,000 GBP 5,979,620 0.48

19/07/2024 3m GBP LIBOR Citigroup Global UKX/SPX 49,665,000 GBP 5,701,542 0.45

19/07/2024 3m GBP LIBOR Natixis Paris UKX/SPX 42,956,000 GBP 4,029,273 0.32






42

D) DERIVATIVE INSTRUMENTS (continued)

AUTOCALLABLE SWAPS (continued)


Fairvalue

% netassets

31/07/2024 3m GBP LIBOR Natixis Paris UKX/RTY 19,615,000 GBP 1,273,014 0.10


02/05/2025 3m GBP LIBOR UBS AG UKX/SX5E 49,789,000 GBP 3,545,010 0.28


23/05/2025 3m GBP LIBOR UBS AG UKX/SPX 42,972,000 GBP 3,045,560 0.24

03/10/2025 3m GBP LIBOR Credit Suisse International UKX/SPX/SX5E 11,000,000 GBP 884,576 0.07

06/10/2025 3m GBP LIBOR Societe Generale UKX/SX5E 21,420,000 GBP 1,238,076 0.10

28/11/2025 3m GBP LIBOR Societe Generale UKX/SPX/RTY 43,310,000 GBP 389,790 0.03

03/12/2025 3m GBP LIBOR UBS AG UKX/SPX/SX5E 42,165,000 GBP 868,331 0.07

19/02/2026 3m GBP LIBOR Societe Generale UKX/SPX/SX5E 11,800,000 GBP (114,460) (0.01)

20/02/2026 3m GBP LIBOR Societe Generale UKX/SPX 11,000,000 GBP (147,400) (0.01)

03/03/2026 3m GBP LIBOR Credit Suisse International UKX 12,364,000 GBP 625,158 0.05

09/03/2026 3m GBP LIBOR UBS AG UKX 13,554,000 GBP 952,932 0.08

152,086,718 12.11

TOTAL AUTOCALLABLE SWAPS 152,086,718 12.11

INFLATION SWAPS

Description Counterparties Receives Pays Notional CurrencyFair

value% netassets

UKT 1.88% November 2022

JP Morgan

Securities Plc. 1.87

(3m GBP

LIBOR+0.25%) 15,004,682 GBP 871,984 0.07

UKT 2.50% July 2024

JP Morgan


(3m GBP

LIBOR+0.34%) 19,990,891 GBP 647,651 0.05

UKT 0.13% March 2024

JP Morgan


(3m GBP

LIBOR+0.15%) 30,000,001 GBP (664,718) (0.05)

UKT 2.50% July 2024

JP Morgan


(3m GBP

LIBOR+0.19%) 49,911,045 GBP 1,232,013 0.10


JP Morgan


(3m GBP

LIBOR+0.08%) 60,000,085 GBP (2,228,094) (0.18)


JP Morgan


(3m GBP

LIBOR+0.16%) 75,014,665 GBP (4,818,056) (0.38)


JP Morgan


(3m GBP

LIBOR+0.16%) 1,000,854 GBP (68,477) (0.01)


JP Morgan


(3m GBP

LIBOR+0.03%) 40,004,204 GBP (616,525) (0.05)

UKT 2.50% July 2024

JP Morgan


(3m GBP

LIBOR+0.04%) 39,999,886 GBP 1,585,946 0.13


JP Morgan


(3m GBP

LIBOR+0.05%) 40,000,429 GBP 1,228,741 0.10


JP Morgan


(3m GBP

LIBOR+0.05%) 40,009,886 GBP (575,478) (0.05)

UKT 2.50% July 2024

JP Morgan


(3m GBP

LIBOR+0.03%) 19,993,600 GBP 45,998 0.00





43


INFLATION SWAPS (continued)


value% netassets


JP Morgan


(3m GBP

LIBOR+0.08%) 25,043,660 GBP (95,861) (0.01)


RBC IS Bank

Luxembourg 0

(3m GBP

LIBOR+0.05%) 15,000,000 GBP (101,930) (0.01)


RBC IS Bank

Luxembourg 0

(3m GBP

LIBOR+0.09%) 30,000,000 GBP (388,599) (0.03)

UKT 1.75% January 2049

Merrill Lynch

International 0

(3m GBP

LIBOR+0.06%) 20,000,000 GBP (1,254,426) (0.10)

UKT 0.13% March 2026 Citigroup Global 0

(3m GBP

LIBOR+0%) 49,999,471 GBP (3,352,519) (0.27)

UKT 0.13% March 2024 Citigroup Global 0.13

(3m GBP

LIBOR+0.01%) 39,999,999 GBP (818,019) (0.07)

UKT 2.50% July 2024 Citigroup Global 0

(3m GBP

LIBOR+0.06%) 49,999,999 GBP 635,156 0.05


(3m GBP LIBOR-

0.01%) 39,999,999 GBP (658,983) (0.05)


(3m GBP

LIBOR+0.03%) 39,999,999 GBP (626,013) (0.05)


(3m GBP

LIBOR+0%) 34,999,750 GBP (2,993,632) (0.24)


(3m GBP

LIBOR+0%) 39,999,695 GBP (292,281) (0.02)


(3m GBP

LIBOR+0.06%) 34,999,997 GBP 214,501 0.02


(3m GBP

LIBOR+0.07%) 35,000,004 GBP (2,570,618) (0.20)


(3m GBP

LIBOR+0.07%) 40,000,000 GBP 91,139 0.01

(15,571,100) (1.24)

TOTAL INFLATION SWAP (15,571,100) (1.24)

TOTAL RETURN SWAPS

Rate Floating CounterpartiesUnderlying IndexBasket Notional Currency

Fairvalue

% netassets

(1m GBP LIBOR) Merrill Lynch International UKX 14,962,621 GBP 202,922 0.02

202,922 0.02

TOTAL RETURN SWAPS 202,922 0.02

TOTAL DERIVATIVE INSTRUMENTS 136,540,357 10.87





44

(expressed in GBP)Description

Fairvalue

% netassets

TOTAL INVESTMENTS 1,175,168,767 93.55

OTHER ASSETS 83,020,868 6.61

OTHER LIABILITIES (1,951,412) (0.16)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 1,256,238,223 100.00

% of Total AssetsAssets %Investment in Transferable Securities 80.60

Investment in Financial Derivative Instrument 10.60

Cash at Bank 6.05

Other Assets and Liabilities 0.24

Total Assets 97.49





45

PurchasesSecurity Name Quantity Cost

£% of

Total PurchasesUnited Kingdom Gilt Inflation Linked 1.25% 22/11/2027 43,862,954 87,799,337 41.41

Aon Plc 30,137,455 39,986,485 18.86

United Kingdom Gilt Inflation Linked 0.13% 22/03/2024 18,750,000 25,039,051 11.81

United Kingdom Gilt 1.75% 22/01/2049 20,000,000 24,052,000 11.34


Credit Agricole CIB Financial Solutions SA 0.00% 30/01/2026 EMTN 15,450,000 15,173,740 7.16

SalesSecurity Name Quantity Proceeds

£% of

Total SalesUnited Kingdom Gilt Inflation Linked 2.50% 16/04/2020 8,215,000 29,244,209 20.40


Citigroup Global Markets Funding Luxembourg SCA 2.40% 21/12/2020 20,000,000 20,477,333 14.29




Credit Suisse AG 0.00% 27/02/2024 6,875,000 8,013,500 5.59

Investec Bank Plc 0.00% 12/12/2024 6,770,000 7,553,492 5.27

JP Morgan Structured Products BV 0.00% 28/02/2023 EMTN 3,815,000 4,799,270 3.35



United Kingdom Gilt Inflation Linked 2.50% 17/07/2024 518,919 1,876,070 1.31


The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, aminimum of 20 of each such purchases and sales, are disclosed. As there were less than 20 of each such purchases and sales during the year,all purchases and sales are disclosed in the above tables.


Significant Portfolio Movements (unaudited)31st December 2020


46

Annual Review

The US market ended 2020 on yet another high, extending the disconnect between the roughly 5 million Americans who are out

of a job and Wall Street. Still, there are reasons to be optimistic in the US. A government controlled by ‘pro-stimulus’

democrats are determined to get through the crisis by any means necessary. The next stage of fiscal intervention will likely

sustain the US economy until a vaccine has enough penetration to make a difference to everyday life, and by extension, allow

corporate profits to recover.

If we look past the immediate fiscal spend from Congress, the short-term threat of tax hikes is relatively low. Democrats know

the importance of holding onto both houses of Congress. The mid-term elections in 2022 set the first test of whether a polarised

nation will allow one party to dictate policy and spending. Therefore, tax increases – a fear for investors and a direct threat to

companies' bottom lines will likely be pushed out past this milestone. Even after this, the ability for the government to raise

taxes will depend on the strength of the economic recovery.

Even though the US market is sitting at all time highs, this does not necessarily mean that it is an area to avoid. There have only

been 4 years since 1872 where the US market has posted a negative annual return after closing at an all time high. The most

recent occasion being back in 1977*. Turning to the present, the first quarter of 2021, the virus is likely to remain the focus for

investors. Although markets can likely look past the rising case rate, and number of deaths, any data suggesting that the vaccine

rollout will take longer than expected is likely to weigh on investor sentiment. Should the vaccination process be quicker than

planned, more inflation sensitive sectors such as financials, housing and consumer staples are likely to outperform.

As existing investors know, the Fund does not take sector specific views given how difficult it is to time correctly the switch

between them. Instead, it aims to optimise returns within a wide range of overall market outcomes. Despite the recent rally, the

US market is still trading between the upper and lower bound of the range the investments within the Fund are targeting,

although the market is close to the upper bound for some for the shorter-dated investments. This phenomenon causes the

performance of the Fund to lag the market in the short-term, a theme that continued in December with the Fund rising 0.64%

compared to the benchmark that rose 1.71%. Over the calendar year the Fund lagged its benchmark by 6%, most of this

underperformance coming in the second half of the year, However, this short-term lag should lead to greater outperformance in

the medium to longer term if markets stay within the range the Fund is targeting. We are therefore hopeful that the first half of

2021 could be a positive one for the Fund relative to markets.

* Source: Atlantic House Investments and Bloomberg

Fee Reduction

With effect from the 31 December 2020, the on-going charges figure for this Sub-Fund will be capped at 0.40% per annum,

reducing from 0.65%.

Tom May

Atlantic House Fund Management LLP

Date: January 2021



Atlantic House US Enhanced Equity Fund

47

Note

AUEE31 Dec 2020

$

AUEE31 Dec 2019

$


Investments in Transferable Securities 3 27,662,872 49,664,379


Cash at bank 5 299,395 3,884,299

Dividends and interest receivable 88,372 613,943

Amount receivable on subscriptions - 4,285

Receivable from Investment Manager 7 23,985 298

Other receivables 623,638 635,666

TOTAL ASSETS 76,554,950 111,749,251







Directors fees payable 7 559 945



Redemptions payable 90,943 73,313

Interest payable 623,638 1,132,745



NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATINGSHARES 49,539,092 70,645,703

*Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.




Atlantic House US Enhanced Equity Fund*

48

Note

AUEE31 Dec 2020

$

AUEE31 Dec 2019

$INCOMEBond interest income 473,435 806,787


loss 9 6,916,143 15,245,730


Expense reimbursement from Investment Manager 7 151,178 121,361

Swap interest income 695,837 1,412,825

Other income - 1,923


EXPENSESInvestment management fees 7 331,101 333,666

Manager fees 7 67,440 77,356




Audit fees 7 9,692 18,242


Swap interest expenses 1,083,271 2,058,860




Operating Profit 6,560,941 15,008,207Increase in net assets attributable to holders of redeemable participating shares fromoperations 6,560,941 15,008,207







49

AUEE31 Dec 2020

$

AUEE31 Dec 2019

$Net Assets attributable to holders of Redeemable Participating Shares at the beginning of thefinancial year 70,645,703 48,253,015

Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 6,560,941 15,008,207



Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financialyear 49,539,092 70,645,703






50

AUEE31 Dec 2020

$

AUEE31 Dec 2019

$Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 6,560,941 15,008,207

Adjustment to reconcile increase in net assets attributable to holders of redeemable

participating shares from operations to net cash provided by/(used in) operating

activities

Bond interest income (473,435) (806,787)

Operating profit before working capital changes 6,087,506 14,201,420


Net decrease/(increase) in financial assets and liabilities at fair value 17,495,601 (21,236,938)

Increase in other receivables (11,659) (27,911)

(Decrease)/increase in payables (509,721) 146,074

Cash provided by/(used in) operating activities 23,061,727 (6,917,355)

Interest received 999,006 668,630

Net cash provided by/(used in) operating activities 24,060,733 (6,248,725)



Net cash (used in)/provided by financing activities (27,645,637) 7,445,622



Net Cash at the end of the financial year 299,395 3,884,299



Cash at the end of the financial year 299,395 3,884,299







51

(expressed in USD)Description Quantity Currency

Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



GREAT BRITAIN

Aon Plc 3,970,000 GBP 6,507,535 7,249,694 14.64

United Kingdom Gilt 2.25% 07/09/2023 1 GBP 2 1 0.00

United Kingdom Gilt 5.00% 07/03/2025 1 GBP 2 2 0.00

6,507,539 7,249,697 14.64

UNITED STATES (U.S.A.)

United States Treasury Inflation Indexed

Bonds 2.38% 15/01/2027 5,852,696 USD 8,000,043 8,649,788 17.46

8,000,043 8,649,788 17.46







Bonds 0.25% 15/01/2025 8,235,000 USD 8,997,612 9,771,387 19.72

8,997,612 9,771,387 19.72






JP Morgan Structured Products BV 0.00%

15/04/2022 EMTN 2,000,000 USD 2,000,000 1,992,000 4.02

2,000,000 1,992,000 4.02







52


INFLATION SWAPS


value% netassets


JP Morgan


(3m GBP

LIBOR+0.16%) 4,966,737 GBP (466,928) (0.94)

UST 0.25% January 2025 Citigroup Global 0.25

(3m USD

LIBOR+0.16%) 8,235,000 USD (739,005) (1.49)

UST 2.38% January 2027 Citigroup Global 2.38

(3m USD

LIBOR+0.18%) 5,385,900 USD (667,394) (1.35)

(1,873,327) (3.78)

TOTAL INFLATION SWAP (1,873,327) (3.78)

EQUITY LINKED SWAPS

Rate CounterpartiesUnderlying IndexBasket Notional Currency

Fairvalue

% netassets

- Citigroup Global SPX 12,500,000 USD 412,935 0.83


- Citigroup Global SPX 9,100,004 USD (265,628) (0.54)













- Citigroup Global SPX 7,590,016 USD (1,057,813) (2.13)






3m USD LIBOR Natixis Paris SPX 5,316,000 USD 2,803,658 5.66

3m USD LIBOR Natixis Paris SPX 8,932,500 USD 3,716,813 7.50

3m USD LIBOR Natixis Paris SPX 4,000,000 USD (2,250,800) (4.54)



3m USD LIBOR Credit Suisse International SPX 500,000 USD 262,935 0.53

3m USD LIBOR JP Morgan Securities Plc. SPX 7,812,129 USD 4,349,794 8.78

3m USD LIBOR JP Morgan Securities Plc. SPX 1,246,000 USD 705,859 1.43





53


EQUITY LINKED SWAPS (continued)


Fairvalue

% netassets






3m USD LIBOR Citigroup Global SPX 10,500,000 USD 3,159,587 6.38

3m USD LIBOR Citigroup Global SPX 5,150,000 USD 1,439,497 2.91

3m USD LIBOR Citigroup Global SPX 3,000,000 USD (3,431,058) (6.93)

3m USD LIBOR Citigroup Global SPX 4,600,000 USD 687,967 1.39

23,605,126 47.65

TOTAL EQUITY LINKED SWAPS 23,605,126 47.65

CROSS CURRENCY SWAPS

Rate Floating CounterpartiesUnderlying IndexBasket Notional Currency Fair Value

% netassets

3m GBP LIBOR JP Morgan Securities Plc. 3m GBP LIBOR 4,966,737 GBP (6,634,667) (13.39)

3m USD LIBOR JP Morgan Securities Plc. 3m GBP LIBOR 6,658,281 USD 6,516,289 13.15

(118,378) (0.24)

TOTAL CROSS CURRENCY SWAPS (118,378) (0.24)


TOTAL INVESTMENTS 49,276,293 99.47

OTHER ASSETS 1,035,390 2.09

OTHER LIABILITIES (772,591) (1.56)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 49,539,092 100.00





54



Cash at Bank 0.39

Other Assets and Liabilities (0.05)

Total Assets 64.70





55


$% of

Total PurchasesUnited States Treasury Inflation Indexed Bonds 2.38% 15/01/2027 5,385,900 8,000,043 100.00


$% of

Total SalesAon Plc 3,500,000 6,118,469 19.57




Citigroup Global Markets Funding Luxembourg SCA 0.70% 31/08/2022 EMTN 4,000,000 4,004,000 12.81

Royal Bank of Canada 03/05/2021 EMTN 3,200,000 3,238,400 10.36

JP Morgan Structured Products BV 0.00% 15/04/2022 EMTN 1,000,000 999,000 3.20


The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, aminimum of 20 of each such purchases and sales, are disclosed. As there were less than 20 of each such purchases and sales during the year,all purchases and sales are disclosed in the above tables.




56

Market Review

The first half of 2020 was one of the most volatile on record. At the beginning of the year COVID-19 was an isolated breakout

in only a handful of provinces in China. The spread of the virus, and subsequent impact on the economy is on a scale not seen

in living memory. What makes this crisis different from the last is important to understand. No major investment bank has

seemed to be on the brink of bankruptcy. The policies put in place to limit leverage in the financial system, for the most part,

have worked. The real time realisation of the effects on lockdown from policy makers has been an important parallel to draw

compared to the last crisis. The global economy has seen coordinated action from both monetary and fiscal policy makers. This

coordination may have reduced the stress in the system, but the consequences of the same policies will remain in the long term.

Those being inflation, and the disparity of wealth between those with and without financial assets.

The second half of 2020 focused investors' minds away from ‘the virus’ and towards ‘the recovery’. The scale and speed of both

monetary and fiscal policy, no doubt fuelling the risk on sentiment. Many equity markets finished the year higher than they

started, the dislocation from investment fundamentals an omnipresent fear for many investors who are familiar with more

conventional methods of investment valuation. September saw a vaccine announcement from many of the world’s largest

pharmaceutical companies, a gargantuan task, and the fastest vaccine on record. This allowed investors to focus their minds on

the ‘unlocking’ and a return to some sense of normality in the future. This rally across equities, credit and commodities saw

inflation come back to the front of asset owners’ minds, as long end interest rates began to rise in anticipation of cheap money

finally being felt.

Performance Review

The Sub-Fund’s portfolio went into the crisis with a defensive stance, using optionality to provide efficient exposure to several

Asian markets. As financial markets began to fall the team was able to use several tools to mitigate portfolio risk, namely equity

options and foreign exchange contracts. Several legacy positions in the Sub-Fund, focussed on volatility of equity market

indices and single stocks delivered strong return in the crisis and all the measures which were taken led to a maximum

drawdown of only 10%. As policy makers began to act the team was quick to realise the potential effect on financial assets of

unprecedented levels of stimulus. The Sub-Fund capitalised on opportunities in equities and credit to deliver a strong rebound

from the lows in March.

The Sub-Fund’s portfolio changed significantly over the second half of the year. The Sub-Fund’s portfolio began to embrace

defined return investments as a defensive expression of equity exposure. The prescriptive nature of these investments suits the

Sub-Fund’s target of achieving a cash +4% pa return. Elsewhere the Sub-Fund added to credit exposure, benefitting from the

strong rally in credit spreads back to the tight levels last seen at the end of 2019. The overall duration of the portfolio is short,

therefore mitigating the effect of rising interest rates whilst maintaining an attractive risk adjusted return. Finally, long volatility

exposure was added via both options and dispersion trades to protect the portfolio against any significant rises in equity

volatility. All the Sub-Fund’s building blocks posted positive returns in the latter half of 2020, which was particularly pleasing

to see.

Outlook

The outlook for the first half of 2021 and beyond is predicated on the ability for governments to deliver the vaccine in a timely

and efficient manner. Equity and credit markets have come a long way in anticipation of a return to ‘normal’, but the reality is

that the road to normality is unlikely to be straight and without bumps along the way. The Sub-Fund’s portfolio is set up to

manage this by defensive implementation of the team’s equity views, the long volatility portfolio to protect against any

significant drawdowns in the short term and an allocation to inflation protection assets to maintain the real value of the Sub-

Fund’s assets. All combined, the Sub-Fund is well placed to achieve its objective.

Tom May

Atlantic House Fund Management LLP

Date: January 2021



Atlantic House Total Return Fund

57

Note

ATRF31 Dec 2020

£

ATRF31 Dec 2019

£



Investments in Financial Derivative Instruments 3 606,951 653,267

Cash at bank 5 2,371,480 85,510

Cash held as collateral 5 470,000 -


Amount receivable on subscriptions 55,594 21,770

Amount receivable on sale of securities - 125,653

Receivable from Investment Manager 7 89,475 20,073

TOTAL ASSETS 19,410,364 17,802,534





Administration fees payable 7 5,691 632

Transfer agency fees payable 7 1,423 891






TOTAL LIABILITIES (excluding net assets attributable to holders of redeemableparticipating shares) 234,060 350,496


*Formerly AHFM Total Return Fund. Name change effective on 5th October 2020.




Atlantic House Total Return Fund*

58

Note

ATRF31 Dec 2020

£

ATRF31 Dec 2019

£INCOMEDividend income 100,964 13,127

Bond interest income 378,458 223,439


loss 9 904,681 98,869

Bank interest 390 1,875


Swap interest income 203,838 215,864

Other income - 319

TOTAL INVESTMENT INCOME 1,711,421 670,885


Manager fees 7 40,030 31,331


Director fees 7 350 849


Audit fees 7 4,727 6,434


Swap interest expenses 123,667 125,857



Total Operating Expenses 419,396 315,625

Operating Profit 1,292,025 355,260

Withholding tax 15,541 1,030

Increase in net assets attributable to holders of redeemable participating shares fromoperations 1,276,484 354,230







59

ATRF31 Dec 2020

£

ATRF31 Dec 2019

£Net Assets attributable to holders of Redeemable Participating Shares at the beginning of thefinancial year 17,452,038 1,018,867

Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 1,276,484 354,230


Redemption of redeemable shares during the financial year (4,513,487) (584,752)







60

ATRF31 Dec 2020

£

ATRF31 Dec 2019

£Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 1,276,484 354,230



activities


Dividend income (100,964) (13,127)

Tax expense 15,541 1,030

Operating profit before working capital changes 812,603 118,694


Net decrease/(increase) in financial assets and liabilities at fair value 974,189 (16,317,904)

Increase in other receivables (413,749) (163,813)




Dividend received 112,243 1,847

Taxation (15,541) (1,030)



Payment on redemptions of redeemable participating shares (4,502,555) (582,201)

Net cash provided by financing activities 424,890 16,081,492

Net increase/(decrease) in cash 2,285,970 (71,032)

Net Cash at the start of the financial year 85,510 156,542

Net Cash at the end of the financial year 2,371,480 85,510

Analysis of CashCash at the start of the financial year 85,510 156,557

Overdraft at the start of the financial year - (15)

Cash at the end of the financial year 2,371,480 85,510







61


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



CANADA

Royal Bank of Canada 0.94%

20/12/2024 EMTN 1,000,000 GBP 1,000,000 956,100 4.99

1,000,000 956,100 4.99

GREAT BRITAIN

A2D Funding II Plc 4.50% 30/09/2026 400,000 GBP 471,080 469,196 2.45

Aon Plc 3,016,520 GBP 4,000,418 4,029,793 21.01

Aviva PLC 6.13% / perpetual 450,000 GBP 488,205 486,585 2.54

BUPA Finance Plc 5.00% 25/04/2023 350,000 GBP 379,925 381,563 1.99

Legal & General Group PLC 5.63% /

perpetual 240,000 GBP 255,600 267,485 1.39

Pension Insurance Corp Plc 6.50%

03/07/2024 255,000 GBP 300,352 298,664 1.56

Tesco Plc 5.00% 24/03/2023 EMTN 300,000 GBP 330,879 328,599 1.71

United Kingdom Gilt 4.00% 07/03/2022 1,000,000 GBP 1,060,900 1,048,780 5.47


1.25% 22/11/2027 519,000 GBP 998,044 1,043,384 5.44


2.50% 17/07/2024 829,550 GBP 3,003,851 2,961,091 15.44

11,289,254 11,315,140 59.00

IRELAND

Phoenix Group Holdings Plc 6.63%

18/12/2025 500,000 GBP 597,000 601,410 3.14

597,000 601,410 3.14


2) LISTED SECURITIES : EXCHANGE TRADED FUNDS

IRELAND

Tabula US Enhanced Inflation UCITS ETF

USD 10,000 USD 750,137 753,928 3.93

750,137 753,928 3.93

TOTAL LISTED SECURITIES : EXCHANGE TRADED FUNDS 750,137 753,928 3.93





62


Acquisitioncost

Fairvalue

% netassets

A) TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING (continued)

3) LISTED SECURITIES : EXCHANGE TRADED COMMODITIES

IRELAND

Royal Mint Physical Gold ETC Securities /

perpetual 52,850 USD 735,810 731,015 3.81

735,810 731,015 3.81

TOTAL LISTED SECURITIES : EXCHANGE TRADEDCOMMODITIES 735,810 731,015 3.81

4) LISTED SECURITIES : MORTGAGE BACKED SECURITIES

GREAT BRITAIN

Gosforth Funding 2018-1 Plc 0.62%

25/08/2060 496,676 GBP 498,762 499,638 2.61

498,762 499,638 2.61

TOTAL LISTED SECURITIES : MORTGAGE BACKEDSECURITIES 498,762 499,638 2.61



1) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES

GREAT BRITAIN

Silverstone Master Issuer Plc 0.53%

21/01/2070 380,000 GBP 381,292 381,975 1.99

381,292 381,975 1.99

TOTAL OTHER ORGANISED MARKET : MORTGAGE BACKEDSECURITIES 381,292 381,975 1.99

TOTAL OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHERREGULATED MARKET 381,292 381,975 1.99





63


Acquisitioncost

Fairvalue

% netassets



LUXEMBOURG

Citigroup Global Markets Funding

Luxembourg SCA 0.00%

31/12/2021 EMTN 550,000 EUR 490,736 494,468 2.58

490,736 494,468 2.58

TOTAL OTHER TRANSFERABLE SECURITIES : BONDS 490,736 494,468 2.58

TOTAL OTHER TRANSFERABLE SECURITIES 490,736 494,468 2.58






31/12/2021 GBP 492,580 EUR (550,000) JP Morgan Securities (2,780) (0.01)

(2,780) (0.01)


INFLATION SWAPS


value% netassets


JP Morgan


(3m GBP

LIBOR+0.04%) 1,000,808 GBP (54,324) (0.28)

UKT 2.50% July 2024

JP Morgan


(3m GBP

LIBOR+0%) 2,004,227 GBP (799) 0.00


(3m GBP

LIBOR+0.07%) 1,000,641 GBP (45,080) (0.24)

UKT 2.50% July 2024 Citigroup Global 2.50

(3m GBP

LIBOR+0.06%) 1,000,275 GBP 6,721 0.03


(3m GBP

LIBOR+0.13%) 2,999,999 GBP (3,819) (0.02)

(97,301) (0.51)

TOTAL INFLATION SWAP (97,301) (0.51)





64

EQUITY LINKED SWAPS


Fairvalue

% netassets

0.0 Citigroup Global CIMBIGL Index 12,884 USD 3,209 0.02

0.0 Citigroup Global Basket of EU Stocks 4,000,000 EUR 181,630 0.95

3m GBP LIBOR Credit Agricole CIB UKX Index 1,000,000 GBP 45,600 0.24

3m GBP LIBOR Credit Agricole CIB SPX/NKY 1,000,000 GBP 46,100 0.24

3m GBP LIBOR Credit Agricole CIB SX5E/SMI 1,000,000 GBP 27,300 0.14

0.15 BofA Securities Europe SA BAEIWTUS Index 7,000,000 USD 34,842 0.18

0.10 BofA Securities Europe SA BAEISTUS Index 3,500,000 USD (26,671) (0.14)

0.10 BofA Securities Europe SA BAEIHWSP Index 3,500,000 USD 81,406 0.42

0.00 BofA Securities Europe SA MLSREIS2 Index 1,000,000 GBP (4,451) (0.02)

0.00 JP Morgan Securities Plc. DEDZ2 Index 12,885 EUR 58,019 0.30

0.00 JP Morgan Securities Plc. CSIN0905 Index 1,299,820 USD 33,448 0.17

3m USD LIBOR JP Morgan Securities Plc. CSIN0905 Index 1,205 USD 37,306 0.20

0.25 Barclays Bank Plc. BXIICNDU Index 3,500,000 GBP (1,700) (0.01)

516,038 2.69

TOTAL EQUITY LINKED SWAPS 516,038 2.69

VOLATILITY SWAPS

Description Counterparties Volatility Notional CurrencyFair

value% netassets

SMI Index vs Top10 Index JP Morgan Securities Plc. 20.66 60,000 CHF 51,370 0.27

51,370 0.27

TOTAL VOLATILITY SWAP 51,370 0.27

TOTAL DERIVATIVE INSTRUMENTS 467,327 2.44


OTHER ASSETS 3,069,739 16.01







65



Cash at Bank 14.64


Total Assets 98.79





66


£% of

Total PurchasesAon Plc 2,239,555 2,999,060 6.56

iShares Physical Gold ETC / perpetual 93,604 2,417,492 5.29

United States Treasury Bill 0.00% 09/07/2020 3,000,000 2,398,068 5.25


United Kingdom Gilt Inflation Linked 2.50% 17/07/2024 555,000 2,003,550 4.38

United States Treasury Inflation Indexed Bonds 1.00% 15/02/2048 1,450,000 1,652,154 3.62

Royal Mint Physical Gold ETC Securities / perpetual 114,750 1,527,512 3.34

Invesco Physical Silver ETC 116,850 1,433,361 3.14

WisdomTree Physical Silver 88,900 1,114,605 2.44


Invesco Physical Gold ETC 8,538 1,056,684 2.31





United States Treasury Inflation Indexed Bonds 0.88% 15/02/2047 700,000 778,753 1.70

BUPA Finance Plc 6.13% 750,000 772,125 1.69

Tabula US Enhanced Inflation UCITS ETF USD 10,000 750,137 1.64

WisdomTree Physical Platinum 10,550 676,225 1.48

Phoenix Group Holdings Plc 6.63% 18/12/2025 500,000 597,000 1.31

United Kingdom Gilt 1.00% 22/04/2024 500,000 512,785 1.12

WisdomTree Physical Swiss Gold / perpetual 4,270 500,765 1.10

Citigroup Global Markets Funding Luxembourg SCA 0.00%

31/12/2021 EMTN

550,000 490,736 1.07

Aviva PLC 6.13% / perpetual 450,000 488,205 1.07

A2D Funding II Plc 4.50% 30/09/2026 400,000 471,080 1.03

Aviva Plc 6.63% 03/06/2041 EMTN 451,000 468,093 1.02





67


£% of

Total SalesiShares Physical Gold ETC / perpetual 131,554 3,358,822 7.15



Invesco Physical Gold ETC 13,968 1,752,724 3.73


Invesco Physical Silver ETC 116,850 1,505,793 3.21

WisdomTree Physical Silver 103,100 1,177,562 2.51





Transport for London 2.25% 09/08/2022 EMTN 800,000 827,108 1.76

WisdomTree Physical Platinum 13,050 813,754 1.73

BUPA Finance Plc 6.13% 750,000 795,937 1.69

United States Treasury Inflation Indexed Bonds 0.88% 15/02/2047 700,000 794,176 1.69

United States Treasury Note/Bond 2.25% 15/08/2049 800,000 609,483 1.30

WisdomTree Physical Swiss Gold / perpetual 4,270 525,753 1.12


United Kingdom Gilt Inflation Linked 2.50% 16/04/2020 138,650 492,916 1.05

Aviva Plc 6.63% 03/06/2041 EMTN 451,000 463,620 0.99


The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, aminimum of 20 of each such purchases and sales, are disclosed.


Significant Portfolio Movements (unaudited) (Continued)31st December 2020


68

Market highlights

Covid19 and the economic effects of measures taken to prevent its spread dominated returns through 2020. Some sectors, such

as airlines, travel, and hospitality, felt the negative effects very keenly. Others, such as those including online distribution

platforms and similar technology firms benefited from the forced change in consumer habits. The initial effect on the global

economy was a sharp contraction. As the measures took effect and the virus slowed, markets recovered.

The consequences of these measures on markets manifested as a sharp fall, followed by a partial recovery, which continued

through the second half of the year. In GBP, the currency of the A Class shares, the US S&P500 finished the first half up 2% and

the year up by 12%. European markets were down 8% in the first half but recovered to post a full year return of 1%. Asia Pacific

markets were down 4% in the first half but ended the year up by 10%.

The UK market was hit hard, market sentiment reflecting additional concerns around Brexit. Returns for the first half were

-18%. While there was some recovery in the second half, full year returns were -14%.

Overall, in GBP and on a market-weighted basis, world developed markets delivered a full year return of 12%.

Looking at the market’s factor returns, beginning with value vs growth. The first half saw value sharply underperforming

growth, by over 30% in the US and by over 17% elsewhere. The second half saw some recovery in the US but further

underperformance for the rest of the world. The full year’s figures were a 32% underperformance in the US and 21%

underperformance for other developed markets.

These stark returns differences were driven by extraordinary market conditions, which had a polarising effect on different

segments of the market and forced governments to pursue extreme levels of monetary stimulus. The result has been to further

widen the spread between value and growth companies.

For the full year there was better news for small companies against their larger cohort. While the US was flat, i.e. small

companies returned much the same as large, there was a 7% outperformance in small companies in non-US developed markets.

In the first half, US small companies underperformed large by 10% but outperformed by 12% in the second half. In non-US

markets, small companies underperformed by just shy of 2% in the first half and outperformed by 12% in the second half.

Fund performance review (in GBP)

For the 6 months to 30 June 2020.

GSI Global Sustainable Value Fund: -3.26%

Solactive Developed Mkt Large/Mid Index (Net): 0.99%

For the 6 months to 31 December 2020.

GSI Global Sustainable Value Fund: 9.81%


For the full year to 31 December 2020.

GSI Global Sustainable Value Fund: 6.23%


The GSI Global Sustainable Value Fund (the Sub-Fund) has two key features that, in the longer term, we expect to generate

higher returns compared to market-weighted broad global equity indices: (i) it has greater diversification at the stock and sector

levels; and (ii) it tilts towards value stocks based on a blend of value metrics and small companies based on market

capitalisation.

Over the 12 month period, value companies significantly underperformed their growth counterparts in both US and non-US

markets. Small companies outperformed large firms in non-US markets but had similar return in the US. Despite some smaller

companies outperforming, a greater exposure to value companies resulted in underperformance against the overall market.



GSI Global Sustainable Value Fund

69

Outlook

The economic effects of lockdown around the world are beginning to manifest. Global growth has slowed and some parts of the

economy, such as high street businesses, have been pushed to the edge and beyond. Uncertainty remains. When will

governments relax their lockdown measures? Or will fears of the virus force them to keep them in place? Importantly, what will

the final bill be and how will it be paid?

At GSI, we continue to believe that the purpose of equity market investment is to gain equity risk exposure. The expectation is

that, over the long-term, this risk is rewarded by positive returns. In the short-term, equity returns can be negative, sometimes

very negative. However, research shows that trying to time markets is futile and costly. Therefore, for equity investors, it is

better to take a disciplined, long-term view and employ well-diversified, low-turnover investments.

We also believe that we can provide our clients with a successful investment experience that includes the management of

environmental, social, and governance issues. Despite recent market conditions, we have remained true to our investment

beliefs and will continue to do so going forward.

The GSI Global Sustainable Value Fund remains well diversified across markets, sectors, and stocks and we remain confident

that the Fund is well positioned to perform to expectations through the next 6 months.

Global Systematic Investors LLP

Date : January 2021



GSI Global Sustainable Value Fund (continued)

70

Note

GSI31 Dec 2020

$

GSI31 Dec 2019

$



Cash at bank 5 999,644 439,267




TOTAL ASSETS 144,421,678 74,129,758

LIABILITIESAmount payable on purchase of securities 572,297 374,452





Directors fees payable 7 1,233 573


Audit fees payable 7 103 2,056









71

Note

GSI31 Dec 2020

$

GSI31 Dec 2019

$INCOMEDividend income 2,590,435 1,391,248


loss 9 15,650,488 8,234,099

Bank interest 881 5,904


Other income 1,406 6,969



Manager fees 7 96,615 54,398




Audit fees 7 6,098 3,779


Bank interest expense 13 15



Operating Profit 17,709,745 9,382,302

Finance Costs

Dividends to holders of redeemable participating shares 1,666,259 1,150,377

Profit Before Tax 16,043,486 8,231,925


Increase in net assets attributable to holders of redeemable participating shares fromoperations 15,432,890 7,948,386






72

GSI31 Dec 2020

$

GSI31 Dec 2019










73

GSI31 Dec 2020

$

GSI31 Dec 2019



participating shares from operations to net cash used in operating activities

Dividend income (2,590,435) (1,391,248)

Tax expense 610,596 283,539





Decrease/(increase) in other receivables 309,214 (770,810)

(Decrease)/increase in payables (2,911) 495,483


Interest received/(paid) 26 (23)

Dividend received 2,529,981 1,325,088

Taxation (610,596) (283,539)






Net increase in cash 560,377 407,371


Net Cash at the end of the financial year 999,644 439,267



Cash at the end of the financial year 999,644 439,267






74


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS


1) LISTED SECURITIES : EQUITIES

AUSTRALIA

Ampol Ltd 1,364 AUD 27,480 29,886 0.02

ASX Ltd 848 AUD 49,237 47,071 0.03

Aurizon Holdings Ltd 18,243 AUD 58,855 54,851 0.04

AusNet Services 28,079 AUD 36,610 37,991 0.03

Australia & New Zealand Banking Group

Ltd 10,334 AUD 172,059 180,851 0.13

BHP Group Ltd 9,104 AUD 216,591 297,805 0.21

BlueScope Steel Ltd 513 AUD 4,725 6,913 0.01

Boral Ltd 774 AUD 2,970 2,954 0.00

Brambles Ltd 11,379 AUD 91,727 92,990 0.07

Challenger Ltd 541 AUD 5,713 2,686 0.00

Coca-Cola Amatil Ltd 4,161 AUD 30,652 41,478 0.03

Coles Group Ltd 5,747 AUD 61,126 80,372 0.06

Commonwealth Bank of Australia 4,375 AUD 212,273 276,949 0.19

Crown Resorts Ltd 1,962 AUD 18,000 14,566 0.01

CSL Ltd 553 AUD 96,704 120,730 0.08

Evolution Mining Ltd 14,499 AUD 53,047 55,778 0.04

Fortescue Metals Group Ltd 15,315 AUD 140,154 276,640 0.19

Insurance Australia Group Ltd 7,120 AUD 29,049 25,799 0.02

Macquarie Group Ltd 526 AUD 46,298 56,156 0.04

Medibank Pvt Ltd 20,528 AUD 35,812 47,636 0.03

National Australia Bank Ltd 4,378 AUD 83,596 76,280 0.05

Newcrest Mining Ltd 1,428 AUD 23,338 28,382 0.02

Northern Star Resources Ltd 2,678 AUD 25,433 26,200 0.02

OneMarket Ltd 60 AUD 34 41 0.00

Orica Ltd 454 AUD 5,886 5,303 0.00

QBE Insurance Group Ltd 7,062 AUD 55,399 46,441 0.03

Rio Tinto Ltd 393 AUD 24,507 34,489 0.02

Sonic Healthcare Ltd 2,243 AUD 46,557 55,595 0.04

South32 Ltd 18,380 AUD 29,149 35,000 0.02

Suncorp Group Ltd 11,693 AUD 88,090 87,803 0.06

Sydney Airport 9,029 AUD 42,139 44,619 0.03

Telstra Corp Ltd 127,305 AUD 303,841 292,475 0.20

Transurban Group 5,572 AUD 58,764 58,680 0.04

Wesfarmers Ltd 4,159 AUD 108,613 161,602 0.11

Westpac Banking Corp 6,379 AUD 119,501 95,260 0.07

Woodside Petroleum Ltd 2,664 AUD 62,048 46,704 0.03

Woolworths Group Ltd 2,587 AUD 60,879 78,402 0.06

2,526,856 2,923,378 2.03

AUSTRIA

BAWAG Group AG 657 EUR 29,461 30,500 0.02

29,461 30,500 0.02




75


Acquisitioncost

Fairvalue

% netassets


1) LISTED SECURITIES : EQUITIES (continued)

BELGIUM

KBC Group NV 1,789 EUR 112,854 125,187 0.09

Proximus SADP 1,006 EUR 30,070 19,922 0.01

UCB SA 391 EUR 32,090 40,353 0.03

175,014 185,462 0.13

BERMUDA ISLANDS

Everest Re Group Ltd 37 USD 8,431 8,662 0.01

HAL Trust 192 EUR 28,051 27,443 0.02

IHS Markit Ltd 334 USD 18,153 30,003 0.02

Pacific Century Premium Developments Ltd 2,376 HKD 542 251 0.00

55,177 66,359 0.05

CANADA

Agnico Eagle Mines Ltd 531 CAD 23,061 37,373 0.03

Bank of Montreal 3,231 CAD 216,725 245,657 0.17

Bank of Nova Scotia 4,642 CAD 244,187 250,899 0.17

Barrick Gold Corp 4,947 CAD 116,049 112,706 0.08

BCE Inc 7,652 CAD 338,992 327,204 0.23

Brookfield Asset Management Inc 1,824 CAD 62,114 75,402 0.05

Canadian Imperial Bank of Commerce 1,945 CAD 136,386 166,125 0.12

Canadian National Railway Co 1,716 CAD 139,573 188,654 0.13

Canadian Pacific Railway Ltd 169 CAD 50,147 58,621 0.04

CGI Inc 154 CAD 7,084 12,218 0.01

Enbridge Inc 1,215 CAD 42,779 38,858 0.03

Fortis Inc 1,363 CAD 49,114 55,681 0.04

Hydro One Ltd 2,252 CAD 41,976 50,687 0.04

Intact Financial Corp 509 CAD 47,809 60,269 0.04

Kinross Gold Corp 14,927 CAD 100,244 109,528 0.08

Loblaw Cos Ltd 1,116 CAD 54,025 55,068 0.04

Magna International Inc 1,485 CAD 78,400 105,125 0.07

Manulife Financial Corp 10,908 CAD 182,850 194,097 0.13

National Bank of Canada 1,593 CAD 78,653 89,656 0.06

Pembina Pipeline Corp 1,898 CAD 66,299 44,882 0.03

Power Corp of Canada 1,544 CAD 34,252 35,455 0.02

Rogers Communications Inc 5,026 CAD 243,177 233,986 0.16

Royal Bank of Canada 4,577 CAD 332,748 376,077 0.26

Sun Life Financial Inc 2,719 CAD 109,608 120,901 0.08

Suncor Energy Inc 5,600 CAD 129,836 93,927 0.07

TELUS Corp 1,244 CAD 21,107 24,638 0.02

Thomson Reuters Corp 639 CAD 36,528 52,299 0.04

Toronto-Dominion Bank 6,203 CAD 315,390 350,475 0.24

3,299,113 3,566,468 2.48




76


Acquisitioncost

Fairvalue

% netassets



CAYMAN ISLANDS

CK Asset Holdings Ltd 500 HKD 4,252 2,567 0.00

Geely Automobile Holdings Ltd 18,000 HKD 48,229 61,528 0.05

Sands China Ltd 23,200 HKD 101,216 101,898 0.07

153,697 165,993 0.12

CURACAO

Schlumberger NV 10,236 USD 302,113 223,452 0.16

302,113 223,452 0.16

DENMARK

Carlsberg AS 522 DKK 70,225 83,556 0.06

Coloplast A/S 482 DKK 62,600 73,545 0.05

Danske Bank A/S 222 DKK 7,589 3,667 0.00

Novo Nordisk A/S 6,830 DKK 371,440 478,304 0.33

Novozymes A/S 813 DKK 42,405 46,639 0.03

Orsted AS 1,234 DKK 120,177 251,868 0.18

Pandora A/S 836 DKK 37,735 93,447 0.07

Vestas Wind Systems A/S 1,160 DKK 101,758 274,083 0.19

813,929 1,305,109 0.91

FINLAND

Fortum Oyj 1,780 EUR 36,479 42,838 0.03

Kesko Oyj 3,566 EUR 58,754 91,659 0.06

Kone Oyj 854 EUR 65,776 69,337 0.05

Neste Oyj 1,393 EUR 36,661 100,676 0.07

Nokia Oyj 20,103 EUR 107,751 77,385 0.06

Nokian Renkaat Oyj 417 EUR 12,554 14,682 0.01

Nordea Bank Abp 9,284 EUR 67,640 75,820 0.05

Nordea Bank Abp 3,471 SEK 35,084 28,358 0.02

Orion Oyj 1,016 EUR 43,942 46,582 0.03

Stora Enso Oyj 2,879 EUR 33,225 55,026 0.04

UPM-Kymmene Oyj 2,398 EUR 65,019 89,262 0.06

Wartsila OYJ Abp 2,288 EUR 19,815 22,780 0.02

582,700 714,405 0.50

FRANCE

Accor SA 1,887 EUR 77,909 68,235 0.05

Aeroports de Paris 329 EUR 41,780 42,644 0.03

Air Liquide SA 118 EUR 12,366 19,353 0.01

Atos SE 1,635 EUR 118,757 149,365 0.10

AXA SA 9,942 EUR 232,741 236,986 0.17

BNP Paribas SA 3,369 EUR 178,142 177,409 0.12




77


Acquisitioncost

Fairvalue

% netassets



FRANCE (continued)

Bouygues SA 419 EUR 16,444 17,224 0.01

Capgemini SE 1,651 EUR 213,903 255,748 0.18

Cie Generale des Etablissements Michelin

SCA 1,345 EUR 155,658 172,445 0.12

Credit Agricole SA 9,112 EUR 90,860 114,879 0.08

Danone SA 3,030 EUR 193,622 198,998 0.14

Electricite de France SA 3,157 EUR 40,616 49,733 0.03

EssilorLuxottica SA 297 EUR 38,881 46,279 0.03

Hermes International 40 EUR 39,475 42,983 0.03

Kering SA 145 EUR 77,627 105,292 0.07

Legrand SA 464 EUR 34,792 41,380 0.03

L'Oreal SA 413 EUR 113,663 156,811 0.11

LVMH Moet Hennessy Louis Vuitton SE 492 EUR 191,312 307,077 0.21

Orange SA 20,536 EUR 289,015 244,205 0.17

Pernod Ricard SA 443 EUR 69,782 84,859 0.06

Peugeot SA 2,942 EUR 68,609 80,400 0.06

Safran SA 268 EUR 39,494 37,962 0.03

Sanofi 2,425 EUR 220,695 233,149 0.16

Schneider Electric SE 2,234 EUR 192,634 322,860 0.22

SCOR SE 690 EUR 30,459 22,270 0.02

Societe Generale SA 2,050 EUR 54,599 42,630 0.03

Suez SA 1,608 EUR 23,181 31,863 0.02

TOTAL SE 8,239 EUR 393,141 355,301 0.25

Valeo SA 1,094 EUR 25,843 43,142 0.03

Vinci SA 68 EUR 4,998 6,759 0.01

Vivendi SA 1,176 EUR 30,582 37,899 0.03

3,311,580 3,746,140 2.61

GERMANY

adidas AG 174 EUR 45,660 63,324 0.04

Allianz SE 1,399 EUR 306,557 343,014 0.24

BASF SE 860 EUR 55,379 67,996 0.05

Bayer AG 940 EUR 75,138 55,299 0.04

Bayerische Motoren Werke AG / Ordinary 2,163 EUR 153,809 190,863 0.13

Brenntag AG 791 EUR 50,843 61,207 0.04

Commerzbank AG 604 EUR 6,211 3,886 0.00

Continental AG 496 EUR 61,998 73,470 0.05

Covestro AG 874 EUR 39,287 53,899 0.04

Daimler AG 793 EUR 47,315 55,985 0.04

Deutsche Boerse AG 126 EUR 16,812 21,434 0.02

Deutsche Post AG 3,223 EUR 97,321 159,464 0.11

Deutsche Telekom AG 17,870 EUR 261,818 326,481 0.23

Evonik Industries AG 1,736 EUR 48,063 56,582 0.04




78


Acquisitioncost

Fairvalue

% netassets



GERMANY (continued)

Hannover Rueck SE 404 EUR 60,609 64,309 0.04

Henkel AG & Co KGaA / Ordinary 913 EUR 77,261 87,947 0.06

Henkel AG & Co KGaA / Preference 1,790 EUR 180,466 201,837 0.14

Infineon Technologies AG 7,124 EUR 132,582 273,188 0.19

Merck KGaA 504 EUR 61,480 86,415 0.06

Muenchener Rueckversicherungs-

Gesellschaft AG in Muenchen 851 EUR 216,025 252,421 0.18

SAP SE 1,933 EUR 252,013 253,194 0.18

Siemens AG 2,447 EUR 258,950 351,312 0.24

Vonovia SE 1,009 EUR 66,276 73,663 0.05

2,571,873 3,177,190 2.21

GREAT BRITAIN

3i Group Plc 9,126 GBP 112,852 144,516 0.10

Anglo American Plc 3,431 GBP 78,020 113,755 0.08

Antofagasta Plc 2,550 GBP 26,257 50,232 0.03

Ashtead Group Plc 2,068 GBP 69,678 97,226 0.07

AstraZeneca Plc 1,773 GBP 153,021 177,576 0.12

Aviva Plc 28,965 GBP 139,871 128,811 0.09

Barclays Plc 31,557 GBP 42,832 63,299 0.04

Barratt Developments Plc 16,675 GBP 116,609 152,781 0.11

Berkeley Group Holdings Plc 1,207 GBP 65,483 78,270 0.05

BHP Group Plc 5,484 GBP 112,609 144,363 0.10

BP Plc 56,559 GBP 274,194 197,074 0.14

British American Tobacco Plc 4,754 GBP 184,387 176,050 0.12

BT Group Plc 102,445 GBP 243,722 185,274 0.13

Bunzl Plc 1,907 GBP 50,869 63,709 0.04

Burberry Group Plc 4,147 GBP 84,066 101,483 0.07

Centrica Plc 96,808 GBP 88,439 61,691 0.04

Coca-Cola European Partners Plc 1,890 USD 98,716 94,179 0.07

Compass Group Plc 1,575 GBP 33,853 29,356 0.02

ConvaTec Group Plc 14,601 GBP 30,465 39,774 0.03

Croda International Plc 993 GBP 64,819 89,569 0.06

Diageo Plc 4,438 GBP 168,842 174,665 0.12

Direct Line Insurance Group Plc 12,589 GBP 51,334 54,917 0.04

Fresnillo Plc 3,044 GBP 46,687 47,017 0.03

GlaxoSmithKline Plc 20,208 GBP 411,967 370,854 0.26

Hikma Pharmaceuticals Plc 1,993 GBP 62,764 68,626 0.05

HSBC Holdings Plc 60,378 GBP 342,138 312,805 0.22

IMI Plc 2,665 GBP 41,461 42,457 0.03

Imperial Brands Plc 3,137 GBP 70,604 65,871 0.05

ITV Plc 87,827 GBP 111,581 128,270 0.09

J Sainsbury Plc 16,007 GBP 44,610 49,361 0.03




79


Acquisitioncost

Fairvalue

% netassets



GREAT BRITAIN (continued)

Johnson Matthey Plc 1,721 GBP 56,425 57,072 0.04

Kingfisher Plc 21,588 GBP 67,772 79,826 0.06

Legal & General Group Plc 62,643 GBP 176,912 228,038 0.16

Liberty Global Plc - SHS C 6,733 USD 146,863 159,235 0.11

Lloyds Banking Group Plc 353,327 GBP 200,426 176,069 0.12

London Stock Exchange Group Plc 900 GBP 93,424 110,866 0.08

Meggitt Plc 10,598 GBP 58,846 67,609 0.05

Mondi Plc 1,847 GBP 40,779 43,431 0.03

National Grid Plc 5,291 GBP 62,732 62,587 0.04

Natwest Group Plc 41,765 GBP 104,004 95,751 0.07

Pearson Plc 9,634 GBP 80,798 89,639 0.06

Persimmon Plc 2,299 GBP 78,106 86,991 0.06

Prudential Plc 5,169 GBP 93,406 95,214 0.07

Reckitt Benckiser Group Plc 1,029 GBP 81,446 92,056 0.06

RELX Plc 4,475 GBP 103,272 109,693 0.08

Rentokil Initial Plc 4,971 GBP 34,903 34,642 0.02

Rio Tinto Plc 1,472 GBP 75,906 110,109 0.08

Rolls-Royce Holdings Plc 1,380 GBP 16,024 2,099 0.00

Royal Dutch Shell Plc - Class B 5,662 GBP 143,717 97,513 0.07

Schroders Plc 2,265 GBP 87,328 103,360 0.07

Severn Trent Plc 2,528 GBP 72,864 79,132 0.05

Smith & Nephew Plc 1,979 GBP 44,452 40,865 0.03

St James's Place Plc 4,561 GBP 53,886 70,698 0.05

Standard Chartered Plc 25,291 GBP 175,103 161,134 0.11

Standard Life Aberdeen Plc 26,431 GBP 84,437 101,674 0.07

Taylor Wimpey Plc 29,296 GBP 65,522 66,423 0.05

Travis Perkins Plc 2,179 GBP 36,340 40,138 0.03

Unilever Plc 3,110 GBP 165,127 186,788 0.13

Unilever Plc 3,773 EUR 209,281 228,459 0.16

United Utilities Group Plc 9,725 GBP 111,735 119,025 0.08

Vodafone Group Plc 189,470 GBP 348,622 313,356 0.22

6,593,208 6,813,323 4.74

GUERNSEY

Amdocs Ltd 1,391 USD 88,314 98,664 0.07

88,314 98,664 0.07

HONG KONG

AIA Group Ltd 17,600 HKD 166,169 215,673 0.15

Fosun International Ltd 21,000 HKD 22,686 32,993 0.02

Hang Lung Group Ltd 5,000 HKD 12,996 12,435 0.01

Hang Lung Properties Ltd 23,000 HKD 57,237 60,671 0.04

Hang Seng Bank Ltd 5,500 HKD 97,355 94,854 0.07




80


Acquisitioncost

Fairvalue

% netassets



HONG KONG (continued)

Henderson Land Development Co Ltd 7,210 HKD 36,149 28,133 0.02

HKT Trust & HKT Ltd 71,000 HKD 103,799 92,133 0.06

Hong Kong & China Gas Co Ltd 68,775 HKD 102,118 102,730 0.07

Hong Kong Exchanges & Clearing Ltd 1,000 HKD 32,950 54,821 0.04

Hysan Development Co Ltd 2,000 HKD 11,144 7,340 0.01

MTR Corp Ltd 8,000 HKD 41,735 44,734 0.03

New World Development Co Ltd 7,500 HKD 42,142 34,924 0.02

PCCW Ltd 22,000 HKD 12,065 13,253 0.01

Sino Land Co Ltd 44,000 HKD 57,639 57,324 0.04

Sun Hung Kai Properties Ltd 2,000 HKD 29,758 25,798 0.02

Swire Properties Ltd 11,000 HKD 33,046 31,996 0.02

Wharf Holdings Ltd 11,000 HKD 24,820 29,584 0.02

883,808 939,396 0.65

IRELAND

Accenture Plc 3,245 USD 653,039 847,626 0.59

Aon Plc 1,356 USD 266,140 286,482 0.20

CRH Plc 1,030 EUR 32,161 42,807 0.03

Eaton Corp Plc 4,606 USD 405,602 553,365 0.39

Jazz Pharmaceuticals Plc 391 USD 44,450 64,534 0.04

Johnson Controls International Plc 8,184 USD 304,853 381,293 0.27

Linde Plc 680 EUR 146,293 176,944 0.12

Medtronic Plc 5,223 USD 500,906 611,822 0.43

Pentair Plc 1,677 USD 67,965 89,032 0.06

Perrigo Co Plc 921 USD 44,774 41,187 0.03

Seagate Technology Plc 3,517 USD 163,544 218,617 0.15

Smurfit Kappa Group Plc 2,163 EUR 88,093 100,518 0.07

Trane Technologies Plc 2,685 USD 301,277 389,755 0.27

Willis Towers Watson Plc 210 USD 35,554 44,243 0.03

3,054,651 3,848,225 2.68

ISRAEL

Check Point Software Technologies Ltd 320 USD 27,982 42,531 0.03

27,982 42,531 0.03

ITALY

Assicurazioni Generali SpA 6,806 EUR 115,649 118,565 0.08

Enel SpA 16,262 EUR 106,383 164,415 0.11

Eni SpA 7,960 EUR 111,088 83,124 0.06

Intesa Sanpaolo SpA 74,376 EUR 181,312 173,781 0.12

Mediobanca Banca di Credito Finanziario

SpA 4,581 EUR 47,252 42,197 0.03

Poste Italiane SpA 2,518 EUR 22,108 25,593 0.02




81


Acquisitioncost

Fairvalue

% netassets



ITALY (continued)

Snam SpA 24,817 EUR 118,417 139,492 0.10

Telecom Italia SpA 184,224 EUR 98,958 84,937 0.06

Terna Rete Elettrica Nazionale SpA 10,119 EUR 65,588 77,262 0.05

UniCredit SpA 7,365 EUR 71,616 68,812 0.05

938,371 978,178 0.68

JAPAN

Advantest Corp 1,800 JPY 66,089 134,754 0.09

Aeon Co Ltd 4,000 JPY 91,710 131,132 0.09

AGC Inc 1,000 JPY 28,223 34,865 0.02

Aisin Seiki Co Ltd 2,200 JPY 73,239 65,944 0.05

Ajinomoto Co Inc 4,900 JPY 85,765 110,927 0.08

Alps Alpine Co Ltd 1,500 JPY 20,599 19,728 0.01

Amada Co Ltd 3,300 JPY 35,959 36,210 0.03

Asahi Group Holdings Ltd 2,100 JPY 87,642 86,314 0.06

Asics Corp 400 JPY 5,805 7,670 0.01

Astellas Pharma Inc 11,500 JPY 178,619 177,531 0.12

Bandai Namco Holdings Inc 400 JPY 17,736 34,578 0.02

Benesse Holdings Inc 1,100 JPY 29,879 21,445 0.02

Bridgestone Corp 3,300 JPY 114,474 108,152 0.08

Brother Industries Ltd 2,800 JPY 53,206 57,651 0.04

Calbee Inc 900 JPY 26,198 27,108 0.02

Canon Inc 6,800 JPY 170,035 130,264 0.09

Casio Computer Co Ltd 2,100 JPY 30,796 38,357 0.03

Central Japan Railway Co 100 JPY 21,695 14,130 0.01

Chugai Pharmaceutical Co Ltd 600 JPY 12,696 31,977 0.02

Dai Nippon Printing Co Ltd 1,200 JPY 27,560 21,558 0.02

Dai-ichi Life Holdings Inc 7,800 JPY 106,249 117,240 0.08

Daiichi Sankyo Co Ltd 2,400 JPY 48,852 82,165 0.06

Daikin Industries Ltd 400 JPY 46,836 88,790 0.06

Daiwa House Industry Co Ltd 3,500 JPY 99,998 103,859 0.07

Daiwa Securities Group Inc 7,600 JPY 39,561 34,594 0.02

Denso Corp 2,400 JPY 96,982 142,575 0.10

DIC Corp 600 JPY 15,358 15,131 0.01

East Japan Railway Co 900 JPY 77,615 60,012 0.04

Ebara Corp 1,000 JPY 30,783 32,638 0.02

Eisai Co Ltd 1,400 JPY 111,394 99,954 0.07

ENEOS Holdings Inc 16,650 JPY 76,631 59,727 0.04

FANUC Corp 100 JPY 16,939 24,561 0.02

Fast Retailing Co Ltd 100 JPY 51,531 89,555 0.06

Fuji Electric Co Ltd 1,500 JPY 36,657 53,968 0.04

FUJIFILM Holdings Corp 1,800 JPY 83,444 94,798 0.07

Fujitsu Ltd 1,200 JPY 107,800 173,222 0.12




82


Acquisitioncost

Fairvalue

% netassets



JAPAN (continued)

Hamamatsu Photonics KK 200 JPY 7,165 11,428 0.01

Haseko Corp 300 JPY 4,608 3,437 0.00

Hino Motors Ltd 900 JPY 8,409 7,662 0.01

Hirose Electric Co Ltd 400 JPY 45,851 60,627 0.04

Hisamitsu Pharmaceutical Co Inc 700 JPY 32,152 41,557 0.03

Hitachi Ltd 2,600 JPY 83,104 102,358 0.07

Honda Motor Co Ltd 3,000 JPY 83,516 83,604 0.06

Hoya Corp 400 JPY 33,934 55,281 0.04

Hulic Co Ltd 2,900 JPY 26,184 31,821 0.02

IHI Corp 700 JPY 16,526 13,877 0.01

Inpex Corp 20,000 JPY 123,288 107,695 0.08

Isuzu Motors Ltd 2,700 JPY 29,149 25,626 0.02

Ito En Ltd 800 JPY 46,383 50,593 0.04

ITOCHU Corp 3,500 JPY 70,972 100,470 0.07

J Front Retailing Co Ltd 3,000 JPY 28,290 23,679 0.02

Japan Exchange Group Inc 400 JPY 6,801 10,219 0.01

Japan Tobacco Inc 8,000 JPY 167,719 162,859 0.11

JSR Corp 3,300 JPY 69,340 91,852 0.06

JTEKT Corp 800 JPY 10,844 6,206 0.00

Kajima Corp 3,000 JPY 37,787 40,153 0.03

Kao Corp 2,100 JPY 159,647 162,094 0.11

Kawasaki Heavy Industries Ltd 1,800 JPY 34,655 40,513 0.03

KDDI Corp 13,300 JPY 365,252 394,923 0.28

Kewpie Corp 1,000 JPY 19,826 21,984 0.02

Keyence Corp 200 JPY 78,235 112,343 0.08

Kikkoman Corp 200 JPY 8,985 13,888 0.01

Kirin Holdings Co Ltd 3,900 JPY 80,504 91,934 0.06

Koito Manufacturing Co Ltd 700 JPY 28,311 47,591 0.03

Komatsu Ltd 5,600 JPY 116,229 152,806 0.11

Konica Minolta Inc 2,800 JPY 27,262 10,684 0.01

Kubota Corp 5,400 JPY 85,397 117,722 0.08

Kurita Water Industries Ltd 1,500 JPY 42,167 57,310 0.04

Kyocera Corp 800 JPY 48,165 49,013 0.03

Kyowa Kirin Co Ltd 1,500 JPY 27,512 40,879 0.03

Lawson Inc 400 JPY 21,511 18,614 0.01

Lion Corp 1,200 JPY 25,794 29,031 0.02

Lixil Corp 2,200 JPY 37,135 47,599 0.03

Mabuchi Motor Co Ltd 600 JPY 21,951 26,120 0.02

Marubeni Corp 8,000 JPY 54,552 53,158 0.04

Marui Group Co Ltd 200 JPY 4,823 3,510 0.00

Mazda Motor Corp 4,900 JPY 48,468 32,839 0.02

MEIJI Holdings Co Ltd 700 JPY 47,701 49,218 0.03

MINEBEA MITSUMI Inc 1,500 JPY 30,671 29,752 0.02

Mitsubishi Chemical Holdings Corp 5,000 JPY 35,839 30,226 0.02




83


Acquisitioncost

Fairvalue

% netassets



JAPAN (continued)

Mitsubishi Corp 5,500 JPY 131,498 135,349 0.09

Mitsubishi Electric Corp 7,400 JPY 99,302 111,586 0.08

Mitsubishi Estate Co Ltd 2,000 JPY 31,664 32,095 0.02

Mitsubishi Heavy Industries Ltd 1,900 JPY 70,015 58,074 0.04

Mitsubishi UFJ Financial Group Inc 36,300 JPY 173,525 160,345 0.11

Mitsui & Co Ltd 6,400 JPY 97,295 117,116 0.08

Mizuho Financial Group Inc 9,460 JPY 137,715 119,790 0.08

MS&AD Insurance Group Holdings Inc 2,600 JPY 81,537 79,092 0.06

Murata Manufacturing Co Ltd 1,700 JPY 91,743 153,445 0.11

Nabtesco Corp 800 JPY 23,270 35,020 0.02

NEC Corp 2,100 JPY 91,099 112,672 0.08

NGK Insulators Ltd 3,200 JPY 40,317 49,338 0.03

NGK Spark Plug Co Ltd 4,200 JPY 71,652 71,712 0.05

NH Foods Ltd 900 JPY 36,606 39,572 0.03

Nidec Corp 200 JPY 11,977 25,142 0.02

Nikon Corp 3,700 JPY 53,483 23,328 0.02

Nintendo Co Ltd 200 JPY 70,028 127,510 0.09

Nippon Telegraph & Telephone Corp 15,200 JPY 357,726 389,440 0.27

Nissan Chemical Corp 600 JPY 37,332 37,538 0.03

Nissin Foods Holdings Co Ltd 400 JPY 25,886 34,245 0.02

Nitto Denko Corp 1,800 JPY 94,148 160,903 0.11

Nomura Holdings Inc 13,200 JPY 58,507 69,672 0.05

Nomura Real Estate Holdings Inc 700 JPY 13,821 15,477 0.01

Nomura Research Institute Ltd 4,000 JPY 82,889 143,141 0.10

NSK Ltd 4,700 JPY 40,821 40,784 0.03

NTT Data Corp 2,500 JPY 33,976 34,163 0.02

Obayashi Corp 8,900 JPY 76,439 76,713 0.05

Olympus Corp 2,100 JPY 39,149 45,893 0.03

Omron Corp 1,500 JPY 78,946 133,650 0.09

Ono Pharmaceutical Co Ltd 1,400 JPY 26,775 42,140 0.03

Oriental Land Co Ltd 200 JPY 19,635 33,006 0.02

ORIX Corp 2,200 JPY 35,430 33,760 0.02

Otsuka Holdings Co Ltd 700 JPY 29,671 29,951 0.02

Panasonic Corp 9,300 JPY 77,336 107,226 0.07

Recruit Holdings Co Ltd 1,600 JPY 51,001 66,957 0.05

Renesas Electronics Corp 5,700 JPY 44,330 59,564 0.04

Resona Holdings Inc 10,600 JPY 46,721 36,998 0.03

Ricoh Co Ltd 2,900 JPY 32,608 19,014 0.01

Rohm Co Ltd 800 JPY 55,466 77,401 0.05

Santen Pharmaceutical Co Ltd 900 JPY 13,777 14,600 0.01

SCSK Corp 300 JPY 14,893 17,142 0.01

Secom Co Ltd 700 JPY 60,047 64,519 0.05

Seiko Epson Corp 3,900 JPY 57,101 57,827 0.04

Sekisui Chemical Co Ltd 4,100 JPY 63,277 77,588 0.05




84


Acquisitioncost

Fairvalue

% netassets



JAPAN (continued)

Sekisui House Ltd 4,000 JPY 75,106 81,352 0.06

Seven & i Holdings Co Ltd 3,900 JPY 141,298 138,202 0.10

Shimizu Corp 8,000 JPY 57,022 58,109 0.04

Shin-Etsu Chemical Co Ltd 1,100 JPY 115,099 192,184 0.13

Shionogi & Co Ltd 1,800 JPY 102,996 98,233 0.07

Shizuoka Bank Ltd 300 JPY 2,775 2,197 0.00

SoftBank Group Corp 2,200 JPY 83,272 171,688 0.12

Sohgo Security Services Co Ltd 600 JPY 29,548 31,088 0.02

Sojitz Corp 4,700 JPY 15,180 10,469 0.01

Sompo Holdings Inc 2,400 JPY 81,478 96,995 0.07

Sony Corp 3,100 JPY 175,058 308,784 0.22

Stanley Electric Co Ltd 1,200 JPY 34,442 38,642 0.03

Subaru Corp 3,800 JPY 96,253 75,904 0.05

SUMCO Corp 2,300 JPY 35,704 50,408 0.04

Sumitomo Corp 1,600 JPY 20,262 21,159 0.01

Sumitomo Dainippon Pharma Co Ltd 400 JPY 11,300 5,900 0.00

Sumitomo Electric Industries Ltd 6,600 JPY 88,429 87,346 0.06

Sumitomo Heavy Industries Ltd 200 JPY 6,763 4,931 0.00

Sumitomo Mitsui Financial Group Inc 3,000 JPY 96,805 92,625 0.06

Sumitomo Mitsui Trust Holdings Inc 1,900 JPY 69,021 58,460 0.04

Sumitomo Rubber Industries Ltd 3,600 JPY 42,109 30,925 0.02

Suntory Beverage & Food Ltd 900 JPY 39,301 31,814 0.02

Suzuki Motor Corp 200 JPY 6,858 9,262 0.01

T&D Holdings Inc 2,500 JPY 28,321 29,466 0.02

Taisei Corp 300 JPY 14,526 10,329 0.01

Taisho Pharmaceutical Holdings Co Ltd 500 JPY 31,832 33,655 0.02

Takashimaya Co Ltd 1,300 JPY 14,791 11,142 0.01

Takeda Pharmaceutical Co Ltd 2,800 JPY 106,850 101,826 0.07

TDK Corp 900 JPY 68,807 135,451 0.09

Terumo Corp 200 JPY 5,565 8,352 0.01

Tokio Marine Holdings Inc 1,100 JPY 52,115 56,547 0.04

Tokyo Electron Ltd 800 JPY 147,201 297,516 0.21

Tokyo Gas Co Ltd 2,800 JPY 67,974 64,648 0.05

Toppan Printing Co Ltd 1,200 JPY 18,884 16,910 0.01

Toray Industries Inc 6,300 JPY 29,768 37,273 0.03

Toshiba Corp 1,500 JPY 48,802 41,911 0.03

TOTO Ltd 200 JPY 7,689 12,009 0.01

Toyo Seikan Group Holdings Ltd 1,500 JPY 24,177 16,372 0.01

Toyoda Gosei Co Ltd 1,300 JPY 27,401 37,708 0.03

Toyota Industries Corp 700 JPY 37,843 55,523 0.04

Toyota Motor Corp 6,900 JPY 440,005 531,725 0.37

Toyota Tsusho Corp 1,500 JPY 44,647 60,506 0.04

Unicharm Corp 200 JPY 6,294 9,476 0.01

Yamada Holdings Co Ltd 3,300 JPY 16,647 17,514 0.01




85


Acquisitioncost

Fairvalue

% netassets



JAPAN (continued)

Yamaha Corp 400 JPY 17,548 23,515 0.02

Yamaha Motor Co Ltd 3,800 JPY 54,915 77,432 0.05

Yokohama Rubber Co Ltd 1,000 JPY 19,833 14,856 0.01

Z Holdings Corp 7,700 JPY 31,549 46,563 0.03

10,277,666 12,043,239 8.38

JERSEY

Aptiv Plc 2,993 USD 255,205 389,958 0.27

Experian Plc 1,201 GBP 43,208 45,608 0.03

Ferguson Plc 720 GBP 60,066 87,472 0.06

WPP Plc 10,266 GBP 108,791 112,310 0.08

467,270 635,348 0.44

LIBERIA

Royal Caribbean Cruises Ltd 2,286 USD 186,821 170,741 0.12

186,821 170,741 0.12

NETHERLANDS

ABN AMRO Bank NV 3,326 EUR 59,154 32,587 0.02

Aegon NV 7,871 EUR 37,243 31,107 0.02

Akzo Nobel NV 2,130 EUR 199,656 228,622 0.16

ASML Holding NV 1,093 EUR 242,745 530,834 0.37

CNH Industrial NV 7,069 USD 75,418 90,766 0.06

CNH Industrial NV 4,700 EUR 36,167 59,284 0.04

Ferrari NV 166 USD 29,127 38,100 0.03

Heineken Holding NV 120 EUR 9,507 11,295 0.01

Heineken NV 596 EUR 55,249 66,418 0.05

ING Groep NV 21,303 EUR 213,778 198,856 0.14

Koninklijke Ahold Delhaize NV 1,890 EUR 45,403 53,359 0.04

Koninklijke DSM NV 1,017 EUR 117,554 174,932 0.12

Koninklijke KPN NV 29,591 EUR 86,073 89,905 0.06

Koninklijke Philips NV 4,868 EUR 215,761 260,359 0.18

Koninklijke Vopak NV 856 EUR 44,826 44,956 0.03

LyondellBasell Industries NV 1,156 USD 78,992 105,959 0.07

NN Group NV 2,057 EUR 77,137 89,285 0.06

NXP Semiconductors NV 2,536 USD 270,902 403,249 0.28

Randstad NV 1,144 EUR 56,780 74,406 0.05

STMicroelectronics NV 7,549 EUR 171,250 279,249 0.20

Wolters Kluwer NV 963 EUR 69,673 81,246 0.06

2,192,395 2,944,774 2.05




86


Acquisitioncost

Fairvalue

% netassets



NEW ZEALAND

Contact Energy Ltd 12,825 NZD 68,432 82,218 0.06

Fisher & Paykel Healthcare Corp Ltd 1,827 NZD 24,175 43,340 0.03

Meridian Energy Ltd 16,717 NZD 48,947 89,247 0.06

Spark New Zealand Ltd 17,795 NZD 49,480 60,176 0.04

191,034 274,981 0.19

NORWAY

DNB ASA 7,191 NOK 107,627 140,897 0.10

Equinor ASA 11,441 NOK 190,461 193,413 0.13

Orkla ASA 5,036 NOK 46,485 51,099 0.04

Schibsted ASA 821 NOK 23,878 30,621 0.02

Telenor ASA 5,826 NOK 107,624 99,135 0.07

476,075 515,165 0.36

PANAMA

Carnival Corp 2,164 USD 94,402 46,872 0.03

94,402 46,872 0.03

PORTUGAL

EDP - Energias de Portugal SA 6,108 EUR 21,692 38,473 0.02

Galp Energia SGPS SA 1,166 EUR 17,926 12,470 0.01

39,618 50,943 0.03

SINGAPORE

CapitaLand Ltd 3,500 SGD 8,508 8,687 0.01

City Developments Ltd 4,400 SGD 28,148 26,535 0.02

ComfortDelGro Corp Ltd 11,700 SGD 20,700 14,784 0.01

DBS Group Holdings Ltd 7,300 SGD 116,061 138,311 0.10

Genting Singapore Ltd 45,000 SGD 31,333 28,942 0.02

Keppel Corp Ltd 2,800 SGD 12,877 11,398 0.01

Oversea-Chinese Banking Corp Ltd 800 SGD 6,129 6,090 0.00

Singapore Exchange Ltd 3,000 SGD 18,324 21,066 0.01

Singapore Technologies Engineering Ltd 6,300 SGD 17,176 18,210 0.01

Singapore Telecommunications Ltd 104,300 SGD 219,220 182,304 0.13

United Overseas Bank Ltd 2,800 SGD 37,878 47,860 0.03

Venture Corp Ltd 1,900 SGD 21,798 27,919 0.02

Wilmar International Ltd 2,500 SGD 6,355 8,796 0.01

544,507 540,902 0.38

SPAIN

ACS Actividades de Construccion y

Servicios SA 221 EUR 8,267 7,330 0.00




87


Acquisitioncost

Fairvalue

% netassets



SPAIN (continued)

Aena SME SA 29 EUR 4,652 5,038 0.00

Amadeus IT Group SA 612 EUR 46,184 44,530 0.03

Banco Bilbao Vizcaya Argentaria SA 42,497 EUR 160,871 209,483 0.15

Banco Santander SA 29,990 EUR 96,190 92,986 0.06

CaixaBank SA 21,959 EUR 47,459 56,362 0.04

Enagas SA 1,693 EUR 43,158 37,156 0.03

Endesa SA 853 EUR 20,563 23,290 0.02

Iberdrola SA 27,342 EUR 241,423 390,808 0.27

Industria de Diseno Textil SA 6,677 EUR 191,775 212,407 0.15

Naturgy Energy Group SA 1,455 EUR 38,407 33,701 0.02

Red Electrica Corp SA 1,645 EUR 35,856 33,711 0.02

Repsol SA 2,643 EUR 35,932 26,638 0.02

Right Repsol SA 2,643 EUR - 906 0.00

Telefonica SA 34,908 EUR 237,352 138,384 0.10

1,208,089 1,312,730 0.91

SWEDEN

Atlas Copco AB - A 3,270 SEK 110,691 167,363 0.12

Atlas Copco AB - B 2,321 SEK 65,358 103,897 0.07

Boliden AB 1,613 SEK 39,411 57,128 0.04

Castellum AB 776 SEK 15,179 19,684 0.01

Electrolux AB 3,761 SEK 62,432 87,470 0.06

Epiroc AB 4,224 SEK 52,567 76,829 0.05

Essity AB 2,443 SEK 72,574 78,537 0.06

Husqvarna AB 2,211 SEK 16,987 28,620 0.02

Investor AB 558 SEK 30,757 40,638 0.03

Kinnevik AB 175 SEK 3,339 8,838 0.01

Lundin Energy AB 1,293 SEK 35,241 34,935 0.02

Sandvik AB 4,931 SEK 76,035 120,644 0.08

Skandinaviska Enskilda Banken AB 10,988 SEK 101,669 112,850 0.08

Skanska AB 1,742 SEK 29,452 44,399 0.03

SKF AB 3,126 SEK 54,891 81,079 0.06

Svenska Handelsbanken AB 10,548 SEK 104,779 105,895 0.07

Swedbank AB 5,239 SEK 88,572 91,770 0.06

Swedish Match AB 283 SEK 11,546 21,938 0.02

Telefonaktiebolaget LM Ericsson 18,349 SEK 162,122 217,754 0.15

Telia Co AB 15,964 SEK 68,649 65,893 0.05

Volvo AB 1,067 SEK 14,393 25,133 0.02

1,216,644 1,591,294 1.11

SWITZERLAND

ABB Ltd 7,156 CHF 157,222 199,734 0.14

Adecco Group AG 684 CHF 43,369 45,708 0.03




88


Acquisitioncost

Fairvalue

% netassets



SWITZERLAND (continued)

Chubb Ltd 1,537 USD 203,203 236,575 0.16

Cie Financiere Richemont SA 2,788 CHF 193,316 252,189 0.18

Coca-Cola HBC AG 3,173 GBP 92,894 103,140 0.07

Garmin Ltd 450 USD 37,039 53,847 0.04

Geberit AG 152 CHF 73,265 95,152 0.07

Givaudan SA 15 CHF 61,968 63,199 0.04

LafargeHolcim Ltd 829 CHF 40,104 45,528 0.03

Nestle SA 7,908 CHF 798,143 931,310 0.65

Novartis AG 9,775 CHF 831,769 923,618 0.64

Roche Holding AG 64 CHF 17,503 22,410 0.02

Roche Holding AG 2,770 CHF 880,352 966,825 0.67

SGS SA 31 CHF 72,998 93,494 0.07

Sika AG 288 CHF 55,676 78,661 0.05

Swiss Life Holding AG 130 CHF 41,605 60,558 0.04

Swiss Re AG 2,251 CHF 201,472 211,904 0.15

Swisscom AG 412 CHF 216,947 222,032 0.15

TE Connectivity Ltd 3,622 USD 296,958 438,516 0.31

UBS Group AG 18,413 CHF 223,959 259,359 0.18

Zurich Insurance Group AG 725 CHF 252,169 305,871 0.21

4,791,931 5,609,630 3.90


3M Co 2,431 USD 396,706 424,914 0.30

Abbott Laboratories 2,510 USD 203,754 274,820 0.19

AbbVie Inc 7,942 USD 650,146 850,985 0.59

Adobe Inc 734 USD 257,233 367,088 0.26

AES Corp 8,724 USD 153,029 205,014 0.14

Aflac Inc 1,909 USD 75,478 84,893 0.06

Agilent Technologies Inc 1,125 USD 88,577 133,301 0.09

Air Products and Chemicals Inc 668 USD 136,566 182,511 0.13

Akamai Technologies Inc 1,725 USD 144,918 181,108 0.13

Albemarle Corp 573 USD 43,339 84,529 0.06

Alexion Pharmaceuticals Inc 1,132 USD 136,067 176,864 0.12

Alleghany Corp 25 USD 15,591 15,092 0.01

Allstate Corp 2,910 USD 284,458 319,896 0.22

Ally Financial Inc 486 USD 11,320 17,331 0.01

Alphabet Inc 472 USD 600,472 826,887 0.58

Alphabet Inc - Class C 405 USD 507,553 709,819 0.49

Altria Group Inc 8,787 USD 415,780 360,267 0.25

Amazon.com Inc 652 USD 1,349,346 2,123,518 1.48

American Express Co 1,228 USD 131,640 148,477 0.10

American Financial Group Inc 330 USD 23,362 28,915 0.02

American International Group Inc 818 USD 39,593 30,969 0.02




89


Acquisitioncost

Fairvalue

% netassets



UNITED STATES (U.S.A.) (continued)

American Water Works Co Inc 310 USD 33,968 47,576 0.03

Ameriprise Financial Inc 1,829 USD 270,412 355,430 0.25

AmerisourceBergen Corp 591 USD 53,195 57,776 0.04

Amgen Inc 4,019 USD 844,782 924,048 0.64

Amphenol Corp 545 USD 57,822 71,270 0.05

Analog Devices Inc 2,315 USD 240,112 341,995 0.24

Anthem Inc 2,071 USD 562,286 664,977 0.46

Apple Inc 49,174 USD 2,926,096 6,524,898 4.54

Applied Materials Inc 7,910 USD 396,705 682,633 0.48

AT&T Inc 35,233 USD 1,154,472 1,013,301 0.71

Autodesk Inc 638 USD 134,124 194,807 0.14

Automatic Data Processing Inc 566 USD 97,793 99,729 0.07

AutoZone Inc 74 USD 69,618 87,723 0.06

Avery Dennison Corp 1,035 USD 143,820 160,539 0.11

Baker Hughes Co 1,034 USD 32,253 21,559 0.01

Ball Corp 1,872 USD 121,159 174,433 0.12

Bank of America Corp 36,211 USD 942,508 1,097,555 0.76

Bank of New York Mellon Corp 8,483 USD 367,059 360,019 0.25

Baxter International Inc 2,606 USD 213,658 209,105 0.15

Becton Dickinson and Co 216 USD 50,777 54,048 0.04

Berkshire Hathaway Inc 1,166 USD 243,820 270,360 0.19

Best Buy Co Inc 2,867 USD 203,294 286,098 0.20

Biogen Inc 1,681 USD 477,189 411,610 0.29

BlackRock Inc 578 USD 265,998 417,050 0.29

BorgWarner Inc 3,486 USD 122,895 134,699 0.09

Bristol-Myers Squibb Co 6,468 USD 359,539 401,210 0.28

Broadcom Inc 376 USD 107,898 164,632 0.11

Brown-Forman Corp 731 USD 46,728 58,063 0.04

Campbell Soup Co 2,865 USD 138,641 138,523 0.10

Cardinal Health Inc 1,542 USD 80,437 82,590 0.06

Carrier Global Corp 3,249 USD 113,276 122,552 0.09

Caterpillar Inc 2,741 USD 368,279 498,917 0.35

CBRE Group Inc 4,605 USD 253,791 288,826 0.20

Celanese Corp 1,624 USD 182,932 211,023 0.15

CenturyLink Inc 14,995 USD 158,099 146,201 0.10

Cerner Corp 1,216 USD 85,432 95,432 0.07

Charles Schwab Corp 5,312 USD 221,648 281,748 0.20

Charter Communications Inc 65 USD 39,865 43,001 0.03

Chipotle Mexican Grill Inc 25 USD 15,154 34,668 0.02

Church & Dwight Co Inc 438 USD 30,845 38,207 0.03

Cigna Corp 1,433 USD 241,752 298,322 0.21

Cisco Systems Inc 19,911 USD 889,614 891,017 0.62

Citigroup Inc 11,647 USD 650,031 718,154 0.50

Citrix Systems Inc 1,153 USD 131,759 150,005 0.10




90


Acquisitioncost

Fairvalue

% netassets




Clorox Co 1,145 USD 187,720 231,198 0.16

CME Group Inc 321 USD 54,604 58,438 0.04

CMS Energy Corp 489 USD 26,273 29,834 0.02

Coca-Cola Co 6,265 USD 318,852 343,573 0.24

Cognizant Technology Solutions Corp 4,264 USD 265,620 349,435 0.24

Colgate-Palmolive Co 4,637 USD 322,795 396,510 0.28

Comcast Corp 8,882 USD 375,475 465,417 0.32

ConocoPhillips 2,788 USD 162,228 111,492 0.08

Consolidated Edison Inc 2,004 USD 148,441 144,829 0.10

Corning Inc 8,967 USD 264,303 322,812 0.22

Costco Wholesale Corp 61 USD 12,468 22,984 0.02

CSX Corp 548 USD 25,499 49,731 0.03

Cummins Inc 1,603 USD 260,228 364,041 0.25

CVS Health Corp 4,616 USD 301,242 315,273 0.22

Danaher Corp 620 USD 97,116 137,727 0.10

DaVita Inc 912 USD 67,093 107,069 0.07

Deere & Co 793 USD 121,791 213,357 0.15

Dell Technologies Inc 1,498 USD 85,887 109,788 0.08

Delta Air Lines Inc 490 USD 24,569 19,703 0.01

DENTSPLY SIRONA Inc 786 USD 39,412 41,155 0.03

Digital Realty Trust Inc 624 USD 84,839 87,054 0.06

Discover Financial Services 2,179 USD 155,399 197,265 0.14

Dover Corp 981 USD 94,983 123,851 0.09

DTE Energy Co 321 USD 38,831 38,973 0.03

DuPont de Nemours Inc 5,922 USD 352,907 421,113 0.29

Eastman Chemical Co 337 USD 24,909 33,794 0.02

eBay Inc 7,354 USD 291,904 369,538 0.26

Ecolab Inc 1,383 USD 256,453 299,226 0.21

Edison International 468 USD 30,179 29,400 0.02

Edwards Lifesciences Corp 2,471 USD 161,670 225,429 0.16

Electronic Arts Inc 1,002 USD 119,524 143,887 0.10

Eli Lilly and Co 2,152 USD 256,174 363,344 0.25

Emerson Electric Co 2,710 USD 179,811 217,803 0.15

Entergy Corp 344 USD 33,759 34,345 0.02

Essex Property Trust Inc 25 USD 6,466 5,936 0.00

Estee Lauder Cos Inc 662 USD 126,122 176,218 0.12

Eversource Energy 3,646 USD 295,047 315,415 0.22

Exelon Corp 4,348 USD 182,404 183,573 0.13

Expeditors International of Washington Inc 1,014 USD 72,201 96,442 0.07

Exxon Mobil Corp 12,719 USD 707,404 524,277 0.36

F5 Networks Inc 41 USD 7,389 7,214 0.00

Facebook Inc 1,805 USD 331,776 493,054 0.34

Fastenal Co 1,171 USD 40,508 57,180 0.04

Fidelity National Financial Inc 1,277 USD 53,268 49,918 0.03




91


Acquisitioncost

Fairvalue

% netassets




Fidelity National Information Services Inc 258 USD 37,726 36,497 0.03

Fifth Third Bancorp 5,027 USD 134,539 138,594 0.10

FMC Corp 1,923 USD 171,627 221,010 0.15

Ford Motor Co 30,609 USD 226,788 269,053 0.19

General Electric Co 7,087 USD 112,231 76,540 0.05

General Mills Inc 9,206 USD 529,884 541,313 0.38

General Motors Co 7,714 USD 257,617 321,211 0.22

Gilead Sciences Inc 11,153 USD 771,567 649,774 0.45

Globe Life Inc 1,080 USD 106,420 102,557 0.07

Goldman Sachs Group Inc 2,611 USD 535,612 688,547 0.48

Halliburton Co 9,869 USD 141,026 186,524 0.13

Hartford Financial Services Group Inc 4,544 USD 199,915 222,565 0.15

Hasbro Inc 808 USD 73,967 75,580 0.05

HCA Healthcare Inc 961 USD 124,274 158,046 0.11

Henry Schein Inc 1,570 USD 97,889 104,970 0.07

Hershey Co 906 USD 119,381 138,011 0.10

Hess Corp 1,277 USD 72,356 67,413 0.05

Hewlett Packard Enterprise Co 18,301 USD 229,611 216,867 0.15

Hilton Worldwide Holdings Inc 2,597 USD 232,846 288,942 0.20

Home Depot Inc 4,420 USD 962,844 1,174,040 0.82

Honeywell International Inc 364 USD 52,416 77,423 0.05

Hormel Foods Corp 1,138 USD 48,510 53,042 0.04

HP Inc 14,902 USD 284,652 366,440 0.25

Humana Inc 744 USD 264,075 305,241 0.21

Huntington Bancshares Inc 8,796 USD 111,860 111,093 0.08

Huntington Ingalls Industries Inc 187 USD 43,286 31,880 0.02

IDEXX Laboratories Inc 26 USD 4,204 12,997 0.01

Illinois Tool Works Inc 2,939 USD 477,531 599,203 0.42

Illumina Inc 452 USD 157,137 167,240 0.12

Intel Corp 18,952 USD 949,714 944,189 0.66

International Business Machines Corp 6,184 USD 797,307 778,442 0.54

International Flavors & Fragrances Inc 942 USD 106,443 102,527 0.07

International Paper Co 882 USD 31,783 43,853 0.03

Interpublic Group of Cos Inc 1,040 USD 23,259 24,461 0.02

Intuit Inc 365 USD 100,797 138,645 0.10

JM Smucker Co 1,485 USD 163,478 171,666 0.12

Johnson & Johnson 10,368 USD 1,443,403 1,631,716 1.14

JPMorgan Chase & Co 10,808 USD 1,119,399 1,373,373 0.96

Juniper Networks Inc 2,894 USD 74,342 65,144 0.05

Kansas City Southern 324 USD 39,181 66,138 0.05

Kellogg Co 2,598 USD 169,386 161,674 0.11

Keurig Dr Pepper Inc 2,349 USD 65,323 75,168 0.05

KeyCorp 14,272 USD 204,812 234,204 0.16

Keysight Technologies Inc 494 USD 45,532 65,252 0.05




92


Acquisitioncost

Fairvalue

% netassets




Kimberly-Clark Corp 3,245 USD 417,631 437,523 0.30

Kinder Morgan Inc 18,302 USD 279,048 250,188 0.17

KLA Corp 1,190 USD 175,623 308,103 0.21

Kraft Heinz Co 6,165 USD 189,532 213,679 0.15

Kroger Co 10,706 USD 320,234 340,023 0.24

Laboratory Corp of America Holdings 188 USD 33,368 38,267 0.03

Lam Research Corp 1,457 USD 373,909 688,097 0.48

Las Vegas Sands Corp 2,516 USD 142,587 149,954 0.10

Lear Corp 593 USD 83,556 94,305 0.07

Leidos Holdings Inc 1,616 USD 145,007 169,874 0.12

Lincoln National Corp 2,653 USD 144,247 133,472 0.09

Lockheed Martin Corp 1,059 USD 392,412 375,924 0.26

Lowe's Cos Inc 3,407 USD 413,298 546,858 0.38

Lululemon Athletica Inc 434 USD 100,519 151,045 0.11

M&T Bank Corp 556 USD 79,200 70,779 0.05

Marathon Petroleum Corp 797 USD 30,852 32,964 0.02

Marriott International Inc 309 USD 33,508 40,763 0.03

Marsh & McLennan Cos Inc 1,053 USD 106,944 123,201 0.09

Masco Corp 4,201 USD 189,099 230,761 0.16

Mastercard Inc 1,458 USD 376,048 520,419 0.36

McDonald's Corp 1,515 USD 298,925 325,089 0.23

McKesson Corp 476 USD 68,190 82,786 0.06

Merck & Co Inc 14,190 USD 1,105,917 1,160,742 0.81

MetLife Inc 7,114 USD 295,800 334,002 0.23

Mettler-Toledo International Inc 115 USD 87,654 131,063 0.09

MGM Resorts International 5,290 USD 141,672 166,688 0.12

Microchip Technology Inc 550 USD 52,003 75,961 0.05

Micron Technology Inc 7,496 USD 334,039 563,549 0.39

Microsoft Corp 21,101 USD 3,087,315 4,693,284 3.27

Molson Coors Beverage Co 2,031 USD 117,279 91,781 0.06

Mondelez International Inc 6,022 USD 323,748 352,106 0.25

Moody's Corp 1,013 USD 269,084 294,013 0.20

Morgan Stanley 10,220 USD 469,287 700,377 0.49

Motorola Solutions Inc 521 USD 70,342 88,601 0.06

MSCI Inc 596 USD 153,312 266,132 0.19

Nasdaq Inc 573 USD 56,109 76,060 0.05

NetApp Inc 2,111 USD 125,086 139,833 0.10

Newell Brands Inc 1,694 USD 35,961 35,964 0.02

Newmont Corp 447 CAD 18,866 26,752 0.02

Newmont Corp 4,520 USD 227,906 270,703 0.19

NextEra Energy Inc 4,440 USD 215,118 342,546 0.24

NIKE Inc 2,154 USD 195,909 304,726 0.21

Northern Trust Corp 2,716 USD 244,257 252,968 0.18

NortonLifeLock Inc 9,209 USD 198,470 191,363 0.13




93


Acquisitioncost

Fairvalue

% netassets




NVIDIA Corp 1,127 USD 299,067 588,519 0.41

NVR Inc 13 USD 46,295 53,038 0.04

Omnicom Group Inc 1,428 USD 98,284 89,064 0.06

ONEOK Inc 5,612 USD 289,731 215,389 0.15

Oracle Corp 14,976 USD 780,199 968,797 0.67

O'Reilly Automotive Inc 88 USD 41,539 39,826 0.03

Otis Worldwide Corp 1,398 USD 92,110 94,435 0.07

Owens Corning 662 USD 37,937 50,153 0.03

PACCAR Inc 897 USD 67,066 77,393 0.05

Packaging Corp of America 782 USD 69,301 107,846 0.08

Parker-Hannifin Corp 907 USD 156,060 247,076 0.17

Paychex Inc 628 USD 50,447 58,517 0.04

PayPal Holdings Inc 822 USD 94,778 192,512 0.13

PepsiCo Inc 4,894 USD 639,816 725,780 0.51

Pfizer Inc 21,749 USD 761,978 800,581 0.56

Philip Morris International Inc 9,069 USD 725,004 750,823 0.52

Pinnacle West Capital Corp 288 USD 26,416 23,026 0.02

PNC Financial Services Group Inc 3,214 USD 387,835 478,886 0.33

PPG Industries Inc 1,938 USD 239,034 279,498 0.19

Principal Financial Group Inc 2,385 USD 113,661 118,320 0.08

Procter & Gamble Co 4,271 USD 460,400 594,267 0.41

Progressive Corp 858 USD 59,507 84,839 0.06

Prologis Inc 1,491 USD 140,085 148,593 0.10

Prudential Financial Inc 4,973 USD 386,411 388,242 0.27

Public Service Enterprise Group Inc 1,555 USD 83,148 90,656 0.06

PulteGroup Inc 1,209 USD 44,209 52,132 0.04

Qorvo Inc 1,161 USD 99,336 193,039 0.13

QUALCOMM Inc 5,624 USD 421,422 856,760 0.60

Quest Diagnostics Inc 138 USD 10,925 16,445 0.01

Raymond James Financial Inc 386 USD 33,640 36,929 0.03

Raytheon Technologies Corp 2,925 USD 188,215 209,167 0.15

Regeneron Pharmaceuticals Inc 394 USD 153,528 190,345 0.13

Regions Financial Corp 11,049 USD 148,043 178,110 0.12

Rockwell Automation Inc 1,019 USD 171,002 255,575 0.18

S&P Global Inc 1,563 USD 448,920 513,805 0.36

salesforce.com Inc 368 USD 62,518 81,891 0.06

SEI Investments Co 1,558 USD 79,683 89,538 0.06

Sempra Energy 1,234 USD 157,059 157,224 0.11

Skyworks Solutions Inc 1,730 USD 174,040 264,482 0.18

Snap-on Inc 156 USD 25,225 26,698 0.02

Stanley Black & Decker Inc 844 USD 111,850 150,705 0.10

Starbucks Corp 9,333 USD 687,876 998,444 0.69

State Street Corp 4,194 USD 277,507 305,239 0.21

SVB Financial Group 170 USD 28,772 65,931 0.05




94


Acquisitioncost

Fairvalue

% netassets




Synchrony Financial 2,898 USD 85,042 100,590 0.07

Sysco Corp 2,205 USD 133,430 163,743 0.11

T Rowe Price Group Inc 2,454 USD 281,833 371,511 0.26

Target Corp 2,117 USD 195,671 373,714 0.26

Tesla Inc 325 USD 129,020 229,343 0.16

Texas Instruments Inc 5,737 USD 668,505 941,614 0.66

Thermo Fisher Scientific Inc 622 USD 206,561 289,715 0.20

T-Mobile US Inc 1,019 USD 79,391 137,412 0.10

Tractor Supply Co 572 USD 52,244 80,412 0.06

Travelers Cos Inc 1,774 USD 216,810 249,016 0.17

Truist Financial Corp 1,516 USD 57,080 72,662 0.05

Ulta Beauty Inc 168 USD 39,372 48,243 0.03

Union Pacific Corp 598 USD 91,486 124,516 0.09

United Parcel Service Inc 627 USD 66,639 105,587 0.07

United Rentals Inc 1,155 USD 164,179 267,856 0.19

UnitedHealth Group Inc 2,731 USD 754,691 957,707 0.67

US Bancorp 2,729 USD 137,837 127,144 0.09

Verisk Analytics Inc 211 USD 29,910 43,801 0.03

Verizon Communications Inc 21,008 USD 1,184,838 1,234,220 0.86

VF Corp 2,401 USD 183,325 205,069 0.14

Viatris Inc 2,476 USD 38,809 46,400 0.03

Visa Inc 3,638 USD 609,732 795,740 0.55

VMware Inc 597 USD 97,390 83,735 0.06

Vornado Realty Trust 1,118 USD 61,260 41,746 0.03

Voya Financial Inc 750 USD 36,841 44,108 0.03

W R Berkley Corp 1,417 USD 79,634 94,117 0.07

Walgreens Boots Alliance Inc 5,875 USD 306,001 234,295 0.16

Walmart Inc 2,601 USD 287,216 374,934 0.26

Walt Disney Co 1,747 USD 220,272 316,521 0.22

Waste Management Inc 1,244 USD 126,544 146,705 0.10

Waters Corp 847 USD 185,778 209,565 0.15

WEC Energy Group Inc 1,051 USD 85,633 96,724 0.07

Western Digital Corp 2,702 USD 131,627 149,664 0.10

Westrock Co 2,963 USD 103,087 128,979 0.09

Weyerhaeuser Co 2,803 USD 76,353 93,985 0.07

Whirlpool Corp 761 USD 109,089 137,353 0.10

Williams Cos Inc 10,349 USD 199,847 207,497 0.14

WW Grainger Inc 573 USD 184,932 233,979 0.16

Xcel Energy Inc 1,705 USD 97,737 113,672 0.08

Xilinx Inc 1,151 USD 112,296 163,177 0.11

Xylem Inc/NY 586 USD 49,381 59,649 0.04

Yum China Holdings Inc 577 USD 25,307 32,941 0.02

Yum! Brands Inc 1,837 USD 173,422 199,425 0.14




95


Acquisitioncost

Fairvalue

% netassets




Zimmer Biomet Holdings Inc 201 USD 25,556 30,972 0.02

Zoetis Inc 99 USD 8,664 16,385 0.01

68,666,978 86,449,173 60.16

TOTAL LISTED SECURITIES : EQUITIES 115,761,277 141,010,565 98.13

2) LISTED SECURITIES : WARRANTS

SWITZERLAND

Cie Financiere Richemont SA 5,576 CHF - 1,449 0.00

- 1,449 0.00

TOTAL LISTED SECURITIES : WARRANTS - 1,449 0.00


B) OTHER TRANSFERABLE SECURITIES

1) OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVESTMENT TRUSTS

AUSTRALIA

Dexus 2,784 AUD 23,871 20,175 0.01

Goodman Group 3,402 AUD 33,199 49,597 0.03

GPT Group 5,411 AUD 22,307 18,772 0.01

Mirvac Group 18,437 AUD 37,679 37,525 0.03

Scentre Group 18,066 AUD 45,732 38,720 0.03

Stockland 13,590 AUD 44,263 43,795 0.03

Vicinity Centres 45,430 AUD 56,062 56,214 0.04

263,113 264,798 0.18

CAYMAN ISLANDS

Wharf Real Estate Investment Co Ltd 6,000 HKD 21,686 31,229 0.02

21,686 31,229 0.02

FRANCE

Klepierre SA 1,342 EUR 43,212 30,150 0.02

43,212 30,150 0.02




96


Acquisitioncost

Fairvalue

% netassets

B) OTHER TRANSFERABLE SECURITIES (continued)

1) OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVESTMENT TRUSTS (continued)

GREAT BRITAIN

British Land Co Plc 8,019 GBP 60,589 53,624 0.04

Land Securities Group Plc 5,166 GBP 64,476 47,600 0.03

125,065 101,224 0.07

HONG KONG

Link REIT 6,300 HKD 58,295 57,373 0.04

58,295 57,373 0.04

JAPAN

Japan Retail Fund Investment Corp 20 JPY 27,965 36,337 0.03

Orix JREIT Inc 8 JPY 17,259 13,210 0.01

45,224 49,547 0.04

SINGAPORE

CapitaLand Integrated Commercial Trust 31,800 SGD 47,712 51,973 0.04

47,712 51,973 0.04

SWEDEN

Fabege AB 962 SEK 16,100 15,124 0.01

16,100 15,124 0.01


AvalonBay Communities Inc 1,188 USD 208,947 190,591 0.13

Boston Properties Inc 1,489 USD 157,584 140,755 0.10

Duke Realty Corp 286 USD 8,137 11,431 0.01

Equity Residential 272 USD 18,305 16,124 0.01

Healthpeak Properties Inc 2,870 USD 93,694 86,760 0.06

Host Hotels & Resorts Inc 7,522 USD 130,720 110,047 0.08

Iron Mountain Inc 2,936 USD 81,400 86,553 0.06

Macerich Co 27 USD 1,163 288 0.00

Regency Centers Corp 1,194 USD 71,324 54,435 0.04

Simon Property Group Inc 996 USD 146,065 84,939 0.06

Ventas Inc 2,925 USD 150,580 143,442 0.10

Welltower Inc 761 USD 61,502 49,176 0.03

1,129,421 974,541 0.68

TOTAL OTHER TRANSFERABLE SECURITIES : REAL ESTATEINVESTMENT TRUSTS 1,749,828 1,575,959 1.10





97

(expressed in USD)Description

Fairvalue

% netassets






Cash at Bank 0.69


Total Assets 99.89




98


$% of

Total PurchasesMicrosoft Corp 9,704 1,796,957 2.54

Apple Inc 41,835 1,628,551 2.31

Johnson & Johnson 6,273 909,878 1.29

Amazon.com Inc 329 838,567 1.19

Merck & Co Inc 8,711 674,823 0.96

Amgen Inc 2,976 662,384 0.94

Novartis AG 7,037 606,666 0.86

Verizon Communications Inc 10,299 593,363 0.84

UnitedHealth Group Inc 1,990 591,070 0.84

Home Depot Inc 2,462 575,358 0.81

JPMorgan Chase & Co 5,520 569,445 0.81

AT&T Inc 16,898 554,812 0.79

Bank of America Corp 21,100 545,044 0.77

Roche Holding AG 1,525 535,906 0.76

Oracle Corp 9,926 525,400 0.74

Pfizer Inc 13,356 470,514 0.67

Intel Corp 8,939 468,997 0.66

Anthem Inc 1,690 468,137 0.66

General Mills Inc 8,000 467,647 0.66

International Business Machines Corp 3,706 454,140 0.64


$% of

Total SalesNTT DOCOMO Inc 8,800 325,571 2.03

Procter & Gamble Co 2,442 324,781 2.02

Royal Dutch Shell Plc - Class B 17,612 276,847 1.73

TJX Cos Inc 5,197 270,887 1.69

Colgate-Palmolive Co 3,209 256,642 1.60

Apple Inc 704 255,290 1.59

Northrop Grumman Corp 701 219,514 1.37

Maxim Integrated Products Inc 3,159 208,577 1.30

Ball Corp 2,310 181,706 1.13

ASML Holding NV 474 174,413 1.09

Walt Disney Co 1,414 161,150 1.00

Kimberly-Clark Corp 1,143 158,111 0.99

Engie SA 8,157 141,611 0.88

Lululemon Athletica Inc 422 131,938 0.82

Toyota Motor Corp 1,900 127,450 0.79

Hess Corp 3,054 127,078 0.79

T-Mobile US Inc 1,122 123,592 0.77

Freeport-McMoRan Inc 11,242 123,203 0.77

NIKE Inc 996 121,643 0.76

Bristol-Myers Squibb Co 1,875 113,416 0.71





99

Performance Overview

Performance: 31/12/2019 – 31/12/2020

Balanced Fixed Income Fund* 5.77%

Benchmark (Fed Funds Mid + 2%) 2.40%

* USD X Share Class

Market Review

The year began with optimism over a reacceleration of global growth after a tariff-induced slowdown in 2019. However, the

macroeconomic environment swiftly changed towards the end of February as the Covid-19 outbreak spread from China to the

rest of the world. The fear of the virus was compounded by expectations of a severe economic contraction and potential

corporate and consumer defaults as the lockdown came into effect, leading to a steeper fall in risk markets in April than even

during the financial crash in 2008/09. As equities dropped all assets followed. Credit spreads to government debt (i.e. yields

relative to government bonds) widened to 2-year highs, and prices fell.

The outlook turned positive as we approached May after the official support measures provided liquidity and direct assistance

to companies and consumers. This alleviated the concerns over their widespread collapse. Central Banks cut interest rates,

re-started asset purchases and pumped in massive liquidity into banks to safeguard the flow of credit to consumers and

companies. Fiscal tools are also lessening the burden on companies and individuals. This stimuli across the 4 major economies

amounted to over 25% of GDP, with the promise of more to come. The aim was to ensure we get a quick and sharp recovery as

the lockdowns end.

The lockdowns brought key parts of the economy to a standstill, as borne out by economic indicators that registered record low

levels of activity. In May, sentiment was further boosted by signs that the virus had peaked in Europe, an easing of European

lockdown conditions, and the French-German proposal to launch a €0.75tr Pandemic Recovery Fund, financed for the first time

by commonly-issued EU debt. Risk markets continued to rally through most of the year whilst government bonds held steady.

The Fed and other major Central Banks re-iterated they are absolutely committed to low rates and asset purchases, concrete data

pointing at a decent rebound in activity and a further fall in volatility.

Corporate earnings for the second half of the year were relatively upbeat, generally beating analysts’ revenue expectations.

Although the health crisis remains central to market prospects, sentiment was helped further by the US Federal Reserve making

clear its view that we are a long way from celebrating a return to normal. Fed Chair Powell indicated that medium-term policy

would be comprised of interest rates being set lower for longer and the Fed would tolerate periods of inflation being in excess

of the official 2% target rate.

After a few months of seeing virus infections under control, the final quarter of the year saw a reasonably rapid spreading,

particularly in the developed nations, which led to further sporadic mini-lockdowns. In early November, good news fuelled a

new burst of enthusiasm for the markets, with the early release of the Pfizer/BioNTech vaccine that claimed a high level of

efficacy. At roughly the same time the US presidential elections saw Joe Biden as the victor, thereby ending a volatile term

under President Trump. This boosted hopes of an earlier return to some form of normality in 2021 helping to rekindle consumer

demand. As the year closed however, Europe reintroduced restrictions and lockdowns and it now remains to be seen how much

of 2020’s lost GDP can be recouped in 2021.

Performance Review

The USD X-share class returned 5.77% over the year, comfortably above the benchmark return.

2020 was a year split into two distinct parts: the first 5 months evidenced extreme market moves that saw credit markets under

quite some pressure, while the remainder of the year responded to the huge measures announced by the authorities and

delivered strong market returns. Despite a large portion of the Fund being allocated to very high-grade credit, the first half of the

year recorded a broadly flat return because all forms of credit saw valuations undermined. The second half witnessed record

amounts of corporate debt issued, which was met by very strong investor demand; this took credit spreads sharply narrower,

resulting in capital prices moving higher. These moves benefited the asset allocation of the Fund, and opportunities were taken

to switch some lower-yielding holdings into some lower rated credits to capture the rally in the market. This involved investing



London & Capital Global Balanced Fixed Income Fund

100

in some subordinated corporate and financial debt, both of which were among the strongest performing sectors in the fixed

income universe, while maintaining the Fund’s average rating in investment grade territory.

Tactical positioning was taken in exchange-traded derivatives, most notably during March and April to control the Fund’s

volatility during the testing times for the global markets.

Outlook

After what turned out to be a tumultuous year for the global economy, many of the dynamics that drive asset market pricing

have had to be adjusted. Most notable is the sheer amount of government debt that has built up in each developed nation, and the

equally forceful asset purchase programmes implemented by leading central banks. Of high importance is the response

mechanism for key economic sectors such as leisure and retail which have been the principal casualties of the pandemic. The

higher rates of unemployment will no doubt act as a drag to any meaningful return to normality in economic growth for at least

the first half of 2021, and this in turn will hold back a sustained rise in inflation. This backdrop should continue to be

supportive of very low official interest rates as well as government bond yields well into 2022. Large businesses’ balance sheets

look more stable now than 6 months ago, partly because of sizeable cash balances and lower borrowing costs. This provides for

an improving outlook for corporate and financial debt for 2021, areas that are important for the Fund’s positioning. As

borrowing costs continue to improve for companies this should be reflected in some capital uplift on top of the Fund’s income

yield.

London and Capital Asset Management Limited

Date : January 2021



London & Capital Global Balanced Fixed Income Fund (continued)

101

Note

L&CGBFI31 Dec 2020

$

L&CGBFI31 Dec 2019

$



Investments in Financial Derivative Instruments 3 642,301 1,014,751

Cash at bank 5 2,845,518 2,103,102

Cash held as collateral 5 - 60,000


Other receivables 1,036 734

TOTAL ASSETS 74,605,098 61,621,882







Directors fees payable 7 37 1,070











102

Note

L&CGBFI31 Dec 2020

$

L&CGBFI31 Dec 2019

$INCOMEBond interest income 2,318,563 3,160,995


loss 9 1,989,192 5,270,725


Other income 9 582



Manager fees 7 46,677 29,368




Audit fees 7 8,471 11,607


Swap interest expenses 1,158 -





Finance Costs










103

L&CGBFI31 Dec 2020

$

L&CGBFI31 Dec 2019










104

L&CGBFI31 Dec 2020

$

L&CGBFI31 Dec 2019



participating shares from operations to net cash (used in)/provided by operating

activities






Net (increase)/decrease in financial assets and liabilities at fair value (11,647,845) 5,775,538

Decrease in other receivables 59,698 599,358

Increase/(decrease) in payables 12,470 (41,321)

Cash (used in)/provided by operating activities (9,912,238) 11,284,608


Taxation (57,747) (10,275)

Net cash (used in)/provided by operating activities (7,782,560) 14,824,274




Net cash provided by/(used in) financing activities 8,524,976 (13,461,101)

Net increase in cash 742,416 1,363,173

Net Cash at the start of the financial year 2,103,102 739,929


Analysis of CashCash at the start of the financial year 2,103,102 739,929








105


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



BELGIUM

Solvay SA 2.5% / perpetual 800,000 EUR 942,564 1,007,510 1.37

942,564 1,007,510 1.37

BRAZIL

Brazilian Government International Bond

8.50% 05/01/2024 3,500,000 BRL 747,013 735,570 1.00

747,013 735,570 1.00

CAYMAN ISLANDS

Baidu Inc 3.88% 29/09/2023 800,000 USD 801,760 860,600 1.17

Country Garden Holdings Co Ltd 5.13%

14/01/2027 1,200,000 USD 1,245,200 1,294,116 1.75

2,046,960 2,154,716 2.92

FRANCE

Altice France SA/France 2.13% 15/02/2025 600,000 EUR 658,807 709,720 0.96

BNP Paribas SA 6.63% / perpetual 700,000 USD 723,100 766,073 1.04

Credit Agricole SA 7.88% / perpetual 1,000,000 USD 1,081,000 1,139,440 1.55

Electricite de France SA 5.25% / perpetual 450,000 USD 456,750 477,180 0.65

Electricite de France SA 6.00% EMTN /

perpetual 800,000 GBP 1,071,376 1,250,180 1.70

Engie SA 1.63% / perpetual 900,000 EUR 1,014,822 1,131,026 1.53

Orange SA 1.75% EMTN / perpetual 700,000 EUR 763,147 885,563 1.20

SCOR SE 5.25% / perpetual 1,400,000 USD 1,482,560 1,485,512 2.01

Suez SA 1.63% / perpetual 1,300,000 EUR 1,449,931 1,587,768 2.15

TOTAL SE 3.37% EMTN / perpetual 800,000 EUR 1,011,930 1,102,957 1.50

9,713,423 10,535,419 14.29

GERMANY

Bayer AG 2.38% 12/05/2079 1,200,000 EUR 1,349,693 1,494,821 2.03

Deutsche Bank AG 7.13% / perpetual 700,000 GBP 968,853 1,000,575 1.36

EnBW Energie Baden-Wuerttemberg AG

1.13% 05/11/2079 800,000 EUR 884,977 984,605 1.33

Merck KGaA 1.63% 09/09/2080 900,000 EUR 1,065,430 1,129,110 1.53

RWE AG 6.63% 30/07/2075 1,000,000 USD 1,143,750 1,164,380 1.58

5,412,703 5,773,491 7.83

GREAT BRITAIN

Barclays PLC 7.88% / perpetual 350,000 GBP 436,625 509,765 0.69

Barclays PLC 8.00% / perpetual 700,000 USD 775,250 781,865 1.06

BP Capital Markets PLC 4.38% / perpetual 1,300,000 USD 1,320,750 1,390,194 1.89




106


Acquisitioncost

Fairvalue

% netassets


1) LISTED SECURITIES : BONDS (continued)


British Telecommunications Plc 1.87%

18/08/2080 800,000 EUR 873,021 963,844 1.31

Heathrow Finance Plc 6.25% 03/03/2025 500,000 GBP 681,602 737,702 1.00

HSBC Holdings PLC 6.25% / perpetual 1,250,000 USD 1,281,544 1,310,724 1.78

Lloyds Banking Group Plc 7.50% 1,000,000 USD 1,065,000 1,125,840 1.53

Nationwide Building Society 5.88% /

perpetual 600,000 GBP 754,045 883,487 1.20

Natwest Group PLC 5.125% / perpetual 800,000 GBP 1,084,219 1,143,557 1.55

NGG Finance Plc 1.63% 05/12/2079 800,000 EUR 886,123 996,880 1.35

Phoenix Group Holdings PLC 5.63% /

perpetual 1,300,000 USD 1,333,000 1,376,674 1.87

RSA Insurance Group Plc 5.13%

10/10/2045 800,000 GBP 1,187,359 1,279,695 1.74

SSE PLC 3.74% / perpetual 900,000 GBP 1,125,368 1,305,079 1.77

Virgin Media Secured Finance Plc 5.00%

15/04/2027 400,000 GBP 493,720 574,595 0.78

Vodafone Group Plc 4.88% 03/10/2078 600,000 GBP 791,010 898,767 1.22

14,088,636 15,278,668 20.74

INDIA

Canara Bank 3.25% 10/08/2022 EMTN 800,000 USD 797,840 819,216 1.11

Reliance Industries Ltd 4.13% 28/01/2025 1,250,000 USD 1,312,588 1,387,137 1.88

2,110,428 2,206,353 2.99

IRELAND

Bank of Ireland Group PLC 7.50% /

perpetual 700,000 EUR 778,586 981,943 1.33

778,586 981,943 1.33

ITALY

Assicurazioni Generali SpA 4.596% EMTN

/ perpetual 650,000 EUR 832,305 895,294 1.21

Enel SpA 6.63% 15/09/2076 114,000 GBP 164,267 162,209 0.22

UniCredit SpA 3.88% EMTN / perpetual 500,000 EUR 541,611 551,387 0.75

1,538,183 1,608,890 2.18

LUXEMBOURG

ArcelorMittal SA 4.55% 11/03/2026 700,000 USD 701,225 786,380 1.07

701,225 786,380 1.07




107


Acquisitioncost

Fairvalue

% netassets



MEXICO

Mexico Government International Bond

1.35% 18/09/2027 1,300,000 EUR 1,531,792 1,644,664 2.23

1,531,792 1,644,664 2.23

NETHERLANDS

Volkswagen International Finance NV 3.5%

/ perpetual 1,400,000 EUR 1,682,618 1,810,711 2.46

1,682,618 1,810,711 2.46

SPAIN

Banco Bilbao Vizcaya Argentaria SA 6.50%

/ perpetual 800,000 USD 859,520 856,640 1.16

Banco Santander SA 4.38% / perpetual 600,000 EUR 680,146 737,757 1.00

1,539,666 1,594,397 2.16

SWEDEN

Nordea Bank Abp 5.25% EMTN / perpetual 1,000,000 USD 1,024,500 1,021,000 1.38

Skandinaviska Enskilda Banken AB 5.13% /

perpetual 1,200,000 USD 1,251,000 1,254,804 1.70

Svenska Handelsbanken AB 4.375% /

perpetual 1,000,000 USD 1,021,010 1,047,920 1.42

3,296,510 3,323,724 4.50

SWITZERLAND

Credit Suisse Group AG 7.50% / perpetual 1,100,000 USD 1,131,250 1,200,100 1.63

1,131,250 1,200,100 1.63


Alphabet Inc 2.00% 15/08/2026 1,600,000 USD 1,658,127 1,714,656 2.33

AT&T Inc 2.88% / perpetual 800,000 EUR 874,364 987,718 1.34

Bank of America Corp 3.95% 21/04/2025 650,000 USD 673,075 732,446 0.99

Coca-Cola Co 1.45% 01/06/2027 1,000,000 USD 1,015,500 1,032,140 1.40

Duke Energy Corp 2.65% 01/09/2026 700,000 USD 703,143 763,644 1.04

eBay Inc 2.75% 30/01/2023 700,000 USD 696,430 732,627 0.99

Exxon Mobil Corp 2.28% 16/08/2026 700,000 USD 730,520 753,718 1.02

Ford Motor Credit Co LLC 3.10%

04/05/2023 1,200,000 USD 1,191,408 1,215,816 1.65

General Electric Co 5.00% / perpetual /

Preference 1,000,000 USD 930,625 934,370 1.27

Goldman Sachs Group Inc 3.50%

23/01/2025 650,000 USD 652,262 717,645 0.97




108


Acquisitioncost

Fairvalue

% netassets




Hewlett Packard Enterprise Co 1.75%

01/04/2026 1,000,000 USD 999,750 1,034,860 1.40

International Bank for Reconstruction &

Development 0.38% 28/07/2025 1,000,000 USD 998,271 997,800 1.35

JPMorgan Chase & Co 3.68% / perpetual 1,000,000 USD 910,000 992,540 1.35

Merck & Co Inc 0.75% 24/02/2026 900,000 USD 897,111 907,848 1.23

Microsoft Corp 2.00% 08/08/2023 1,100,000 USD 1,072,280 1,147,795 1.56

Morgan Stanley 4.10% 22/05/2023 950,000 USD 992,635 1,030,750 1.40

Nissan Motor Acceptance Corp 2.80%

13/01/2022 EMTN 1,000,000 USD 1,017,230 1,017,950 1.38

Pfizer Inc 0.80% 28/05/2025 1,000,000 USD 997,050 1,015,270 1.38

17,009,781 17,729,593 24.05





MEXICO

Mexican Bonos 6.75% 09/03/2023 14,000,000 MXN 732,908 737,630 1.00

732,908 737,630 1.00

TOTAL OTHER ORGANISED MARKET : BONDS 732,908 737,630 1.00





General Motors Financial Co Inc 5.75% /

perpetual 1,200,000 USD 1,142,825 1,253,364 1.70

1,142,825 1,253,364 1.70






109






07/01/2021 USD 19,436,760 EUR (16,200,000) RBC IS Bank Luxembourg (387,275) (0.52)


29/01/2021 EUR 7,194,110 USD (8,816,223) RBC IS Bank Luxembourg (9,125) (0.01)

29/01/2021 GBP 4,312,511 USD (5,821,360) RBC IS Bank Luxembourg 74,005 0.10


18,287 0.03

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS 18,287 0.03








Cash at Bank 3.81


Total Assets 98.78




110


$% of

Total PurchasesUnited States Treasury Note/Bond 1.75% 31/12/2026 2,500,000 2,662,598 5.71

Volkswagen International Finance NV 3.5% / perpetual 1,400,000 1,682,618 3.61

Mexico Government International Bond 1.35% 18/09/2027 1,300,000 1,531,792 3.28

Amazon.com Inc 1.20% 03/06/2027 1,500,000 1,520,585 3.26

SCOR SE 5.25% / perpetual 1,400,000 1,482,560 3.18

Phoenix Group Holdings PLC 5.63% / perpetual 1,300,000 1,333,000 2.86

BP Capital Markets PLC 4.38% / perpetual 1,300,000 1,320,750 2.83

Skandinaviska Enskilda Banken AB 5.13% / perpetual 1,200,000 1,251,000 2.68

Country Garden Holdings Co Ltd 5.13% 14/01/2027 1,200,000 1,245,200 2.67

RSA Insurance Group Plc 5.13% 10/10/2045 800,000 1,187,359 2.55

Apple Inc 2.05% 11/09/2026 1,100,000 1,134,034 2.43

SSE PLC 3.74% / perpetual 900,000 1,125,368 2.41

Natwest Group PLC 5.125% / perpetual 800,000 1,084,219 2.32

Deutsche Bank AG 7.13% / perpetual 800,000 1,079,386 2.31

Alphabet Inc 2.00% 15/08/2026 1,000,000 1,074,510 2.30

Merck KGaA 1.63% 09/09/2080 900,000 1,065,430 2.28

Lloyds Banking Group Plc 7.50% 1,000,000 1,065,000 2.28

Svenska Handelsbanken AB 4.375% / perpetual 1,000,000 1,021,010 2.19

Nissan Motor Acceptance Corp 2.80% 13/01/2022 EMTN 1,000,000 1,017,230 2.18

Coca-Cola Co 1.45% 01/06/2027 1,000,000 1,015,500 2.18

Johnson & Johnson 1.65% 01/03/2021 1,000,000 1,001,440 2.15

Hewlett Packard Enterprise Co 1.75% 01/04/2026 1,000,000 999,750 2.14

International Bank for Reconstruction & Development 0.38% 28/07/2025 1,000,000 998,270 2.14

Pfizer Inc 0.80% 28/05/2025 1,000,000 997,050 2.14

Solvay SA 2.5% / perpetual 800,000 942,564 2.02

JPMorgan Chase & Co 3.68% / perpetual 1,000,000 910,000 1.95

Banco Santander SA 4.38% / perpetual 800,000 906,862 1.94

Merck & Co Inc 0.75% 24/02/2026 900,000 897,111 1.92

AT&T Inc 2.88% / perpetual 800,000 874,364 1.87

British Telecommunications Plc 1.87% 18/08/2080 800,000 873,021 1.87

UniCredit SpA 3.88% EMTN / perpetual 800,000 866,578 1.86

Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 800,000 859,520 1.84

Assicurazioni Generali SpA 4.596% EMTN / perpetual 650,000 832,305 1.78

Bank of Ireland Group PLC 7.50% / perpetual 700,000 778,586 1.67

Brazilian Government International Bond 8.50% 05/01/2024 3,500,000 747,013 1.60

Mexican Bonos 6.75% 09/03/2023 14,000,000 732,908 1.57

Exxon Mobil Corp 2.28% 16/08/2026 700,000 730,520 1.57

Altice France SA/France 2.13% 15/02/2025 600,000 658,807 1.41

European Investment Bank 1.00% 21/09/2026 EMTN 500,000 658,653 1.41

Amgen Inc 2.20% 21/02/2027 600,000 616,740 1.32

SoftBank Group Corp 6.00% / perpetual 600,000 591,480 1.27

Electricite de France SA 6.00% EMTN / perpetual 400,000 543,655 1.17

Credit Suisse Group AG 7.50% / perpetual 500,000 531,250 1.14

Bayer AG 2.38% 12/05/2079 400,000 469,512 1.01

Suez SA 1.63% / perpetual 400,000 467,926 1.00




111


$% of

Total SalesUnited States Treasury Note/Bond 1.75% 31/12/2026 2,500,000 2,656,028 7.25

Amazon.com Inc 1.20% 03/06/2027 1,500,000 1,531,905 4.18

BHP Billiton Finance USA Ltd 6.25% 19/10/2075 1,300,000 1,356,694 3.70

Svenska Handelsbanken AB 5.25% / perpetual 1,250,000 1,283,855 3.50

Apple Inc 2.05% 11/09/2026 1,100,000 1,179,776 3.22

AT&T Inc 3.00% 30/06/2022 1,150,000 1,179,179 3.22

China Life Insurance Co Ltd 4.00% 03/07/2075 1,100,000 1,107,456 3.02

Petrobras Global Finance BV 4.38% 20/05/2023 1,000,000 1,073,694 2.93

Johnson & Johnson 2.45% 01/03/2026 1,000,000 1,042,321 2.85

Cooperatieve Rabobank UA 5.50% / perpetual 900,000 1,018,831 2.78

Johnson & Johnson 1.65% 01/03/2021 1,000,000 1,008,296 2.75

Santander UK Group Holdings PLC 7.38% / perpetual 700,000 1,005,157 2.74

Amazon.com Inc 2.80% 22/08/2024 900,000 984,210 2.69

Volkswagen International Finance NV 2.70% / perpetual 800,000 957,251 2.61

Centrica Plc 3.00% 10/04/2076 800,000 956,516 2.61

China Construction Bank Corp 3.88% 13/05/2025 950,000 950,000 2.59

Oracle Corp 2.40% 15/09/2023 900,000 929,655 2.54


Standard Chartered Bank 5.38% EMTN / perpetual 700,000 883,225 2.41

Axis Bank Ltd 2.88% 01/06/2021 EMTN 800,000 814,581 2.22

Banco do Brasil SA 4.75% 20/03/2024 EMTN 700,000 764,069 2.09

Procter & Gamble Co 1.38% 03/05/2025 600,000 757,257 2.07

Bank of Ireland Group Plc 3.13% 19/09/2027 EMTN 600,000 755,817 2.06

Petroleos Mexicanos 6.49% 23/01/2027 700,000 691,614 1.89

Province of Alberta Canada 1.50% 15/12/2022 500,000 657,474 1.79

Northumbrian Water Finance Plc 1.63% 11/10/2026 450,000 621,332 1.70

SSE PLC 3.88% / perpetual 500,000 619,561 1.69

Thames Water Utilities Finance Plc 1.88% 24/01/2024 EMTN 450,000 612,590 1.67

Total Capital International SA 1.75% 07/07/2025 EMTN 450,000 596,062 1.63



Enel SpA 6.63% 15/09/2076 386,000 557,831 1.52

Deutsche Bank AG 7.13% / perpetual 500,000 557,552 1.52

Volkswagen Financial Services NV 2.75% 10/07/2023 EMTN 400,000 556,803 1.52

Amgen Inc 2.20% 21/02/2027 600,000 553,663 1.51

Alphabet Inc 2.00% 15/08/2026 500,000 533,549 1.46

Alphabet Inc 2.00% 15/08/2026 500,000 526,028 1.44

General Electric Co 5.00% / perpetual / Preference 600,000 520,167 1.42

Vodafone Group Plc 3.75% 16/01/2024 400,000 442,071 1.21


Nationwide Building Society 5.88% / perpetual 300,000 404,740 1.10

HSBC Holdings PLC 6.25% / perpetual 400,000 400,708 1.09





112


Performance: 31/12/2019 – 31/12/2020

Conservative Fixed Income Fund* 4.95%


*USD X Share Class

Market Review










companies. Fiscal tools are also lessening the burden on companies and individuals. This stimuli across the 4 major economies

amounted to over 25% of GDP, with the promise of more to come. The aim was to ensure we get a quick and sharp recovery as

the lockdowns end.










would be comprised of interest rates being set lower for longer and the Fed would tolerate periods of inflation being in excess

of the official 2% target rate.








Performance Review




delivered strong market returns. Despite a significant portion of the Fund being allocated to very high-grade credit, the first half

of the year recorded a broadly flat return because all forms of credit saw valuations undermined. The second half witnessed

record amounts of corporate debt issued, which was met by very strong investor demand; this took credit spreads sharply

narrower, resulting in capital prices moving higher. These moves benefited the asset allocation of the Fund, and opportunities

were taken to switch some lower-yielding holdings into some lower rated credits to capture the rally in the market. This



London & Capital Global Conservative Fixed Income Fund

113

involved investing in some subordinated corporate and financial debt, both of which were among the strongest performing

sectors in the fixed income universe, while maintaining the Fund’s average rating in investment grade territory.



Outlook






the first half of 2021, and this in turn will hold back a sustained rise in inflation. This backdrop should continue to be supportive

of very low official interest rates as well as government bond yields well into 2022. Large businesses’ balance sheets look more

stable now than 6 months ago, partly because of sizeable cash balances and lower borrowing costs. This provides for an

improving outlook for corporate and financial debt for 2021, areas that are important for the Fund’s positioning. As borrowing

costs continue to improve for companies this should be reflected in some capital uplift on top of the Fund’s income yield.


Date : January 2021



London & Capital Global Conservative Fixed Income Fund (continued)

114

Note

L&CGCFI31 Dec 2020

$

L&CGCFI31 Dec 2019

$




Cash at bank 5 537,028 537,731



Other receivables 296 913

TOTAL ASSETS 22,596,334 37,795,606




Manager fee payable 7 905 3,842














115

Note

L&CGCFI31 Dec 2020

$

L&CGCFI31 Dec 2019


Net realised and unrealised (loss)/gain on financial assets and liabilities at fair value through

profit or loss 9 (241,517) 2,761,082


Other income 3 389



Manager fees 7 28,546 39,122




Audit fees 7 7,213 9,159


Swap interest expenses 485 -




Operating Profit 758,505 3,770,212

Finance Costs

Dividends to holders of redeemable participating shares 584,303 819,166

Profit Before Tax 174,202 2,951,046

Withholding tax 30,537 -

Increase in net assets attributable to holders of redeemable participating shares fromoperations 143,665 2,951,046






116

L&CGCFI31 Dec 2020

$

L&CGCFI31 Dec 2019


Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 143,665 2,951,046








117

L&CGCFI31 Dec 2020

$

L&CGCFI31 Dec 2019

$Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 143,665 2,951,046


participating shares from operations to net cash provided by operating activities


Tax expense 30,537 -


Operating (loss)/profit before working capital changes (490,746) 2,474,213





Cash provided by operating activities 14,812,278 114,276


Taxation (30,537) -

Net cash provided by operating activities 16,152,181 1,428,403



Dividends to holders of redeemable participating shares (584,303) (819,166)

Net cash used in financing activities (16,152,884) (3,976,636)

Net decrease in cash (703) (2,548,233)

Net Cash at the start of the financial year 537,731 3,085,964

Net Cash at the end of the financial year 537,028 537,731

Analysis of CashCash at the start of the financial year 537,731 3,085,964


Cash at the end of the financial year 537,028 537,731






118


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



AUSTRALIA

Cooperatieve Rabobank UA 3.25% /

perpetual 400,000 EUR 487,705 495,381 2.23

487,705 495,381 2.23

BELGIUM

Solvay SA 2.5% / perpetual 300,000 EUR 353,461 377,816 1.70

353,461 377,816 1.70

BERMUDA ISLANDS

Hiscox Ltd 2.00% 14/12/2022 300,000 GBP 414,405 419,993 1.89

414,405 419,993 1.89

CAYMAN ISLANDS

Baidu Inc 3.88% 29/09/2023 600,000 USD 601,320 645,450 2.91

601,320 645,450 2.91

FRANCE

Credit Agricole SA 7.88% / perpetual 500,000 USD 567,500 569,720 2.57

SCOR SE 5.25% / perpetual 400,000 USD 423,760 424,432 1.91

Suez SA 1.63% / perpetual 500,000 EUR 545,568 610,680 2.75

1,536,828 1,604,832 7.23

GERMANY

Bayer AG 2.38% 12/05/2079 500,000 EUR 550,113 622,842 2.81


1.13% 05/11/2079 400,000 EUR 442,489 492,303 2.22


1.63% 05/08/2079 400,000 EUR 447,094 496,928 2.24

Merck KGaA 1.63% 09/09/2080 500,000 EUR 591,918 627,283 2.83

2,031,614 2,239,356 10.10

GREAT BRITAIN



BP Capital Markets PLC 4.38% / perpetual 350,000 USD 351,750 374,283 1.69


18/08/2080 400,000 EUR 436,547 481,922 2.17


HSBC Holdings PLC 6.25% / perpetual 500,000 USD 524,700 524,290 2.36


perpetual 300,000 GBP 376,977 441,744 1.99

Natwest Group PLC 5.125% / perpetual 250,000 GBP 338,486 357,362 1.61




119


Acquisitioncost

Fairvalue

% netassets






perpetual 500,000 USD 509,000 529,490 2.39


10/10/2045 300,000 GBP 445,260 479,886 2.16

SSE PLC 3.74% / perpetual 400,000 GBP 490,533 580,035 2.62

5,627,321 6,062,552 27.34

INDIA

State Bank of India 3.25%

24/01/2022 EMTN 650,000 USD 652,600 664,267 3.00

652,600 664,267 3.00

IRELAND

GE Capital UK Funding Unlimited Co

4.13% 13/09/2023 EMTN 300,000 GBP 391,662 448,457 2.02

391,662 448,457 2.02

MEXICO


1.35% 18/09/2027 500,000 EUR 589,151 632,563 2.85

Petroleos Mexicanos 6.49% 23/01/2027 500,000 USD 490,750 527,900 2.38

1,079,901 1,160,463 5.23

NETHERLANDS

Daimler International Finance BV 1.63%

11/11/2024 EMTN 500,000 GBP 644,613 709,365 3.20

Volkswagen Financial Services NV 1.75%

12/09/2022 EMTN 200,000 GBP 249,131 279,068 1.26

893,744 988,433 4.46

PORTUGAL

EDP - Energias de Portugal SA 1.70%

20/07/2080 400,000 EUR 439,100 489,200 2.21

439,100 489,200 2.21

SPAIN


453,431 491,838 2.22


Alphabet Inc 2.00% 15/08/2026 250,000 USD 268,627 267,915 1.21




120


Acquisitioncost

Fairvalue

% netassets




American Honda Finance Corp 1.30%

21/03/2022 400,000 GBP 520,794 553,434 2.50




04/05/2023 400,000 USD 397,828 405,272 1.83


Preference 600,000 USD 579,000 560,622 2.53

Goldman Sachs Group Inc 5.00% /

Preference 600,000 USD 603,750 604,392 2.72

JPMorgan Chase & Co 3.68% / Preference 800,000 USD 728,000 794,032 3.58

Microsoft Corp 2.00% 08/08/2023 250,000 USD 243,700 260,862 1.18

Prudential Financial Inc 5.88% 15/09/2042 300,000 USD 322,500 321,768 1.45

4,732,408 4,923,991 22.21

VIRGIN ISLANDS (UK)

Sinopec Group Overseas Development

2012 Ltd 3.90% 17/05/2022 550,000 USD 565,961 571,642 2.58

565,961 571,642 2.58






121

B) DERIVATIVE INSTRUMENTS







07/01/2021 GBP 500,000 USD (667,875) RBC IS Bank Luxembourg 15,611 0.07

07/01/2021 EUR 550,000 USD (667,106) RBC IS Bank Luxembourg 5,932 0.03




(20,700) (0.09)


TOTAL DERIVATIVE INSTRUMENTS (20,700) (0.09)


OTHER ASSETS 716,775 3.23





Cash at Bank 2.38


Total Assets 99.51




122


$% of


Johnson & Johnson 1.65% 01/03/2021 950,000 951,368 5.55

JPMorgan Chase & Co 3.68% / Preference 800,000 728,000 4.25

AbbVie Inc 2.15% 19/11/2021 700,000 703,584 4.11



Merck KGaA 1.63% 09/09/2080 500,000 591,918 3.46

Mexico Government International Bond 1.35% 18/09/2027 500,000 589,151 3.44



Exxon Mobil Corp 2.28% 16/08/2026 500,000 521,800 3.05

Apple Inc 2.05% 11/09/2026 500,000 515,470 3.01

Phoenix Group Holdings PLC 5.63% / perpetual 500,000 509,000 2.97

AT&T Inc 1.65% 01/02/2028 500,000 503,750 2.94

Amazon.com Inc 1.20% 03/06/2027 500,000 501,665 2.93

Pfizer Inc 0.80% 28/05/2025 500,000 498,525 2.91



Cooperatieve Rabobank UA 3.25% / perpetual 400,000 487,705 2.85

RSA Insurance Group Plc 5.13% 10/10/2045 300,000 445,260 2.60

EDP - Energias de Portugal SA 1.70% 20/07/2080 400,000 439,100 2.56



SCOR SE 5.25% / perpetual 400,000 423,760 2.47

Amgen Inc 2.20% 21/02/2027 400,000 411,160 2.40


BP Capital Markets PLC 4.38% / perpetual 350,000 351,750 2.05

Natwest Group PLC 5.125% / perpetual 250,000 338,486 1.98

Deutsche Bahn Finance GMBH 0.95% / perpetual 300,000 332,032 1.94

Alphabet Inc 2.00% 15/08/2026 250,000 268,627 1.57

Merck & Co Inc 0.75% 24/02/2026 250,000 249,198 1.45





123


$% of


Johnson & Johnson 2.45% 01/03/2026 950,000 990,205 3.05

Johnson & Johnson 1.65% 01/03/2021 950,000 958,003 2.95


BHP Billiton Finance USA Ltd 6.25% 19/10/2075 800,000 834,889 2.57

Amazon.com Inc 2.80% 22/08/2024 750,000 819,897 2.53

Oracle Corp 2.40% 15/09/2023 750,000 791,650 2.44

Kraft Heinz Foods Co 4.00% 15/06/2023 750,000 789,042 2.43



JPMorgan Chase & Co 4.63% / perpetual 800,000 737,678 2.27

Nordea Bank Abp 5.25% EMTN / perpetual 700,000 721,890 2.22

Alphabet Inc 2.00% 15/08/2026 700,000 714,359 2.20

AbbVie Inc 2.15% 19/11/2021 700,000 706,647 2.18

Toyota Finance Australia Ltd 1.63% 11/07/2022 EMTN 500,000 685,088 2.11

AstraZeneca Plc 2.38% 12/06/2022 650,000 672,666 2.07

BAT International Finance Plc 1.75% 05/07/2021 EMTN 500,000 666,463 2.05


Severn Trent Utilities Finance Plc 1.13% 07/09/2021 EMTN 500,000 652,944 2.01

AT&T Inc 3.00% 30/06/2022 600,000 616,800 1.90

CVS Health Corp 2.13% 01/06/2021 600,000 611,091 1.88

Coca-Cola Co 2.20% 25/05/2022 600,000 606,677 1.87


GlaxoSmithKline Capital Inc 3.38% 15/05/2023 550,000 598,735 1.85

Svenska Handelsbanken AB 5.25% / perpetual 600,000 598,575 1.84



General Mills Inc 3.70% 17/10/2023 500,000 552,703 1.70

Electricite de France SA 5.25% / perpetual 500,000 539,142 1.66

Apple Inc 2.05% 11/09/2026 500,000 536,262 1.65

Microsoft Corp 2.00% 08/08/2023 500,000 524,633 1.62

Amazon.com Inc 1.20% 03/06/2027 500,000 510,635 1.57

Pfizer Inc 0.80% 28/05/2025 500,000 505,894 1.56

China Life Insurance Co Ltd 4.00% 03/07/2075 500,000 503,389 1.55

AT&T Inc 1.65% 01/02/2028 500,000 502,478 1.55

BMW Finance NV 0.88% 16/08/2022 EMTN 350,000 470,618 1.45

Amgen Inc 1.25% 25/02/2022 400,000 455,002 1.40

Henkel AG & Co KGaA 0.88% 13/09/2022 EMTN 400,000 453,682 1.40

Merck Financial Services GmbH 0.38% 05/07/2027 EMTN 400,000 443,453 1.37



Ford Motor Credit Co LLC 3.10% 04/05/2023 400,000 404,198 1.25


RWE AG 2.75% 21/04/2075 350,000 388,192 1.20

Deutsche Bank AG 1.88% 28/02/2020 EMTN 300,000 386,205 1.19

ArcelorMittal SA 6.25% 25/02/2022 350,000 385,053 1.19

Centrica Plc 3.00% 10/04/2076 300,000 369,811 1.14

Deutsche Bahn Finance GMBH 0.95% / perpetual 300,000 369,759 1.14

Amgen Inc 2.20% 21/02/2027 400,000 369,109 1.14





124


Performance: 31/12/2019 – 28/08/2020

Defensive Equity -2.62%

Benchmark N/A

THE FUND WAS CLOSED AS OF 28TH AUGUST 2020

Market Review

1H20 experienced the fastest equity market crush in history. The S&P Index hit it’s all time high on February 19 as most leading

indicators in developed markets seemed to point out to stabilisation in manufacturing (declines decelerating) and labour

markets and consumption remained very resilient despite shocking news-flow about Covid-19 coming out of China. Over the

following 4 weeks, most of the main world indices slumped 30% or more, just as it gradually became clear that the world was

facing a global pandemic and the virus would not be contained to Asia this time around. The Chinese manufacturing base

bottomed at 30% capacity utilisation in February and severe disruptions to global logistics left virtually no sector fully immune.

Most of Continental Europe, beginning with Italy, copied developed Asia’s severe social separation policies to bring countries

into effective lockdowns from early March. Some US states followed on March 16 and the UK on March 24.

The impact of lockdowns on the global economy could not be overestimated. By June, the World Bank brought its estimates for

global 2020 GDP decline down to 5.2% (IMF were just marginally more optimistic at -4.9%), the deepest recession since the

World War II and affecting the largest number of countries since 1870. The leisure industry (in particular, tourism which

accounts for over 10% of global GDP) took the biggest hit as travel, dining out, attending fitness clubs etc. had been forbidden.

Discretionary retail came second most under pressure as store networks were partially or fully closed for most of 1Q20 in Asia

and most of 2Q20 everywhere else. As people stopped driving, the energy market also came under pressure, the OPEC cartel

broke down and the combined power of demand and supply shock sent the price of oil to $20/barrel, the lowest since 2002,

down from $60 at the beginning of the year. Real estate funds faced skyrocketing vacancy rates in retail and office assets.

Buybacks have been universally scrapped, dividends cut or cancelled, and a huge amount of bonds issued as the private sector

focused all attention on protecting liquidity on the balance sheets.

The sell-off was not indiscriminate and there were sectors that actually benefitted from the pandemic. The sudden shift to

working from home gave boost to both IT software and hardware sector (including cloud computing). Personal hygiene and

long-shelf-life foods producers recorded organic growth rates unseen for decades on pantry stocking and telecommunication

services became ‘basic necessities’. The health care sector came to the fore as it entered the race to bring the first/best vaccine

to the market.

There was no stability on the social and political front either. China-US relations have been gradually deteriorating with

China’s aggressive stance towards Hong Kong. Iran pulled back from the 2015 nuclear accord following assassination of Gen.

Soleimani. South-North Korea relations having been worsening. The UK government decided to pursue a hard Brexit scenario.

Despite the pandemic, the Black Lives Matter movement mobilised millions in demonstrations around the world. This,

combined with President Trump’s ignorant attitude towards the virus and the US unemployment rate peaking at the all-time-

high 14.5% in April, swung the odds for the autumn elections firmly in favour of the Democratic candidate Joe Biden.

Faced with an unprecedented crisis, the governments around the world responded with unprecedented counter measures

bringing about the biggest monetary and fiscal stimulus since the Great Depression. The US delivered two emergency interest

rate cuts (total 150bp to 0.25%), UK cut by 65bp to 0.1% and ECB went to -75bp. The EU and US central banks stood ready to

buy almost unlimited amounts of government and corporate bonds to provide liquidity to financial markets as and when

required. Overall world governments pledged $10tn (or >11% of global GDP) worth of rescue packages with measures ranging

from tax cuts and public investments all the way to direct subsidies to small and medium enterprises and furloughed employees

within 2 months of the outbreak.

These measures were deemed adequate by the equity markets which bottomed on 23 March and from then on staged an equally

unprecedented rally led by cyclical sectors as economies started gradual reopening. Consumer and business confidence was

further boosted by the decline in new cases globally, lower mortality rates (a combination of new available treatments, better

hospital care of both related and not related illnesses, mass testing and, possibly, warmer weather in the northern hemisphere)

and breakthroughs in terms of vaccine development and scalability. The equity market rally was accompanied by liquidity-



London & Capital Global Defensive Equity Fund

125

driven narrowing of credit spreads, a rally in junk and periphery and emerging markets sovereign bonds as well as the US

Dollar’s depreciation (with the latter especially supportive to the materials sector). By the end of June, global indices had

recovered most of the declines and Nasdaq broke out to a new all-time high.

In July, equity markets continued to rebound as expectations built of a return to normality being in sight with the hope of the

harshest impacts of the pandemic having past.

Performance Review

The Defensive Fund was down c.2.6% in the first seven months of the year. The use of market hedging allowed shelter against

the large drawdowns in markets in February and March.

The Benchmark was still under review when the Fund closed in July.

The Fund was closed as it was deemed sub-optimal in terms of size compared to expense and no longer necessary for London

and Capital clients given the recent launch of the Multi-Asset funds. Clients were migrated to other L&C UCITS funds.

Outlook

Not Applicable – the fund has been closed.


Date : January 2021



London & Capital Global Defensive Equity Fund (continued)

126

Note

L&CGDE*31 Dec 2020

£

L&CGDE31 Dec 2019

£


Investments in Transferable Securities 3 - 14,669,383

Investments in Financial Derivative Instruments 3 - 58,911

Cash at bank 5 76,838 1,811,268

Cash held as collateral 5 - 250

Dividends and interest receivable - 41,687

TOTAL ASSETS 76,838 16,581,499

LIABILITIESFinancial Liabilities at Fair Value through Profit or Loss

Investments in Financial Derivative Instruments 3 - 91,862

Bank Overdraft 5 7,862 -

Investment management fees payable 7 - 5,723



Transfer agency fees payable 7 - 1,817


Depositary and depositary oversight fees payable 7 - 2,822


Redemptions payable - 34,275

Legal fees payable 45,126 505



NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATINGSHARES - 16,431,319

*L&CGDE was closed by way of compulsory redemption on 28th August 2020





127

Note

L&CGDE*31 Dec 2020

£

L&CGDE31 Dec 2019




profit or loss 9 (577,161) 2,344,471



TOTAL INVESTMENT (LOSS)/INCOME (366,285) 2,872,991


Manager fees 7 12,416 19,960


Director fees 7 468 1,552


Audit fees 7 3,125 4,729






Operating (Loss)/Profit (559,268) 2,665,893

Finance Costs


(Loss)/Profit Before Tax (611,174) 2,409,436


(Decrease)/Increase in net assets attributable to holders of redeemable participatingshares from operations (635,420) 2,342,592







128

L&CGDE*31 Dec 2020

£

L&CGDE31 Dec 2019



operations (635,420) 2,342,592

Capital transactionsIssue of redeemable shares during the financial year 481,608 18,689,880


Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financialyear - 16,431,319




Statement of Changes in Net Assets attributable to Holders ofRedeemable Participating SharesLondon & Capital Global Defensive Equity Fund

129

L&CGDE*31 Dec 2020

£

L&CGDE31 Dec 2019

£Cash flows from operating activities(Decrease)/Increase in net assets attributable to holders of redeemableparticipating shares from operations (635,420) 2,342,592


redeemable participating shares from operations to net cash provided by operating

activities





Operating (loss)/profit before working capital changes (766,134) 2,153,018



Decrease in other receivables 250 397


Cash provided by operating activities 13,915,481 1,062,068

Interest received/(paid) 50,068 (6,640)


Taxation (24,246) (66,844)


Cash flows from financing activitiesProceeds from issue of redeemable participating shares 481,608 18,689,880



Net cash used in financing activities (15,882,080) (449,400)







Overdraft at the end of the financial year (7,862) -






130


£% of

Total PurchasesUnited Kingdom Gilt 3.75% 07/09/2020 1,000,000 1,017,800 16.81

Sanofi 5,500 423,933 7.00

Alphabet Inc 380 413,564 6.83

General Dynamics Corp 3,100 407,802 6.73

Johnson & Johnson 3,600 376,856 6.22

Diageo Plc 10,800 346,600 5.72

Starbucks Corp 6,300 336,828 5.56

Raytheon Technologies Corp 4,200 246,692 4.07

Lloyds Banking Group Plc 510,000 232,866 3.85

Otis Worldwide Corp 5,300 230,318 3.80

L'Oreal SA 1,030 213,786 3.53

Taiwan Semiconductor Manufacturing Co Ltd 5,000 212,768 3.51

Roche Holding AG 750 211,327 3.49

LVMH Moet Hennessy Louis Vuitton SE 630 206,214 3.41

Xtrackers JPX-Nikkei 400 UCITS ETF 20,000 204,202 3.37

Vanguard FTSE Emerging Markets UCITS ETF 3,500 155,600 2.57

PepsiCo Inc 1,400 147,557 2.44

Booking Holdings Inc 110 137,186 2.27

Amgen Inc 600 109,998 1.82

Supermarket Income Reit Plc 78,000 85,881 1.42

Hershey Co 700 78,908 1.30

Carrier Global Corp 4,200 71,141 1.17

Microsoft Corp 400 63,715 1.05


Koninklijke Philips NV 1,925 61,304 1.01




131


£% of

Total SalesUnited Kingdom Gilt 2.00% 22/07/2020 2,500,000 2,522,536 12.41


Microsoft Corp 5,200 788,834 3.88

PepsiCo Inc 5,920 622,330 3.06

Amgen Inc 3,000 553,124 2.72

WisdomTree Physical Gold - GBP Daily Hedged 51,000 545,050 2.68

Kellogg Co 9,500 501,883 2.47

Nestle SA 5,550 492,324 2.42


Brenntag AG 10,340 458,872 2.26

Alphabet Inc 380 452,820 2.23

Walt Disney Co 4,600 435,152 2.14

Sanofi 5,500 428,058 2.11


Unilever NV 9,910 422,084 2.08


Johnson & Johnson 3,600 417,997 2.06

Hershey Co 3,700 413,544 2.03

Reckitt Benckiser Group Plc 5,750 410,373 2.02

Starbucks Corp 6,300 382,755 1.88

Vinci SA 5,180 382,072 1.88

Rogers Communications Inc 11,600 381,575 1.88

Procter & Gamble Co 3,550 365,576 1.80


Imperial Brands Plc 18,450 359,180 1.77

RELX Plc 19,600 350,760 1.73

United Parcel Service Inc 2,700 325,747 1.60

Telenor ASA 25,100 319,135 1.57


EssilorLuxottica SA 2,950 294,686 1.45


Diageo Plc 10,800 286,824 1.41

Raytheon Technologies Corp 4,500 281,979 1.39

Danone SA 5,600 278,865 1.37

Supermarket Income Reit Plc 238,000 260,807 1.28

L'Oreal SA 1,030 256,436 1.26

Otis Worldwide Corp 5,300 250,224 1.23

Renewables Infrastructure Group Ltd 187,700 248,817 1.22

LVMH Moet Hennessy Louis Vuitton SE 630 220,153 1.08

Xtrackers JPX-Nikkei 400 UCITS ETF 20,000 217,637 1.07





132


Performance: 31/12/2019 – 31/12/2020

Global Growth Fund* 7.19%

*GBP A Share Class

Market Review

The first half of 2020 witnessed unprecedented market moves. Following the fastest bear market decline in history of the

S&P500 index we witnessed the strongest 50-day recovery in the history of the S&P 500.

After starting the year off on a relatively sound footing with the US equity market rallying hitting a peak at 3393, the narrative

became quite complacent with strong retail flows suggesting that “FOMO”, fear of missing out, had become a primary driver of

market strength. This narrative started to crack towards the end of January where the market previously impervious to news of

the corona virus outbreak in Wuhan China started taking notice, as the expansion grew in particularly in South Korea, Iran,

Japan and Italy. This occurred alongside a poor reading from the US Non-Manufacturing PMI which suggested a surprise fall

into contractionary territory for the historically buoyant services sector.

During March we saw an acceleration of panic selling across all asset classes magnified by technical factors with respect to

hedging flows and algorithmic (CTA/Risk Parity) trading. These factors led to a month of enormous volatility, with the US

equity market closing up or down greater than 4% on 60% of trading days.

US equity markets didn’t seem to notice the rapid pace of infections across Europe. However, once outbreaks moved to the US,

western equity markets struggled to price in this “left tail” exogenous event. Credit markets began to seize and central banks

globally and especially the Fed, moved aggressively throughout March to blitz markets with a flood of liquidity as several

critical lending channels froze. Meanwhile these troubles were compounded by an oil supply war as Saudi Arabia and Russia

decided to aggressively ramp output.

The virus response measures from governments and companies started slowly, but by the end of March the majority of the US

was under some type of “shelter in place” restriction and the world had unleashed an avalanche of stimulus measures unrivalled

in history. Very few companies were providing formal guidance at this point given the extremely fluid business environment.

However, the qualitative commentary from nearly everyone was cautious, with most anticipating COVID-19 headwinds

intensifying in Q2 vs. Q1.

Two big stimulus announcements arrived toward the end of May when the European Commission unveiled an €750bn recovery

initiative that would raise money on behalf of the EU while Japan pledged to nearly double its COVID fiscal response (to an

astounding ~40% of GDP).

In August the Federal Reserve adopted a monumental (but widely expected) policy shift, during his Jackson Hole address

Powell formally announced a Fed target of average inflation rate of 2% (vs. the prior discrete target) abandoning the link

between unemployment and inflation. The Fed will now have a tough job convincing markets it can engineer inflation above

2% when it struggled to maintain this target prior to the crisis.

November was dominated by the outcome of the US election and positive COVID vaccine developments from Pfizer, Moderna

and AstraZeneca/Oxford spurring the normalization trade reflected by the cyclicals and value groups outperforming growth

stocks by about 4%. Equities saw significant gains during the month of November with the US index up 10%-plus while the

equal-weighted US benchmark outperformed by about 300bps.

Meanwhile US President-elect Biden’s relationship with the market started on a positive footing as he appointed former Fed

chair Janet Yellen as Treasury Secretary, as well as favouring to put more focus on fiscal stimulus instead of tax hikes.



London & Capital Global Growth Fund

133

Performance Review

Fixed Income



delivered strong market returns. A larger-than-normal allocation of the Fund was held in very high-grade credit during the

second quarter of the year, primarily to reduce the volatility of the Fund during those testing times. The second half witnessed



were taken to switch these lower-yielding holdings into some lower rated credits to capture the rally in the market. This


sectors in the fixed income universe.

Tactical positioning was taken in exchange-traded derivatives, most notably during March and April to control the allocation’s


Equities

During the first half of the year, there was a bifurcation in equity performance between stocks that have been Covid

19 beneficiaries and more traditional Cyclicals. We used the selloff in March to opportunistically add some quality names to

our fund, such as Align Technology, L'Oreal, Johnson & Johnson and Starbucks which became some of the biggest positive

performers in the Fund over H1. Equity performance has also been buoyed by work from home beneficiaries such as Microsoft

and Adobe.

In H2 we introduced ISRG and Twilio and we increased exposure to Emerging market equities and more broadly, we moved

our equity allocation higher. Over H2, the strongest portfolio performers were: Align Technology, TSMC, Uber, Twilio, UPS

and Disney.

Gold

Gold has performed strongly over the first half of the year reflecting its status as a beneficiary of the liquidity phenomenon as

fiscal support from Western Governments led to historically large budget deficits and concerns about excessive debt growth. As

sovereign yields in the US began rising in Q3/4, gold as expected became more range bound.

Outlook









improving outlook for corporate and financial debt for 2021, areas that are important for the Fund’s fixed income positioning.

The equity reflation narrative is supported by three core pillars (earnings, vaccines, and stimulus), and all are still in place.

Q4 2020 earnings reports are exceeding forecasts by a wide margin, creating upside risk to the 2021 and 2022 S&P500 EPS

consensus. The COVID outlook is improving on two fronts: transmissions/hospitalizations and vaccines. The holiday-season

infection surge is abating and states are easing lockdown restrictions. Meanwhile, the vaccination pace is accelerating and

should receive a massive boost if JNJ achieves EU approval. With regards to stimulus, the fiscal and monetary taps are wide

open, Biden has proposed $1.9T in fresh COVID stimulus and this is just the first part of his two-part plan (the second initiative

could be worth another $2T) we are keenly observing passage of the bill in the Senate given the slim majority. So far Powell has

emphatically defended the current policy framework of ZIRP(zero interest rate policy) and $120B purchases per month in QE,



London & Capital Global Growth Fund (continued)

134

with current equity valuations supported as long as rates stay capped and any rise occurring gradually. As the recovery gains

traction a key risk to monitor into 2021 will be the market reaction to any sign that we are approaching policy reversal.


Date : January 2021



London & Capital Global Growth Fund (continued)

135

Note

L&CGG31 Dec 2020

£

L&CGG*31 Dec 2019

£




Cash at bank 5 3,043,665 2,476,941


Amount receivable on subscriptions 412,831 -

TOTAL ASSETS 46,832,433 44,604,832










Redemptions payable 2,984 -




*Formerly London & Capital Global Emerging Markets Equity Fund. Name change effective on 14th May 2019.





136

Note

L&CGG31 Dec 2020

£

L&CGG*31 Dec 2019




loss 9 2,020,272 1,932,062





Manager fees 7 34,004 29,714




Audit fees 7 5,621 5,402


Swap interest expenses 228 6

Bank interest expense 4,367 730




Finance Costs

Dividends to holders of redeemable participating shares 77,436 -










137

L&CGG31 Dec 2020

£

L&CGG*31 Dec 2019











138

L&CGG31 Dec 2020

£

L&CGG*31 Dec 2019

£Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 2,380,582 2,528,424



activities



Tax expense 104,591 71,758

Dividends to holders of redeemable participating shares 77,436 -





Cash provided by/(used in) operating activities 221,661 (35,585,229)



Taxation (104,591) (71,758)




Dividends to holders of redeemable participating shares (77,436) -

Net cash (used in)/provided by financing activities (664,038) 36,364,266













139


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



CANADA


541,187 469,590 1.01

FRANCE


SCA 5,900 EUR 565,146 554,247 1.19

Danone SA 8,300 EUR 509,983 399,399 0.85

EssilorLuxottica SA 4,900 EUR 500,858 559,430 1.20

L'Oreal SA 2,300 EUR 486,959 639,850 1.37

LVMH Moet Hennessy Louis Vuitton SE 1,500 EUR 493,833 685,956 1.47

Sanofi 6,400 EUR 493,304 450,841 0.96

Vinci SA 6,900 EUR 531,883 502,492 1.08

3,581,966 3,792,215 8.12

GERMANY

adidas AG 1,750 EUR 444,890 466,635 1.00

Brenntag AG 9,800 EUR 377,861 555,614 1.19

822,751 1,022,249 2.19

GREAT BRITAIN

Bunzl Plc 20,600 GBP 430,397 503,258 1.08


Diageo Plc 20,800 GBP 627,065 598,624 1.28


Unilever Plc 13,200 EUR 613,299 585,623 1.25

2,146,740 2,245,715 4.81

IRELAND


462,040 640,150 1.37

NETHERLANDS


272,746 331,799 0.71

NORWAY

Telenor ASA 38,000 NOK 617,481 473,712 1.02

617,481 473,712 1.02




140


Acquisitioncost

Fairvalue

% netassets



SPAIN

Aena SME SA 3,500 EUR 451,828 445,489 0.95

451,828 445,489 0.95

SWITZERLAND

Nestle SA 5,400 CHF 412,988 465,941 1.00


836,790 849,533 1.82

TAIWAN

Taiwan Semiconductor Manufacturing Co

Ltd 10,000 USD 535,056 797,688 1.71

535,056 797,688 1.71


Adobe Inc 1,620 USD 487,074 592,702 1.27

Align Technology Inc 650 USD 86,306 254,104 0.54

Alphabet Inc 740 USD 853,406 948,382 2.03

Amgen Inc 2,650 USD 422,376 445,728 0.96

Booking Holdings Inc 350 USD 481,942 570,280 1.22

Estee Lauder Cos Inc 2,800 USD 424,942 545,252 1.17

General Dynamics Corp 2,300 USD 307,299 250,401 0.54

Genuine Parts Co 3,000 USD 234,540 220,410 0.47

Hasbro Inc 3,000 USD 195,745 205,289 0.44

Hershey Co 4,150 USD 425,880 462,467 0.99

Intuitive Surgical Inc 830 USD 442,212 496,743 1.06

Johnson & Johnson 3,700 USD 391,039 425,989 0.91

JPMorgan Chase & Co 3.68% / Preference 200,000 USD 148,281 145,220 0.31

Kellogg Co 9,000 USD 403,690 409,722 0.88


Microsoft Corp 5,550 USD 682,448 903,055 1.94



PepsiCo Inc 6,300 USD 643,374 683,485 1.46


Ralph Lauren Corp 6,500 USD 370,161 493,295 1.06


Stanley Black & Decker Inc 1,800 USD 240,228 235,128 0.50


TJX Cos Inc 7,500 USD 315,621 374,685 0.80

Twilio Inc 1,225 USD 260,086 303,349 0.65

Uber Technologies Inc 13,000 USD 325,180 485,022 1.04

United Parcel Service Inc 4,500 USD 354,176 554,373 1.19

Verizon Communications Inc 9,600 USD 424,305 412,597 0.88




141


Acquisitioncost

Fairvalue

% netassets




Visa Inc 4,550 USD 679,440 728,060 1.56



13,477,547 15,431,304 33.06



IRELAND

iShares Physical Gold ETC / perpetual 77,000 USD 2,073,956 2,082,371 4.46

2,073,956 2,082,371 4.46

TOTAL LISTED SECURITIES : WARRANTS 2,073,956 2,082,371 4.46


BRAZIL


8.50% 05/01/2024 750,000 BRL 115,168 115,309 0.25

115,168 115,309 0.25

CAYMAN ISLANDS

Banco do Brasil SA/Cayman 9% / perpetual 200,000 USD 170,436 163,681 0.35

170,436 163,681 0.35

FRANCE

Altice France SA/France 2.13% 15/02/2025 250,000 EUR 209,233 216,333 0.46


Credit Agricole SA 7.50% / perpetual 200,000 GBP 228,760 240,058 0.51


perpetual 200,000 GBP 209,871 228,644 0.49

Engie SA 1.63% / perpetual 200,000 EUR 185,847 183,869 0.39



Societe Generale SA 8% / perpetual 300,000 USD 269,345 258,315 0.55

1,697,598 1,707,746 3.64

GERMANY

Bayer AG 2.38% 12/05/2079 300,000 EUR 257,987 273,386 0.59




142


Acquisitioncost

Fairvalue

% netassets



GERMANY (continued)

Deutsche Bank AG 7.13% / perpetual 200,000 GBP 190,603 209,136 0.45

RWE AG 6.63% 30/07/2075 150,000 USD 125,888 127,771 0.27

574,478 610,293 1.31

GREAT BRITAIN


BP Capital Markets PLC 4.25% / perpetual 200,000 GBP 201,200 215,566 0.46

FCE Bank Plc 2.73% 03/06/2022 EMTN 200,000 GBP 200,587 202,896 0.44

HSBC Holdings PLC 5.88% / perpetual 300,000 GBP 317,625 331,047 0.71


perpetual 200,000 GBP 199,640 222,904 0.48

Lloyds Banking Group PLC 5.13% /

perpetual 200,000 GBP 201,800 209,726 0.45


perpetual 200,000 GBP 201,100 215,440 0.46




perpetual 250,000 GBP 270,250 268,038 0.57


Standard Chartered PLC 7.75% / perpetual 200,000 USD 163,772 158,787 0.34


15/04/2027 200,000 GBP 200,632 210,174 0.45


2,957,092 3,070,468 6.58

IRELAND


perpetual 200,000 EUR 181,587 205,242 0.44

181,587 205,242 0.44

ITALY


/ perpetual 200,000 EUR 198,077 201,525 0.43


449,977 443,547 0.95

LUXEMBOURG


160,511 164,366 0.35




143


Acquisitioncost

Fairvalue

% netassets



MEXICO

Petroleos Mexicanos 8.25%

02/06/2022 EMTN 200,000 GBP 220,400 214,274 0.46

220,400 214,274 0.46

SPAIN


173,589 179,903 0.39

SWEDEN


perpetual 200,000 USD 159,817 152,993 0.33

159,817 152,993 0.33




04/05/2023 200,000 USD 149,454 148,240 0.32


Preference 250,000 USD 182,421 170,886 0.37

584,614 590,090 1.27


4) LISTED SECURITIES : INVESTMENT FUNDS

IRELAND

Emso Clover Plc - Emso Emerging Markets

Absolute Return Debt Fund 6,096 GBP 550,000 589,204 1.26

KL Event Driven UCITS Fund 5,180 GBP 555,347 591,821 1.27

1,105,347 1,181,025 2.53

TOTAL LISTED SECURITIES : INVESTMENT FUNDS 1,105,347 1,181,025 2.53


IRELAND

iShares MSCI Taiwan UCITS ETF 8,500 GBP 399,912 434,653 0.93

iShares MSCI UK Small Cap UCITS ETF 850 GBP 142,327 190,357 0.41




144


Acquisitioncost

Fairvalue

% netassets


5) LISTED SECURITIES : EXCHANGE TRADED FUNDS (continued)

IRELAND (continued)

Vanguard FTSE Emerging Markets UCITS

ETF 61,500 GBP 2,833,616 3,102,983 6.65

Xtrackers JPX-Nikkei 400 UCITS ETF 15,600 GBP 137,041 190,086 0.40

3,512,896 3,918,079 8.39

TOTAL LISTED SECURITIES : EXCHANGE TRADED FUNDS 3,512,896 3,918,079 8.39




MEXICO


157,032 154,176 0.33







perpetual 300,000 USD 223,442 229,227 0.49

223,442 229,227 0.49


2) OTHER TRANSFERABLE SECURITIES : INVESTMENT FUNDS

IRELAND

Dominice Funds Plc - Cassiopeia UCITS 2,769 GBP 280,000 281,828 0.60




145


Acquisitioncost

Fairvalue

% netassets

C) OTHER TRANSFERABLE SECURITIES (continued)

2) OTHER TRANSFERABLE SECURITIES : INVESTMENT FUNDS (continued)

IRELAND (continued)

Lyxor / Sandler US Equity Fund 5,653 USD 515,167 516,371 1.11

MontLake UCITS Platform ICAV - Crabel

Gemini UCITS Fund 2,799 GBP 280,000 273,924 0.59

1,075,167 1,072,123 2.30

TOTAL OTHER TRANSFERABLE SECURITIES : INVESTMENTFUNDS 1,075,167 1,072,123 2.30







07/01/2021 GBP 790,942 CHF (956,000) RBC IS Bank Luxembourg (348) 0.00

07/01/2021 GBP 463,658 NOK (5,480,000) RBC IS Bank Luxembourg (4,573) (0.01)

07/01/2021 GBP 459,497 CAD (796,000) RBC IS Bank Luxembourg 2,413 0.00


07/01/2021 GBP 8,082,990 EUR (9,000,000) RBC IS Bank Luxembourg 26,227 0.06




445,775 0.95










146



Cash at Bank 6.50


Total Assets 99.66




147


£% of

Total PurchasesiShares Physical Gold ETC / perpetual 97,000 2,612,646 9.89

Vanguard FTSE Emerging Markets UCITS ETF 23,000 1,117,525 4.24

WisdomTree Physical Gold - GBP Daily Hedged 100,000 934,544 3.53

Alphabet Inc 740 853,406 3.23

Diageo Plc 24,200 732,632 2.77

Mastercard Inc 3,000 710,145 2.69

Visa Inc 4,550 679,440 2.57


Sanofi 8,300 639,754 2.42

Johnson & Johnson 6,000 633,334 2.40

LVMH Moet Hennessy Louis Vuitton SE 1,750 576,138 2.18

Emso Clover Plc - Emso Emerging Markets Absolute Return Debt Fund 6,096 550,000 2.08


L'Oreal SA 2,450 517,742 1.96

Adobe Inc 1,620 487,074 1.84


Aena SME SA 3,500 451,828 1.71

adidas AG 1,750 444,890 1.68

Intuitive Surgical Inc 830 442,212 1.67

Starbucks Corp 8,400 434,315 1.64

Estee Lauder Cos Inc 2,800 424,942 1.61



iShares MSCI Taiwan UCITS ETF 8,500 399,912 1.51

Microsoft Corp 2,550 388,242 1.47

Ralph Lauren Corp 6,500 370,161 1.40

Persimmon Plc 15,000 360,521 1.36


Uber Technologies Inc 13,000 325,180 1.23

Skandinaviska Enskilda Banken AB 5.13% / perpetual 400,000 319,634 1.21

TJX Cos Inc 7,500 315,621 1.19

Dominice Funds Plc - Cassiopeia Ucits 2,769 280,000 1.06

MontLake UCITS Platform ICAV - Crabel Gemini UCITS Fund 2,799 280,000 1.06


Societe Generale SA 8% / perpetual 300,000 269,345 1.02


£% of

Total SalesWisdomTree Physical Gold - GBP Daily Hedged 310,000 2,925,834 10.71

Lyxor / Sandler US Equity Fund 7,626 760,023 2.78

IPM UCITS Umbrella ICAV - IPM Systematic Macro UCITS Fund 872 711,159 2.60

KL Event Driven UCITS Fund 6,013 638,439 2.34

Jeronimo Martins SGPS SA 45,200 623,171 2.28


Evonik Industries AG 29,700 590,640 2.16

iShares Physical Gold ETC / perpetual 20,000 558,294 2.04

Foresight Solar Fund Ltd 418,750 500,159 1.83

Compass Group Plc 34,600 442,167 1.62

BioPharma Credit Plc Fund 556,177 433,239 1.59





Total Capital International SA 1.75% 07/07/2025 EMTN 350,000 363,646 1.33




148

Security Name Quantity Proceeds£

% ofTotal Sales

VPC Specialty Lending Investments Plc Fund 629,303 343,824 1.26


Enel SpA 6.63% 15/09/2076 300,000 329,867 1.21

Petrobras Global Finance BV 4.38% 20/05/2023 400,000 327,201 1.20

Microsoft Corp 2,500 327,179 1.20

Microsoft Corp 2.00% 08/08/2023 400,000 315,316 1.15








Petrobras Global Finance BV 6.25% 14/12/2026 EMTN 300,000 299,354 1.10

Gresham House Energy Storage Fund Plc Fund 291,262 296,644 1.09

Hipgnosis Songs Fund Ltd Fund 293,880 293,732 1.07

CorEnergy Infrastructure Trust Inc 8,000 279,087 1.02

Kreditanstalt fuer Wiederaufbau 2.50% 15/02/2022 350,000 273,428 1.00





149


Performance: 31/12/2019 – 31/12/2020

Growth Fixed Income Fund* 6.81%


*USD X Share Class

Market Review










companies. Fiscal tools are also lessening the burden on companies and individuals. This stimuli across the four major

economies amounted to over 25% of GDP, with the promise of more to come. The aim was to ensure we get a quick and sharp

recovery as the lockdowns end.










would be comprise of interest rates being set lower for longer and the Fed would tolerate periods of inflation being in excess of

the official 2% target rate.








Performance Review




delivered strong market returns. A larger-than-normal allocation of the Fund was held in very high-grade credit during the

second quarter of the year, primarily to reduce the volatility of the Fund during those testing times. The second half witnessed





London & Capital Global Growth Fixed Income Fund

150

were taken to switch these lower-yielding holdings into some lower rated credits to capture the rally in the market. This


sectors in the fixed income universe.



Outlook









improving outlook for corporate and financial debt for 2021, areas that are important for the Fund’s positioning. As borrowing

costs continue to improve for companies this should be reflected in some capital uplift on top of the Fund’s income yield.


Date : January 2021



London & Capital Global Growth Fixed Income Fund (continued)

151

Note

L&CGGFI31 Dec 2020

$

L&CGGFI31 Dec 2019

$




Cash at bank 5 3,886,772 3,145,662



Other receivables 178 634

TOTAL ASSETS 53,050,263 52,465,024







Directors fees payable 7 129 -











152

Note

L&CGGFI31 Dec 2020

$

L&CGGFI31 Dec 2019



loss 9 517,731 5,053,732


Other income 3 24,466



Manager fees 7 38,608 34,972




Audit fees 7 9,616 14,166







Finance Costs


Profit Before Tax 998,817 5,998,436


Increase in net assets attributable to holders of redeemable participating shares fromoperations 930,908 5,982,086






153

L&CGGFI31 Dec 2020

$

L&CGGFI31 Dec 2019


Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 930,908 5,982,086








154

L&CGGFI31 Dec 2020

$

L&CGGFI31 Dec 2019

$Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 930,908 5,982,086


participating shares from operations to net cash provided by operating activities




Operating profit before working capital changes 222,016 4,769,919


Net decrease in financial assets and liabilities at fair value 636,860 5,198,095



Cash provided by operating activities 933,616 9,878,596


Taxation (67,909) (16,350)

















155


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



BELGIUM

Solvay SA 2.5% / perpetual 800,000 EUR 942,564 1,007,510 1.92

942,564 1,007,510 1.92

BRAZIL


8.50% 05/01/2024 7,500,000 BRL 1,583,619 1,576,221 3.01

1,583,619 1,576,221 3.01

CAYMAN ISLANDS

Banco do Brasil SA/Cayman 9% / perpetual 850,000 USD 951,150 950,912 1.81

Country Garden Holdings Co Ltd 5.13%

14/01/2027 1,100,000 USD 1,138,180 1,186,273 2.26

2,089,330 2,137,185 4.07

FRANCE

Altice France SA/France 2.13% 15/02/2025 1,250,000 EUR 1,389,816 1,478,584 2.82


Credit Agricole SA 7.88% / perpetual 800,000 USD 856,625 911,552 1.74


perpetual 800,000 GBP 1,110,834 1,250,180 2.39

Engie SA 1.63% / perpetual 800,000 EUR 902,064 1,005,357 1.92


SCOR SE 5.25% / perpetual 1,200,000 USD 1,270,680 1,273,296 2.43

Societe Generale SA 8% / perpetual 900,000 USD 1,006,650 1,059,309 2.02

TOTAL SE 3.37% EMTN / perpetual 1,000,000 EUR 1,264,913 1,378,696 2.63

9,282,108 9,991,540 19.07

GERMANY

Bayer AG 2.38% 12/05/2079 800,000 EUR 880,181 996,547 1.90

Deutsche Bank AG 7.13% / perpetual 1,000,000 GBP 1,385,370 1,429,392 2.73

RWE AG 6.63% 30/07/2075 800,000 USD 916,756 931,504 1.78

3,182,307 3,357,443 6.41

GREAT BRITAIN



BP Capital Markets PLC 4.38% / perpetual 750,000 USD 753,750 802,035 1.53

Centrica Plc 5.25% 10/04/2075 600,000 GBP 775,859 889,261 1.70

FCE Bank Plc 2.73% 03/06/2022 EMTN 400,000 GBP 519,154 554,697 1.06

HSBC Holdings PLC 6.25% / perpetual 600,000 USD 629,250 629,148 1.20


perpetual 900,000 GBP 1,119,879 1,371,144 2.62




156


Acquisitioncost

Fairvalue

% netassets





perpetual 200,000 GBP 258,395 286,685 0.55


perpetual 600,000 GBP 754,045 883,487 1.69

Natwest Group PLC 5.125% / perpetual 900,000 GBP 1,218,551 1,286,502 2.46



perpetual 1,000,000 USD 1,030,000 1,058,980 2.02


10/10/2045 500,000 GBP 742,099 799,809 1.53


Standard Chartered PLC 7.75% / perpetual 600,000 USD 612,588 651,162 1.24


15/04/2027 700,000 GBP 894,973 1,005,541 1.92

Vodafone Group Plc 4.88% 03/10/2078 800,000 GBP 1,067,712 1,198,356 2.29

12,990,462 14,318,028 27.34

IRELAND


perpetual 800,000 EUR 889,813 1,122,221 2.14

889,813 1,122,221 2.14

ITALY


/ perpetual 500,000 EUR 640,235 688,687 1.31

Enel SpA 6.63% 15/09/2076 100,000 GBP 144,093 142,289 0.27

UniCredit SpA 3.88% EMTN / perpetual 1,000,000 EUR 1,082,463 1,102,773 2.10

1,866,791 1,933,749 3.68

LUXEMBOURG

ArcelorMittal SA 4.55% 11/03/2026 950,000 USD 951,584 1,067,230 2.04

951,584 1,067,230 2.04

NETHERLANDS


/ perpetual 1,100,000 EUR 1,313,599 1,422,702 2.71

1,313,599 1,422,702 2.71

SPAIN


906,862 983,675 1.88




157


Acquisitioncost

Fairvalue

% netassets



SWEDEN

Nordea Bank Abp 5.25% EMTN / perpetual 500,000 USD 512,350 510,500 0.97


perpetual 1,000,000 USD 1,043,000 1,045,670 2.00

1,555,350 1,556,170 2.97


Amgen Inc 2.20% 21/02/2027 500,000 USD 513,950 534,545 1.02

AT&T Inc 2.88% / perpetual 1,000,000 EUR 1,092,819 1,234,648 2.36

Coca-Cola Co 1.45% 01/06/2027 500,000 USD 507,750 516,070 0.98


04/05/2023 600,000 USD 537,600 607,908 1.16


Preference 1,000,000 USD 935,937 934,370 1.78

Goldman Sachs Group Inc 5.00% /

Preference 1,000,000 USD 1,006,250 1,007,320 1.92

JPMorgan Chase & Co 3.68% / Preference 1,000,000 USD 910,000 992,540 1.89

5,504,306 5,827,401 11.11





MEXICO


887,291 895,693 1.71

TOTAL OTHER ORGANISED MARKET : BONDS 887,291 895,693 1.71





158


Acquisitioncost

Fairvalue

% netassets





perpetual 900,000 USD 838,781 940,023 1.79

838,781 940,023 1.79













(152,653) (0.29)










159


Investment in Financial Derivative Instrument (0.29)

Cash at Bank 7.33


Total Assets 98.78




160


$% of


Brazilian Government International Bond 8.50% 05/01/2024 7,500,000 1,583,619 4.81

Altice France SA/France 2.13% 15/02/2025 1,250,000 1,389,816 4.22

Deutsche Bank AG 7.13% / perpetual 1,000,000 1,348,143 4.10

Volkswagen International Finance NV 3.5% / perpetual 1,100,000 1,313,599 3.99

SCOR SE 5.25% / perpetual 1,200,000 1,270,680 3.86

Natwest Group PLC 5.125% / perpetual 900,000 1,218,551 3.70

Country Garden Holdings Co Ltd 5.13% 14/01/2027 1,100,000 1,138,180 3.46

Legal & General Group PLC 5.63% / perpetual 900,000 1,119,879 3.40

AT&T Inc 2.88% / perpetual 1,000,000 1,092,819 3.32

UniCredit SpA 3.88% EMTN / perpetual 1,000,000 1,082,463 3.29

Skandinaviska Enskilda Banken AB 5.13% / perpetual 1,000,000 1,043,000 3.17

Phoenix Group Holdings PLC 5.63% / perpetual 1,000,000 1,030,000 3.13

Coca-Cola Co 1.45% 01/06/2027 1,000,000 1,015,500 3.09

Societe Generale SA 8% / perpetual 900,000 1,006,650 3.06

Amazon.com Inc 1.20% 03/06/2027 1,000,000 1,003,330 3.05

Banco do Brasil SA/Cayman 9% / perpetual 850,000 951,150 2.89


JPMorgan Chase & Co 3.68% / Preference 1,000,000 910,000 2.77



Mexican Bonos 6.75% 09/03/2023 17,000,000 887,291 2.70

Centrica Plc 5.25% 10/04/2075 600,000 775,859 2.36






International Bank for Reconstruction & Development 0.38% 28/07/2025 600,000 598,962 1.82


Exxon Mobil Corp 2.28% 16/08/2026 500,000 521,800 1.59

Apple Inc 2.05% 11/09/2026 500,000 515,470 1.57

Amgen Inc 2.20% 21/02/2027 500,000 513,950 1.56


RWE AG 6.63% 30/07/2075 350,000 406,000 1.23


$% of


Petrobras Global Finance BV 4.38% 20/05/2023 1,300,000 1,412,501 4.10

Santander UK Group Holdings PLC 7.38% / perpetual 800,000 1,148,751 3.33

Petroleos Mexicanos 4.50% 23/01/2026 1,150,000 1,075,744 3.12

Banco Bilbao Vizcaya Argentaria SA 6.50% / perpetual 1,000,000 1,046,960 3.04

Amazon.com Inc 1.20% 03/06/2027 1,000,000 1,021,270 2.96

Svenska Handelsbanken AB 5.25% / perpetual 1,000,000 997,625 2.89


SoftBank Group Corp 6.00% / perpetual 1,000,000 947,833 2.75

Societe Generale SA 7.38% / perpetual 900,000 932,534 2.70



AT&T Inc 3.00% 30/06/2022 850,000 873,800 2.53

Banco do Brasil SA 4.75% 20/03/2024 EMTN 800,000 866,301 2.51

EnBW Energie Baden-Wuerttemberg AG 1.13% 05/11/2079 700,000 818,704 2.37

Nationwide Building Society 4.13% 18/10/2032 EMTN 800,000 814,941 2.36




161

Security Name Quantity Proceeds$

% ofTotal Sales


Kreditanstalt fuer Wiederaufbau 2.50% 15/02/2022 750,000 776,071 2.25

Amazon.com Inc 2.80% 22/08/2024 700,000 765,108 2.22



Johnson & Johnson 2.45% 01/03/2026 700,000 725,412 2.10

Alphabet Inc 2.00% 15/08/2026 650,000 702,210 2.04



International Bank for Reconstruction & Development 0.38% 28/07/2025 600,000 597,590 1.73

CVS Health Corp 2.13% 01/06/2021 550,000 554,799 1.61

Exxon Mobil Corp 2.28% 16/08/2026 500,000 540,155 1.57

Apple Inc 2.05% 11/09/2026 500,000 536,262 1.56

PepsiCo Inc 2.38% 06/10/2026 500,000 533,771 1.55



Coca-Cola Co 1.45% 01/06/2027 500,000 519,803 1.51


Henkel AG & Co KGaA 0.88% 13/09/2022 EMTN 400,000 517,111 1.50

Svensk Exportkredit AB 1.63% 12/09/2021 500,000 503,871 1.46




Enel SpA 6.63% 15/09/2076 300,000 433,545 1.26




Continental Resources Inc 3.80% 01/06/2024 400,000 372,422 1.08






162


Performance: 31/12/2019 – 31/12/2020

Global Star Equity Fund 6.42%

Benchmark 14.42%

Market Review

2020 proved to be a very abnormal year for equities with the fastest and deepest stock market crash in history being followed by

the sharpest recovery in history. This, of course, was due to the unusually impact of a Global Pandemic on stock markets.


became quite complacent with strong retail flows suggesting that “FOMO” fear of missing out had become a primary driver of

market strength. This narrative started to crack on the 21st where the market previously immune to news of the outbreak in

Wuhan China started taking notice, as the expansion of non-China corona virus cases grew in particular within South Korea,

Iran, Japan and Italy. This occurred alongside a poor reading from the US Non-Manufacturing PMI which suggested a surprise

fall into contractionary territory for the historically buoyant services sector.




The coronavirus spread throughout Asia in Jan and Feb, but US equity markets didn’t seem to notice. However, once outbreaks

occurred in Europe (starting in Italy) and moved to the US, western equity markets struggled to price in this left tail, exogenous

event. Credit markets began to seize and central banks globally and especially the Fed, moved aggressively throughout March

to blitz markets with a flood of liquidity as several critical lending channels froze. Meanwhile these troubles were compounded

by an oil supply war as Saudi Arabia and Russia decided to aggressively ramp output.






Two big stimulus announcements arrived toward the end of May when the European Commission unveiled an EU750B

recovery initiative that would raise money on behalf of the EU while Japan pledged to nearly double its COVID fiscal response

(to an astounding ~40% of GDP).




2% when it struggled to maintain 2%.


and AstraZeneca/Oxford spurring the normalization trade reflected by the cyclicals and value groups outperforming growth by

about 4%. Equities saw significant gains during the month of November with the US index up 10%+ while the equal-weighted

US benchmark outperformed by about 300bps.

Meanwhile Biden’s relationship with the market is started on a positive footing as he appointed Yellen as Treasury Sec while

blocking Sanders and Warren from his cabinet while favouring to put more focus on fiscal stimulus instead of tax hikes.

December saw a continuation of the reflation narrative supported by three pillars 1) Stimulus– Congress decided to pursue a

piecemeal stimulus strategy, casting aside controversial topics and focusing instead on items for which there is a broad

consensus (the result is a bill worth ~$900B). Meanwhile, the Fed committed to a $120B/month QE pace (at least) until

“substantial” progress was achieved toward its inflation/employment goal. Meanwhile Powell went as far as defending the

equity valuation backdrop using spread measures by noting "Admittedly P/Es are high but that’s maybe not as relevant in a



London & Capital Global Star Equity Fund

163

world where we think the 10-year Treasury is going to be lower than it’s been historically from a return perspective,” 2)

Corporate earnings – For the most part corporate America continued to perform well bolstering the consensus SPX EPS

forecasts of circa $170 for ’21 and $195 for ’22 3) Vaccine progress – Pfizer and Moderna vaccines are being rolled out in the

US while JNJ (Single dose vaccine) could secure approval soon pending phase 3 data expected in January. The final few days

of December were anything but quiet as a Brexit agreement and surprise bank buybacks were announced while a mutant found

in the UK COVID strain which is more transmissible created a temporary headwind for risk assets. The COVID tug-of-war

between the grim near-term backdrop (surging cases, more mitigation measures) and the bright medium/long-term outlook

because of the vaccination process continues.

Performance Review

Global STAR has continued to participate in the market advancement despite the defensive bias. The more economically

sensitive stocks outperformed but the defensive high-quality names declined.

Global STAR is concerned with longer term absolute returns and relative returns are not a focus. Therefore, we have zero focus

on an index or a tracking error and relative positioning. It is an equally weighted fund and has 35 holdings, which are in

Developed Europe and North American, so it bears little resemblance to the MSCI World.

However, what is important is enhanced resilience in times of market stress. We have delivered this consistency since the

strategy started and for the Fund if one looks back just to the March factsheet this is evident.

Since London & Capital started the strategy in 2010, the start of the current market cycle, the strategy has returned a better

return than the MSCI World. The Fund has only being going a shorter time, and despite fluctuations, in an upward market

environment with equity indices currently at all-time highs. However, even since then on a risk adjusted Sharpe Ratio Global

STAR shows a much better risk adjusted performance.

The strategy is all about longer term equity wealth creation.

Outlook

Moving into 2021, we expect stock market returns to be around the longer-term inflation adjusted historic average which is the

prevailing return after a period of strong recovery. However, there is the potential to see higher levels of volatility than an

average year as there is still a high level of uncertainty in terms of fiscal policy.

This is particularly important as the last decade for stock markets has been dominated by monetary policy as the central banks

actions have compressed yields significantly through low, zero or even negative interest rate policies and substantial amounts

of quantitative easing flooding markets. This has resulted in equity prices inflating through multiple expansion. A lot of this is

due to the cost of capital being suppressed which means bond yields have become very low and this boosts the multiple applied

to a unit profit or a unit of cash flow for stocks.

However, the impact central banks can now have on stock markets is more limited given that yields are likely to remain very

low and other monetary policy measures are likely to be less effective in boosting share prices than they have been in the last

10 years due to the law of diminishing returns and this is already evident from the experiences of Japan and Europe.

Essentially, this means that fiscal policy must take up the slack and fiscal policy for equities equates to a boost in earnings or

profits rather than multiple expansion. Despite the rise in equity markets over the last five years corporate profits have been

fairly stationary and the next leg, if stock markets are to progress from here, will need to be driven by innovative fiscal policy

as the global growth backdrop looks severely constrained due to much greater maturity of emerging markets, demographic

challenges and high levels of indebtedness.



London & Capital Global Star Equity Fund (continued)

164

Ultimately, this means that fiscal policy will be the driver of equity markets for the next decade and investors should expect

lower returns than the previous decade alongside the potential for higher volatility as central banks are no longer likely to be as

effective in suppressing volatility.

Given the historically high valuations, the wave of money creation, high debt levels, demographic and environmental

challenges etc., to name just a few of the longer-term issues, the focus will be very selective on stocks that have compounding

visible growth at a reasonable price and we aim to avoid the vulnerable sections of the market that could struggle due to the risk

of extended expectations, positioning and ongoing rotation.


Date : January 2021



London & Capital Global Star Equity Fund (continued)

165

Note

L&CGSE31 Dec 2020

$

L&CGSE31 Dec 2019

$




Cash at bank 5 19,511,753 8,340,504

Cash held as collateral 5 40,000 590,000



Other receivables - 752

TOTAL ASSETS 206,518,503 159,009,065


Investments in Financial Derivative Instruments 3 1,578,195 232,571










TOTAL LIABILITIES (excluding net assets attributable to holders of redeemableparticipating shares) 1,845,615 365,020






166

Note

L&CGSE31 Dec 2020

$

L&CGSE31 Dec 2019



loss 9 9,869,022 36,473,427


Other income 13,928 -



Manager fees 7 77,222 54,921




Audit fees 7 9,616 14,437






Finance Costs










167

L&CGSE31 Dec 2020

$

L&CGSE31 Dec 2019










168

L&CGSE31 Dec 2020

$

L&CGSE31 Dec 2019



participating shares from operations to net cash (used in)/provided by operating

activities

Dividend income (3,751,938) (4,111,127)

Tax expense 696,637 674,885




Net (increase)/decrease in financial assets and liabilities at fair value (34,629,824) 18,099,779

Decrease in other receivables 550,752 569,248


Cash (used in)/provided by operating activities (24,868,707) 54,415,875


Taxation (696,637) (674,885)

Net cash (used in)/provided by operating activities (21,828,227) 58,122,646




Net cash provided by/(used in) financing activities 32,999,476 (52,256,586)

Net increase in cash 11,171,249 5,866,060











169


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



CANADA

Rogers Communications Inc 112,000 CAD 5,125,838 5,209,668 2.55

5,125,838 5,209,668 2.55

FRANCE


SCA 44,000 EUR 5,037,653 5,650,109 2.76

Danone SA 69,000 EUR 5,058,508 4,538,685 2.22

EssilorLuxottica SA 36,000 EUR 4,685,741 5,618,297 2.74

L'Oreal SA 13,000 EUR 3,302,446 4,943,632 2.41

LVMH Moet Hennessy Louis Vuitton SE 9,000 EUR 3,754,860 5,626,005 2.75

Sanofi 49,500 EUR 4,979,051 4,766,523 2.33

Vinci SA 48,500 EUR 4,689,520 4,828,079 2.36

31,507,779 35,971,330 17.57

GERMANY

Brenntag AG 71,000 EUR 3,890,675 5,502,476 2.69

3,890,675 5,502,476 2.69

GREAT BRITAIN

Bunzl Plc 157,000 GBP 4,368,671 5,242,951 2.56

Diageo Plc 138,000 GBP 5,413,755 5,429,033 2.65

Unilever Plc 83,000 EUR 4,789,915 5,033,556 2.46

14,572,341 15,705,540 7.67

IRELAND

Accenture Plc 20,000 USD 2,652,691 5,224,200 2.55

2,652,691 5,224,200 2.55

NETHERLANDS

Koninklijke Philips NV 97,000 EUR 4,012,023 5,196,001 2.54

4,012,023 5,196,001 2.54

NORWAY

Telenor ASA 316,000 NOK 6,131,444 5,384,809 2.63

6,131,444 5,384,809 2.63

SWITZERLAND

Nestle SA 43,000 CHF 3,766,570 5,071,759 2.48

Roche Holding AG 15,000 CHF 5,248,987 5,243,510 2.56

9,015,557 10,315,269 5.04




170


Acquisitioncost

Fairvalue

% netassets




Amgen Inc 23,000 USD 4,650,146 5,288,160 2.58

General Dynamics Corp 36,000 USD 6,126,594 5,357,520 2.62

Genuine Parts Co 53,000 USD 5,042,572 5,322,790 2.60

Hershey Co 35,000 USD 4,006,873 5,331,550 2.60

Johnson & Johnson 35,000 USD 4,617,903 5,508,300 2.69

Kellogg Co 82,000 USD 5,425,109 5,102,860 2.49

Microsoft Corp 25,000 USD 3,519,676 5,560,500 2.72

Omnicom Group Inc 85,000 USD 6,118,597 5,301,450 2.59

Otis Worldwide Corp 77,000 USD 4,208,647 5,201,350 2.54

PepsiCo Inc 33,000 USD 3,695,443 4,893,900 2.39

Procter & Gamble Co 34,000 USD 3,147,191 4,730,760 2.31

Raytheon Technologies Corp 78,000 USD 5,254,951 5,577,780 2.73

Starbucks Corp 53,000 USD 3,404,461 5,669,940 2.77

TJX Cos Inc 85,000 USD 4,648,868 5,804,650 2.84

United Parcel Service Inc 31,000 USD 3,570,729 5,220,400 2.55

Verizon Communications Inc 85,000 USD 5,007,273 4,993,750 2.44

Walt Disney Co 35,000 USD 3,872,092 6,341,300 3.10

WEC Energy Group Inc 52,000 USD 4,035,307 4,785,560 2.34

80,352,432 95,992,520 46.90






171

B) DERIVATIVE INSTRUMENTS





07/01/2021 USD 4,624,976 NOK (41,000,000) RBC IS Bank Luxembourg (163,776) (0.08)

07/01/2021 USD 8,714,645 CHF (7,900,000) RBC IS Bank Luxembourg (223,835) (0.11)

07/01/2021 USD 4,695,233 CAD (6,100,000) RBC IS Bank Luxembourg (92,959) (0.05)



29/01/2021 EUR 7,737,833 USD (9,482,544) RBC IS Bank Luxembourg (9,815) 0.00


29/01/2021 GBP 60,874,547 USD (82,173,150) RBC IS Bank Luxembourg 1,044,636 0.51

(173,078) (0.08)




OTHER ASSETS 20,611,573 10.07





Cash at Bank 9.47


Total Assets 99.11




172


$% of

Total PurchasesGeneral Dynamics Corp 38,873 6,635,194 8.40

Diageo Plc 157,178 6,184,232 7.83

Sanofi 59,872 6,031,580 7.64

Roche Holding AG 15,000 5,248,987 6.65

Genuine Parts Co 53,000 5,042,572 6.39

LVMH Moet Hennessy Louis Vuitton SE 11,250 4,693,576 5.95

TJX Cos Inc 85,000 4,648,868 5.89

Johnson & Johnson 35,000 4,617,903 5.85

Otis Worldwide Corp 77,000 4,208,647 5.33

L'Oreal SA 14,358 3,647,425 4.62

Starbucks Corp 55,501 3,565,113 4.52

Raytheon Technologies Corp 38,324 2,343,357 2.97

Kellogg Co 24,878 1,592,055 2.02

United Parcel Service Inc 12,943 1,582,857 2.00

Telenor ASA 98,842 1,578,526 2.00

Verizon Communications Inc 26,592 1,551,681 1.97

Amgen Inc 6,902 1,522,242 1.93

Rogers Communications Inc 33,516 1,493,956 1.89

WEC Energy Group Inc 12,599 1,170,968 1.48

Omnicom Group Inc 19,390 1,114,167 1.41

Hershey Co 7,463 1,043,031 1.32

Nestle SA 8,964 994,462 1.26

Microsoft Corp 4,800 992,949 1.26




173


$% of

Total SalesImperial Brands Plc 212,156 5,374,843 10.70

Jeronimo Martins SGPS SA 283,725 4,856,669 9.66

Evonik Industries AG 177,784 4,505,052 8.96

Compass Group Plc 243,881 3,909,070 7.77

United Parcel Service Inc 25,787 3,342,185 6.65

Microsoft Corp 15,612 2,715,573 5.40

WEC Energy Group Inc 21,423 1,929,282 3.84

Procter & Gamble Co 15,003 1,808,433 3.60

Brenntag AG 30,600 1,746,971 3.47

Verizon Communications Inc 31,148 1,709,294 3.40

Accenture Plc 8,584 1,671,183 3.32

Nestle SA 15,871 1,637,342 3.26

Bunzl Plc 54,972 1,557,620 3.10

PepsiCo Inc 11,847 1,487,536 2.96

Amgen Inc 6,902 1,441,266 2.87

Koninklijke Philips NV 27,781 1,112,178 2.21

Kellogg Co 17,017 1,081,014 2.15

Hershey Co 7,930 1,031,956 2.05


Rogers Communications Inc 22,444 916,111 1.82

Sanofi 10,372 897,077 1.78

Unilever NV 17,698 892,398 1.77

Diageo Plc 19,178 587,946 1.17

Telenor ASA 38,724 572,808 1.14

Carrier Global Corp 39,676 554,174 1.10





174


Performance: 31/12/2019 – 31/12/2020

Global Balanced Fund* 5.33%

*GBP A Share Class

Market Review

The first half of 2020 witnessed unprecedented market moves. Following the fastest bear market decline in history of the

S&P500 index we witnessed the strongest 50-day recovery in the history of the S&P 500.


became quite complacent with strong retail flows suggesting that “FOMO” fear of missing out had become a primary driver of

market strength. This narrative started to crack towards the end of January where the market previously impervious to news of

the corona virus outbreak in Wuhan China started taking notice, as the expansion grew in particularly in South Korea, Iran,

Japan and Italy. This occurred alongside a poor reading from the US Non-Manufacturing PMI which suggested a surprise fall

into contractionary territory for the historically buoyant services sector.




US equity markets didn’t seem to notice the rapid pace of infections across Europe. However, once outbreaks moved to the US,

western equity markets struggled to price in this “left tail” exogenous event. Credit markets began to seize and central banks

globally and especially the Fed, moved aggressively throughout March to blitz markets with a flood of liquidity as several

critical lending channels froze. Meanwhile these troubles were compounded by an oil supply war as Saudi Arabia and Russia

decided to aggressively ramp output.






Two big stimulus announcements arrived toward the end of May when the European Commission unveiled an €750bn recovery

initiative that would raise money on behalf of the EU while Japan pledged to nearly double its COVID fiscal response (to an

astounding ~40% of GDP).




2% when it struggled to maintain this target prior to the crisis.


and AstraZeneca/Oxford spurring the normalization trade reflected by the cyclicals and value groups outperforming growth

stocks by about 4%. Equities saw significant gains during the month of November with the US index up 10%-plus while the

equal-weighted US benchmark outperformed by about 300bps.

Meanwhile US President-elect Biden’s relationship with the market started on a positive footing as he appointed former Fed

chair Janet Yellen as Treasury Secretary, as well as favouring to put more focus on fiscal stimulus instead of tax hikes.

Performance Review

The GBP X-share class was up 5.33% over the reporting period.



London & Capital Global Balanced Fund

175

Fixed Income



delivered strong market returns. Despite a large portion of the Fund being allocated to very high-grade credit, the first half of the

year recorded a broadly flat return because all forms of credit saw valuations undermined. The second half witnessed record

amounts of corporate debt issued, which was met by very strong investor demand; this took credit spreads sharply narrower,

resulting in capital prices moving higher. These moves benefited the asset allocation of the Fund, and opportunities were taken

to switch some lower-yielding holdings into some lower rated credits to capture the rally in the market. This involved investing

in some subordinated corporate and financial debt, both of which were among the strongest performing sectors in the fixed

income universe, while maintaining the Fund’s average rating in investment grade territory.



Equities

During the first half of the year, there was a bifurcation in equity performance between stocks that have been Covid

19 beneficiaries and more traditional Cyclicals. We used the selloff in March to opportunistically add some quality names to

our fund, such as Align Technology, L'Oreal, Johnson & Johnson and Starbucks which became some of the biggest positive

performers in the fund over H1. Equity performance has also been buoyed by work from home beneficiaries such as Microsoft

and Adobe.

In H2 we introduced ISRG and Twilio and we increased exposure to Emerging market equities and more broadly, we moved

our equity allocation higher. Over H2, the strongest portfolio performers were: Align Technology, TSMC, Uber, Twilio, UPS

and Disney.

Gold

Gold has performed strongly over the first half of the year reflecting its status as a beneficiary of the liquidity phenomenon as

fiscal support from Western Governments led to historically large budget deficits and concerns about excessive debt growth. As

sovereign yields in the US began rising in Q3/4, gold as expected became more range bound.

Outlook









improving outlook for corporate and financial debt for 2021, areas that are important for the Fund’s fixed income positioning.



London & Capital Global Balanced Fund (continued)

176

The equity reflation narrative is supported by three core pillars (earnings, vaccines, and stimulus), and all are still in place.

Q4 2020 earnings reports are exceeding forecasts by a wide margin, creating upside risk to the 2021 and 2022 S&P500 EPS

consensus. The COVID outlook is improving on two fronts: transmissions/hospitalizations and vaccines. The holiday-season

infection surge is abating and states are easing lockdown restrictions. Meanwhile, the vaccination pace is accelerating and

should receive a massive boost if JNJ achieves EU approval. With regards to stimulus, the fiscal and monetary taps are wide

open, Biden has proposed $1.9T in fresh COVID stimulus and this is just the first part of his two-part plan (the second initiative

could be worth another $2T) we are keenly observing passage of the bill in the Senate given the slim majority. So far Powell has

emphatically defended the current policy framework of ZIRP (zero interest rate policy) and $120B purchases per month in QE,

with current equity valuations supported as long as rates stay capped and any rise occurring gradually. As the recovery gains

traction a key risk to monitor into 2021 will be the market reaction to any sign that we are approaching policy reversal.


Date : January 2021



London & Capital Global Balanced Fund (continued)

177

Note

L&CGB31 Dec 2020

£

L&CGB*31 Dec 2019

£




Cash at bank 5 3,605,308 3,620,827



TOTAL ASSETS 59,427,492 57,171,393







Directors fees payable 7 12 -



Redemptions payable 3,023 -




*Formerly London & Capital UK Star Equity Fund. Name change effective on 21st June 2019.





178

Note

L&CGB31 Dec 2020

£

L&CGB*31 Dec 2019


Bond interest income 1,155,273 859,376


loss 9 1,247,621 1,174,446


Other income 674 15,012



Manager fees 7 36,614 25,487




Audit fees 7 7,494 2,101


Swap interest expenses 521 -





Finance Costs











179

L&CGB31 Dec 2020

£

L&CGB*31 Dec 2019











180

L&CGB31 Dec 2020

£

L&CGB*31 Dec 2019

£Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 1,976,290 1,942,592



Bond interest income (1,155,273) (859,376)


Tax expense 108,756 37,837


Operating profit before working capital changes 575,074 809,540





Interest received 1,193,366 539,536


Taxation (108,756) (37,837)

Net cash provided by/(used in) operating activities 309,922 (46,328,739)




Net cash (used in)/provided by financing activities (325,441) 48,855,475

Net (decrease)/increase in cash (15,519) 2,526,736












181


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



CANADA


333,499 279,031 0.47

FRANCE


SCA 3,000 EUR 295,952 281,821 0.48

Danone SA 3,850 EUR 255,865 185,263 0.31

EssilorLuxottica SA 3,300 EUR 343,442 376,759 0.64

L'Oreal SA 1,500 EUR 319,688 417,293 0.70

LVMH Moet Hennessy Louis Vuitton SE 1,150 EUR 401,665 525,900 0.89

Sanofi 5,600 EUR 432,166 394,486 0.67

Vinci SA 4,250 EUR 348,743 309,506 0.52

2,397,521 2,491,028 4.21

GERMANY

adidas AG 1,500 EUR 387,444 399,973 0.68

Brenntag AG 6,800 EUR 262,813 385,528 0.65

650,257 785,501 1.33

GREAT BRITAIN

Bunzl Plc 13,900 GBP 290,956 339,577 0.57


Diageo Plc 18,500 GBP 554,265 532,430 0.90


Unilever Plc 10,350 EUR 495,317 459,182 0.78

1,815,955 1,850,299 3.13

IRELAND


319,666 415,620 0.70

NETHERLANDS


313,621 359,817 0.61

NORWAY

Telenor ASA 20,980 NOK 335,749 261,539 0.44

335,749 261,539 0.44




182


Acquisitioncost

Fairvalue

% netassets



SPAIN

Aena SME SA 2,700 EUR 314,733 343,663 0.58

314,733 343,663 0.58

SWITZERLAND

Nestle SA 4,300 CHF 351,089 371,028 0.63


810,338 792,979 1.34

TAIWAN

Taiwan Semiconductor Manufacturing Co

Ltd 6,700 USD 344,756 534,451 0.90

344,756 534,451 0.90


Adobe Inc 1,250 USD 367,738 457,332 0.77

Align Technology Inc 1,150 USD 213,707 449,568 0.76

Alphabet Inc 560 USD 667,717 717,695 1.21

Amgen Inc 1,900 USD 305,962 319,579 0.54

Booking Holdings Inc 225 USD 284,036 366,609 0.62

Estee Lauder Cos Inc 1,800 USD 268,164 350,519 0.59

General Dynamics Corp 3,025 USD 382,876 329,332 0.56

Genuine Parts Co 3,500 USD 271,051 257,145 0.43

Hasbro Inc 4,500 USD 300,109 307,934 0.52

Hershey Co 3,200 USD 347,076 356,601 0.60

Intuitive Surgical Inc 700 USD 402,332 418,940 0.71

Johnson & Johnson 3,100 USD 319,518 356,910 0.60

Kellogg Co 6,600 USD 289,999 300,463 0.51


Microsoft Corp 3,800 USD 456,343 618,308 1.04



PepsiCo Inc 3,150 USD 330,570 341,742 0.58


Ralph Lauren Corp 3,200 USD 188,718 242,853 0.41


Stanley Black & Decker Inc 2,000 USD 271,645 261,253 0.44


TJX Cos Inc 2,400 USD 109,477 119,899 0.20

Twilio Inc 1,000 USD 237,664 247,632 0.42

Uber Technologies Inc 5,000 USD 133,215 186,547 0.32

United Parcel Service Inc 2,650 USD 214,520 326,464 0.55

Verizon Communications Inc 8,000 USD 367,150 343,831 0.58

Visa Inc 2,800 USD 408,985 448,037 0.76




183


Acquisitioncost

Fairvalue

% netassets






9,752,456 11,012,348 18.60



IRELAND

iShares Physical Gold ETC / perpetual 144,000 USD 3,879,146 3,894,305 6.58

3,879,146 3,894,305 6.58

TOTAL LISTED SECURITIES : WARRANTS 3,879,146 3,894,305 6.58


AUSTRALIA

Cooperatieve Rabobank UA 3.25% /

perpetual 600,000 EUR 549,011 543,598 0.92

549,011 543,598 0.92

CAYMAN ISLANDS

Baidu Inc 3.88% 29/09/2023 400,000 USD 326,010 314,788 0.53

326,010 314,788 0.53

FRANCE


Credit Agricole SA 7.50% / perpetual 600,000 GBP 697,260 720,174 1.22


perpetual 500,000 GBP 544,122 571,610 0.97

Engie SA 1.63% / perpetual 700,000 EUR 648,368 643,540 1.09



Societe Generale SA 8% / perpetual 550,000 USD 493,799 473,577 0.80

Suez SA 1.63% / perpetual 800,000 EUR 718,320 714,794 1.21

TOTAL SE 3.37% EMTN / perpetual 800,000 EUR 811,450 806,874 1.36

5,467,783 5,454,636 9.22

GERMANY

Bayer AG 2.38% 12/05/2079 800,000 EUR 699,688 729,030 1.23

Deutsche Bank AG 7.13% / perpetual 500,000 GBP 474,946 522,840 0.88




184


Acquisitioncost

Fairvalue

% netassets



GERMANY (continued)


1.13% 05/11/2079 500,000 EUR 455,817 450,183 0.76

Merck KGaA 1.63% 09/09/2080 500,000 EUR 445,359 458,893 0.78

RWE AG 6.63% 30/07/2075 600,000 USD 518,895 511,085 0.86

2,594,705 2,672,031 4.51

GREAT BRITAIN



BP Capital Markets PLC 4.25% / perpetual 500,000 GBP 503,000 538,915 0.91


18/08/2080 800,000 EUR 682,154 705,106 1.19


HSBC Holdings PLC 5.88% / perpetual 600,000 GBP 635,250 662,094 1.12


perpetual 600,000 GBP 603,150 629,178 1.06


perpetual 300,000 GBP 301,886 323,160 0.55




perpetual 400,000 GBP 432,400 428,860 0.72


10/10/2045 600,000 GBP 683,700 702,126 1.19



15/04/2027 400,000 GBP 420,042 420,348 0.71


7,348,920 7,531,407 12.72

INDIA

Reliance Industries Ltd 4.13% 28/01/2025 250,000 USD 204,591 202,954 0.34

204,591 202,954 0.34

IRELAND


perpetual 400,000 EUR 363,174 410,483 0.69

GE Capital UK Funding Unlimited Co

4.13% 13/09/2023 EMTN 100,000 GBP 108,159 109,357 0.18

471,333 519,840 0.87




185


Acquisitioncost

Fairvalue

% netassets



ITALY


/ perpetual 400,000 EUR 396,154 403,050 0.68


728,614 725,746 1.22

LUXEMBOURG


332,505 328,732 0.56

MEXICO


1.35% 18/09/2027 700,000 EUR 632,524 647,857 1.09

632,524 647,857 1.09

NETHERLANDS

Daimler International Finance BV 1.63%

11/11/2024 EMTN 500,000 GBP 498,965 518,940 0.88


/ perpetual 500,000 EUR 458,321 473,085 0.80

957,286 992,025 1.68

SPAIN

Banco Bilbao Vizcaya Argentaria SA 6.50%

/ perpetual 400,000 USD 326,020 313,340 0.53


673,197 673,147 1.14

SWEDEN


perpetual 600,000 USD 479,163 458,979 0.78

479,163 458,979 0.78

SWITZERLAND

Credit Suisse Group AG 7.50% / perpetual 550,000 USD 482,480 438,970 0.74

482,480 438,970 0.74


Amazon.com Inc 2.80% 22/08/2024 600,000 USD 485,507 475,497 0.80

Amgen Inc 2.20% 21/02/2027 500,000 USD 400,991 391,049 0.66

AT&T Inc 1.65% 01/02/2028 450,000 USD 351,972 336,331 0.57





186


Acquisitioncost

Fairvalue

% netassets




Bank of America Corp 3.95% 21/04/2025 600,000 USD 497,519 494,608 0.84

Duke Energy Corp 2.65% 01/09/2026 200,000 USD 154,581 159,614 0.27



Preference 800,000 USD 603,058 546,835 0.92

Goldman Sachs Group Inc 5.00% / perpetual 700,000 USD 548,579 515,837 0.87

JPMorgan Chase & Co 3.68% / perpetual 600,000 USD 443,999 435,659 0.74

Morgan Stanley 4.10% 22/05/2023 500,000 USD 416,904 396,869 0.67

Oracle Corp 2.40% 15/09/2023 550,000 USD 434,800 423,326 0.71

Prudential Financial Inc 5.88% 15/09/2042 500,000 USD 424,601 392,319 0.66

5,675,106 5,503,720 9.30



IRELAND

Emso Clover Plc - Emso Emerging Markets

Absolute Return Debt Fund 7,201 GBP 717,750 696,017 1.18

KL Event Driven UCITS Fund 6,706 GBP 717,750 766,102 1.29

1,435,500 1,462,119 2.47



IRELAND

iShares MSCI Taiwan UCITS ETF 1,500 GBP 73,153 76,703 0.13

Vanguard FTSE Emerging Markets UCITS

ETF 22,400 GBP 1,038,551 1,130,192 1.91

1,111,704 1,206,895 2.04

TOTAL LISTED SECURITIES : EXCHANGE TRADED FUNDS 1,111,704 1,206,895 2.04





187


Acquisitioncost

Fairvalue

% netassets





perpetual 600,000 USD 449,630 458,453 0.77

449,630 458,453 0.77



IRELAND

Dominice Funds Plc - Cassiopeia UCITS 2,841 GBP 300,000 289,174 0.49

Lyxor / Sandler US Equity Fund 7,087 USD 654,392 647,337 1.09

MontLake UCITS Platform ICAV - Crabel

Gemini UCITS Fund 3,000 GBP 300,000 293,610 0.50

1,254,392 1,230,121 2.08

TOTAL OTHER TRANSFERABLE SECURITIES : INVESTMENTFUNDS 1,254,392 1,230,121 2.08


C) DERIVATIVE INSTRUMENTS





07/01/2021 GBP 781,841 CHF (945,000) RBC IS Bank Luxembourg (343) 0.00

07/01/2021 GBP 269,903 NOK (3,190,000) RBC IS Bank Luxembourg (2,662) 0.00

07/01/2021 GBP 269,579 CAD (467,000) RBC IS Bank Luxembourg 1,416 0.00

07/01/2021 GBP 12,968,708 EUR (14,440,000) RBC IS Bank Luxembourg 42,080 0.07

07/01/2021 GBP 405,459 EUR (450,000) RBC IS Bank Luxembourg 2,621 0.00


29/01/2021 USD 1,020,460 GBP (756,092) RBC IS Bank Luxembourg (9,617) (0.02)


520,998 0.88






188

(expressed in GBP)Description

Fairvalue

% netassets







Cash at Bank 6.07


Total Assets 99.62




189


£% of

Total PurchasesiShares Physical Gold ETC / perpetual 144,000 3,879,146 11.30

WisdomTree Physical Gold - GBP Daily Hedged 189,208 1,793,616 5.23

Alphabet Inc 710 825,587 2.41

Diageo Plc 27,000 818,591 2.39




Sanofi 8,450 651,998 1.90

SCOR SE 5.25% / perpetual 800,000 644,598 1.88


Mexico Government International Bond 1.35% 18/09/2027 700,000 632,524 1.84








Societe Generale SA 8% / perpetual 550,000 493,799 1.44


Apple Inc 2.05% 11/09/2026 600,000 485,300 1.41

Visa Inc 3,300 482,018 1.40




Merck KGaA 1.63% 09/09/2080 500,000 445,359 1.30

JPMorgan Chase & Co 3.68% / Preference 600,000 443,999 1.29

L'Oreal SA 2,100 442,817 1.29

Starbucks Corp 8,150 433,869 1.26

Johnson & Johnson 4,200 432,895 1.26


Exxon Mobil Corp 2.28% 16/08/2026 500,000 407,116 1.19

TOTAL SE 3.37% EMTN / perpetual 400,000 403,577 1.18

Intuitive Surgical Inc 700 402,332 1.17

Siemens Financieringsmaatschappij NV 0.88% 05/06/2023 EMTN 400,000 401,640 1.17

Coca-Cola Co 1.45% 01/06/2027 500,000 401,606 1.17

Amgen Inc 2.20% 21/02/2027 500,000 400,991 1.17


Pfizer Inc 0.80% 28/05/2025 500,000 394,309 1.15

adidas AG 1,500 387,444 1.13

Mastercard Inc 1,650 381,355 1.11

Adobe Inc 1,250 367,738 1.07


AT&T Inc 1.65% 01/02/2028 450,000 351,972 1.03





190


£% of

Total SalesWisdomTree Physical Gold - GBP Daily Hedged 409,208 3,878,423 11.28

Johnson & Johnson 2.45% 01/03/2026 900,000 756,758 2.20

Santander UK Group Holdings PLC 7.38% / perpetual 600,000 660,303 1.92

Ford Motor Credit Co LLC 3.10% 04/05/2023 800,000 604,950 1.76

Alphabet Inc 2.00% 15/08/2026 700,000 580,256 1.69

Petrobras Global Finance BV 4.38% 20/05/2023 700,000 575,752 1.67

Jeronimo Martins SGPS SA 40,500 557,981 1.62

AT&T Inc 3.00% 30/06/2022 700,000 552,573 1.61


Petroleos Mexicanos 8.25% 02/06/2022 EMTN 550,000 546,686 1.59



PepsiCo Inc 2.38% 06/10/2026 600,000 497,060 1.45

Apple Inc 2.05% 11/09/2026 600,000 489,439 1.42

Kraft Heinz Foods Co 4.00% 15/06/2023 550,000 478,086 1.39





Evonik Industries AG 22,800 460,418 1.34

Societe Generale SA 7.38% / perpetual 550,000 457,443 1.33


Microsoft Corp 2.00% 08/08/2023 550,000 435,166 1.27

Centrica Plc 3.00% 10/04/2076 450,000 415,114 1.21


Siemens Financieringsmaatschappij NV 0.88% 05/06/2023 EMTN 400,000 406,862 1.18


PepsiCo Inc 3,700 397,141 1.16

Coca-Cola Co 1.45% 01/06/2027 500,000 395,004 1.15


Foresight Solar Fund Ltd 332,788 389,166 1.13

General Mills Inc 3.70% 17/10/2023 450,000 384,281 1.12

Pfizer Inc 0.80% 28/05/2025 500,000 384,030 1.12

Svenska Handelsbanken AB 5.25% / perpetual 450,000 360,443 1.05

Compass Group Plc 27,500 351,433 1.02


Altice France SA/France 2.13% 15/02/2025 400,000 350,179 1.02






191

Market Review

2020 turned out to be a year unlike any other.

To repeat our statement from the first half review; “The good news is that societies have not fallen apart and that, by in large,

governments across the globe have kept critical infrastructure such as food supply and health services running amidst the

shuttering of economic activity.”

We had to wait until November for another dose of good news. This came in the shape of effective Covid-19 vaccines that raise

the probability of a materially better 2021 for societies everywhere.

First, a look back on the year just past. Abstracting for a moment the terrible physical and mental toll of the pandemic, 2020 was

a staggering year for economies and markets.

US equities surpassed early year peaks and other bourses saw similar rebounds, albeit at reduced magnitude. Through to the

November vaccine announcements this was largely attributable to geographical sector allocations with technology companies

benefiting from ‘stay at home demand’ when compared to traditional industries. A sharp rotation in favour of more old

economy cyclical (value) stocks followed as the prospects for societal normalisation in 2021 improved.

In fixed income markets sovereign yields remain pinned near all time lows, while credit markets enjoyed record issuance as

central bank supported primary and secondary bond issuance. This allowed corporate treasurers to shore up balance sheets by

refinancing banks lines, pre-financing 2021 cash requirements and extending maturities. Amazingly, 2020 ended with US

corporate bankruptcies lower than a year earlier.

Key Market Moves:

Index Returns

(31/12/19 – 31/12/20)

UK 100 -12.50%

UK Bonds 8.36%

Global Equity (GBP) 13.22%

IA Absolute Return Funds Average (GBP) 2.60%

Principle Asset Allocation Fund – A GBP 11.01%

Sources: Solactive, Bloomberg, Bloomberg Barclays, TrustNet, Dexia Fund Services Ltd

Strategy

Mariana Investment Partners LLP ("MIP") assumed management responsibility for the Fund on May 5th, 2020.

Our strategic asset allocation consists of a 60:40 split between equity and fixed income.

The equity allocation consists of 50 equally weighted stocks drawn from the Stoxx 600 universe. This is Beta hedged by a short

Stoxx 600 future. In turn this strategy is currency hedged from Euro to GBP.

The Fixed Income allocation is designed as a flexible, low duration, ‘carry’ strategy of liquid, high quality bonds.

Finally, the Fund deploys a range of opportunistic, market neutral strategies. These are typically relative value tactical pairs

trades in fixed income (rates or credit) and equity markets (covered options).

The overall strategy aim is to provide low volatility, low correlation returns at every stage in the economic and market cycles.

Monthly rebalancing to 60:40 maintained the target asset allocation and the fixed income carry portfolio provided adequate

liquidity when required. Within fixed income additional lower rated credits were added through the year as investment grade

yields tended towards zero.



Principal Asset Allocation Fund

192

Risk & Performance

All three strategies contributed positively to performance in 2020 as market dislocations allowed the bond portfolio to be

constructed with strong carry versus UK risk free rates. Similarly, volatility and pricing arbitrage provided tactical

opportunities to add value. The strategic beta hedged equity portfolio performed in line with expectations with low volatility

positive returns over the seven-month period it was employed.

From a risk perspective the Fund is positioned appropriately with VaR (one year historic, 99% confidence, 20-day horizon) at

3.8% versus the reference MSCI World equivalent at 32.1%.

The Fund produced strong relative and absolute returns for the first half of 2020. A short position in US Equity futures was the

principal driver of returns from mid-February through to late March.

Full year performance of +11.01% represents a strong outcome with sub 5% volatility.

12months to 31st December 2020

PAA Fund UK 100 TR

Return

Total Return 11.01% -12.50%

Maximum Drawdown 9.06% 34.04%

Risk

St Dev (Daily) 1.06% 1.82%

Volatility (Ann) 16.87% 28.94%

VaR (99% Conf, 1Y Hist. 22 days) 3.78% 32.12%

Analysis

Information Ratio 0.66

Realised Tracking Error 35.78

Correlation -0.16

Source: Mariana Investment Partners, Bloomberg, Solactive, RBC Investor Services

Outlook

Our multi-factor equity strategy has consistently produced positive absolute returns with low volatility and we expect this to

continue. On a relative basis we expect to modestly underperform in strong markets while offering significant downside

protection during drawdowns.

The efficacy of several vaccines has transformed the outlook for 2021 and we cannot argue with the market consensus that has

taken hold. The thesis that pent up demand will return as some sort of normalisation occurs is difficult to dispute. Add to that

enormous Government and Central Bank support and a continued rally in risk asset prices is the path of least resistance.

Set against this are worries that inflation will force policy makers to taper asset purchases and hike interest rates. This indeed

represents a major risk to markets. On balance we believe the any sustained inflationary pressure to be a year away at least. A

critical test of markets will come in March/April when the base effects of a collapse in oil prices come out various inflation

gauges. If that occurs against a backdrop of core inflation trending higher, we could see a significant reversal.



Principal Asset Allocation Fund (continued)

193

If inflation does emerge – be it this year, next year or beyond it will mark the end of a forty-year bull market for nominal bonds

and severely challenge the goldilocks, there is no alternative ("TINA") and fear of missing out ("FOMO") drivers currently

attributed to global risk asset price action.

From a Fund perspective our strategy is designed to be ‘all weather’. Low duration bonds are less exposed to steepening yield

curves while beta neutral equities are systematic alpha stock picks.

David Blake, Lead Portfolio Manager

Partner, CIO, Mariana Investment Partners LLP

Date : January 2021



Principal Asset Allocation Fund (continued)

194

Note

PAAF31 Dec 2020

£

PAAF31 Dec 2019

£




Cash at bank 5 63,357 1,981,857

Cash held as collateral 5 752,656 2,794,518

Dividends and interest receivable 29,526 23


Amount receivable on sale of securities - 103,895


Other receivables 60,840 171,740

TOTAL ASSETS 8,232,223 13,557,056



Collateral due to broker 5 72,581 942,046










TOTAL LIABILITIES (excluding net assets attributable to holders of redeemableparticipating shares) 258,209 1,353,223






195

Note

PAAF31 Dec 2020

£

PAAF31 Dec 2019


Bond interest income 32,713 -

Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value through

profit or loss 9 1,181,298 (952,161)



TOTAL INVESTMENT INCOME/(LOSS) 1,355,095 (926,149)


Manager fees 7 60,083 64,814




Audit fees 7 5,605 7,421


Brokerage fees 38,764 50,757


Upfront commission on subscription 52,242 83,524



Operating Profit/(Loss) 903,069 (1,474,668)

Withholding tax 13,070 -

Increase/(decrease) in net assets attributable to holders of redeemable participating sharesfrom operations 889,999 (1,474,668)






196

PAAF31 Dec 2020

£

PAAF31 Dec 2019


Increase/(Decrease) in Net Assets attributable to Holders of Redeemable Participating Shares from

operations 889,999 (1,474,668)

Capital transactionsIssue of redeemable shares during the financial year 540,244 1,343,712







197

PAAF31 Dec 2020

£

PAAF31 Dec 2019

£Cash flows from operating activitiesIncrease/(Decrease) in Net Assets attributable to Holders of RedeemableParticipating Shares from operations 889,999 (1,474,668)

Adjustment to reconcile increase/(decrease) in net assets attributable to holders of

redeemable participating shares from operations to net cash provided by operating

activities

Bond interest income (32,713) -


Tax expense 13,070 -

Operating profit/(loss) before working capital changes 769,476 (1,493,184)


Net decrease in financial assets and liabilities at fair value 968,079 10,268,927

Decrease in other receivables 2,250,031 387,309

Decrease in payables (875,287) (282,901)

Cash provided by operating activities 3,112,299 8,880,151

Interest received 7,544 14


Taxation (13,070) -


Cash flows from financing activitiesProceeds from issue of redeemable participating shares 518,359 1,343,712







Overdraft at the start of the financial year - (12,730)







198


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



AUSTRIA

ANDRITZ AG 3,012 EUR 82,749 100,850 1.26

82,749 100,850 1.26

BELGIUM

Etablissements Franz Colruyt NV 2,227 EUR 104,731 96,430 1.21

104,731 96,430 1.21

DENMARK

Carlsberg AS 949 DKK 100,652 111,082 1.39

GN Store Nord AS 1,929 DKK 103,832 112,804 1.41

Netcompany Group A/S 1,608 DKK 87,664 120,146 1.51

Novo Nordisk A/S 2,111 DKK 110,232 108,105 1.36

402,380 452,137 5.67

FINLAND

Kone Oyj 1,619 EUR 89,267 96,123 1.21

Stora Enso Oyj 8,121 EUR 101,740 113,502 1.42

Valmet Oyj 5,132 EUR 108,851 107,097 1.34

299,858 316,722 3.97

FRANCE

Carrefour SA 8,052 EUR 100,921 100,921 1.26

Iliad SA 684 EUR 102,554 102,717 1.29

Vivendi SA 4,598 EUR 99,911 108,359 1.36

303,386 311,997 3.91

GERMANY

Brenntag AG 1,744 EUR 67,203 98,683 1.24

Deutsche Post AG 3,064 EUR 74,618 110,857 1.39

FUCHS PETROLUB SE 2,561 EUR 102,427 106,248 1.33

Knorr-Bremse AG 1,112 EUR 101,172 110,943 1.39

RWE AG 3,187 EUR 98,830 98,424 1.24

444,250 525,155 6.59

GREAT BRITAIN

BAE Systems Plc 19,331 GBP 80,265 94,490 1.18

Games Workshop Group Plc 1,026 GBP 100,969 114,912 1.44

IG Group Holdings Plc 13,330 GBP 105,026 114,905 1.44

Imperial Brands Plc 7,095 GBP 98,279 108,944 1.37

Rentokil Initial Plc 19,839 GBP 109,843 101,100 1.27




199


Acquisitioncost

Fairvalue

% netassets




Spectris Plc 4,152 GBP 104,758 117,003 1.47

Tate & Lyle Plc 15,576 GBP 105,508 105,044 1.32

704,648 756,398 9.49

IRELAND

Kingspan Group Plc 1,506 EUR 96,992 77,225 0.97

Linde Plc 558 EUR 84,820 106,177 1.33

Smurfit Kappa Group Plc 2,992 EUR 99,690 101,677 1.28

281,502 285,079 3.58

ITALY

Assicurazioni Generali SpA 7,594 EUR 98,926 96,741 1.21

98,926 96,741 1.21

JERSEY

Man Group Plc 93,678 GBP 102,359 129,276 1.62

102,359 129,276 1.62

LUXEMBOURG

B&M European Value Retail SA 22,198 GBP 92,621 114,586 1.44

92,621 114,586 1.44

NETHERLANDS

ASML Holding NV 298 EUR 78,730 105,834 1.33

Koninklijke Ahold Delhaize NV 4,645 EUR 96,815 95,897 1.20

Wolters Kluwer NV 1,700 EUR 100,708 104,881 1.32

276,253 306,612 3.85

SPAIN

Endesa SA 4,635 EUR 97,420 92,543 1.16

Viscofan SA 1,926 EUR 100,186 99,880 1.25

197,606 192,423 2.41

SWEDEN

Axfood AB 5,598 SEK 96,679 95,429 1.20

BillerudKorsnas AB 8,031 SEK 98,611 103,892 1.30

Epiroc AB 9,453 SEK 81,432 125,732 1.58

Essity AB 4,098 SEK 107,260 96,338 1.21

Swedish Match AB 1,836 SEK 97,255 104,077 1.30

Telefonaktiebolaget LM Ericsson 11,949 SEK 84,089 103,695 1.30

565,326 629,163 7.89




200


Acquisitioncost

Fairvalue

% netassets



SWITZERLAND

Galenica AG 1,827 CHF 99,507 89,038 1.12

Kuehne + Nagel International AG 586 CHF 78,338 97,195 1.22

Logitech International SA 1,504 CHF 65,657 106,739 1.34

Novartis AG 1,593 CHF 102,747 110,069 1.38

SIG Combibloc Group AG 5,909 CHF 77,164 100,253 1.26

Sika AG 517 CHF 100,356 103,259 1.29

Softwareone Holding AG 4,608 CHF 102,025 99,723 1.25

Tecan Group AG 307 CHF 88,637 110,004 1.38

Zurich Insurance Group AG 319 CHF 83,327 98,416 1.23

797,758 914,696 11.47



BERMUDA ISLANDS

Hiscox Ltd 2.00% 14/12/2022 100,000 GBP 98,770 102,416 1.28

98,770 102,416 1.28

DENMARK

AP Moller - Maersk A/S 4.00%

04/04/2025 EMTN 100,000 GBP 108,667 112,185 1.41

108,667 112,185 1.41

GREAT BRITAIN

BAE Systems Plc 4.13% 08/06/2022 100,000 GBP 106,057 105,207 1.32

Barclays Plc 2.38% 06/10/2023 EMTN 100,000 GBP 100,748 102,876 1.29

Experian Finance Plc 0.74%

29/10/2025 EMTN 100,000 GBP 100,000 101,119 1.27


perpetual 200,000 GBP 195,449 215,440 2.70

Scottish Widows Ltd 5.50% 16/06/2023 100,000 GBP 108,328 110,939 1.39

Tesco Plc 6.13% 24/02/2022 EMTN 50,000 GBP 54,003 53,219 0.67

664,585 688,800 8.64

ITALY

Telecom Italia SpA/Milano 5.88%

19/05/2023 EMTN 100,000 GBP 110,215 109,783 1.38

110,215 109,783 1.38




201


Acquisitioncost

Fairvalue

% netassets



NETHERLANDS

Volkswagen Financial Services NV 1.13%

18/09/2023 EMTN 100,000 GBP 99,758 101,105 1.27

99,758 101,105 1.27

SPAIN

Telefonica Emisiones SA 5.29%

09/12/2022 EMTN 100,000 GBP 110,287 109,576 1.37

110,287 109,576 1.37


American International Group Inc 5.00%

26/04/2023 EMTN 100,000 GBP 110,388 110,000 1.38

Discovery Communications LLC 2.50%

20/09/2024 100,000 GBP 100,149 105,526 1.32

Fidelity National Information Services Inc

1.70% 30/06/2022 100,000 GBP 100,520 102,060 1.28


14/06/2024 EMTN 100,000 GBP 100,000 100,190 1.26

General Electric Co 5.50%

07/06/2021 EMTN 100,000 GBP 103,322 102,174 1.28

514,379 519,950 6.52

VIRGIN ISLANDS (UK)

Global Switch Holdings Ltd 4.38%

13/12/2022 EMTN 100,000 GBP 107,271 107,316 1.34

107,271 107,316 1.34






202


Acquisitioncost

Fairvalue

% netassets



GREAT BRITAIN

Travis Perkins Plc 3.75% 17/02/2026 100,000 GBP 100,000 104,030 1.31

100,000 104,030 1.31

TOTAL LISTED SECURITIES : BONDS 100,000 104,030 1.31




GREAT BRITAIN

LF Equity Income Fund 756,254 GBP 379,471 38,569 0.48

379,471 38,569 0.48

TOTAL OTHER TRANSFERABLE SECURITIES : INVESTMENTFUNDS 379,471 38,569 0.48



1) FINANCIAL FUTURES ON INDICES

Number ofcontractsSold Description Currency

Unrealisedgain/(loss) in

GBP% netassets

(220) STOXX Europe 600 Price Index EUR 03/19/2021 EUR (81,169) (1.02)

(81,169) (1.02)

TOTAL FINANCIAL FUTURES ON INDICES (81,169) (1.02)




203

2) FINANCIAL FUTURES ON CURRENCIES

Number ofcontractsSold Description Currency

Unrealisedgain/(loss) in

GBP% netassets

(49) EUR/GBP SPOT - CROSS RATES 03/15/2021 GBP 72,581 0.91

72,581 0.91

TOTAL FINANCIAL FUTURES ON CURRENCIES 72,581 0.91





29/01/2021 USD 163,247 GBP (121,356) RBC IS Bank Luxembourg (2,000) (0.02)

29/01/2021 USD 1,256,066 GBP (933,739) RBC IS Bank Luxembourg (15,391) (0.19)

29/01/2021 EUR 143,457 GBP (130,433) RBC IS Bank Luxembourg (2,214) (0.03)

29/01/2021 EUR 28,147 GBP (25,157) RBC IS Bank Luxembourg (434) (0.01)

(20,039) (0.25)




OTHER ASSETS 937,647 11.76





Cash at Bank 9.91


Total Assets 96.86




204


£% of

Total PurchasesUnited Kingdom Treasury Bill 0.00% 01/06/2020 1,500,000 1,499,763 4.44

United Kingdom Treasury Bill 0.00% 27/07/2020 1,200,000 1,199,486 3.55


United Kingdom Treasury Bill 0.00% 27/04/2020 1,000,000 999,598 2.96


United Kingdom Treasury Bill 0.00% 26/10/2020 905,000 904,459 2.68






European Financial Stability Facility 0.88% 10/04/2035 EMTN 500,000 508,104 1.50

BMW International Investment BV 0.75% 08/03/2024 EMTN 500,000 499,724 1.48



European Union 0.00% 04/10/2030 EMTN 500,000 467,902 1.38


Italy Buoni Poliennali Del Tesoro 1.80% 01/03/2041 500,000 452,449 1.34


Iliad SA 2,493 359,851 1.06


£% of

Total SalesUnited Kingdom Treasury Bill 0.00% 01/06/2020 1,500,000 1,499,742 4.29

iShares Core MSCI EM IMI UCITS ETF 74,775 1,370,151 3.92

WisdomTree Physical Gold 10,850 1,295,092 3.70

WisdomTree Agriculture 379,400 1,215,181 3.47


BH Macro Ltd 43,589 1,134,934 3.24


Unicorn Investment Funds - Outstanding British Companies Fund 338,662 1,075,489 3.07









European Financial Stability Facility 0.88% 10/04/2035 EMTN 500,000 511,459 1.46

BMW International Investment BV 0.75% 08/03/2024 EMTN 500,000 500,139 1.43





Italy Buoni Poliennali Del Tesoro 1.80% 01/03/2041 500,000 453,810 1.30

Perinvest Lux Sicav - Asia Dividend Equity - SHS E 2,692 440,534 1.26






205

Market Review

During the 2020 calendar year, the Fund generated returns of -8.61% and -8.19% for the Investor and Institutional share classes

over the last calendar year, respectively. While the period was undoubtedly challenging for real estate-related businesses given

the onset of the Covid-19 pandemic, the Fund’s focus on very well-capitalized property companies leaves the portfolio holdings

well-placed in a turbulent time like this and the prevailing valuations for most real estate securities seem quite compelling when

taking a long-term view (see Fund Commentary).

The largest detractors to performance during the year included the common stocks of Five Point Holdings, Inc. (“Five Point”)

and Seritage Growth Properties (“Seritage”). Five Point is a US-based real estate operating company that is the largest

developer of master planned communities in coastal California with plans to build more than 40,000 residential units and nearly

20 million square feet of commercial space at its three key projects in Orange County (Great Park), Los Angeles (Valencia), and

San Francisco (Shipyards). While there was significant progress during the year, particularly with initial land sales in Valencia,

Five Point is in the early stages of reporting meaningful profits given the long-dated nature of its developments. Seritage is a

US-based real estate investment trust (“REIT”) that controls 185 properties that were previously occupied by Sears. With

nearly 28 million square feet of space in urban markets (including key holdings in Florida, California, Texas, and New York),

the company has a substantial opportunity to add value over time by re-leasing and re-purposing locations that Sears has

vacated; however, this progress was disrupted during the year with retailers expansion efforts largely placed on hold during the

Covid-19 pandemic.

Top contributors during the 2020 calendar year included the common stocks of Prologis Inc. (“Prologis”), Lennar Corp.

(“Lennar”) and The Lowe’s Companies (“Lowe’s”). Prologis is a US-based REIT that is the largest owner of modern-logistic

facilities globally with a platform that spans more than 960 million square feet throughout its key markets of North America,

Europe, and Asia. During the year, the company’s operations benefited from an acceleration in demand for industrial properties

supporting the surge in e-commerce activity amidst “stay-at-home” orders. Lennar is the largest homebuilder in the US (by

revenues), with a focus on first-time and first-time-move-up buyers in its 1.25k active communities. During the year, the

company’s new orders (and backlog) increased significantly as demand for newly-constructed homes strengthened alongside

historically-low mortgage rates, an increased emphasis on single-family housing relative to multifamily dwellings, and record-

low inventory levels. Lowe’s is the second largest home improvement retailer in North America, with a 2,000 store footprint in

the Southeast, Mid-Atlantic, California, Florida, and Texas. The company enjoyed record sales during the year with an

increased emphasis on home-improvement spending, as well as enhanced margins given an increased focus on operational

efficiencies more recently.

Positioning

At the end of the period, the Fund had 41% of its capital invested in Residential Real Estate companies that have strong ties to

the US and UK residential markets, where there are significant supply deficits after years of under-building. In conjunction with

record-low inventory levels, there seems to be substantial demand for new product at an affordable price point (both for-sale

and for-rent). Therefore, these holdings seem poised to benefit from a further recovery in residential construction, sales, and

ancillary activities. At the end of the quarter, these positions included a diversified set of businesses including homebuilding

(Lennar Group and Berkeley Group), timberland ownership and management (Weyerhaeuser and Rayonier), land development

(Five Point Holdings and St. Modwen Properties), the ownership and development of rental properties (American Homes

4 Rent, Grainger plc, and Essex Property Trust), as well as other ancillary businesses (Lowe’s and Trinity Place Holdings).

At year-end, the Fund also had 39% of its capital invested in Commercial Real Estate enterprises that are involved in long-

term wealth creation. These holdings are largely capitalizing on secular trends within property, including structural changes

that are driving more demand for industrial properties and self-storage facilities (Prologis, Segro plc, First Industrial, U-Haul,

Big Yellow, and National Storage) as well as the further densification and improvements taking place in select urban corridors

(JBG Smith Properties, Derwent London, CK Asset Holdings, Vornado Realty Trust, Henderson Land, and Wharf Holdings).

In Fund Management’s view, each of these enterprises is very well-capitalized, their securities trade at discounts to private-

market values (especially in light of the prevailing interest rate environment), and they seem capable of increasing Net-Asset

Value (“NAV”)--primarily by undertaking additional development and redevelopment activities, as well as by making

opportunistic acquisitions.

An additional 18% of the Fund’s capital is invested in Real Estate Services. These businesses are generally less capital

intensive than direct property ownership and as a result have historically offered much higher returns on capital, provided the



Third Avenue Real Estate Value Fund

206

business has a favorable competitive positioning within the real estate value chain. At the present time, these holdings primarily

include franchises involved with asset management (Brookfield Asset Management and Patrizia Immobilien), brokerage and

property management (Savills plc and CBRE Group), as well as mortgage and title insurance (Fannie Mae and FNF Group).

The remaining 3% of the Fund’s capital is in Cash & Equivalents. The Fund also has certain hedges in place, primarily relating

to its foreign currency exposures (British Pound and Hong Kong Dollar).

The Fund’s allocations across these various business types are outlined in the chart below. In addition, Fund Management

reports the Fund’s exposure by geography (North America, Europe, and Asia-Pacific) and strategy (Core/Core-Plus, Value-

Added, Opportunistic, and Debt) for comparison with institutional reporting standards for direct real estate allocations.

BY GEOGRAPHY

North America Europe

2.6%

11.1%

Cash &Options

61.9% 24.4%

Asia

60.8%

BY STRATEGY

Core/Core Plus

11.3% 25.3%

Cash &Options

2.6%

Opportunistic Value Added

18.0%

2.6%

38.6%40.8%

Commercial

Residential

Real Estate Services

Cash, Debt & Options

BY BUSINESS TYPE

ESG Commentary

Those that are well-versed in the timberland markets recognize that the 1970’s were amongst the most rewarding times to be

“invested in trees.” To wit, U.S. timberlands are believed to be amongst the best performing assets classes during that decade

with an annualized return of +21.56% according to the National Council of Real Estate Fiduciaries (NCREIF) Timberlands

Index.

Widely viewed as a beneficiary of “broad-based” inflation, the actual drivers of the performance for timberlands in that era

were much more fundamental in nature. For instance, during the 1970’s, the demand for lumber (and thus sawlogs) increased

rapidly as the “baby-boomers” moved to the suburbs and U.S. housing starts averaged 1.74 million annually. At the same time,

the supply of fiber (e.g., sawlogs) became more constrained— particularly after the National Forest Management Act of

1976 curtailed harvesting on nationally owned timberlands.

Those that have continued to closely follow the timberland markets likely recognize similar dynamics resurfacing today. Put

otherwise, demand for softwoods (i.e., Douglas Fir and Southern Yellow Pine) is increasing alongside a pickup in lumber

consumption associated with single-family construction and the repair-and-remodel segment—as well as an emerging export

market. Simultaneously, supply levels for logs in certain “wood baskets” seem to be receding given the curtailment of lumber



Third Avenue Real Estate Value Fund (continued)

207

imports from Canada and additional harvesting activity in the U.S. South (where more than 5 million board feet of lumber mill

capacity is estimated to have been added in the past four years).

Almost equally as important is the fact that forests are gaining recognition as one of the most cost effective ways to sequester

carbon (trees capture carbon dioxide to fuel their growth through photosynthesis) and also reduce emissions when used in

building (wood-based structures emit roughly half the carbon of alternative options such as steel and cement).

As a result, three factors that could very well have an impact on timberland values moving forward include: (i) added demand

for wood-based building, largely through the utilization of cross laminated timber (CLT) in mid-rise multi-family and other

low-rise commercial facilities, (ii) wider adoption of a carbon-offset market in the U.S., thus incentivizing certain timberland

owners to defer harvest with alternative sources of value (i.e., “carbon credits”), as well as (iii) strategic interest from non-

traditional industries, such as multi-national energy groups, which are seeking to offset their existing carbon emissions through

larger-scale renewable resource investments such as sustainable forests.

Given this backdrop, it is not inconceivable that timberland values could very well be on the verge of a steep change. That is not

to say that the returns witnessed in 1970’s are to be repeated. It is simply that the proposition of investing in strategically located

timberlands (which tend to provide current yield through annual harvesting, reasonable prospects of capital appreciation with

biological growth, and opportunities to capture higher-and better-use values through development) is in the midst of being

supplemented with incremental sources of value.

For these reasons, and others, the Third Avenue Real Estate Value Fund has approximately 9.25% of its net assets invested in

timberland-centric enterprises through the common stocks of Weyerhaeuser and Rayonier. Not only do these well-capitalized

U.S.-based REITs control world-class timber portfolios (that collectively comprise 14 million acres in highly-productive areas

of the Pacific Northwest and the U.S. South, and to a lesser extent the Northeast and New Zealand), but they also have common

stocks which can be purchased at meaningful discounts to Third Avenue’s estimates of Net-Asset Value - without even

factoring in what may prove to be one of the most valuable attributes: their portfolios combine to sequester nearly 11.5 million

metrics tons of carbon dioxide annually, more than any other privately-held enterprise globally, in our estimation.

Fund Commentary

During the course of our careers, Fund Management has had the great fortune of working alongside some of the more influential

figures in the professions of modern-day real estate and value investing, including Trammell Crow (founder of the Trammell

Crow Company, now a subsidiary of Fund holding CBRE) and Marty Whitman (founder of Third Avenue Management).

While both pioneers were highly accomplished in separate fields, they did share an affinity for one common

endeavor: investing in commercial real estate.

Why was that the case? The proposition for investing in commercial real estate is straightforward: to the extent one owns a

well-located and high-quality property (such as an efficiently-designed distribution facility, a class-A office property, or an

infill self-storage facility), the asset has historically provided a very resilient cash flow stream which can increase at rates

in-line with inflation (or better) over time. Further, such a property tends to defend one’s capital with a “durable value” and an

alternative use. Finally, such a property can often be financed with fixed-rate and long-dated debt that serves to enhance the

cash-on-cash return potential (without necessarily adding “risk” if done so on a non-recourse basis) while also delivering the

opportunity to capture appreciation in a tax-advantaged manner through subsequent refinancings and like-kind exchanges.

Even though commercial real estate has been one of the most ideal places to create (and store) wealth for decades, Fund

Management is of the view that accessing the asset class through the listed markets (i.e., public securities) is the more ideal

proposition. One of the most notable advantages for the publicly-traded route is that these enterprises control some of the most

highly sought after properties and portfolios globally, which are oftentimes not possible to access through direct investments.

Further, the vast majority of publicly-traded real estate companies are (i) run by skilled management teams, (ii) have multiple

channels to access the capital markets resulting in a cost of capital advantage, and (iii) offer investors transparency and liquidity

with audited financial statements and securities traded on major stock exchanges worldwide.

Accessing real estate through the listed markets is not without its shortcomings, however. Speaking from experience on both

sides of the property markets, Fund Management can attest to some of the most notable drawbacks of publicly-traded real estate

including the lack of control in terms of the timing of financing and monetization events, the inability to utilize the tax attributes




208

of direct investing as a securities owner, as well as dealing with the shorter-term “mark-to-market” of securities for an asset

class that is inherently long-term in nature.

With commercial real estate priced “daily” in the public markets, there is however one other key advantage to the listed

space: the ability to buy into very strategic properties and portfolios at significant discounts to prices that would otherwise seem

to be available in a negotiated transaction. Given the set of events over the past year (e.g., the Covid-19 pandemic and “stay-

at-home” orders), now certainly seems to be one of those moments with commercial real estate companies trading at prices that

seem to be attractive on both an absolute and relative basis.

To put that in context, the price to funds from operations (a real estate measure of cash flow) for widely-held U.S. commercial

real estate companies (i.e., U.S. REITs) currently sits at 15 times when isolating non-traditional (and more expensively priced)

property types such as cell towers and data centers. Further, the implied cap rates (or initial yields) for commercial real estate

properties are currently at approximately 6.00% - levels that are 2.70% and 7.00% above the yields for investment-grade bond

yields (“Baa”) and 10-year U.S. Treasury Inflation Protected Securities (“TIPS”), respectively. These spreads represent

amongst the largest recorded differentials to date.

Source: Green Street Analytics, Capital IQ.

(1) Implied cap rate consists of the equal-weighted average for the

live major property sectors (Apartment, Industrial, Mall, Office, and

Strip Center).

At the same time, valuations for general equities seem to be at historically high levels (the trailing price to earnings ratio of the

S&P 500 is currently in excess of 30 times) and bond yields are hovering around the lowest levels recorded in history (with an

estimated $17 trillion of debt securities trading at negative yields worldwide). For these reasons, alongside a view that assets

with the potential to provide current yield and inflation protection will be in greater demand post pandemic, Fund Management

believes that allocations to listed real estate (and real assets) offer a compelling alternative and are set to expand.

With that being the case, it seems to be worth reinforcing the unique exposures within the Third Avenue Real Estate Value

Fund. At the present time, securities held in the portfolio represent interests in some of the most strategic commercial real estate

enterprises globally, real estate service platforms positioned to accommodate for increasing allocations to real assets, as well as

select enterprises participating in what could very well be a multi-year expansion in residential construction.

These exposures also share the characteristics of holdings that have served as the foundation of Third Avenue portfolios for the

better part of three decades. To wit, the enterprises have super-strong financial positions (the average net debt to asset ratio for

the companies held in the Fund is less than 20%) with securities trading at undemanding levels (the average discount to Fund

Management’s conservative estimate of Net-Asset Value is more than 15.0% when viewed in the aggregate). As a result, the

Third Avenue Real Estate Value Fund represents an option to access highly sought after real estate at prices that seem to be




209

quite sensible relative to more prevalent allocations—a combination that was also true when the Fund was launched in 1998 and

one that Mr. Crow and Mr. Whitman would undoubtedly share an affinity for.

Third Avenue Management LLC

Date : January 2021




210

Note

TAREVF31 Dec 2020

$

TAREVF31 Dec 2019

$




Cash at bank 5 16,455,925 10,621,010

Cash held as collateral 5 290,000 -


Amount receivable on sale of securities 2,221,694 2,538,525


Other receivables - 12

TOTAL ASSETS 134,721,788 155,625,282



Bank Overdraft 5 - 162

Amount payable on purchase of securities 183,969 1,296,350








Redemptions payable 15,670,617 12,823

Deferred liability 27,071 26,932








211

Note

TAREVF31 Dec 2020

$

TAREVF31 Dec 2019




profit or loss 9 (9,682,934) 21,452,910


Expense reimbursement from Investment Manager 7 6,819 -


TOTAL INVESTMENT (LOSS)/INCOME (6,360,999) 25,102,940


Manager fees 7 130,739 137,296




Audit fees 7 9,619 15,946


Bank interest expense 727 1,132



Operating (Loss)/Profit (8,287,704) 23,081,611

Finance Costs


(Loss)/Profit Before Tax (8,294,896) 23,064,485


(Decrease)/Increase in net assets attributable to holders of redeemable participatingshares from operations (8,814,722) 22,407,317






212

TAREVF31 Dec 2020

$

TAREVF31 Dec 2019



operations (8,814,722) 22,407,317








213

TAREVF31 Dec 2020

$

TAREVF31 Dec 2019

$Cash flows from operating activities(Decrease)/Increase in net assets attributable to holders of redeemableparticipating shares from operations (8,814,722) 22,407,317


redeemable participating shares from operations to net cash provided by/(used in)

operating activities


Dividend income (3,199,217) (3,430,940)

Tax expense 519,826 657,168


Operating (loss)/profit before working capital changes (11,547,819) 19,600,130



Decrease/(increase) in other receivables 16,539 (2,374,802)

(Decrease)/increase in payables (1,043,429) 1,315,029




Taxation (519,826) (657,168)





Net cash (used in)/provided by financing activities (11,300,206) 4,528,203

Net increase in cash 5,835,077 5,739,428




Overdraft at the start of the financial year (162) -


Overdraft at the end of the financial year - (162)





214


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS



CANADA

Brookfield Asset Management Inc 191,594 USD 6,139,431 7,907,085 6.69

6,139,431 7,907,085 6.69

CAYMAN ISLANDS

CK Asset Holdings Ltd 1,120,357 HKD 7,314,951 5,751,736 4.86

7,314,951 5,751,736 4.86

GERMANY

PATRIZIA AG 65,479 EUR 1,553,236 2,099,801 1.78

1,553,236 2,099,801 1.78

GREAT BRITAIN

Berkeley Group Holdings Plc 92,061 GBP 4,731,591 5,969,866 5.05

Grainger Plc 480,709 GBP 1,636,862 1,864,300 1.58

Savills Plc 159,006 GBP 1,895,113 2,075,471 1.75

St Modwen Properties Plc 836,657 GBP 4,246,202 4,576,514 3.87

12,509,768 14,486,151 12.25

HONG KONG

Henderson Land Development Co Ltd 1,046,206 HKD 4,023,639 4,082,272 3.45

Wharf Holdings Ltd 1,259,137 HKD 2,223,581 3,386,402 2.87

6,247,220 7,468,674 6.32


AMERCO 10,452 USD 3,711,390 4,744,790 4.01

CBRE Group Inc 34,698 USD 1,466,968 2,176,259 1.84

Federal National Mortgage Association 1,199,602 USD 3,767,955 4,063,576 3.44

Fidelity National Financial Inc 59,309 USD 1,962,079 2,318,389 1.96

Five Point Holdings LLC 1,179,850 USD 8,906,230 6,441,981 5.45

Lennar Corp - Shs A 34,807 USD 2,036,904 2,653,338 2.25

Lennar Corp - Shs B 83,087 USD 3,732,167 5,084,924 4.30

Lowe's Cos Inc 27,857 USD 2,851,897 4,471,327 3.78

Trinity Place Holdings Inc 981,181 USD 4,703,827 1,226,476 1.04

33,139,417 33,181,060 28.07






215


Acquisitioncost

Fairvalue

% netassets


1) OTHER TRANSFERABLE SECURITIES : REAL ESTATE INVESTMENT TRUSTS

AUSTRALIA

National Storage REIT 435,753 AUD 673,108 641,653 0.54

673,108 641,653 0.54

GREAT BRITAIN

Big Yellow Group Plc 135,577 GBP 1,647,094 2,033,855 1.72

Derwent London Plc 108,791 GBP 4,364,312 4,605,971 3.90

Segro Plc 433,124 GBP 4,209,005 5,612,607 4.75

10,220,411 12,252,433 10.37


American Homes 4 Rent 77,022 USD 2,137,335 2,310,660 1.95

Essex Property Trust Inc 7,801 USD 1,767,379 1,852,114 1.57

First Industrial Realty Trust Inc 44,777 USD 1,698,571 1,886,455 1.59

JBG SMITH Properties 162,445 USD 5,739,181 5,079,655 4.30

Prologis Inc 57,173 USD 4,289,753 5,697,861 4.82

Rayonier Inc 182,100 USD 5,174,000 5,350,098 4.53

Seritage Growth Properties 97,980 USD 1,458,354 1,438,346 1.22

Vornado Realty Trust 50,070 USD 2,108,094 1,869,614 1.58

Weyerhaeuser Co 182,441 USD 4,547,448 6,117,247 5.17

28,920,115 31,602,050 26.73

TOTAL OTHER TRANSFERABLE SECURITIES : REAL ESTATEINVESTMENT TRUSTS 39,813,634 44,496,136 37.64







15/01/2021 EUR 34,594,250 USD (42,104,316) RBC IS Bank Luxembourg 171,864 0.15

171,864 0.15





216

2) LISTED SECURITIES : OPTIONS


Acquisitioncost

Fairvalue

% netassets


PUT GBP/USD

SPOT CROSS

15/03/2021 1.15 20,869,565 GBP 179,280 332 0.00

CALL

GBP/USD

SPOT CROSS

15/03/2021 1.37 (17,518,248) GBP (179,280) (354,722) (0.30)

CALL

USD/HKD

SPOT CROSS

04/02/2021 8.00 14,800,000 USD 31,524 6 0.00

31,524 (354,384) (0.30)

TOTAL LISTED SECURITIES : OPTIONS 31,524 (354,384) (0.30)



OTHER ASSETS 19,158,943 16.21





Cash at Bank 12.43


Total Assets 87.74




217


$% of

Total PurchasesEssex Property Trust Inc 22,596 5,713,561 6.02

Prologis Inc 76,384 5,548,819 5.85

Wharf Real Estate Investment Co Ltd 1,156,137 4,593,785 4.84

Wharf Holdings Ltd 2,150,252 4,082,754 4.30

Federal National Mortgage Association 8.25% 00/01/1900 390,300 3,913,107 4.12

CK Asset Holdings Ltd 641,500 3,803,741 4.01

Seritage Growth Properties 186,116 3,710,275 3.91

Lowe's Cos Inc 38,128 3,607,047 3.80

Public Storage 17,817 3,466,890 3.65

Brookfield Asset Management Inc 168,114 3,278,679 3.46

Vornado Realty Trust 64,016 2,961,817 3.12

American Homes 4 Rent 105,632 2,920,135 3.08

Five Point Holdings LLC 458,435 2,679,094 2.82

JBG SMITH Properties 78,938 2,550,171 2.69

Federal National Mortgage Association 1,241,928 2,512,337 2.65

Berkeley Group Holdings Plc 43,802 2,463,887 2.60

Weyerhaeuser Co 91,786 2,327,403 2.45

Rayonier Inc 82,668 2,235,774 2.36

Henderson Land Development Co Ltd 544,000 2,224,963 2.35

Segro Plc 187,535 2,122,757 2.24

Big Yellow Group Plc 184,783 2,101,469 2.22

St Modwen Properties Plc 422,981 2,060,105 2.17

Derwent London Plc 50,345 2,039,840 2.15

Jones Lang LaSalle Inc 14,641 2,026,591 2.14

CBRE Group Inc 47,726 1,950,545 2.06

Wheelock & Co Ltd 278,000 1,900,102 2.00

Lennar Corp - Shs B 36,705 1,828,573 1.93

AMERCO 4,568 1,576,712 1.66

Macerich Co 63,936 1,500,491 1.58

Grainger Plc 387,573 1,316,565 1.39

Lennar Corp - Shs A 22,190 1,311,126 1.38

PATRIZIA AG 44,436 1,117,233 1.18

Fidelity National Financial Inc 36,274 1,117,035 1.18

Savills Plc 78,938 972,581 1.03




218


$% of

Total SalesLennar Corp - Shs A 111,437 7,584,392 7.43

Wharf Real Estate Investment Co Ltd 1,156,137 5,255,623 5.15

Brookfield Asset Management Inc 131,873 5,242,761 5.13

Macerich Co 210,545 4,272,650 4.18

City Developments Ltd 800,900 3,716,073 3.64

Weyerhaeuser Co 163,220 3,708,810 3.63

Public Storage 17,817 3,662,537 3.59

Wharf Holdings Ltd 1,767,038 3,516,095 3.44

Wheelock & Co Ltd 1,283,137 3,384,861 3.31

Essex Property Trust Inc 14,795 3,212,653 3.15

Vornado Realty Trust 95,644 3,145,758 3.08

Berkeley Group Holdings Plc 51,225 3,127,216 3.06

CK Asset Holdings Ltd 552,985 3,066,908 3.00

Hongkong Land Holdings Ltd 606,700 2,985,559 2.92

PNC Financial Services Group Inc 19,283 2,904,906 2.84

Derwent London Plc 64,554 2,727,978 2.67

JBG SMITH Properties 88,379 2,651,907 2.60

Segro Plc 218,557 2,614,850 2.56

Acadia Realty Trust 135,606 2,605,675 2.55

First Industrial Realty Trust Inc 53,263 2,274,593 2.23

Five Point Holdings LLC 430,480 2,232,926 2.19

Rayonier Inc 81,100 2,226,689 2.18

Great Portland Estates Plc 320,463 2,162,309 2.12

Henderson Land Development Co Ltd 528,472 2,107,340 2.06

AMERCO 5,397 1,949,030 1.91

Prologis Inc 19,211 1,928,777 1.89

Lowe's Cos Inc 10,271 1,607,992 1.57

Seritage Growth Properties 137,382 1,547,516 1.52

Federal National Mortgage Association 8.25% 00/01/1900 197,000 1,538,567 1.51

Howard Hughes Corp 17,923 1,436,491 1.41

Lennar Corp - Shs B 23,646 1,382,528 1.35

Jones Lang LaSalle Inc 14,641 1,364,554 1.34

St Modwen Properties Plc 248,764 1,216,966 1.19

Colony Capital Inc 290,062 1,151,189 1.13





219

Fund Review

The Semper Total Fund (Fund) completed its second full calendar year on a strong note, with performance for the last sixmonths continuing the positive trend we have seen since April.

1 July, 2020 – 31 December, 2020 Net Performance

Founders Share Class Distributing, Hedged, GB Pounds : 7.56%

Founders Share Class Distributing, Unhedged, US Dollars : 7.67%

Bloomberg Barclays U.S. MBS Index : 0.36%

Bloomberg Barclays U.S. Aggregate Index : 1.29%

Performance for the full calendar year was negative, the result of March’s significant pandemic-led market dislocation.

1 January, 2020 – 31 December, 2020 Net Performance

Founders Share Class Distributing, Hedged, GB Pounds : -11.49%

Founders Share Class Distributing, Unhedged, US Dollars : -10.94%

Bloomberg Barclays U.S. MBS Index : 3.87%

Bloomberg Barclays U.S. Aggregate Index : 7.51%

The Fund continues to be invested in U.S. mortgage-backed securities ("MBS"), and related investments. This is an

approximate universe of $7 trillion of fixed income securities, of which 90% are government Agency issued and guaranteed

securities, primarily Fannie Mae, Freddie Mac, and Ginnie Mae. The remaining 10% consists of non-Agency MBS, including

both legacy, or pre-2007 vintage bonds, and newer issue, or next generation issues. As of 31 December, we continued to find

the most value within our sector in non-government guaranteed U.S. mortgage-backed securities ("RMBS"), with about 90%

allocated to this sector and 5% allocated to U.S. multi-family housing CMBS, with the remainder in temporary cash

equivalents. Approximately 47% of the portfolio’s RMBS are newer issue bonds collateralized with newly originated mortgage

loans including Agency Credit Risk Transfer Bonds ("CRT"), Jumbo 2.0, Non-Qualified Mortgage securitizations ("Non-

QM"), and Single Family Rental bonds ("SFR"). These deals tend to de-lever quickly leading to enhanced credit quality and

upgrade opportunities, and overall continue to have better structures and credit protection than pre-financial crisis bonds.

Approximately 23% of the portfolio’s RMBS are newer issue securities securitized with seasoned and legacy, or pre-financial

crisis loans, including Reperforming Loan Securitizations ("RPL") and Non-Performing Loan Securitizations ("NPL"), and

30% are legacy RMBS, mostly senior Subprime and Prime bonds.

The 2020 calendar year started on a firm note in the non-Agency sector. Volatility in equities and a decline in Treasury yields

in February from growing global economic concerns created by the growing Coronavirus crisis had done little to slow the

demand for RMBS or other securitized debt until mid-March. The combination of low rates, solid housing data, and strong

RMBS market fundamentals and technicals had continued to support the sector through the first two months of the calendar

year.

This relative calm changed dramatically and quickly beginning in mid-March. Spreads across non-Agency RMBS and other

securitized debt sectors including asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”),

markets widened by an extraordinary amount as selling pressure across the RMBS market from mortgage REITs, mortgage

hedge funds, and mortgage and multi-sector bond mutual funds intensified from the effects of both leverage and redemptions.

Forced selling put more and more pressure on the most liquid mortgage credit sectors. For example, Agency Credit Risk

Transfer (“CRT”), Last Cash Flow bonds, the most liquid bonds in the non-agency sector, had price declines of 30-40+% versus

beginning of month levels. Mezzanine Single Family Rental bonds (“SFR”), from top tier issuers like Invitation Homes for

example, traded down into the $50s from close to par levels at the start of the month, and Legacy, or pre-financial crisis bonds,

began to trade at or close to double digit yield levels, up from 3-4% at the end of February, representing price declines of

10-50% depending on the profile. Other non-agency sectors, like Non-QM, Jumbo 2.0 and Reperforming and Non-Performing

loan securitizations, saw both senior and mezzanine profiles drop substantially during this period. Senior securities dropped

5-15% while mezzanine profiles saw price declines of 25-40% or more during the height of this volatile period.

Over the weekend of March 21st, an unprecedented supply of several billion dollars of RMBS was sold through auctions from

bond mutual funds and mortgage REITs, further depressing prices across both newer issue and legacy RMBS. Flows

accelerated and markets became very opaque. Repo counterparties to levered funds defensively and aggressively increased



Semper Total Return Fund

220

margin calls, further pressuring funds’ liquidity needs. Dealers, who normally act as a buffer between buyers and sellers, also

looked to reduce their balance sheet significantly during this period, as quarter end balance sheet pressure and corporate lending

client needs exacerbated this liquidity overhang. Selling pressure very slowly began to ease in late March, in part due to

significant intervention by the Fed and rapidly passed fiscal policy legislation, the $2 Trillion CARES Act.

Despite the significant uncertainty and economic pressure caused by the onset of the pandemic and rolling local and state-wide

shutdowns, the U.S. housing sector quickly demonstrated its staying power, and both fundamental and technical strength.

Initial concerns about the ability for the housing market to remain strong proved to be unfounded. U.S. housing market

fundamentals, homeowner financial strength, and RMBS market technicals have all been strong and getting stronger

throughout this last several months. Home equity is at a record high, over $20 trillion – 6% higher than one year ago. While a

large number of homeowners took advantage of rapidly rolled out forbearance programs by Fannie Mae, Freddie Mac, and

other mortgage loan servicers – supported by the CARES Act, the percentage of non-current loans never came close to the

delinquencies from the last recession, and non-current loans have steadily declined since spring. Approximately 60% of

forborne loans have cured, and elevated refinancing activity has resulted in rapid delevering of many bonds in both funds,

increasing credit quality materially.

While the portfolio’s bond prices have moved consistently higher since March, we believe that many of these bonds remain

fundamentally underpriced, lagging improving real estate fundamentals. There are a number of reasons why these profiles have

not rebounded as quickly as some other risk sectors. First, these bonds trade over the counter in negotiated transactions. Many

are bespoke, structurally complex securities that may trade less frequently, resulting in less price discovery. Second, the Fed,

with its extraordinary support of the economy and markets, did not provide direct support to the RMBS sector, as it did with

other bond sectors including Agency MBS.

The below table highlights sector level average price changes and loss-adjusted yield to maturity levels throughout the year for

the Fund, highlighting the sharp drop in prices in March and subsequent recovery.

Sector% MV(12/31)

Price(2/29)

Price(3/31)

Price(6/30)

Price(9/30)

Price(12/31)

YTM(2/29)

YTM(3/31)

YTM(6/30)

YTM(9/30)

YTM(12/31)

Legacy 29 84.1 76.0 75.4 78.0 77.8 2.5 3.0 3.5 2.5 2.6

Agency Credit RiskTransfer(CRT) LCF 10 103.6 86.9 97.1 98.6 100.0 2.2 9.6 5.1 3.9 2.4

Agency Credit RiskTransfer(CRT) B1 8 103.3 49.1 85.5 88.2 100.4 3.4 10.8 6.1 6.8 4.0

Agency Credit RiskTransfer(CRT) B2 2 102.3 42.0 67.5 66.6 96.2 6.3 7.9 5.3 9.2 5.1

Non QualifiedMortgageSecuritizations 4 101.6 92.0 95.6 98.8 101.7 3.6 5.9 5.0 4.3 3.8

RMBS 2.0 (Jumbo) 5 89.0 78.2 93.3 97.0 98.9 3.5 5.6 3.8 4.0 3.6

Non Performing LoanSecuritizations 11 101.2 76.6 94.6 97.5 99.5 3.9 11.0 6.6 6.2 5.6

Reperforming LoanSecuritizations 7 103.8 76.3 90.9 95.2 98.4 3.2 6.3 4.6 4.3 3.8

Second LienSecuritizations 0 105.6 99.2 96.9 104.5 104.6 2.9 5.1 5.5 3.2 2.9

Resecuritizations 4 100.0 100.0 93.2 95.2 96.6 3.3 3.6 5.7 5.4 5.8

Single Family RentalSecuritizations 15 102.9 88.4 98.0 101.5 102.5 3.5 8.2 4.8 4.1 4.1

CMBS 5 95.2 56.0 88.6 91.0 87.6 3.1 5.3 4.8 4.6 4.2

Portfolio 98.5 78.6 87.9 90.9 93.0 3.1 6.9 4.7 4.1 3.7

The primary source of negative performance during the calendar year ended was March price declines across most of the

portfolio’s sectors. Interest income for the period totaled about 3.2%, about 1.3% lower than the prior year, caused by the Fed

induced sharp decline in market rates including LIBOR, which declined by about 1.5% in the first quarter.



Semper Total Return Fund (continued)

221

We expect to maintain a similar overall Total Return Fund composition in 2021, with the largest allocation to non-Agencies,

with a growing percentage in newer issue securities, a modest allocation to CMBS, and a continued relatively low level of

interest rate sensitivity.

As of December 31st, the portfolio’s duration is approximately 2.4 years, one-half year shorter than 6 months ago. We expect

to reduce this modestly through sales of longer bonds including certain Legacy RMBS, and expect continued elevated

refinancing activity to further shorten average maturities and effective duration. The portfolio’s stated loss-adjusted yield to

maturity is 3.6% at year end. We expect that stronger than expected economic performance and a robust real estate market

characterized by home price appreciation over 9% year-over-year and elevated refinancing activity supported by historically

low mortgage rates will result in actual yield to maturity over 4%.

We continue to expect further normalization of fundamentals and credit spreads across RMBS sectors in 2021 as a result of

reduced COVID uncertainty by way of vaccinations, post-election stimulus, and continued curing of pandemic related

delinquencies. The Fed remains committed to support markets with short rates near zero and $120 billion of monthly bond

purchases. The new administration in Washington is committed to additional fiscal stimulus and supportive policies including

continued forbearance programs and foreclosure moratoriums. The supply/demand technicals and low mortgage rates

supporting housing prices are unlikely to reverse in the coming year.

We expect mezzanine and subordinated profiles to perform best as we recapture last year’s lagged performance. We expect this

to result in attractive performance relative to other fixed income sectors that have already fully recovered to pre-pandemic

levels and beyond, in many cases without the fundamental credit support that RMBS enjoys today.

We see a number of attractive investment opportunities concentrated in residential housing-related sectors in 2021, including:

•Agency Credit Risk Transfer: Backed by high quality pools of agency borrowers (with average Fair Isaac Corporation

("FICO") scores in the mid 700 range and mid 30s debt to income ratios (“DTI”)), these bonds offer investors opportunities to

access mortgage credit and express credit views of housing and loan performance. The collateral has continued to outperform

initial expectations related to the pandemic and continues to benefit from programs designed by the Federal Housing Finance

Agency ("FHFA") and Government Sponsored Enterprises ("GSEs") relating to forbearance and loss mitigation.

Subordinated B1 and B2 profiles yield between 4-7% with mezzanine bond yielding in the 3% range. Many prices remain at

a discount to par, and the sector’s significant liquidity affords active management opportunities

•Non-Qualified Mortgages: Although these borrowers don't qualify for agency purchase and are not as strong as prime jumbo

loans, the average quality of these borrowers is very high relative to that of pre-financial crisis borrowers. Mezzanine bonds

currently yield about 4-5% with 3 – 5 year durations, and collateral enhancement ("C/E") well in excess of worst case loss

scenarios, as bonds have delivered much more than loss expectations have increased. Prices have the opportunity to appreciate

another several percent if spreads revert to early 2020 levels

•Prime Jumbo 2.0: Backed by the highest credit quality borrowers in RMBS, deals had muted forbearance take-up rates at the

height of the pandemic. Strong performance along with rapid prepays should lead to credit enhancement buildup, future

upgrade activity, and spread tightening on jumbo mezzanine profiles, supporting near term price appreciation

•Non-Performing Loan Securitizations: NPLs, especially those collateralized largely by Real Estate Owned ("REO")

properties, have benefited from robust 2020 Home Price Appreciation ("HPA") growth, limited new issue supply, and

improving credit fundamentals. NPL issuers continue selling re-performing loans and REOs out of existing structures rapidly

delevering these structures. Subordinate bonds remain below par, and currently yield in excess of 5% expected yield. We

expect price appreciation from early calls or spread tightening

•Mezzanine Tranches of Single Family Rental Securitizations: The SFR sector has been one of the strongest performing

sectors fundamentally since March driven by high quality tenants, a long term demographic demand for single family rentals,

and sophisticated SFR operators. Rental collections and revenue growth during the pandemic have remained in line with or

better than previous periods, while the SFR collateral has benefited from levels of HPA higher than the national average.

Mezzanine profiles in the sector can yield from 3-5+%

•Fannie Mae and Freddie Mac Multifamily Securitizations: GSE deals have seen continued low delinquencies rates and

rental collections have remained well above initial pandemic expectations. In our view these securities have always been

fundamentally mispriced, given historical performance, strong collateral underwriting, and experienced property sponsors.




222

Similar to CRT, assistance programs offered during the pandemic have aided the few borrowers who faced disruption. We

believe this sector will continue to offer strong total return, strong fundamentals can be accessed via securities with discount

dollar prices, intermediate to long spread duration, and material upside to spread tightening and collateral prepayments

The RMBS market will not be without risk in 2021, with the likelihood of some broader macro lead volatility impacting

valuations. Additionally, while cure rates for forborne loans are expected to be high and liquidation levels low, some non-

performing loans will inevitably lead to defaults and liquidations. However, several factors make this a much more favorable

backdrop for loans to liquidate in contrast with the great financial crisis 10 years ago (GFC). Firstly, mortgage servicers are

better equipped in terms of technology and loss mitigation techniques such as loan modification protocols which can be

expected to keep a higher percentage of borrowers cash flowing. Secondly, borrower home equity levels are at significantly

higher levels than the GFC, which should incentivize distressed borrowers to sell their homes to protect their equity. According

to Black Knight in their August Mortgage Monitor report, the percent of borrowers with negative equity is now below 2%

versus the highs experienced in 2010, when about 30% of borrowers had negative equity in their homes. Finally, we are in an

environment today where housing demand far outstrips available supply which should make for a supportive market for

borrowers to trade out of their homes and servicers to liquidate REO properties.

Another risk in our 2021 outlook is yield curve steepening. Monetary and fiscal policy continues to lead to a growing federal

deficit and more Treasury borrowing. We also expect higher levels of corporate and municipal debt to come to market as issuers

continue to take advantage of low rates. As the economy moves towards normalcy, given the Fed’s stated intention to keep the

target Fed Funds Rate near 0% and comfort with allowing inflation to exceed its long term target of 2%, we believe that the

intermediate and long portions of the yield curve may rise. The lower interest rate sensitivity of most RMBS profiles, and the

relatively low duration of the Fund, will help to preserve value relative to other fixed income sectors in such an environment.

Semper Capital Management

Date : January 2021




223

Note

STRF31 Dec 2020

$

STRF31 Dec 2019

$




Cash at bank 5 12,639,107 462,364



Other receivables 26 -

TOTAL ASSETS 337,455,069 252,695,500



Amount payable on purchase of securities 4,010,990 -





Directors fees payable 7 - 152




Payable to Investment Manager - 52,830

Other fees payable 12,480 974

TOTAL LIABILITIES (excluding net assets attributable to holders of redeemableparticipating shares) 4,433,653 259,314






224

Note

STRF31 Dec 2020

$

STRF31 Dec 2019



loss 9 12,215,915 7,083,785


Expense reimbursement from Investment Manager 7 - 26,752

Other income 22,680 -


EXPENSESInvestment management fees 7 1,340,232 768,246

Manager fees 7 226,039 185,624




Audit fees 7 10,850 17,693






Finance Costs


Profit Before Tax 11,702,755 7,735,554Increase in net assets attributable to holders of redeemable participating shares fromoperations 11,702,755 7,735,554






225

STRF31 Dec 2020

$

STRF31 Dec 2019










226

STRF31 Dec 2020

$

STRF31 Dec 2019









Increase in other receivables (26) (732,118)

Increase in payables 4,020,782 131,793








Net increase in cash 12,176,743 351,937


Net Cash at the end of the financial year 12,639,107 462,364



Cash at the end of the financial year 12,639,107 462,364






227


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS


1) LISTED SECURITIES : MORTGAGE BACKED SECURITIES


Fannie Mae Connecticut Avenue Securities

2.35% 25/08/2030 509,123 USD 506,577 508,152 0.15


2.70% 25/12/2030 681,522 USD 680,670 686,390 0.21


2.75% 25/05/2024 345,925 USD 359,763 338,240 0.10


4.50% 25/04/2029 278,579 USD 292,508 291,410 0.09

1,839,518 1,824,192 0.55

TOTAL LISTED SECURITIES : MORTGAGE BACKEDSECURITIES 1,839,518 1,824,192 0.55



1) OTHER ORGANISED MARKET : ASSET BACKED SECURITIES


Citigroup Mortgage Loan Trust 2007-

AMC1 0.31% 25/12/2036 461,287 USD 312,204 322,211 0.10

Countrywide Asset-Backed Certificates

0.29% 25/06/2035 2,301,544 USD 1,864,251 2,136,930 0.64


1.65% 25/01/2035 500,000 USD 500,000 500,682 0.15

First Franklin Mortgage Loan Trust 2006-

FF13 0.31% 25/10/2036 2,619,018 USD 1,794,027 2,103,574 0.63

GSAA Home Equity Trust 2006-17 0.63%

25/11/2036 3,478,856 USD 1,600,274 1,740,107 0.52

GSAMP Trust 2006-HE5 0.30% 25/08/2036 124,786 USD 116,675 122,783 0.04

Long Beach Mortgage Loan Trust 2006-

WL2 0.75% 25/01/2036 770,283 USD 723,103 722,870 0.22

Mastr Asset Backed Securities Trust 2006-

HE2 0.45% 25/06/2036 789,755 USD 459,045 451,672 0.14


WMC4 0.20% 25/10/2036 1,863,117 USD 707,984 812,700 0.24


WMC1 0.20% 25/01/2037 1,875,563 USD 764,292 693,964 0.21

Morgan Stanley ABS Capital I Inc Trust

2006-HE4 0.45% 25/06/2036 2,851,308 USD 1,831,381 1,892,023 0.57


2006-HE4 0.63% 25/06/2036 2,555,489 USD 1,669,231 1,542,739 0.46




228


Acquisitioncost

Fairvalue

% netassets

B) OTHER TRANSFERABLE SECURITIES DEALT ON ANOTHER REGULATED MARKET (continued)

1) OTHER ORGANISED MARKET : ASSET BACKED SECURITIES (continued)



2006-WMC2 0.25% 25/07/2036 129,989 USD 58,495 68,327 0.02

WaMu Asset-Backed Certificates WaMu

Series 2007-HE4 Trust 0.40% 25/07/2047 598,912 USD 435,709 447,647 0.13

12,836,671 13,558,229 4.07

TOTAL OTHER ORGANISED MARKET : ASSET BACKEDSECURITIES 12,836,671 13,558,229 4.07

2) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES


American Home Mortgage Assets Trust

2006-1 0.53% 25/05/2046 2,884,796 USD 2,307,837 2,695,652 0.81


2006-6 0.34% 25/12/2046 1,281,560 USD 1,104,454 1,066,237 0.32

Bear Stearns ALT-A Trust 2006-3 0.53%

25/05/2036 2,120,988 USD 2,400,362 2,368,058 0.71

Connecticut Avenue Securities Trust 2018-

R07 2.55% 25/04/2031 2,605,184 USD 2,583,203 2,613,483 0.78


R07 3.29% 25/04/2031 500,000 USD 505,625 451,297 0.14


R07 4.50% 25/04/2031 3,000,000 USD 2,954,063 3,063,677 0.92


R01 4.50% 25/07/2031 2,490,000 USD 2,742,015 2,552,761 0.77


R02 4.30% 25/08/2031 2,000,000 USD 1,917,500 2,020,133 0.61


R03 2.30% 25/09/2031 1,163,751 USD 1,148,477 1,166,833 0.35


R03 4.25% 25/09/2031 3,000,000 USD 3,071,797 3,038,038 0.91


R04 5.40% 25/06/2039 1,500,000 USD 1,621,289 1,538,018 0.46


R05 4.25% 25/07/2039 1,500,000 USD 1,535,938 1,516,305 0.45


R06 3.90% 25/09/2039 1,500,000 USD 1,500,000 1,457,999 0.44


R01 2.20% 25/01/2040 3,847,800 USD 3,805,021 3,847,630 1.16


R01 3.40% 25/01/2040 2,520,000 USD 2,541,494 2,504,835 0.75


R02 2.15% 25/01/2040 3,000,000 USD 2,965,313 2,995,098 0.90




229


Acquisitioncost

Fairvalue

% netassets


2) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES (continued)



R02 3.15% 25/01/2040 3,467,000 USD 3,467,000 3,310,893 0.99

Deutsche Alt-A Securities Mortgage Loan

Trust Series 2007-OA3 0.29% 25/07/2047 653,904 USD 547,645 605,944 0.18


2.50% 25/01/2031 1,417,060 USD 1,402,889 1,425,082 0.43

Freddie Mac Stacr Remic Trust 2019-

Hqa4 6.75% 25/11/2049 1,000,000 USD 1,000,000 964,284 0.29


DNA1 1.85% 25/01/2050 1,132,000 USD 1,123,510 1,128,758 0.34


DNA1 5.40% 25/01/2050 479,000 USD 480,705 458,523 0.14

Freddie Mac STACR Remic Trust 2020-

DNA2 2.65% 25/02/2050 2,386,000 USD 2,386,000 2,359,207 0.71

Freddie Mac STACR Remic Trust 2020-

DNA2 4.95% 25/02/2050 915,000 USD 915,000 850,504 0.26

Freddie Mac STACR REMIC Trust 2020-

DNA4 6.15% 25/08/2050 1,547,000 USD 1,630,635 1,647,413 0.49


DNA6 5.73% 25/12/2050 500,000 USD 500,000 507,922 0.15


HQA1 2.05% 25/01/2050 3,611,000 USD 3,599,281 3,613,124 1.08


HQA1 2.50% 25/01/2050 1,212,000 USD 1,212,000 1,192,357 0.36


HQA1 5.25% 25/01/2050 1,550,000 USD 1,556,250 1,436,994 0.43


HQA2 4.25% 25/03/2050 400,000 USD 400,000 406,691 0.12

Freddie Mac STACR Trust 2019-

DNA1 2.80% 25/01/2049 886,694 USD 873,394 888,507 0.27

Freddie Mac STACR Trust 2019-

DNA4 6.40% 25/10/2049 1,070,000 USD 1,079,660 1,094,377 0.33

Freddie Mac Structured Agency Credit Risk

Debt Notes 2.80% 25/12/2029 1,962,380 USD 1,950,116 1,984,965 0.60


Debt Notes 3.81% 25/05/2048 1,655,888 USD 1,623,337 1,667,671 0.50


Debt Notes 4.01% 25/09/2047 120,616 USD 121,031 121,330 0.04


Debt Notes 4.14% 25/08/2048 974,717 USD 965,066 980,114 0.29

GSR Mortgage Loan Trust 2006-

OA1 0.59% 25/08/2046 5,719,349 USD 1,930,280 1,992,579 0.60




230


Acquisitioncost

Fairvalue

% netassets


2) OTHER ORGANISED MARKET : MORTGAGE BACKED SECURITIES (continued)


HarborView Mortgage Loan Trust 2006-

1 0.63% 19/03/2037 1,019,888 USD 856,705 969,076 0.29

WaMu Mortgage Pass-Through Certificates

Series 2005-AR6 Trust 1.05% 25/04/2045 441,011 USD 326,772 337,202 0.10

64,651,664 64,839,571 19.47

TOTAL OTHER ORGANISED MARKET : MORTGAGE BACKEDSECURITIES 64,651,664 64,839,571 19.47



1) OTHER TRANSFERABLE SECURITIES : ASSET BACKED SECURITIES


ACE Securities Corp Home Equity Loan

Trust Series 2006-HE4 0.29% 25/10/2036 309,579 USD 208,192 193,360 0.06

Bayview Commercial Asset Trust 2006-

4 0.42% 25/12/2036 638,030 USD 608,338 591,236 0.18

Bear Stearns Asset Backed Securities I Trust

2006-HE9 0.38% 25/11/2036 815,000 USD 749,800 665,173 0.20

Bear Stearns Second Lien Trust 2007-

1 0.59% 25/08/2037 53,889 USD 51,035 50,085 0.01

Bear Stearns Second Lien Trust 2007-

SV1 1.50% 25/01/2036 244,368 USD 244,330 244,296 0.07

Carrington Mortgage Loan Trust

Series 2006-FRE2 0.31% 25/10/2036 1,131,020 USD 851,799 978,483 0.29


AMC1 0.37% 25/12/2036 2,263,789 USD 1,097,938 1,198,515 0.36

CoreVest American Finance 2017-2 Trust

5.62% 25/12/2027 750,000 USD 776,028 805,689 0.24

Corevest American Finance 2019-1 Trust

4.82% 15/03/2052 3,200,000 USD 3,118,967 3,541,322 1.06

Corevest American Finance 2019-1 Trust

5.49% 15/03/2052 242,500 USD 232,701 256,220 0.08


4.52% 25/10/2046 2,526,524 USD 2,374,933 2,452,994 0.74

CWABS Asset-Backed Certificates Trust

2007-12 0.95% 25/09/2035 295,429 USD 290,074 292,521 0.09

Fieldstone Mortgage Investment Trust

Series 2005-3 0.67% 25/02/2036 18,754 USD 18,426 18,772 0.01




231


Acquisitioncost

Fairvalue

% netassets


1) OTHER TRANSFERABLE SECURITIES : ASSET BACKED SECURITIES (continued)


Fieldstone Mortgage Investment Trust

Series 2007-1 0.42% 25/04/2047 781,722 USD 600,949 663,314 0.20


FF11 0.45% 25/08/2036 404,217 USD 366,827 356,218 0.11


FF14 0.25% 25/10/2036 2,070,718 USD 1,697,989 1,874,752 0.56

First Franklin Mortgage Loan Trust

Series 2007-FF2 0.29% 25/03/2037 3,093,663 USD 1,933,540 2,182,381 0.65

First NLC Trust 2007-1 0.22% 25/08/2037 513,564 USD 317,126 320,697 0.10

FirstKey Homes 2020-SFR1 Trust 2.79%

17/09/2025 1,250,000 USD 1,249,990 1,279,237 0.38


17/09/2025 1,500,000 USD 1,499,955 1,551,246 0.47


17/09/2025 2,500,000 USD 2,499,986 2,559,430 0.77

Home Equity Mortgage Loan Asset-Backed

Trust Series INABS 2006-D 0.29%

25/11/2036 1,243,107 USD 1,081,503 1,147,034 0.34

Home Equity Mortgage Loan Asset-Backed

Trust Series INABS 2007-A 0.34%

25/04/2037 1,245,107 USD 844,365 949,594 0.28

Home Partners of America 2017-1 Trust

3.69% 17/07/2034 3,000,000 USD 2,992,500 3,008,380 0.90

Home Partners of America 2019-1 Trust

4.10% 17/09/2039 475,362 USD 483,741 489,542 0.15

JP Morgan Mortgage Acquisition Trust

2006-HE3 0.26% 25/11/2036 1,925,836 USD 1,729,008 1,703,361 0.51

JP Morgan Mortgage Acquisition Trust

2006-HE3 0.31% 25/11/2036 639,109 USD 578,394 569,078 0.17

Lehman XS Trust 2006-9 0.67% 25/05/2046 105,055 USD 99,604 87,596 0.03


10 0.26% 25/11/2036 2,475,207 USD 996,271 1,116,952 0.33


11 0.25% 25/12/2036 4,263,432 USD 1,950,520 2,167,760 0.65


8 0.30% 25/09/2036 102,953 USD 77,552 76,080 0.02


WF1 2.01% 25/06/2035 1,809,404 USD 1,809,404 1,825,535 0.55


HE5 0.31% 25/11/2036 524,022 USD 374,676 391,546 0.12


NC2 0.63% 25/08/2036 1,825,126 USD 967,317 1,017,856 0.31


WMC1 0.29% 25/01/2037 6,674,825 USD 2,490,544 2,665,271 0.80




232


Acquisitioncost

Fairvalue

% netassets




Merrill Lynch Mortgage Investors Trust

Series 2005-AR1 1.15% 25/06/2036 438,796 USD 390,529 413,643 0.12


Series 2006-RM2 0.52% 25/05/2037 5,056,784 USD 1,934,220 2,094,355 0.63


Series 2007-HE2 0.27% 25/02/2037 109,630 USD 46,045 37,458 0.01

Mill City Mortgage Loan Trust 2017-

1 3.65% 25/11/2058 1,250,000 USD 1,334,717 1,332,057 0.40


2005-NC1 0.81% 25/01/2035 696,124 USD 683,941 680,348 0.20


2006-NC5 0.26% 25/10/2036 445,479 USD 278,424 290,702 0.09


2007-HE5 0.33% 25/03/2037 3,192,078 USD 1,747,663 1,667,343 0.50


2007-NC1 0.25% 25/11/2036 636,416 USD 420,035 394,780 0.12


2007-NC3 0.21% 25/05/2037 688,491 USD 530,138 577,628 0.17

New Century Home Equity Loan Trust

2006-2 0.40% 25/08/2036 1,000,000 USD 866,112 890,239 0.27

New Residential Mortgage LLC 2018-

FNT2 5.12% 25/07/2054 271,541 USD 271,504 272,409 0.08

Pretium Mortgage Credit Partners I 2020-

NPL1 LLC 3.97% 27/05/2059 1,819,000 USD 1,819,000 1,789,860 0.54

Progress Residential 2017-SFR1 Trust

5.35% 17/08/2034 1,759,000 USD 1,760,658 1,798,739 0.54


4.78% 17/03/2035 1,155,000 USD 1,177,198 1,163,147 0.35


4.95% 17/08/2035 1,250,000 USD 1,257,628 1,271,313 0.38


5.46% 17/08/2035 2,000,000 USD 1,938,366 2,016,726 0.61


4.87% 17/10/2035 1,500,000 USD 1,447,500 1,540,384 0.46


5.37% 17/10/2035 2,500,000 USD 2,478,403 2,564,239 0.77


5.62% 17/10/2035 2,500,000 USD 2,495,277 2,548,713 0.76


5.06% 17/08/2035 2,000,000 USD 2,050,686 2,065,137 0.62


5.31% 17/08/2035 3,000,000 USD 2,954,134 2,976,247 0.89


5.09% 17/05/2036 750,000 USD 750,581 754,725 0.23




233


Acquisitioncost

Fairvalue

% netassets





3.87% 17/09/2036 500,000 USD 499,986 510,293 0.15


4.12% 17/09/2036 800,000 USD 778,551 800,861 0.24


3.93% 17/10/2036 3,250,000 USD 3,082,983 3,269,948 0.98


4.03% 17/04/2037 2,600,000 USD 2,569,014 2,604,163 0.78


5.27% 17/04/2037 2,050,000 USD 2,005,993 2,027,656 0.61


6.23% 17/10/2027 606,000 USD 605,997 611,578 0.18

PRPM 2019-3 LLC 4.46% 25/07/2024 1,000,000 USD 999,990 993,963 0.30

Securitized Asset Backed Receivables LLC

Trust 2006-WM2 0.27% 25/09/2036 2,939,845 USD 2,175,485 2,515,128 0.75

Soundview Home Loan Trust 2006-3 0.65%

25/11/2036 2,500,000 USD 2,150,000 2,369,612 0.71

Soundview Home Loan Trust 2006-

OPT3 0.40% 25/06/2036 700,000 USD 630,000 675,851 0.20


OPT3 0.46% 25/06/2036 1,197,422 USD 859,311 1,086,256 0.33


OPT5 0.39% 25/07/2036 2,000,000 USD 1,580,000 1,797,623 0.54


WF1 0.71% 25/10/2036 519,026 USD 510,105 511,430 0.15

Specialty Underwriting & Residential

Finance Trust Series 2006-BC5 0.36%

25/11/2037 3,200,950 USD 1,912,567 2,229,703 0.67

Structured Asset Investment Loan Trust

2003-BC9 1.20% 25/08/2033 172,855 USD 171,990 170,206 0.05

Structured Asset Securities Corp Mortgage

Loan Trust 2006-BC3 0.47% 25/10/2036 2,272,812 USD 1,613,696 1,818,370 0.55

Towd Point Mortgage Trust 2015-2 3.34%

25/11/2060 250,000 USD 244,553 252,690 0.08


25/03/2054 250,000 USD 253,553 259,970 0.08


25/05/2055 250,000 USD 248,938 241,345 0.07


25/02/2055 250,000 USD 252,048 252,520 0.08


25/08/2055 1,000,000 USD 1,037,969 1,036,942 0.31


25/07/2056 250,000 USD 248,895 263,297 0.08




234


Acquisitioncost

Fairvalue

% netassets





25/10/2056 2,250,000 USD 2,312,127 2,239,829 0.67


25/10/2056 1,250,000 USD 1,295,081 1,221,999 0.37


25/04/2057 250,000 USD 253,555 257,311 0.08


25/07/2057 1,250,000 USD 1,293,398 1,279,401 0.38


25/05/2058 250,000 USD 225,810 227,523 0.07


25/05/2058 1,000,000 USD 1,038,402 964,189 0.29


25/06/2058 250,000 USD 211,500 213,803 0.06


25/07/2058 250,000 USD 216,539 220,636 0.07


25/07/2058 1,000,000 USD 1,023,027 960,799 0.29


25/03/2058 250,000 USD 235,813 263,313 0.08

Towd Point Mortgage Trust 2018-

SJ1 5.25% 25/10/2058 1,000,000 USD 1,000,000 1,046,026 0.31

Tricon American Homes 2017-SFR1 Trust

4.01% 17/09/2034 750,000 USD 735,586 764,698 0.23

Tricon American Homes 2017-SFR2 Trust

5.10% 17/01/2036 1,300,000 USD 1,315,313 1,360,123 0.41

VCAT 2020-NPL1 LLC 3.67% 25/08/2050 864,501 USD 864,489 875,955 0.26

Vericrest Opportunity Loan Trust 2019-

NPL2 3.97% 25/02/2049 848,491 USD 793,339 851,674 0.26


NPL2 6.29% 25/02/2049 500,000 USD 500,000 486,129 0.15


NPL5 5.19% 25/09/2049 1,000,000 USD 1,000,000 992,688 0.30


NPL7 5.19% 25/10/2049 1,000,000 USD 1,000,000 999,064 0.30


NPL8 4.09% 25/11/2049 1,000,000 USD 1,000,000 999,863 0.30


NPL8 5.19% 25/11/2049 1,000,000 USD 1,000,000 992,360 0.30


NPL2 3.67% 25/02/2050 3,000,000 USD 3,000,000 3,004,478 0.90


NPL2 4.34% 25/02/2050 2,000,000 USD 2,000,000 1,985,385 0.60


NPL5 3.47% 25/03/2050 687,500 USD 687,500 685,681 0.21




235


Acquisitioncost

Fairvalue

% netassets





NPL5 3.97% 25/03/2050 923,750 USD 923,750 909,056 0.27

VOLT LXXX LLC 4.09% 25/10/2049 1,340,000 USD 1,342,887 1,341,841 0.40

VOLT LXXX LLC 5.07% 25/10/2049 500,000 USD 500,000 496,635 0.15

VOLT LXXXIV LLC 3.43% 27/12/2049 395,934 USD 375,642 397,509 0.12

VOLT LXXXIV LLC 3.97% 26/12/2049 1,900,000 USD 1,900,000 1,902,525 0.57

VOLT LXXXIV LLC 4.70% 26/12/2049 1,125,000 USD 1,125,000 1,120,505 0.34

VOLT LXXXV LLC 3.72% 25/01/2050 2,000,000 USD 2,000,000 1,999,345 0.60

VOLT LXXXV LLC 4.46% 25/01/2050 1,900,000 USD 1,900,000 1,884,618 0.57

VOLT LXXXVII LLC 3.67% 25/02/2050 2,000,000 USD 2,000,000 2,000,244 0.60

VOLT LXXXVII LLC 4.34% 25/02/2050 2,188,000 USD 2,188,000 2,180,848 0.65

VOLT LXXXVIII LLC 4.09% 25/03/2050 769,000 USD 769,000 758,520 0.23


Series 2007-HE2 Trust 0.34% 25/04/2037 2,370,928 USD 1,234,868 1,219,016 0.37


Series 2007-HE4 Trust 0.32% 25/07/2047 2,804,053 USD 2,025,929 2,349,660 0.71

131,615,260 136,184,372 40.89

TOTAL OTHER TRANSFERABLE SECURITIES : ASSETBACKED SECURITIES 131,615,260 136,184,372 40.89

2) OTHER TRANSFERABLE SECURITIES : MORTGAGE BACKED SECURITIES

BERMUDA ISLANDS

Oaktown Re III Ltd 2.70% 25/07/2029 1,500,000 USD 1,505,625 1,432,640 0.43

1,505,625 1,432,640 0.43


Alternative Loan Trust 2006-18CB 0.62%

25/07/2036 486,225 USD 342,789 226,705 0.07

Alternative Loan Trust 2007-16CB 0.55%

25/08/2037 572,052 USD 489,105 409,214 0.12


2007-1 1.31% 01/02/2047 1,403,979 USD 877,487 809,858 0.24

Angel Oak Mortgage Trust 2019-3 3.24%

25/05/2059 534,181 USD 510,477 542,069 0.16


25/05/2059 1,000,000 USD 999,987 1,015,157 0.30


25/12/2059 500,000 USD 499,988 502,513 0.15

Angel Oak Mortgage Trust I LLC 2019-

2 5.02% 25/03/2049 900,000 USD 912,986 924,624 0.28




236


Acquisitioncost

Fairvalue

% netassets


2) OTHER TRANSFERABLE SECURITIES : MORTGAGE BACKED SECURITIES (continued)


Arroyo Mortgage Trust 2018-1 4.22%

25/04/2048 464,215 USD 442,165 472,546 0.14

Banc of America Funding Corp 0.60%

25/07/2037 374,273 USD 247,020 247,527 0.07

Bear Stearns ALT-A Trust 2005-9 0.67%

25/11/2035 756,630 USD 876,745 871,602 0.26

BX Trust 2019-CALM 2.16% 25/11/2028 625,000 USD 625,000 599,377 0.18

CHL Mortgage Pass-Through Trust 2007-

11 6.00% 25/08/2037 619,782 USD 512,095 449,949 0.14


WFHE2 0.62% 25/03/2037 500,000 USD 460,000 462,671 0.14


2 0.90% 25/08/2035 300,559 USD 264,492 227,826 0.07


RP2 3.50% 25/02/2058 500,000 USD 524,375 537,776 0.16

CitiMortgage Alternative Loan Trust

Series 2007-A7 0.55% 25/07/2037 562,426 USD 478,062 409,334 0.12

Deephaven Residential Mortgage Trust

2017-2 3.90% 25/06/2047 1,000,000 USD 965,000 1,032,894 0.31


2018-1 4.34% 25/12/2057 1,500,000 USD 1,503,281 1,538,298 0.46


2018-3 5.01% 25/08/2058 350,000 USD 349,989 356,149 0.11

Flagstar Mortgage Trust 2017-2 4.11%

25/10/2047 3,251,300 USD 3,192,370 3,218,151 0.97

Flagstar Mortgage Trust 2018-1 4.01%

25/03/2048 3,281,708 USD 3,265,299 3,423,591 1.03


HQA2 2.05% 25/03/2050 1,000,000 USD 1,001,250 1,009,856 0.30


HQA2 4.45% 25/03/2050 2,000,000 USD 2,003,250 2,009,787 0.60


HQA2 7.75% 25/03/2050 1,500,000 USD 1,500,000 1,425,497 0.43


Debt Notes 4.48% 25/11/2048 1,239,853 USD 845,550 1,245,466 0.37

Freddie Mac Whole Loan Securities Trust

2017-SC02 3.82% 25/05/2047 500,000 USD 500,000 501,644 0.15


2017-SC02 3.82% 25/05/2047 1,260,839 USD 1,268,916 1,267,676 0.38


3.60% 25/12/2046 530,000 USD 542,712 531,619 0.16

FREMF 2017-KF35 Mortgage Trust 2.90%

25/08/2024 1,610,750 USD 1,582,562 1,592,370 0.48

FREMF 2018-K731 Mortgage Trust 3.93%

25/02/2025 270,000 USD 252,427 284,718 0.09




237


Acquisitioncost

Fairvalue

% netassets




GMAC Commercial Mortgage Asset Corp

0.17% 10/05/2050 67,709,542 USD 1,184,053 1,263,934 0.38

GMAC Commercial Mortgage Asset Corp

0.58% 10/07/2050 3,153,772 USD 197,361 196,444 0.06

HarborView Mortgage Loan Trust 2004-

11 0.85% 19/01/2035 729,549 USD 488,798 399,069 0.12

Homeward Opportunities Fund I Trust

2018-1 5.30% 25/06/2048 750,000 USD 749,987 767,313 0.23

JP Morgan Mortgage Trust 2006-S4 0.53%

25/01/2037 3,275,457 USD 1,554,662 1,004,460 0.30

JP Morgan Mortgage Trust 2014-

IVR6 2.51% 25/07/2044 1,000,000 USD 990,000 1,037,732 0.31

JP Morgan Mortgage Trust 2017-5 3.13%

26/10/2048 1,926,672 USD 1,620,468 1,797,979 0.54


26/10/2048 1,600,101 USD 1,481,343 1,485,467 0.45


25/06/2048 5,537,810 USD 205,270 23,237 0.01


25/09/2048 22,159,346 USD 338,008 78,743 0.02


25/04/2048 244,719 USD 237,045 254,323 0.08


25/10/2048 19,667,270 USD 353,702 68,873 0.02


25/12/2048 470,440 USD 456,943 494,074 0.15

JP Morgan Trust 2015-5 2.55% 25/05/2045 1,662,000 USD 1,578,900 1,726,981 0.52

Lehman Brothers Small Balance

Commercial Mortgage Trust 2006-3 0.54%

25/12/2036 750,000 USD 697,500 707,074 0.21

Lehman Brothers Small Balance

Commercial Mortgage Trust 2007-1 0.65%

25/03/2037 750,000 USD 678,750 666,014 0.20

LSTAR Securities Investment Ltd 2019-

3 2.64% 01/04/2024 2,750,000 USD 2,442,976 2,741,275 0.82


4 2.64% 01/05/2024 2,750,000 USD 2,444,044 2,801,295 0.84


5 2.64% 01/11/2024 3,500,000 USD 3,240,635 3,433,654 1.03

LSTAR Securities Investment Trust 2019-

1 2.74% 01/03/2024 2,250,000 USD 2,029,966 2,254,113 0.68

LSTAR Securities Investment Trust 2019-

2 2.64% 01/04/2024 2,250,000 USD 2,029,023 1,679,131 0.50

MASTR Reperforming Loan Trust 2006-

2 4.32% 25/05/2036 317,407 USD 301,802 293,732 0.09




238


Acquisitioncost

Fairvalue

% netassets




Multifamily Connecticut Avenue Securities

Trust 2019-01 1.85% 15/10/2049 1,833,021 USD 1,761,993 1,791,796 0.54


Trust 2019-01 3.40% 15/10/2049 3,500,000 USD 2,870,937 3,289,689 0.99


Trust 2020-01 2.10% 25/03/2050 1,861,353 USD 1,647,297 1,846,592 0.55


Trust 2020-01 3.90% 25/03/2050 3,500,000 USD 3,040,254 3,433,390 1.03

Pretium Mortgage Credit Partners I 2020-

CFL1 LLC 4.21% 27/02/2060 1,896,756 USD 1,896,756 1,826,686 0.55

PRPM 2020-2 LLC 3.67% 25/08/2025 946,401 USD 946,384 956,837 0.29

RALI Series 2006-QO7 Trust 1.41%

25/09/2046 1,549,157 USD 1,285,801 1,438,599 0.43

RALI Series 2007-QS8 Trust 0.75%

25/06/2037 3,106,349 USD 2,073,488 2,168,298 0.65

Reperforming Loan REMIC Trust 2005-

R1 0.51% 25/03/2035 419,481 USD 391,428 389,653 0.12

Seasoned Credit Risk Transfer Trust 2017-

4 4.75% 25/06/2057 2,425,000 USD 2,525,410 2,505,573 0.75

Seasoned Credit Risk Transfer Trust

Series 2016-1 3.00% 25/09/2055 517,682 USD 500,211 518,574 0.16


Series 2017-1 4.00% 25/01/2056 550,000 USD 511,758 549,800 0.17


Series 2017-2 4.00% 25/08/2056 800,000 USD 742,000 808,930 0.24


Series 2017-3 4.75% 25/07/2056 750,000 USD 735,586 750,972 0.23


Series 2018-1 4.75% 25/05/2057 750,000 USD 737,930 768,653 0.23


Series 2018-2 0.07% 25/11/2057 73,024,213 USD 300,198 183,243 0.06


Series 2018-2 1.57% 25/11/2057 1,656,571 USD 994,265 765,656 0.23


Series 2018-2 4.75% 25/11/2057 750,000 USD 734,648 775,407 0.23


Series 2018-3 4.75% 25/08/2057 1,000,000 USD 954,438 1,030,883 0.31


Series 2018-4 4.75% 25/03/2058 1,000,000 USD 923,125 1,025,567 0.31

Sequoia Mortgage Trust 2018-2 3.75%

25/02/2048 1,427,564 USD 1,443,625 1,449,084 0.44

Sequoia Mortgage Trust 2018-7 0.23%

25/09/2048 5,413,531 USD 243,248 15,145 0.00

Tricon American Homes 2020-SFR1 4.88%

17/07/2038 1,500,000 USD 1,610,625 1,615,620 0.49




239


Acquisitioncost

Fairvalue

% netassets




Velocity Commercial Capital Loan Trust

2018-2 4.72% 26/10/2048 469,292 USD 469,279 482,277 0.14

Verus Securitization Trust 2018-3 5.69%

25/10/2058 1,000,000 USD 1,029,375 1,014,421 0.30


25/11/2059 474,000 USD 473,993 469,149 0.14

Verus Securitization Trust 2019-

INV2 4.45% 25/07/2059 500,000 USD 499,984 492,800 0.15

Verus Securitization Trust 2019-

INV3 4.79% 25/11/2059 650,000 USD 649,990 660,153 0.20


25/01/2060 500,000 USD 499,988 501,057 0.15


25/05/2065 518,000 USD 517,984 529,603 0.16


25/05/2065 302,000 USD 301,995 307,365 0.09

VOLT LXXXIII LLC 4.95% 26/11/2049 1,240,000 USD 1,240,675 1,230,917 0.37


Series 2005-AR1 Trust 0.97% 25/01/2045 2,157,641 USD 2,016,046 2,104,366 0.63













Washington Mutual Mortgage Pass-Through

Certificates WMALT Series 2006-

AR9 Trust 1.45% 25/11/2046 453,630 USD 397,209 382,885 0.11

Wells Fargo Mortgage Backed Securities

2018-1 0.19% 25/07/2047 10,778,181 USD 273,980 29,486 0.01

94,609,967 95,837,809 28.78

TOTAL OTHER TRANSFERABLE SECURITIES : MORTGAGEBACKED SECURITIES 96,115,592 97,270,449 29.21





240









05/01/2021 USD 555 GBP (408) RBC IS Bank Luxembourg (3) 0.00

15/01/2021 EUR 409,314 USD (496,550) RBC IS Bank Luxembourg 3,656 0.00




15/01/2021 GBP 224,097,050 USD (296,548,522) RBC IS Bank Luxembourg 9,931,533 2.98



15/01/2021 EUR 4,739 USD (5,819) RBC IS Bank Luxembourg (27) 0.00





10,330,334 3.10

TOTAL FORWARD CURRENCY EXCHANGE CONTRACTS 10,330,334 3.10



OTHER ASSETS 13,340,626 4.01





Cash at Bank 3.75


Total Assets 99.87




241


$% of

Total PurchasesUnited States Treasury Bill 0.00% 23/01/2020 17,100,000 17,095,333 3.24

















Freddie Mac Stacr Remic Trust 2020-DNA1 1.85% 25/01/2050 6,732,000 6,616,072 1.25





$% of

Total SalesUnited States Treasury Bill 0.00% 23/01/2020 17,100,000 17,099,754 3.72




















Connecticut Avenue Securities Trust 2019-R06 2.25% 25/09/2039 6,200,000 5,597,492 1.22

Freddie Mac Stacr Remic Trust 2020-DNA1 1.85% 25/01/2050 5,600,000 5,570,728 1.21


Freddie Mac STACR Trust 2019-DNA4 2.10% 25/10/2049 5,000,000 5,002,025 1.09






242

Introduction

The Fund’s objective is to achieve an annualised return of 7-8% per annum over the medium to long-term and aims to do so in

anything but the bleakest of market conditions. It achieves this via exposure to a diversified portfolio of autocallable

instruments linked to major global equity indices.

Performance Review

The Fund launched in February 2020 and began making investments in March. Since then, the Fund has made investments into

eighteen different equity market linked autocallable instruments, collateralised on G7 Government Bonds.

The Fund USD A-class ended 2020 with a performance of +6.16%, which puts the Fund on track to achieve 7-8% over the first

12 months which we believe is a good performance given equity market performance in 2020 and the fact that we were not

continuously fully invested throughout the period.

We believe the Fund’s current portfolio of investments are on track to generate annualised positive returns, with each

investment currently well above its final autocall barrier.

If equity markets remain around their current level, the Fund is well placed to deliver the target return of 7-8% in its first year

of being fully invested. This would be a very good outcome considering the unforgettable year 2020 has proven to be.

Outlook

It is always difficult to predict how markets might perform in the future. However, the Fund is currently well positioned to

continue to grow its AUM, increase its portfolio of investments and in turn deliver its stated aim of returning 7% to 8% per

annum over the medium to long term.

Conor O’Donnell

Date: January 2021



Causeway Defined Growth Fund

243

Note

CDGF*31 Dec 2020

$


Investments in Transferable Securities 3 10,404,810

Investments in Financial Derivative Instruments 3 610,352

Cash at bank 5 1,069,454

Cash held as collateral 5 360,000

Dividends and interest receivable 19,737

Amount receivable on subscriptions 71,175

Receivable from Investment Manager 7 80,039

TOTAL ASSETS 12,615,567



Investment management fees payable 7 36,279

Sub-Investment management fees payable 7 1,924

Manager fee payable 7 4,998

Administration fees payable 7 8,357

Transfer agency fees payable 7 2,999

Directors fees payable 7 106

Depositary and depositary oversight fees payable 7 5,938

Audit fees payable 7 4,497

Other fees payable 10,821

TOTAL LIABILITIES (excluding net assets attributable to holders of redeemable participating shares) 168,571

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 12,446,996

*Launched on 31st January 2020.



Statement of Financial Position as at 31st December 2020


244

Note

CDGF*31 Dec 2020

$INCOMEBond interest income 24,755

Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 9 837,390

Bank interest 1,468

Expense reimbursement from Investment Manager 7 121,455

Other income 881

TOTAL INVESTMENT INCOME 985,949

EXPENSESInvestment management fees 7 36,279

Sub-Investment management fees 7 4,132

Manager fees 7 48,463

Administration fees 7 15,353

Director fees 7 10,779

Depositary and depositary oversight fees 7 17,790

Audit fees 7 9,431

Transfer agency fees 7 11,551

Swap interest expenses 11,681

Bank interest expense 63

Formation expenses 38,778

Other fees and expenses 7 46,421

Total Operating Expenses 250,721

Operating Profit 735,228Increase in net assets attributable to holders of redeemable participating shares from operations 735,228





Statement of Comprehensive Incomefor the Financial Year Ended 31st December 2020


245

CDGF*31 Dec 2020

$Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial year -

Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 735,228

Capital transactionsIssue of redeemable shares during the financial year 12,544,599

Redemption of redeemable shares during the financial year (832,831)

Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial year 12,446,996






246

CDGF*31 Dec 2020

$Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 735,228



Bond interest income (24,755)

Operating profit before working capital changes 710,473


Net increase in financial assets and liabilities at fair value (10,922,510)

Increase in other receivables (440,039)

Increase in payables 75,919

Cash used in operating activities (10,576,157)

Interest received 5,018

Net cash used in operating activities (10,571,139)

Cash flows from financing activitiesProceeds from issue of redeemable participating shares 12,473,424

Payment on redemptions of redeemable participating shares (832,831)

Net cash provided by financing activities 11,640,593

Net increase in cash 1,069,454

Net Cash at the start of the financial year -

Net Cash at the end of the financial year 1,069,454

Analysis of CashCash at the start of the financial year -

Overdraft at the start of the financial year -

Cash at the end of the financial year 1,069,454

Overdraft at the end of the financial year -






247


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS





Bonds 0.13% 15/07/2026 2,500,000 USD 2,976,593 2,987,085 24.00

United States Treasury Note/Bond 0.25%

15/04/2023 1,000 USD 1,002 1,002 0.01


15/11/2023 1,000 USD 1,000 1,003 0.01


31/05/2021 1,360,000 USD 1,369,456 1,367,119 10.98


30/11/2023 1,000 USD 1,080 1,079 0.01

4,349,131 4,357,288 35.01





JAPAN

Japan Government Twenty Year Bond

2.10% 20/03/2026 278,700,000 JPY 2,978,826 3,010,916 24.19

2,978,826 3,010,916 24.19



Bonds 0.13% 15/04/2025 2,800,000 USD 2,988,141 3,036,606 24.39

2,988,141 3,036,606 24.39





Causeway Defined Growth Fund*


248












29/01/2021 EUR 793 USD (976) RBC IS Bank Luxembourg (5) 0.00






93,134 0.75


AUTOCALLABLE SWAPS


Fairvalue

% netassets

21/03/2025 3m USD LIBOR Societe Generale NKY/HSI 400,000 USD 45,520 0.37

28/04/2025 3m USD LIBOR Societe Generale SPX/SMI 500,000 USD 26,100 0.21

05/06/2025 3m USD LIBOR Goldman Sachs International UKX/SPX/SX5E 500,000 USD 35,000 0.28

21/10/2025 3m USD LIBOR Credit Agricole CIB SPX/HSCEI/NKY 600,000 USD 33,060 0.27

01/12/2025 3m USD LIBOR Credit Agricole CIB NDX/HSCEI/SMI 700,000 USD (560) (0.01)

04/03/2026 3m USD LIBOR Societe Generale UKX/SPX/SX5E 411,000 USD 19,153 0.15

13/03/2026 3m USD LIBOR Societe Generale UKX/SPX/SX5E 400,000 USD 37,040 0.30

27/07/2026 3m USD LIBOR Morgan Stanley SPX/SX5E/NKY 800,000 USD 68,160 0.55

30/07/2026 3m USD LIBOR Morgan Stanley UKX/SX5E/HSI 830,000 USD 42,496 0.34

17/08/2026 3m USD LIBOR Morgan Stanley UKX/SPX/SX5E 680,000 USD 30,600 0.25

20/08/2026 3m USD LIBOR Morgan Stanley UKX/HSI/AS51 740,000 USD 26,048 0.21

10/09/2026 3m USD LIBOR Credit Agricole CIB UKX/SX5E/SMI 920,000 USD 28,888 0.23

23/09/2026 3m USD LIBOR Credit Agricole CIB UKX/SPX/SX5E 720,000 USD 36,864 0.30

13/10/2026 3m USD LIBOR Morgan Stanley SPX/NKY 560,000 USD 33,992 0.27

15/10/2026 3m USD LIBOR Credit Agricole CIB SX5E/SMI 500,000 USD 23,450 0.19

20/10/2026 3m USD LIBOR Morgan Stanley SX5E/AS51 600,000 USD 30,480 0.24

30/11/2026 3m USD LIBOR Credit Agricole CIB UKX/SPX/SX5E 700,000 USD (2,800) (0.02)

10/12/2026 3m USD LIBOR Morgan Stanley AS51/NKY/HSCEI 650,000 USD (4,940) (0.04)

508,551 4.09

TOTAL AUTOCALLABLE SWAPS 508,551 4.09





249

CROSS CURRENCY SWAPS

Rate Floating CounterpartiesUnderlying IndexBasket Notional Currency Fair Value

% netassets

3m USD LIBOR JP Morgan Securities Plc. 3m USD LIBOR 2,988,538 USD (42,010) (0.34)

3m USD LIBOR JP Morgan Securities Plc. 3m USD LIBOR 2,978,032 USD (4,929) (0.04)

3m USD LIBOR RBC IS Bank Luxembourg 3m USD LIBOR 2,999,677 USD (37,046) (0.30)

(83,985) (0.68)

TOTAL CROSS CURRENCY SWAPS (83,985) (0.68)



OTHER ASSETS 1,600,405 12.86





Cash at Bank 11.33


Total Assets 98.64





250


$% of

Total PurchasesUnited States Treasury Inflation Indexed Bonds 0.13% 15/04/2025 2,800,000 2,988,141 12.02

Japan Government Twenty Year Bond 2.10% 20/03/2026 278,700,000 2,978,826 11.98


United States Treasury Note/Bond 1.38% 31/05/2021 2,660,000 2,678,495 10.77















United States Treasury Note/Bond 2.88% 30/11/2023 1,000 1,080 -

United States Treasury Note/Bond 0.25% 15/04/2023 1,000 1,002 -


$% of





















251

Market Review

The Fund’s fiscal year has spanned an extraordinary period for the economy and markets. The global equity and global

convertible markets rose steadily from the beginning of the reporting period into February, when the COVID-19 crisis and

tension between OPEC and Russia roiled the markets, with three years of equity market gains evaporating in a matter of days.

As central banks and governments took decisive steps in response to the rapidly unfolding global health crisis, investor

sentiment improved quickly and financial markets rebounded dramatically. Yet, even during this upswing, markets remained

volatile due to uncertainty surrounding the pandemic and the potential fiscal policy impacts of looming U.S. elections. In the

final months of the reporting period, market participants focused on encouraging vaccine developments, favorable economic

data, and greater clarity in the wake of November elections in the United States.

During the reporting period, the Calamos Global Convertible Fund demonstrated the merits of active management. For the

12 months ended 31 December 2020, the Fund returned 39.52% (U.S. Accumulating I shares), outperforming the Refinitiv

Global Convertible Bond Index’s gain of 35.11%, and the MSCI World Index’s return of 16.50%. The Fund also outperformed

the Morningstar Convertible Bond-Global Category’s average return of 25.40% for 2020.

The Fund’s performance during the year was supported by its ability to capture upside in advancing markets, with less exposure

to downside. As markets advanced from 1 January 2020 to 19 February 2020, the Fund gained 6.07%, outperforming the

Refinitiv Global Convertible Bond Index’s return of 5.14% and the MSCI World Index’s return of 3.31%. The Fund was more

resilient during the downturn, returning -17.59% from 20 February 2020 to 23 March 2020, versus steeper declines of -22.00%

for the Refinitiv Global Convertible Bond Index and -33.93% for the MSCI World Index. The Fund participated in a substantial

measure of the subsequent rebound, gaining 59.60% from 24 March 2020 to 31 December 2020, versus a return of 64.76% for

the Refinitiv Global Convertible Bond Index and 70.67% for the MSCI World Index.

Performance Review

Heading into the COVID-19 crisis, the Calamos Global Convertible Fund was well situated with a heavy representation in areas

poised to benefit from the “at home” paradigm, including technologies that allowed people to work, learn, shop, and receive

medical attention from home. Additionally, while the convertible market did not begin the reporting period with many of the

holdings that the COVID-19 lockdown pressured most (for example, cruise lines, airlines, and brick-and-mortar retailers),

many of these companies tapped the convertible market as they sought access to lower-cost capital to help shore up their

balance sheets. The Fund selectively purchased a number of these issues at the bottom of the market and participated as their

underlying stocks began to recover. Robust new issuance expanded the global convertible market, and importantly, provided an

opportunity to rebalance convertible positions that had become either too bond sensitive or equity sensitive with convertibles

that we believed offered more attractive risk-reward profiles.

From an economic sector attribution perspective, the Fund benefited from favorable security selection in the consumer

discretionary sector, with notable contributions from holdings in the hotels, resorts and cruise lines industry and the automobile

manufacturers industry supporting the overall return. An underweight stance and selection in industrials also proved beneficial.

Here, holdings in the aerospace and defense industry and industrial machinery industry added value. The Fund’s overweight

stance and security selection in the consumer staples sector detracted, with holdings in the hypermarkets and super centers

industry and packaged food and meats industry curbing relative returns. Additionally, security selection in the real estate sector

detracted from performance over the reporting period, as holdings in the real estate operating companies and diversified real

estate activities industries underperformed.

From a geographic perspective, the Fund benefited from favorable security selection and an overweight position in the

United States. Security selection and an underweight allocation in Europe also proved advantageous. In contrast, a lack of

exposure to Emerging Latin America weakened relative performance, as did an underweight stance and security selection in

Emerging Europe.

Outlook

The case for convertible securities as a strategic portfolio cornerstone is as strong as ever. Convertibles provide a breadth of

investment opportunities, from both sector and market cap standpoints. Issuance is driven by companies seeking capital, which

is tied to economic growth. In 2020, a diverse group of global companies issued $158.6 billion (USD) in new securities, the

largest amount since 2007. We view this volume as a very positive indicator for the asset class and for future economic growth.



Calamos Global Convertible Fund

252

As hybrid securities, convertibles provide risk-managed access to the upside of stocks with potentially lower volatility which

we see as a key priority in 2021. This includes the opportunity to invest in smaller companies - tomorrow's leaders - and

well-established companies. Additionally, due to their equity attributes, convertibles can offer a hedge against rising interest

rates. Maximizing the attributes of convertibles requires an active approach, and we are focused on continual rebalancing,

favoring issues with balanced equity and fixed income sensitivities. These provide the best potential to participate in equity

upside while mitigating downside.

In closing, we thank you for your trust.

Calamos Advisors LLC

Date : January 2021



Calamos Global Convertible Fund (continued)

253

Note

CGCF*31 Dec 2020

$


Investments in Transferable Securities 3 554,503,314


Cash at bank 5 5,739,449

Dividends and interest receivable 1,008,994

Amount receivable on subscriptions 68,154,978

Other receivables 1,175,677

TOTAL ASSETS 630,644,702



Bank Overdraft 5 411,082

Amount payable on purchase of securities 3,183,257

Investment management fees payable 7 522,751

Manager fee payable 7 26,860

Administration fees payable 7 13,875

Transfer agency fees payable 7 3,519

Directors fees payable 7 1,035

Depositary and depositary oversight fees payable 7 497

Audit fees payable 7 1,068

Redemptions payable 62,592,234

Other fees payable 765,315

TOTAL LIABILITIES (excluding net assets attributable to holders of redeemable participating shares) 67,686,703

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES 562,957,999

*Launched on 30th November 2020.



Statement of Financial Position as at 31st December 2020


254

Note

CGCF*31 Dec 2020

$INCOMEDividend income 369,769

Bond interest income 250,866

Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 9 23,823,973

Other income 147

TOTAL INVESTMENT INCOME 24,444,755

EXPENSESInvestment management fees 7 522,752

Manager fees 7 27,663

Administration fees 7 60,083

Director fees 7 1,035

Depositary and depositary oversight fees 7 497

Audit fees 7 1,068

Transfer agency fees 7 3,519

Bank interest expense 1,807

Formation expenses 1,070

Other fees and expenses 7 314,201

Total Operating Expenses 933,695

Operating Profit 23,511,060

Withholding tax 105,027

Increase in net assets attributable to holders of redeemable participating shares from operations 23,406,033





Statement of Comprehensive Incomefor the Financial Year Ended 31st December 2020


255

CGCF*31 Dec 2020

$Net Assets attributable to holders of Redeemable Participating Shares at the beginning of the financial year -

Increase in Net Assets attributable to Holders of Redeemable Participating Shares from operations 23,406,033

Capital transactionsIssue of redeemable shares during the financial year 606,962,832

Redemption of redeemable shares during the financial year (67,410,866)

Net Assets attributable to Holders of Redeemable Participating Shares at the end of the financial year 562,957,999






256

CGCF*31 Dec 2020

$Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable ParticipatingShares from operations 23,406,033



Bond interest income (250,866)

Dividend income (369,769)

Tax expense 105,027

Operating profit before working capital changes 22,890,425


Net increase in financial assets and liabilities at fair value (554,400,394)

Increase in other receivables (1,175,677)

Increase in payables 4,518,177

Cash used in operating activities (528,167,469)

Interest paid (564,392)

Dividend received 176,033

Taxation (105,027)

Net cash used in operating activities (528,660,855)

Cash flows from financing activitiesProceeds from issue of redeemable participating shares 538,807,854

Payment on redemptions of redeemable participating shares (4,818,632)

Net cash provided by financing activities 533,989,222

Net increase in cash 5,328,367

Net Cash at the start of the financial year -

Net Cash at the end of the financial year 5,328,367

Analysis of CashCash at the start of the financial year -

Overdraft at the start of the financial year -

Cash at the end of the financial year 5,739,449

Overdraft at the end of the financial year (411,082)






257


Acquisitioncost

Fairvalue

% netassets

1) INVESTMENTS




American Electric Power Co Inc 6.13% /

Preference 31,300 USD 1,580,682 1,568,130 0.28

Assurant Inc 6.50% / Preference 13,655 USD 1,752,602 1,773,102 0.31

Bank of America Corp 7.25% / Preference 6,180 USD 9,282,074 9,384,824 1.67

Broadcom Inc 8.00% / Preference 4,886 USD 6,472,375 6,950,188 1.23

Danaher Corp 4.75% / Preference 3,172 USD 4,757,757 4,813,954 0.85

DTE Energy Co 6.25% / Preference 32,278 USD 1,580,369 1,553,863 0.28

Essential Utilities Inc 6.00% / Preference 66,576 USD 3,987,720 4,129,044 0.73

KKR & Co Inc 6.00% / Preference 42,906 USD 2,460,515 2,586,374 0.46

NextEra Energy Inc 6.22% / Preference 72,035 USD 3,584,763 3,700,438 0.66

Sempra Energy 6.00% / Preference 11,713 USD 1,218,738 1,168,488 0.21

Sempra Energy 6.75% / Preference 17,373 USD 1,839,070 1,802,101 0.32

Wells Fargo & Co 7.50% / Preference 6,146 USD 8,822,151 9,329,013 1.66

47,338,816 48,759,519 8.66



CANADA

Air Canada 4.00% 01/07/2025 5,322,000 USD 8,058,998 8,002,478 1.42

Shopify Inc 0.13% 01/11/2025 965,000 USD 1,087,350 1,143,400 0.20

9,146,348 9,145,878 1.62

CAYMAN ISLANDS

Harvest International Co 0.00% 21/11/2022 28,000,000 HKD 4,488,348 5,406,245 0.96

4,488,348 5,406,245 0.96

CHINA

WuXi AppTec Co Ltd 0.00% 17/09/2024 2,600,000 USD 4,097,074 5,063,552 0.90

4,097,074 5,063,552 0.90

DENMARK

GN Store Nord AS 0.00% 21/05/2024 1,000,000 EUR 1,438,516 1,441,694 0.26

1,438,516 1,441,694 0.26

FRANCE

Carrefour SA 0.00% 27/03/2024 9,000,000 USD 8,783,726 8,796,600 1.56

SEB SA 0.00% 17/11/2021 9,508 EUR 2,085,136 2,119,924 0.38

SOITEC 0.00% 01/10/2025 32,185 EUR 7,378,582 7,939,096 1.41



Calamos Global Convertible Fund*


258


Acquisitioncost

Fairvalue

% netassets



FRANCE (continued)

TOTAL SE 0.50% 02/12/2022 EMTN 4,400,000 USD 4,483,024 4,504,016 0.80

Vinci SA 0.38% 16/02/2022 3,800,000 USD 4,513,988 4,290,086 0.76

27,244,456 27,649,722 4.91

GERMANY

BASF SE 0.93% 09/03/2023 EMTN 7,750,000 USD 7,734,687 7,806,497 1.39

Delivery Hero SE 0.88% 15/07/2025 3,400,000 EUR 4,223,179 4,706,165 0.84

Duerr AG 0.75% 15/01/2026 2,000,000 EUR 2,729,862 2,900,246 0.51

HelloFresh SE 0.75% 13/05/2025 1,300,000 EUR 2,016,450 2,316,516 0.41

LEG Immobilien AG 0.40% 30/06/2028 3,200,000 EUR 4,045,974 4,151,851 0.74

Symrise AG 0.24% 20/06/2024 800,000 EUR 1,208,823 1,242,692 0.22

Zalando SE 0.05% 06/08/2025 3,400,000 EUR 4,873,533 5,321,813 0.94

26,832,508 28,445,780 5.05

GREAT BRITAIN

Ocado Group Plc 0.75% 18/01/2027 2,200,000 GBP 3,214,045 3,381,765 0.60

3,214,045 3,381,765 0.60

HONG KONG

Xiaomi Best Time International Ltd 0.00%

17/12/2027 2,700,000 USD 3,007,245 3,401,028 0.60

3,007,245 3,401,028 0.60

INDIA

Bharti Airtel Ltd 1.50% 17/02/2025 2,480,000 USD 2,840,428 2,926,301 0.52

2,840,428 2,926,301 0.52

ISRAEL

CyberArk Software Ltd 0.00% 15/11/2024 3,592,000 USD 3,653,797 4,374,733 0.78

Fiverr International Ltd 0.00% 01/11/2025 1,163,000 USD 1,425,656 1,413,859 0.25

5,079,453 5,788,592 1.03

ITALY

Nexi SpA 1.75% 24/04/2027 2,600,000 EUR 3,857,694 3,918,113 0.70

3,857,694 3,918,113 0.70

JAPAN

Mitsubishi Chemical Holdings Corp 0.00%

29/03/2024 110,000,000 JPY 1,047,988 1,066,485 0.19

Nippn Corp 0.00% 20/06/2025 190,000,000 JPY 1,876,383 1,878,728 0.33





259


Acquisitioncost

Fairvalue

% netassets



JAPAN (continued)

Rohm Co Ltd 0.00% 05/12/2024 120,000,000 JPY 1,227,854 1,270,846 0.23

Teijin Ltd 0.00% 10/12/2021 150,000,000 JPY 1,556,923 1,603,259 0.28

5,709,148 5,819,318 1.03

LUXEMBOURG

Corestate Capital Holding SA 1.38%

28/11/2022 5,000,000 EUR 4,906,966 4,882,446 0.87

Grand City Properties SA 0.25% 02/03/2022 4,400,000 EUR 5,331,734 5,480,131 0.97

Oliver Capital Sarl 0.00% 29/12/2023 4,000,000 EUR 4,919,720 4,999,920 0.89

15,158,420 15,362,497 2.73

NETHERLANDS

Just Eat Takeaway.com NV 1.25%

30/04/2026 500,000 EUR 658,216 685,767 0.12

658,216 685,767 0.12

NEW ZEALAND

Xero Investments Ltd 0.00% 02/12/2025 3,902,000 USD 3,991,444 4,238,391 0.75

3,991,444 4,238,391 0.75

SOUTH KOREA

Kakao Corp 0.00% 28/04/2023 2,400,000 USD 2,612,622 2,738,472 0.49

2,612,622 2,738,472 0.49

SPAIN

Cellnex Telecom SA 1.50%

16/01/2026 EMTN 1,300,000 EUR 2,679,450 2,629,047 0.47

2,679,450 2,629,047 0.47


Alteryx Inc 0.50% 01/08/2024 1,617,000 USD 1,683,670 1,688,989 0.30

Alteryx Inc 1.00% 01/08/2026 1,620,000 USD 1,683,818 1,717,378 0.30

JPMorgan Chase Bank NA 0.00%

07/08/2022 2,900,000 USD 3,954,126 3,835,801 0.68

Microchip Technology Inc 1.63%

15/02/2027 2,398,000 USD 4,701,231 4,841,826 0.86

Palo Alto Networks Inc 0.75% 01/07/2023 1,460,000 USD 1,833,305 2,066,469 0.37

Pluralsight Inc 0.38% 01/03/2024 612,000 USD 549,197 604,711 0.11

Snap Inc 0.75% 01/08/2026 5,444,000 USD 11,786,096 12,343,672 2.19

Southwest Airlines Co 1.25% 01/05/2025 5,896,000 USD 8,839,597 8,592,064 1.53

Teladoc Health Inc 1.25% 01/06/2027 2,391,000 USD 2,820,081 2,852,822 0.51

Tesla Inc 2.00% 15/05/2024 256,000 USD 2,401,482 2,911,987 0.52





260


Acquisitioncost

Fairvalue

% netassets




Twilio Inc 0.25% 01/06/2023 494,000 USD 2,219,868 2,374,050 0.42

Twitter Inc 0.25% 15/06/2024 5,146,000 USD 5,896,351 6,241,326 1.11

Uber Technologies Inc 0.00% 15/12/2025 5,770,000 USD 5,950,919 6,018,052 1.07


15/07/2022 3,728,000 USD 3,825,155 3,821,200 0.68

Zynga Inc 0.25% 01/06/2024 3,397,000 USD 4,223,382 4,512,982 0.80

62,368,278 64,423,329 11.45

VIRGIN ISLANDS (UK)

ANLLIAN Capital Ltd 0.00% 05/02/2025 1,600,000 EUR 2,195,400 2,409,446 0.43

2,195,400 2,409,446 0.43



IRELAND

Goldman Sachs Plc - US$ Liquid Reserves

Fund 29,753,418 USD 29,753,418 29,753,418 5.28

29,753,418 29,753,418 5.28





BERMUDA ISLANDS

Jazz Investments I Ltd 2.00% 15/06/2026 2,888,000 USD 3,489,159 3,778,024 0.67

NCL Corp Ltd 5.38% 01/08/2025 3,324,000 USD 5,279,044 5,655,952 1.01

8,768,203 9,433,976 1.68

CAYMAN ISLANDS

Baozun Inc 1.63% 01/05/2024 1,489,000 USD 1,507,281 1,453,517 0.26

China Yuhua Education Corp Ltd 0.90%

27/12/2024 13,000,000 HKD 1,934,912 1,925,531 0.34

ESR Cayman Ltd 1.50% 30/09/2025 4,512,000 USD 4,783,986 5,040,310 0.90

iQIYI Inc 2.00% 01/04/2025 1,860,000 USD 1,755,328 1,643,905 0.29

Luckin Coffee Inc 0.75% 15/01/2025 2,235,000 USD 1,453,555 1,793,967 0.32





261


Acquisitioncost

Fairvalue

% netassets


1) OTHER ORGANISED MARKET : BONDS (continued)

CAYMAN ISLANDS (continued)

Momo Inc 1.25% 01/07/2025 1,408,000 USD 1,184,029 1,185,015 0.21

Pinduoduo Inc 0.00% 01/12/2025 5,089,000 USD 5,523,900 6,264,050 1.11

Sea Ltd 2.38% 01/12/2025 2,553,000 USD 5,521,559 5,852,701 1.04

23,664,550 25,158,996 4.47

GREAT BRITAIN

GSK Finance No 3 Plc 0.00% 22/06/2023 4,816,000 USD 4,981,639 4,972,087 0.88

4,981,639 4,972,087 0.88

INDIA

Bharti Airtel Ltd 1.50% 17/02/2025 1,185,000 USD 1,340,176 1,398,253 0.25

1,340,176 1,398,253 0.25

ISRAEL

Nice Ltd 0.00% 15/09/2025 2,230,000 USD 2,335,407 2,517,068 0.45

Wix.com Ltd 0.00% 15/08/2025 4,284,000 USD 4,325,354 4,331,167 0.77

6,660,761 6,848,235 1.22

JAPAN

CyberAgent Inc 0.00% 19/02/2025 100,000,000 JPY 1,251,424 1,268,423 0.23

Kandenko Co Ltd 0.00% 31/03/2021 170,000,000 JPY 1,633,493 1,643,232 0.29

Konami Holdings Corp 0.00% 22/12/2022 440,000,000 JPY 5,660,239 5,883,271 1.05

Relo Group Inc 0.00% 22/03/2021 170,000,000 JPY 1,651,947 1,647,710 0.29

Ship Healthcare Holdings Inc 0.00%

13/12/2023 320,000,000 JPY 3,495,616 3,675,870 0.65

13,692,719 14,118,506 2.51

JERSEY

Novocure Ltd 0.00% 01/11/2025 2,080,000 USD 2,316,083 2,683,782 0.48

2,316,083 2,683,782 0.48


Akamai Technologies Inc 0.13% 01/05/2025 3,087,000 USD 3,817,605 3,813,217 0.68

Booking Holdings Inc 0.75% 01/05/2025 4,656,000 USD 6,586,238 6,793,476 1.21

Cloudflare Inc 0.75% 15/05/2025 1,283,000 USD 2,684,896 2,739,346 0.49

Coherus Biosciences Inc 1.50% 15/04/2026 1,523,000 USD 1,816,102 1,759,629 0.31

Coupa Software Inc 0.38% 15/06/2026 6,192,000 USD 8,137,388 8,368,674 1.49

Datadog Inc 0.13% 15/06/2025 1,628,000 USD 2,129,214 2,144,385 0.38

DexCom Inc 0.25% 15/11/2025 2,509,000 USD 2,438,375 2,524,656 0.45

Etsy Inc 0.13% 01/09/2027 2,196,000 USD 2,626,066 2,726,356 0.48

Five9 Inc 0.50% 01/06/2025 2,447,000 USD 3,279,476 3,531,633 0.63

Guardant Health Inc 0.00% 15/11/2027 2,526,000 USD 2,790,463 2,953,753 0.52





262


Acquisitioncost

Fairvalue

% netassets


1) OTHER ORGANISED MARKET : BONDS (continued)


Inphi Corp 0.75% 15/04/2025 1,472,000 USD 1,988,961 2,075,417 0.37

Integra LifeSciences Holdings Corp 0.50%

15/08/2025 2,467,000 USD 2,548,831 2,736,840 0.49

Liberty Broadband Corp 2.75% 30/09/2050 2,230,000 USD 2,392,892 2,361,102 0.42

Liberty Media Corp 1.38% 15/10/2023 1,822,000 USD 2,301,532 2,328,461 0.41

Liberty Media Corp 2.13% 31/03/2048 1,537,000 USD 1,623,567 1,600,309 0.28

Lumentum Holdings Inc 0.50% 15/12/2026 4,146,000 USD 4,768,824 5,075,533 0.90

Match Group Financeco 3 Inc 2.00%

15/01/2030 1,913,000 USD 3,531,557 3,679,732 0.65

Middleby Corp 1.00% 01/09/2025 2,171,000 USD 2,764,739 2,658,824 0.47

New Relic Inc 0.50% 01/05/2023 3,224,000 USD 3,144,746 3,179,315 0.57

NuVasive Inc 0.38% 15/03/2025 2,036,000 USD 1,849,168 1,979,501 0.35

NuVasive Inc 2.25% 15/03/2021 1,177,000 USD 1,187,605 1,196,220 0.21

Okta Inc 0.13% 01/09/2025 3,223,000 USD 4,588,238 4,840,334 0.86

Omnicell Inc 0.25% 15/09/2025 4,600,000 USD 5,851,175 6,258,622 1.11

ON Semiconductor Corp 1.63% 15/10/2023 3,396,000 USD 5,307,745 5,751,126 1.02

Palo Alto Networks Inc 0.38% 01/06/2025 1,762,000 USD 2,087,991 2,340,993 0.42

Pegasystems Inc 0.75% 01/03/2025 1,800,000 USD 2,128,761 2,121,012 0.38

Pioneer Natural Resources Co 0.25%

15/05/2025 4,693,000 USD 6,001,777 6,207,713 1.10

Redfin Corp 0.00% 15/10/2025 4,771,000 USD 4,891,814 5,787,128 1.03

RingCentral Inc 0.00% 15/03/2026 4,597,000 USD 4,806,971 5,372,468 0.95

Silicon Laboratories Inc 0.63% 15/06/2025 2,657,000 USD 3,195,916 3,343,197 0.59

Splunk Inc 1.13% 15/09/2025 3,286,000 USD 4,868,673 4,458,149 0.79

Stride Inc 1.13% 01/09/2027 2,265,000 USD 1,902,264 1,851,592 0.33

Tabula Rasa HealthCare Inc 1.75%

15/02/2026 1,600,000 USD 1,395,862 1,506,432 0.27

Under Armour Inc 1.50% 01/06/2024 3,193,000 USD 5,269,796 5,288,726 0.94

Wayfair Inc 0.63% 01/10/2025 4,290,000 USD 4,249,144 4,060,485 0.72

Workday Inc 0.25% 01/10/2022 4,384,000 USD 6,966,869 7,368,364 1.31

Zendesk Inc 0.63% 15/06/2025 3,647,000 USD 5,174,362 5,358,282 0.95

Zscaler Inc 0.13% 01/07/2025 1,708,000 USD 2,158,854 2,548,848 0.45

135,254,457 140,689,850 24.98

VIRGIN ISLANDS (U.S.A.)

Best Path Global Ltd 0.00% 18/05/2021 9,000,000 HKD 1,350,483 1,550,512 0.28

1,350,483 1,550,512 0.28







263


Acquisitioncost

Fairvalue

% netassets



CAYMAN ISLANDS

iQIYI Inc 4.00% 15/12/2026 2,664,000 USD 2,678,612 2,638,292 0.47

2,678,612 2,638,292 0.47

JAPAN

CyberAgent Inc 0.00% 17/02/2023 180,000,000 JPY 2,129,168 2,162,231 0.38

2,129,168 2,162,231 0.38

LIBERIA

Royal Caribbean Cruises Ltd 4.25%

15/06/2023 6,426,000 USD 9,024,996 8,593,490 1.53

9,024,996 8,593,490 1.53

PANAMA

Carnival Corp 5.75% 01/04/2023 3,210,000 USD 7,566,227 7,625,612 1.36

7,566,227 7,625,612 1.36


8x8 Inc 0.50% 01/02/2024 3,991,000 USD 4,384,860 5,842,944 1.04

Bill.com Holdings Inc 0.00% 01/12/2025 2,867,000 USD 3,081,416 3,283,317 0.58

Everbridge Inc 0.13% 15/12/2024 1,617,000 USD 2,166,549 2,388,843 0.43

FireEye Inc 1.63% 01/06/2035 1,102,000 USD 1,081,933 1,089,922 0.19

IH Merger Sub LLC 3.50% 15/01/2022 1,410,000 USD 1,856,663 1,883,619 0.34

II-VI Inc 0.25% 01/09/2022 1,088,000 USD 1,660,347 1,816,753 0.32

Innoviva Inc 2.50% 15/08/2025 1,439,000 USD 1,464,397 1,547,141 0.28

Insulet Corp 0.38% 01/09/2026 2,329,000 USD 3,073,040 3,102,647 0.55

Liberty Media Corp-Liberty Formula One

1.00% 30/01/2023 1,627,000 USD 2,105,645 2,104,476 0.37

LivePerson Inc 0.00% 15/12/2026 2,667,000 USD 2,730,813 2,922,098 0.52

Nabors Industries Inc 0.75% 15/01/2024 665,000 USD 215,287 346,585 0.06

Pacira BioSciences Inc 0.75% 01/08/2025 1,963,000 USD 2,245,575 2,199,168 0.39

Pacira BioSciences Inc 2.38% 01/04/2022 150,000 USD 175,953 170,718 0.03

Proofpoint Inc 0.25% 15/08/2024 3,686,000 USD 3,677,854 4,118,773 0.73

Q2 Holdings Inc 0.75% 01/06/2026 1,596,000 USD 2,297,280 2,443,620 0.43

RH 0.00% 15/06/2023 891,000 USD 2,134,367 2,105,771 0.37

Shift4 Payments Inc 0.00% 15/12/2025 2,131,000 USD 2,218,130 2,597,327 0.46

Square Inc 0.25% 01/11/2027 4,951,000 USD 5,391,012 5,518,979 0.98

Turning Point Brands Inc 2.50% 15/07/2024 1,774,000 USD 1,791,407 2,012,958 0.36

Workiva Inc 1.13% 15/08/2026 2,663,000 USD 3,195,405 3,555,025 0.63

46,947,933 51,050,684 9.06






264


Acquisitioncost

Fairvalue

% netassets


2) OTHER TRANSFERABLE SECURITIES : SHARES


2020 Cash Mandatory Exchangeable Trust

5.25% / Preference 1,824 USD 2,192,377 2,190,934 0.39

2,192,377 2,190,934 0.39

TOTAL OTHER TRANSFERABLE SECURITIES : SHARES 2,192,377 2,190,934 0.39








04/01/2021 USD 101,537 EUR (83,303) RBC IS Bank Luxembourg (238) 0.00

05/01/2021 USD 47,982 EUR (39,050) RBC IS Bank Luxembourg 273 0.00


05/01/2021 USD 6,418 CHF (5,663) RBC IS Bank Luxembourg 19 0.00





31/03/2021 CHF 15,549,715 USD (17,638,001) RBC IS Bank Luxembourg (24,934) 0.00


31/03/2021 EUR 5,374,078 USD (6,600,244) RBC IS Bank Luxembourg (22,211) 0.00






31/03/2021 USD 797,921 GBP (585,890) RBC IS Bank Luxembourg (3,692) 0.00


31/03/2021 GBP 3,344 USD (4,576) RBC IS Bank Luxembourg (1) 0.00


(102,920) (0.02)







265

(expressed in USD)Description

Fairvalue

% netassets


OTHER ASSETS 76,079,098 13.51





Cash at Bank 0.84


Total Assets 89.76





266


$% of

Total PurchasesGoldman Sachs Plc - US$ Liquid Reserves Fund 80,442,182 80,442,182 13.28

Snap Inc 0.75% 01/08/2026 5,444,000 11,786,096 1.95

Bank of America Corp 7.25% / Preference 6,180 9,282,074 1.53

Royal Caribbean Cruises Ltd 4.25% 15/06/2023 6,426,000 9,024,996 1.49

Southwest Airlines Co 1.25% 01/05/2025 5,896,000 8,839,597 1.46

Wells Fargo & Co 7.50% / Preference 6,146 8,822,151 1.46

Carrefour SA 0.00% 27/03/2024 9,000,000 8,783,726 1.45

Coupa Software Inc 0.38% 15/06/2026 6,192,000 8,137,388 1.34

Air Canada 4.00% 01/07/2025 5,322,000 8,058,998 1.33

BASF SE 0.93% 09/03/2023 EMTN 7,750,000 7,734,687 1.28

Carnival Corp 5.75% 01/04/2023 3,210,000 7,566,227 1.25

SOITEC 0.00% 01/10/2025 32,185 7,378,582 1.22

Workday Inc 0.25% 01/10/2022 4,384,000 6,966,869 1.15

Booking Holdings Inc 0.75% 01/05/2025 4,656,000 6,586,238 1.09

Broadcom Inc 8.00% / Preference 4,886 6,472,375 1.07

Tesla Inc 2.00% 15/05/2024 654,000 6,135,037 1.01

Pioneer Natural Resources Co 0.25% 15/05/2025 4,693,000 6,001,777 0.99

Uber Technologies Inc 0.00% 15/12/2025 5,770,000 5,950,919 0.98

Twitter Inc 0.25% 15/06/2024 5,146,000 5,896,351 0.97

Omnicell Inc 0.25% 15/09/2025 4,600,000 5,851,175 0.97


$% of

Total SalesGoldman Sachs Plc - US$ Liquid Reserves Fund 50,688,764 50,688,764 68.48

Slack Technologies Inc 0.50% 15/04/2025 4,000,000 5,880,009 7.94

Lumentum 0.50% 15/12/2026 4,146,000 4,768,824 6.44

Tesla Inc 2.00% 15/05/2024 398,000 3,978,639 5.37

AURELIUS Equity Opportunities SE & Co KGaA 1.00% 01/12/2020 2,100,000 2,523,428 3.41

Square Inc 0.00% 01/05/2026 2,025,000 2,192,063 2.96

Everbrid 0.13% 15/12/2024 1,617,000 2,166,550 2.93

Lyft Inc 1.50% 15/05/2025 1,283,000 1,825,508 2.47


The tables above show a breakdown of material purchases and sales of the Portfolios in accordance with Central Bank UCITS Regulations79(2) requirements. All purchases and sales of investments exceeding 1% of the total value of each purchases and sales respectively, aminimum of 20 of each such purchases and sales, are disclosed. As there were less than 20 of such sales during the year, all sales are disclosedin the above table.




267

Note

Company Total31 Dec 2020

$


$


Investments in Transferable Securities 3 3,073,368,308 2,255,103,496

Investment in Financial Derivative Instruments 3 292,796,672 264,456,894

Cash at bank 5 173,049,025 183,551,548

Cash held as collateral 12,440,457 5,133,922

Dividends and interest receivable 8,701,016 7,989,230

Amount receivable on subscriptions 73,926,541 10,249,715

Amount receivable on sale of securities 2,221,694 2,842,561


Other receivables 1,884,050 866,181

TOTAL ASSETS 3,638,682,651 2,730,578,670


Investment in Financial Derivative Instruments 3 72,307,879 67,681,184

Bank Overdraft 5 421,833 162

Collateral due to broker 99,255 1,247,740

Amount payable on purchase of securities 7,950,513 1,670,802

Investment management fees payable 7 2,200,166 1,540,443

Sub-Investment management fees payable 1,924 -




Directors fees payable 7 20,597 4,919


Audit fees payable 37,112 49,590

Redemptions payable 80,607,196 1,739,695

Payable to Investment Manager - 52,830

Interest payable 623,638 1,132,745

Deferred liability 27,071 26,932

Legal fees payable 61,710 691



NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLEPARTICIPATING SHARES 3,472,661,835 2,654,915,262

These Combined Statements include a translation adjustment converting the results of the £ Sub-Funds to the presentation

currency of the Company and has no impact on the dealing Net Asset Values of any Sub-Fund.





Combined Statement of Financial Position as at31st December 2020 and 2019

268

Note


$


$

INCOMEDividend income 11,697,291 10,718,722

Bond interest income 37,297,693 32,955,059

Net realised and unrealised gain/(loss) on financial assets and liabilities at fair value

through profit or loss 9 70,378,921 296,513,695



Swap interest income 2 4,868,335 7,041,558




Sub-Investment management fees 4,132 -

Manager fees 7 1,717,875 1,433,045

Administration fees 7 1,563,170 1,264,395

Director fees 7 159,273 146,454


Audit fees 7 130,480 159,394


Swap interest expenses 2 20,103,985 18,841,037

Brokerage fees 49,767 64,793


Formation expenses 39,848 -

Upfront commission on subscription 67,070 106,622

Other fees and expenses 7 1,264,108 414,914



Finance Costs


Profit Before Tax 68,698,428 299,215,139Withholding tax 2,430,046 1,868,764

Increase in net assets attributable to holders of redeemable participating sharesfrom operations 66,268,382 297,346,375

These Combined Statements include a translation adjustment in order to present the totals in the presentation currency of the

Fund.

All of the results for the financial year relate to continuing operations with the exception of L&CGDE which terminated on

28th August 2020



Combined Statement of Comprehensive Incomefor the Financial year Ended 31st December 2020 and 2019

269

Note


$


$Net Assets attributable to holders of Redeemable Participating Shares at thebeginning of the financial year 2,654,915,262 1,694,531,448

Increase in Net Assets attributable to Holders of Redeemable Participating Shares from

operations 66,268,382 297,346,375

Capital transactionsIssue of redeemable shares during the financial year 1,950,223,735 1,227,279,388

Redemption of redeemable shares during the financial year (1,246,701,125) (622,962,518)


Currency translation adjustment 2 61,139,808 66,405,150

Net Assets attributable to Holders of Redeemable Participating Shares at the endof the financial year 3,472,661,835 2,654,915,262



Combined Statement of Changes in Net Assets attributable to Holders ofRedeemable Participating Shares

270

Total31 Dec 2020

$

Total31 Dec 2019

$Cash flows from operating activitiesIncrease in Net Assets attributable to Holders of Redeemable Participating Shares fromoperations 66,268,382 297,346,375

Adjustment to reconcile (decrease)/increase in net assets attributable to holders of redeemable



Dividend income (11,697,291) (10,718,722)

Tax expense 2,430,046 1,868,764



Changes in operating assets and liabilitiesNet decrease in financial assets and liabilities at fair value (841,977,895) (880,314,581)

Increase in other receivables (7,613,302) (8,474,999)

Increase in payables 6,441,541 1,882,736

Cash used in operating activities (808,521,899) (618,061,888)Interest received 36,098,074 32,029,574


Taxation (2,430,046) (1,868,764)


Cash flows from financing activitiesProceeds from issue of redeemable participating shares 1,886,546,909 1,227,279,388

Payment on redemptions of redeemable participating shares (1,167,833,624) (623,676,051)




Currency translation adjustment^ 61,139,808 66,405,150




Overdraft at the start of the financial year (162) (16,248)


Overdraft at the end of the financial year (421,833) (162)

^The currency translation adjustment above is as a result of the £ Sub-Funds having a different functional currency (£) to the

presentation currency of the Company ($). This is an accounting adjustment for financial reporting presentation purposes and

has no impact on the dealing Net Assets Values.



Combined Statement of Cash Flows

271

1. GENERAL INFORMATION

GemCap Investment Funds (Ireland) Plc (the “Company”) is an umbrella type open-ended investment company

with variable capital incorporated on 1st June 2010, with limited liability and segregated liability between sub-

funds, under the laws of Ireland with registered number 485081 under the Companies Act 2014. The Company is

authorised in Ireland by the Central Bank of Ireland (the “Central Bank”) pursuant to the European Communities

(Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (the “UCITS Regulations”)

and Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective

Investment in Transferable Securities) Regulations 2019 (the “CBI UCITS Regulations”).

As at 31st December 2020, the Company had fifteen separate active investment portfolios (“Sub-Funds”)

authorised by the Central Bank:

Atlantic House Defined Returns Fund (AHFM)^*

Atlantic House US Enhanced Equity Fund (AUEE)^**

Atlantic House Total Return Fund (ATRF)^***

GSI Global Sustainable Value Fund (GSI)

London & Capital Global Balanced Fixed Income Fund (L&CGBFI)

London & Capital Global Conservative Fixed Income Fund (L&CGCFI)

London & Capital Global Defensive Equity Fund (L&CGDE)****

London & Capital Global Growth Fund (L&CGG)

London & Capital Global Growth Fixed Income Fund (L&CGGFI)

London & Capital Global Star Equity Fund (L&CGSE)

London & Capital Global Balanced Fund (L&CGB)

Principal Asset Allocation Fund (PAAF)^

Third Avenue Real Estate Value Fund (TAREVF)^

Semper Total Return Fund (STRF)^

Causeway Defined Growth Fund (CDGF)1

Calamos Global Convertible Fund (CGCF)2

^Listed on the Irish Stock Exchange.




****Terminated on 28th August 2020.1Launched on 31st January 2020.2Launched on 30th November 2020

The active Sub-Funds have the following investment objectives:

Atlantic House Defined Returns Fund - The investment objective is to generate capital growth over the medium to

longer term.

Atlantic House US Enhanced Equity Fund - The investment objective is to generate capital growth over the

medium to longer term.

Atlantic House Total Return Fund - The investment objective is to generate positive returns in most market

conditions over any given three-year period.

GSI Global Sustainable Value Fund - The investment objective is to achieve long-term total return.


Notes forming part of the Financial Statements

272

1. GENERAL INFORMATION (Continued)

London & Capital Global Balanced Fixed Income Fund - The investment objective is to seek to provide absolute

growth through investments in a full range of global fixed income securities including government bonds and

corporate bonds with the aim of producing balanced investment returns with a relatively low level of volatility

(below 8% over a business cycle).

London & Capital Global Conservative Fixed Income Fund - The investment objective is to seek to provide

absolute growth through a highly diversified portfolio of investments in global fixed income securities, investing in

government bonds and corporate bonds with the aim of producing investment returns with a relatively low level of

volatility (below 5% over a business cycle).

London & Capital Global Growth Fund - The investment objective is to seek to provide growth through

investments in a full range of global equity, fixed income instruments and collective investment schemes.

London & Capital Global Growth Fixed Income Fund - The investment objective is to seek to provide absolute

growth through investments in a full range of global growth fixed income securities including, higher yielding

corporate bonds with the aim of producing investment returns with a relatively high level of volatility (below 10%

over a business cycle). It is envisaged that an important source of potential rise in the Sub-Fund’s Net Asset Value

will be through capital appreciation of the Sub-Fund, on top of the income stream generated by the coupons (or

annual interest) on the bonds. "Absolute" in this context refers to the strategies' ability to use financial derivative

instruments to protect the capital value of the Sub-Fund during periods of high market volatility.

London & Capital Global Star Equity Fund - The investment objective is to seek to provide growth through

investments in a full range of global equities.

London & Capital Global Balanced Fund - The investment objective is to seek to provide growth through

investments in a full range of global equity, fixed income instruments and collective investment schemes.

Principal Asset Allocation Fund - The investment objective is to seek to achieve a positive return in all market

conditions over a three-year period.

Third Avenue Real Estate Value Fund - The investment objective is to achieve long-term capital appreciation,

primarily through investment in equities.

Semper Total Return Fund - The investment objective is to generate capital growth over the medium to longer term.

Causeway Defined Growth Fund – The investment objective is to generate capital growth over the medium to

longer term.

Calamos Global Convertible Fund - The investment objective is to achieve high long-term total return through

capital appreciation and current income.


Notes forming part of the Financial Statements(Continued)

273

2. PRINCIPAL ACCOUNTING POLICIES

The principal accounting policies adopted by the Company are as follows:

Basis of Preparation

The financial statements have been prepared in accordance with the Companies Act 2014 and International

Financial Reporting Standards (“IFRS”) as adopted by the European Union (the “EU”).

Accounting convention

The financial statements are prepared on a going concern basis and under the historical cost convention except for

the inclusion of financial assets and liabilities at fair value.

Accounting estimates

The preparation of financial statements in conformity with IFRS requires management to make judgements,

estimates and assumptions that effect the application of policies and the reported amounts of assets and liabilities,

income and expense.

The estimates and associated assumptions are based on historical experience and various other factors that are

believed to be reasonable under the circumstances, the results of which form the basis of making judgements about

the carrying values of assets and liabilities that are not readily apparent from other sources. Actual results may

differ from these estimates.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are

recognised in the period in which the estimate is revised if the revision affects only that period or in the period of the

revision and future years if the revision affects both current and future years. There were no significant estimates

used in measuring the fair value of investments at the financial year end date of 31 December 2020 and

31 December 2019.

Offsetting financial assets and liabilities

Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when

there is a legally enforceable right to set-off the recognised amounts (which are not contingent on a future event),

and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously.

New standards, amendments and interpretations effective after 1st January 2020

A number of new standards, amendments to standards and interpretations are effective for all financial periods

beginning on or after 1 January 2020.

Those standards, amendments and interpretations considered included:

• Amendments to IFRS 3, “Business Combinations”, definition of a business (1 January 2020);

• Amendments to IAS 1 and IAS 8, “Presentation of Financial Statements” and “Accounting Policies, Changes in

Accounting Estimates and Errors”, definition of material (1 January 2020);

• Amendments to IFRS 7 and IFRS 9, “Financial Instruments: Disclosures” and “Financial Instruments”,

prereplacement issues in the context of the IBOR reform (1 January 2020); and

• Amendments to References to the Conceptual Framework in IFRS Standards (1 January 2020).



274

2. PRINCIPAL ACCOUNTING POLICIES (Continued)

New standards, amendments and interpretations effective after 1st January 2020 (Continued)

The adoption of the above standards as of 1 January 2020 did not have an impact on the Company’s financial

statements.

New standards effective on or after 1st January 2021 do not have any impact on the Company's financial statements.

Cash and cash equivalents

Cash and cash equivalents include cash in hand, deposits held at call with banks and bank overdrafts. Cash balances

held as collateral is held in relation to the derivatives contracts held by the Company for investment transactions

that have not settled at the date of the financial statements and the amount of cash required by the brokers to hold as

collateral for trading. All cash balances are accounted for in the Statement of Financial Position. For further details

of Cash and cash equivalents please refer to note 5.

Foreign Currencies

Securities transactions are recorded in the financial statements on the trade date of the transaction and translated

into the functional currency of the Sub-Fund at the exchange rate prevailing at the close of business on the trade

date. Monetary assets and liabilities denominated in foreign currencies are translated into the functional currency of

the Sub-Fund at the exchange rates ruling at the financial year end date. Non-monetary foreign currency

denominated assets and liabilities that are carried at fair value are translated into the functional currency of the

Sub-Fund at the date the fair values are determined. Foreign exchange differences arising on translation and

realised gains and losses from trading activities are recognised through profit or loss in the Statement of

Comprehensive Income for the financial year.

Items included in the Company’s financial statements are measured using the primary economic environment in

which the respective Sub-Fund operates (“the functional currency”). The presentational currency of the Company

is United States Dollar. If indicators of the primary economic environment are mixed, then management uses its

judgement to determine the functional currency that most faithfully represents the economic effects of the

underlying transactions, events and conditions.



275


Foreign Currencies (Continued)

The functional currencies of the active Sub-Funds as at 31st December 2020 and 31st December 2019 are as

follows:

Sub-Fund Name Functional CurrencyAtlantic House Defined Returns Fund (AHFM)* £

Atlantic House US Enhanced Equity Fund (AUEE)** $

Atlantic House Total Return Fund (ATRF)*** £

GSI Global Sustainable Value Fund (GSI) $

London & Capital Global Balanced Fixed Income Fund (L&CGBFI) $

London & Capital Global Conservative Fixed Income Fund (L&CGCFI) $

London & Capital Global Defensive Equity Fund (L&CGDE)**** £

London & Capital Global Growth Fund (L&CGG) £

London & Capital Global Growth Fixed Income Fund (L&CGGFI) $

London & Capital Global Star Equity Fund (L&CGSE) $

London & Capital Global Balanced Fund (L&CGB) £

Principal Asset Allocation Fund (PAAF) £

Third Avenue Real Estate Value Fund (TAREVF) $

Semper Total Return Fund (STRF) $

Causeway Defined Growth Fund (CDGF)***** $

Calamos Global Convertible Fund (CGCF)****** $

*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.**Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.***Formerly AHFM Total Return Fund. Name change effective on 5th October 2020.****Terminated on 28th August 2020.

*****Launched on 31st January 2020.******Launched on 30th November 2020

The foreign currency translation adjustment arising from translation of Sterling balances relating to Atlantic House

Defined Returns Fund, Atlantic House Total Return Fund, London & Capital Global Growth Fund, London &

Capital Global Balanced Fund and Principal Asset Allocation Fund for the purposes of preparing the Company

total USD amounts has been included in the Statement of Changes in Net Assets attributable to Holders of

Redeemable Participating shares and the Statement of Cash Flows. The notional currency translation adjustment

for the financial year ended 31st December 2020 was $61,139,803 (2019: $66,405,150). This does not impact the

NAV of any individual Sub-Fund.

Financial instruments

(i) ClassificationFinancial assets and liabilities at fair value through profit or loss, in accordance with IFRS 9, comprises:

• Financial instruments held-for-trading are those that the Company principally holds for the purpose of short-

term profit taking. These include equities, investments in bonds and warrants, swaps, futures, forward foreign

exchange contracts and swaps.

Financial assets that are classified as receivables consist of trade, other receivables and other assets. Financial

liabilities that are not at fair value through profit or loss include trade and other payables and financial liabilities

which arise on Redeemable Participating Shares.



276


Financial instruments (Continued)

(ii) RecognitionThe Company recognises financial assets and financial liabilities on the trade date, being the date it commits to

purchase the instruments.

From this date any gains and losses which arise from changes in fair value of the financial assets or financial

liabilities are recorded in the Statement of Comprehensive Income.

(iii) MeasurementFinancial instruments categorised at fair value through profit or loss are measured initially at fair value, with

transaction costs for such instruments being recognised directly in the Statement of Comprehensive Income.

Subsequent to initial recognition, all instruments classified at fair value through profit or loss are measured at fair

value with fair value changes recognised in the Statement of Comprehensive Income.

Financial liabilities which arise from the Redeemable Participating Shares issued by the Company are carried at the

redemption amount which represents the shareholders right to a residual interest in the Company’s assets.

(iv) Fair value measurement principlesIFRS 13 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an

orderly transaction between market participants at the measurement date. The fair value of financial instruments

including equities, bonds, warrants, swaps and forward foreign exchange contracts are based on their quoted

market prices at the year end date without any deduction for estimated future selling costs. Financial assets and

liabilities are priced at their last traded prices, mid price or settlement price. Swap contracts are valued using prices

as provided by the broker. IFRS 13 allows the use of mid-market pricing or other pricing conventions (including

last traded price and settlement price) that are used by market participants as a practical expedient for the exit price.

If a quoted market price is not available on a recognised stock exchange or from a broker/dealer for non-exchange-

traded financial instruments, the fair value of the instrument is estimated using valuation techniques, including use

of recent arm’s length market transactions, reference to the current fair value of another instrument that is

substantially the same, discounted cash flow techniques, option pricing models or any other valuation technique

that was considered to provide a reliable estimate of prices obtained in actual market transactions.

(v) DerecognitionThe Company derecognises a financial asset when the contractual rights to the cash flows from the financial asset

expired or it transferred the financial asset and the transfer qualified for derecognition in accordance with IFRS 9.

The Company uses the ‘weighted average cost’ method to determine the realised gains and losses on derecognition,

except for the Third Avenue Real Estate Value Fund and Calamos Global Convertible Fund which uses the ‘first in

first out’ method as a result of the legal requirements of a merger for the fund to maintain operational consistency

with the fund prior to the merger.

A financial liability is derecognised when the obligation specified in the contract was discharged, cancelled or

expired.



277



(vi) Specific instruments

Autocallable SwapsAn autocallable is defined as a payoff event generated by the achieved performance of an underlying investment.

At the predefined autocallable date the performance of the underlying index compared to the strike might trigger an

autocallable event where a coupon (the autocallable payment) was received by the Sub-Fund in accordance with

the supplement of the Sub-Fund. On the downside, if an autocallable event has not happened and the relevant index

or indices is below a pre-defined protection level on the maturity date, 1% capital will be lost for every 1% fall in

the worse or worst index between strike and maturity.

Interest Rate SwapsSwap-based derivatives are contracts in which counterparties exchange, over a period of time, one stream of cash

flows for another stream of cash flows. The streams are referred to as ‘legs’ of the swap agreement. The cash flows

are normally calculated with reference to a notional amount, which is often not exchanged by the counterparties.

The swap settlement is the difference between the fixed interest and variable interest. The fair value of derivatives

is recognised in the Statement of Financial Position.

Equity Linked SwapsEquity linked swaps represent agreements that obligate two parties to exchange a series of cash flows at specified

intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an

underlying asset or otherwise determined notional amount. The payment flows are usually netted against each

other, with the difference being paid by one party to the other. Therefore amounts required for the future

satisfaction of the swap may be greater or less than the amount recorded. The fair value of derivatives is recognised

in the Statement of Financial Position.

Inflation SwapsAn inflation swap is a contract used to transfer inflation risk from one party to another through an exchange of cash

flows. In an inflation swap, one party pays a fixed rate cash flow on a notional principal amount, while the other

party pays a floating rate linked to an inflation index, such as the Consumer Price Index (CPI). The party paying the

floating rate pays the inflation adjusted rate multiplied by the notional principal amount. The fair value of

derivatives is recognised in the Statement of Financial Position.

Cross Currency SwapsA cross-currency swap is an over-the-counter derivative in a form of an agreement between two parties to exchange

interest payments and principal on loans.

In a cross-currency swap, a loan's interest payments and principal in one currency would be exchanged for an

equally valued loan and interest payments in a different currency. The fair value of derivatives is recognised in the

Statement of Financial Position.

Total Return SwapsIn a total return swap, the gross returns to be exchanged or "swapped" between the parties are calculated with

respect to a "notional amount", i.e. the return or increase in value of the index. The fair value of derivatives is

recognised in the Statement of Financial Position.

Volatility SwapsA volatility swap is an over-the-counter derivative in a form of forward contracts on future realised price volatility.

The fair value of derivatives is recognised in the Statement of Financial Position.



278



(vi) Specific instruments (Continued)

Forward currency contractsA forward currency contract involves an obligation to purchase or sell a specific currency at a future date at a price

set at the time the contract is made. Forward currency contracts are valued by reference to the forward price at

which a new forward contract of the same size and maturity could be undertaken at the valuation date. The

unrealised gain or loss on open forward currency contracts is calculated as the difference between this forward

price and the contract rate and is included in the Statement of Comprehensive Income.

OptionsOptions are financial derivative instruments that give the buyer, in exchange for a premium payment, the right, but

not the obligation, to either purchase from (call option) or sell to (put option) the writer a specified underlying

instrument at a specified price on or before a specified date. Both the realised and unrealised gain and loss in respect

of options contracts are recognised in the Statement of Comprehensive Income.

Futures ContractsA futures contract is an agreement between two parties to buy or sell a financial instrument for a set price on a

future date. Initial margin deposits are made in cash upon entering into futures contracts. During the financial year

the Company traded futures contracts, changes in the value of the contracts are recognised as unrealised gains or

losses by "marking to market" on a daily basis to reflect the market value of the contract at the end of each day’s

trading. Variation margin payments are made or received, depending on whether unrealised losses or gains are

incurred. When the contract is closed or expires, the Company records a realised gain or loss equal to the difference

between the proceeds from (or cost of) the closing transaction and the company’s basis in the contract.

Swap Interest

Swap interest arises when counterparties within a swap agreement agree to swap their interest payments. Interest

rate, currency and other swaps can be used to enable the Sub-Fund to gain exposure to securities, currencies or

indices. Swap interest received is accounted for as income and swap interest paid is accounted for as an expense in

the Statement of Comprehensive Income.

Income

Dividend income is recorded gross of any non-reclaimable withholding taxes suffered on an ex-date basis. Deposit

interest is accounted for as it accrues on an effective interest basis. Interest income is recognised in the Statement of

Comprehensive Income using the effective yield method. Other income comprises of interest income received on

swaps and other miscellaneous income received.

Capital Gains Tax & Withholding Tax

Realised gains on disposals of assets of the Funds may be subject to capital gains tax imposed by the assets’ country

of origin. Tax on such realised gains is recognised as a tax expense in the Statement of Comprehensive Income.



279


Capital Gains Tax & Withholding Tax (Continued)

The Company may be liable to taxes (including withholding taxes) in countries other than Ireland on dividend,

interest income earned and capital gains arising on its investments. The Company may not be able to benefit from

a reduction in the rate of such foreign tax by virtue of the double taxation treaties between Ireland and other

countries. The Company may not, therefore, be able to reclaim any foreign withholding tax suffered by it in

particular countries. Income that is subject to such tax is recognised gross of the taxes and the corresponding

withholding tax is recognised as tax expense.

Expenses

Expenses are accounted for on an accruals basis.

Redeemable Participating Shares

The Company classifies financial instruments issued as financial liabilities or equity instruments in accordance

with the substance of the contractual terms of the instruments. The Company has several classes of shares for issue.

The Redeemable Participating Shares issued by the Company provides investors with the right to require

redemption for cash at a value proportionate to the investor’s share in the Company’s Net Assets at the redemption

date and also in the event of the Company’s liquidation and as such are classified as financial liabilities.

The NAV per share is calculated by dividing the total Net Assets by the number of shares in issue.

Portfolio Transaction Costs

Transaction costs are incremental costs, which are separately identifiable and directly attributable to the

acquisition, issue or disposal of a financial asset or financial liability. Transaction costs are included within the net

realised and unrealised gain/(loss) on financial assets and liabilities at fair value through profit or loss. For certain

instrument types, such as derivatives, transaction costs are not easily separately identifiable and in some cases these

costs have not been included in the transaction costs as disclosed in Note 8. Transaction costs that are not easily

identifiable will be included as part of the cost of the instrument.

Formation and Organisation Costs

In the event that new Sub-Funds are created within the Company, the formation and organisation costs relating to

each new Sub-Fund, as determined by the Directors, will be charged to the new Sub-Fund and amortised over a

period of five financial years in the NAV calculations. However, in accordance with IFRS these costs will be

written off as charged in the financial statements.

Closure Costs

In the event that a Sub-Fund terminates during the financial year, the Company will accrue an amount for estimated

closure costs associated with the winding up of the Sub-Fund in the final NAV calculation.

Deferred Subscription Charges

The PAAF shareholders of Class C GBP, Class C USD, Class C EUR, Class C PLN and Class C CZK Shares will

be charged a form of subscription charge (a "Deferred Subscription Charge") of 5% of the amount which they

invest in Class C Shares.



280


Deferred Subscription Charges (Continued)

The Deferred Subscription Charge shall be payable in full to the relevant appointed distributor in respect of the

Shares at the time of investment.

While the Deferred Subscription Charge shall be paid out of the Fund at the time of investment, the Shareholder's

subscription will not be affected and gains or losses in relation to the value of Shareholders' Shares will be

accounted for as if the full amount of the Shareholder's investment remained in the Fund.

The Deferred Subscription Charge will be deducted from the relevant Shareholder's Class C subscription proceeds.

The Deferred Subscription Charge will be applied over a period of five years. If a Class C Shareholder redeems

their shareholding prior to the expiration of this five year period, then the balance of the 5% Deferred Subscription

Charge that has not been charged, will be deducted from the relevant redemption proceeds distributed to that

Shareholder. The Deferred Subscription Charge is included in other fees and expenses within the Statement of

Comprehensive Income.

For the purposes of calculating the value of any deductions on Class C investments, at the point of redemption, all

share transactions are evaluated on a first in, first out basis.

On the fifth anniversary of any (still active) Class C Share subscription the 5% fee initially paid on or following the

original investment date, would have been fully absorbed via the amortisation process per the daily Net Asset

Value calculation process for the Fund. At this point in time, the current value of the relevant Class C shareholding

will be ascertained and converted on behalf of the Shareholder, into Class B Shares of the equivalent value.

3. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS

When available, the Company measures the fair value of an instrument using quoted prices in an active market for

that instrument. A market is regarded as active if quoted prices are readily and regularly available and represent

actual and regularly occurring market transactions on an arm’s length basis. These instruments are included within

level 1 of the fair value hierarchy and include bonds admitted and actively traded on an official stock exchange

listing.

Bonds, other than those listed and actively traded on an official stock exchange, are valued by independent pricing

services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The

models also take into consideration data received from active market makers and brokerdealers, yield curves, and

the spread over comparable bond issues. The spreads change daily in response to market conditions and are

generally obtained from the new issue market and broker dealer sources. To the extent that these inputs are

observable, the values of these bonds are categorised within level 2 of the fair value hierarchy.

The fair values of forward foreign currency exchange contracts are calculated by reference to current exchange

rates for contracts with similar maturity and risk profiles.



281

3. FINANCIAL INSTRUMENTS AT FAIR VALUE THROUGH PROFIT OR LOSS (Continued)

The determination of fair value for financial assets and liabilities for which there is no observable market price

requires valuation techniques. IFRS establishes a fair value hierarchy for inputs used in measuring fair value that

maximises the use of observable inputs and minimises the use of unobservable inputs by requiring that the most

observable inputs be used when available. Observable inputs are those that market participants would use in pricing

the asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs

reflect the Company management’s assumptions, made in good faith, about the inputs market participants would

use in pricing the asset or liability developed based on the best information available in the circumstances. These

include investments which are valued using cost price, stale price or a price which is more than a week prior to the

valuation date.

The fair value hierarchy is categorised into three levels based on the inputs as follows:

Level 1 - Valuations based on quoted prices in active markets for identical assets or liabilities;

Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are

observable, either directly (as prices) or indirectly (derived from prices); and

Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market

participants use to make valuation decisions, including assumptions about risk. Inputs may include price

information, volatility statistics, specific and broad credit data, liquidity statistics, and other factors. A financial

instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the

fair value measurement. However, the determination of what constitutes “observable” requires significant

judgement by the Company.

The Company considers observable data to be that market data which is readily available, regularly distributed or

updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in

the relevant market. The categorisation of a financial instrument within the hierarchy is based upon the pricing

transparency of the instrument and does not necessarily correspond to the Company’s perceived risk of that

instrument.

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-

specific measure. Therefore, even when market assumptions are not readily available, the Company’s assumptions

are set to reflect those that market participants would use in pricing the asset or liability at the measurement date.

The Company uses prices and inputs that are current as of the measurement date, including periods of market

dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many

securities. This condition could cause a security to be reclassified to a lower level within the fair value hierarchy.



282


The following tables present information about the Company’s financial assets and liabilities measured at fair

value on a recurring basis as of 31st December 2020 and 31st December 2019:

Atlantic House Defined Returns Fund*Total

£Level 1

£Level 2

£Level 3

£2020 2020 2020 2020

Financial assets at fair value through profit or lossInvestments in transferrable securities at fair value

-Bonds 1,038,628,410 - 1,038,628,410 -

Investments in financial derivative instruments

-Forward Exchange Contracts 406 - 406 -

-Autocallable Swaps 160,283,068 - - 160,283,068

-Inflation Swaps 6,553,129 - 6,553,129 -

-Total Return Swaps 202,922 - 202,922 -

Financial liabilities at fair value through profit or lossInvestments in financial derivative instruments

-Forward Exchange Contracts (178,589) - (178,589) -

-Autocallable Swaps (8,196,350) - - (8,196,350)

-Inflation Swaps (22,124,229) - (22,124,229) -

Total 1,175,168,767 - 1,023,082,049 152,086,718


Total£

Level 1£

Level 2£

Level 3£

2019 2019 2019 2019Financial assets at fair value through profit or lossInvestments in transferrable securities at fair value

-Bonds 964,141,313 - 964,141,313 -


-Forward Exchange Contracts 1,762 - 1,762 -

-Swaps 147,805,861 - 8,265,401 139,540,460



-Swaps (19,153,964) - (14,755,615) (4,398,349)

Total 1,092,411,356 - 957,269,245 135,142,111



283


Atlantic House US Enhanced Equity Fund*Total

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Bonds 27,662,872 - 27,662,872 -


-Cross Currency Swaps 6,516,289 - 6,516,289 -

-Equity Linked Swaps 41,340,399 - 41,340,399 -


-Cross Currency Swaps (6,634,667) - (6,634,667) -

-Equity Linked Swaps (17,735,273) - (17,735,273) -

-Inflation Swaps (1,873,327) - (1,873,327) -

Total 49,276,293 - 49,276,293 -


Total$

Level 1$

Level 2$

Level 3$


-Bonds 49,664,379 - 45,658,419 4,005,960


-Swaps 56,946,381 - 56,946,381 -


-Swaps (39,838,866) - (39,838,866) -

Total 66,771,894 - 62,765,934 4,005,960



284


Atlantic House Total Return Fund*Total

£Level 1

£Level 2

£Level 3

£2020 2020 2020 2020


-Bonds 13,367,118 - 13,367,118 -

-Exchange Traded Commodities 731,015 731,015 - -

-Exchange Traded Funds 753,928 753,928 - -

-Mortgage-Backed Securities 881,613 - 881,613 -


-Equity Linked Swaps 600,230 - 548,860 -

-Inflation Swaps 6,721 - 6,721 -

-Volatility Swaps - - 51,370 -



-Equity Linked Swaps (32,822) - (32,822) -

-Inflation Swaps (104,022) - (104,022) -

Total 16,201,001 1,484,943 14,716,058 -


Total£

Level 1£

Level 2£

Level 3£


-Bonds 7,502,118 - 7,502,118 -

-Equities 7,164,524 7,164,524 - -

-Exchange Traded Commodities 1,464,208 1,464,208 - -


-Real Estate Investment Trusts 188,583 188,583 - -

-Warrants 353,703 353,703 - -



-Options 5,422 5,422 - -

-Swaps 600,094 - 600,094 -


-Options (15,589) (15,589) - -

-Swaps (310,991) - (310,991) -

Total 17,175,190 9,336,218 7,838,972 -



285


GSI Global Sustainable Value FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Equities 141,010,565 141,010,524 - 41

-Real Estate Investment Trusts 1,575,959 1,575,959 - -

-Warrants 1,449 1,449 - -

Total 142,587,973 142,587,932 - 41

Total$

Level 1$

Level 2$

Level 3$


-Equities 71,297,412 71,297,291 - 121


Total 72,573,558 72,573,437 - 121

London & Capital Global Balanced Fixed Income FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Bonds 70,363,123 - 70,363,123 -





Total 70,381,410 - 70,381,410 -

Total$

Level 1$

Level 2$

Level 3$


-Bonds 57,821,313 - 57,821,313 -


-Forward Exchange Contracts 1,014,751 - 1,014,751 -



Total 58,733,565 - 58,733,565 -



286


London & Capital Global Conservative Fixed Income FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Bonds 21,583,671 - 21,583,671 -





Total 21,562,971 - 21,562,971 -

Total$

Level 1$

Level 2$

Level 3$


-Bonds 36,174,181 - 36,174,181 -





Total 36,799,132 - 36,799,132 -

London & Capital Global Defensive Equity FundTotal

£Level 1

£Level 2

£Level 3

£2019 2019 2019 2019


-Bonds 2,518,974 - 2,518,974 -

-Equities 10,392,954 10,392,954 - -

-Investment Funds 259,764 - 259,764 -



-Warrants 433,755 433,755 - -





-Futures (12,383) (12,383) - -

Total 14,636,432 11,886,396 2,750,036 -



287


London & Capital Global Growth FundTotal

£Level 1

£Level 2

£Level 3

£2020 2020 2020 2020


-Bonds 8,001,315 - 8,001,315 -

-Equities 26,499,444 26,354,224 145,220 -

-Investment Funds 2,253,148 - 2,253,148 -

-Exchange Traded Funds 3,918,079 3,918,079 - -

-Warrants 2,082,371 2,082,371 - -





Total 43,200,132 32,354,674 10,845,458 -

Total£

Level 1£

Level 2£

Level 3£


-Bonds 13,342,879 - 13,342,879 -

-Equities 18,535,145 18,535,145 - -




-Warrants 1,786,049 1,786,049 - -





Total 41,896,140 23,765,957 18,130,183 -

London & Capital Global Growth Fixed Income FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Bonds 48,136,791 - 48,136,791 -





Total 47,984,138 - 47,984,138 -



288


London & Capital Global Growth Fixed Income Fund (Continued)Total

$Level 1

$Level 2

$Level 3

$2019 2019 2019 2019


-Bonds 47,796,580 - 47,796,580 -





Total 48,620,998 - 48,620,998 -

London & Capital Global Star Equity FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Equities 184,501,813 184,501,813 - -




-Forward Exchange Contracts (1,578,195) - (1,578,195) -

Total 184,328,735 184,501,813 (173,078) -

Total$

Level 1$

Level 2$

Level 3$


-Equities 147,991,088 147,991,088 - -





Total 149,698,911 147,991,088 1,707,823 -



289


London & Capital Global Balanced FundTotal

£Level 1

£Level 2

£Level 3

£2020 2020 2020 2020


-Bonds 27,466,883 - 27,466,883 -

-Equities 19,126,276 19,126,276 - -



-Warrants 3,894,305 3,894,305 - -





Total 54,907,597 24,227,476 30,680,121 -

Total£

Level 1£

Level 2£

Level 3£


-Bonds 30,611,422 - 30,611,422 -

-Equities 15,255,159 15,255,159 - -




-Warrants 1,871,100 1,871,100 - -





Total 53,055,848 19,077,114 33,978,734 -



290


Principal Asset Allocation FundTotal

£Level 1

£Level 2

£Level 3

£2020 2020 2020 2020


-Bonds 1,955,161 - 1,955,161 -

-Equities 5,228,265 5,228,265 - -

-Investment Funds 38,569 - 38,569 -


-Futures 72,581 72,581 - -



-Futures (81,169) (81,169) - -

Total 7,193,368 5,219,677 1,973,691 -

Total£

Level 1£

Level 2£

Level 3£




-Warrants 2,367,111 2,367,111 - -





-Futures (299,675) (299,675) - -

Total 8,161,447 3,796,016 4,365,431 -

Third Avenue Real Estate Value FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Equities 70,894,507 70,894,507 - -




-Options 338 338 - -


-Options (354,722) (354,722) - -

Total 115,208,123 115,036,259 171,864 -



291


Third Avenue Real Estate Value Fund (Continued)Total

$Level 1

$Level 2

$Level 3

$2019 2019 2019 2019


-Bonds 1,350,512 - 1,350,512 -

-Equities 85,816,891 85,816,891 - -




-Options 20,559 20,559 - -


-Options (106,889) (106,889) - -

Total 142,082,349 140,203,788 1,878,561 -

Semper Total Return FundTotal

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Asset-Backed Securities 149,742,601 - 149,742,601 -

-Mortgage-Backed Securities 163,934,212 - 152,916,762 11,017,450





Total 324,007,147 - 312,989,697 11,017,450

Total$

Level 1$

Level 2$

Level 3$


-Asset-Backed Securities 102,229,340 - 101,783,497 445,843

-Mortgage-Backed Securities 137,471,516 - 115,865,707 21,605,809

-Treasury Bills 6,300,000 6,300,000 - -





Total 250,991,720 6,300,000 222,640,068 22,051,652



292


Causeway Defined Growth Fund*Total

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Bonds 10,404,810 - 10,404,810 -



-Autocallable Swaps 516,851 - - 516,851


-Forward Exchange Contracts (367) - (367) -

-Autocallable Swaps (8,300) - - (8,300)

-Cross Currency Swaps (83,985) - (83,985) -

Total 10,922,510 - 10,413,959 508,551


Calamos Global Convertible Fund*Total

$Level 1

$Level 2

$Level 3

$2020 2020 2020 2020


-Bonds 473,799,443 - 473,799,443 -

-Equities 50,950,453 50,950,453 - -






Total 554,400,394 50,950,453 503,449,941 -


All level 3 financial assets are valued using broker prices. Therefore, unobservable inputs are not developed in

arriving at the fair value of the financial assets.



293


The following table presents the movement in Level 3 instruments for the financial year ended 31st December 2020 by class of financial instrument.

Atlantic House Defined Returns Fund*Unquoted securities at fair value

through profit or loss

£

Opening balance as at 1st January 2019 3,005,575Total realised gain 5,347,048

Total movement in unrealised gain 126,789,488

Purchases -

Sales -

Transfers into or out of Level 3 -

Closing balance as at 31st December 2019 135,142,111Total realised gain (1,798,060)

Total movement in unrealised gain 18,742,667

Purchases -

Sales -


Closing balance as at 31st December 2020 152,086,718*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.

Atlantic House US Enhanced Equity Fund**Unquoted securities at fair value


$

Opening balance as at 1st January 2019 3,194,560Total realised gain -

Total movement in unrealised loss (22,400)

Purchases -

Sales -

Transfers into or out of Level 3 833,800

Closing balance as at 31st December 2019 4,005,960Total realised gain 4,000

Total movement in unrealised gain (5,960)

Purchases -

Sales (4,004,000)


Closing balance as at 31st December 2020 -**Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.



294


GSI Global Sustainable Value FundUnquoted securities at fair value


$

Opening balance as at 1st January 2019 28Total realised gain 70

Total movement in unrealised gain 56

Purchases -

Sales (70)

Transfers into or out of Level 3 37

Closing balance as at 31st December 2019 121Total realised gain 78

Total movement in unrealised gain (80)

Purchases -

Sales (78)


Closing balance as at 31st December 2020 41

Semper Total Return FundUnquoted securities at fair value


$

Opening balance as at 1st January 2019 12,595,838Total realised loss (114,144)

Total movement in unrealised gain 12,833

Purchases 1,435,602

Sales (10,451,987)

Transfers into or out of Level 3 18,573,510

Closing balance as at 31st December 2019 22,051,652Total realised loss (841,843)


Purchases 7,784,913

Sales (13,888,329)

Transfers into or out of Level 3* (4,387,802)

Closing balance as at 31st December 2020 11,017,450

*Transferred from Level 3 to Level 2 as prices have become available.

Causeway Defined Growth Fund*Unquoted securities at fair value


$

Opening balance as at 1st January 2020 -Total realised gain -


Purchases -

Sales -


Closing balance as at 31st December 2020 508,551*CDGF launched on 31st January 2020.



295

4. FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS

Each Sub-Fund is exposed to market risk (including market price risk, interest rate risk and foreign currency risk),

credit risk and liquidity risk arising from the financial instruments it holds. The overall risk management

programme focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on

financial performance. Each type of risk is discussed in turn and qualitative information is provided when relevant

to provide an understanding of the risk management methods used by the Investment Managers, along with

quantitative analysis to give an understanding of the extent of exposure to risks.

General Risk Management Process

The Company maintains both Value at Risk (VaR) and the Commitment Approach as the methods to calculate the

global exposure in accordance with the UCITS regulations as different Sub-Funds may use different methods.

The Company’s risk management process is managed by the Board and the decision was taken to appoint a

Designated Person with responsibility for Fund Risk Management effective from 7th October 2015. The

Designated Person is tasked with assisting the Board in providing leadership, direction and oversight of the overall

Company risk appetite, risk tolerance and investment risk management framework. The Designated Person is

authorised to investigate any matter within their remit, to seek any information from any of the Investment

Managers which is necessary to enable the Designated Person to satisfactorily discharge their duties and to make

recommendations to the Board where action or improvement is needed.

The Board has overall responsibility for Investment Risk. The role of the Designated Person for Investment Risk

includes the following:

1. recommending the overall risk appetite and tolerance of each Sub-Fund for approval;

2. reviewing the risk framework and approving Sub-Fund risk policies, standards and limits within the overall

appetite and tolerance for each Sub-Fund;

3. monitoring compliance with approved risk tolerance levels and policies and the resultant action in respect of

UCITS investment restrictions and individual Sub-Fund investment policy breaches;

4. reviewing each Sub-Fund’s material risk exposures; including market, credit, liquidity and regulatory risk;

5. reviewing the Sub-Fund’s stress testing and monitoring response to the results;

6. receiving notification of material breaches of investment limits and approving the proposed remedial action

where such cases are escalated to the Board and the Designated Person;

7. reviewing and providing confirmation that the disclosures made in the annual report on its activities, the risk

governance and related sections are fair, balanced and understandable and;

8. to produce an investment risk profile of all new potential Sub-Funds prior to approving the launch of such

Sub-Funds.

Governance

The Board will receive reporting from the Designated Person to the findings of any reviews of the Sub-Fund’s

investment risk and investment restrictions.

Each Sub-Fund has an individual risk management process.

Market Risk

Market risk is the risk that the fair value or future cash flows of a financial instrument may fluctuate because of

changes in market prices and includes interest rate risk, foreign currency risk and “other price risks”, such as equity

and commodity risk.



296

4. FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS (Continued)

Market Risk (Continued)

The market risk of the equity instruments held by the Company is typically managed through a portfolio approach

whereby an optimum level of diversity is ensured within its equity holdings across various industries in order to

minimise such market risk.

Price risk

Market price risk is the risk that the fair value of financial instruments i.e. bonds, equities and other investments or

its future cash flows, will fluctuate because of changes in market prices and includes currency risk and interest rate

risk. The Company’s market risk management strategy is driven by the investment objectives of each of the Sub-

Funds. The Sub-Funds are actively managed.

Atlantic House Defined Returns Fund, Atlantic House US Enhanced Equity Fund, Atlantic House Total Return

Fund, Principle Asset Allocation Fund and Causeway Defined Growth Fund are using the VaR approach and other

Sub-Funds are using Commitment approach to manage the market price risk.


The following table indicates the VaR analysis based on a 99% confidence interval for Atlantic House Defined

Returns Fund as at 31st December 2020 and 31st December 2019. It should be noted that the calculation method was

changed from an absolute VaR approach to a relative VaR approach for this Sub-Fund during the year.

1 Month VaR Daily VaR31st December 2020 121.50% 27.20%



Atlantic House US Enhanced Equity Fund**

The following table indicates the VaR analysis based on a 99% confidence interval for Atlantic House US

Enhanced Equity Fund as at 31st December 2020 and 31st December 2019. It should be noted that the calculation

method was changed from an absolute VaR approach to a relative VaR approach for this Sub-Fund during the year.




Atlantic House Total Return Fund***

The following table indicates the VaR analysis based on a 99% confidence interval for Atlantic House Total Return

Fund as at 31st December 2020 and 31st December 2019. The VaR limit is 20%.






297



Price risk (Continued)

Principle Asset Allocation Fund

The following table indicates the VaR analysis based on a 99% confidence interval for Principle Asset Allocation

Fund as at 31st December 2020 and 31st December 2019. This Sub-Fund uses a relative VaR approach.




The following table indicates the VaR analysis based on a 99% confidence interval for Causeway Defined Growth

Fund as at 31st December 2020. This Sub-Fund uses a relative VaR approach.



The following tables indicate the impact of a price sensitivity movement of 10%, which the Directors believe is a

reasonably possible movement for the instruments held as at 31st December 2020 and 31st December 2019:

GSI Global Sustainable Value Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity

$Financial instruments at fair value through profit or loss-Equities 141,010,565 14,101,057

-Real Estate Investment Trusts 1,575,959 157,596

-Warrants 1,449 145

142,587,973 14,258,798

31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$

Financial instruments at fair value through profit or loss-Equities 71,297,412 7,129,741


-Warrants - -

72,573,558 7,257,356



298




London & Capital Global Balanced Fixed Income Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity

$Financial instruments at fair value through profit or loss-Bonds 70,363,123 7,036,312

-Forwards Exchange Contracts 18,287 1,829

70,381,410 7,038,141

31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$

Financial instruments at fair value through profit or loss-Bonds 57,821,313 5,782,131


58,733,565 5,873,356

London & Capital Global Conservative Fixed Income Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity


-Forwards Exchange Contracts (20,700) (2,070)

21,562,971 2,156,297

31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$



36,799,132 3,679,913



299




London & Capital Global Defensive Equity Fund31 Dec

201931 Dec

2019Fair Value

£10% Sensitivity

£Financial instruments at fair value through profit or loss-Equities 10,392,954 1,039,295

-Bonds 2,518,974 251,897

-Investment Funds 259,764 25,976

-Exchange Traded Funds 342,459 34,246

-Real Estate Investment Trusts 721,477 72,148

-Warrants 433,755 43,376


-Futures (4,249) (425)

14,636,432 1,463,643

London & Capital Global Growth Fund*31 Dec

202031 Dec

2020Fair Value

£10% Sensitivity


-Bonds 8,001,315 800,132

-Investment Funds 2,253,148 225,315

-Exchange Traded Funds 3,918,079 391,808

-Real Estate Investment Trusts - -

-Warrants 2,082,371 208,237


43,200,132 4,320,014


31 Dec2019

31 Dec2019

Fair Value£

10% Sensitivity£


-Bonds 13,342,879 1,334,288




-Warrants 1,786,049 178,605


41,896,140 4,189,614



300




London & Capital Global Growth Fixed Income Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity



47,984,138 4,798,414

31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$



48,620,998 4,862,099

London & Capital Global Star Equity Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity



184,328,735 18,432,873

31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$


-Forwards Exchange Contracts 1,707,823 170,782

149,698,911 14,969,891



301




London & Capital Global Balanced Fund *31 Dec

202031 Dec

2020Fair Value

£10% Sensitivity


-Bonds 27,466,883 2,746,688



-Real Estate Investment Trusts - -

-Warrants 3,894,305 389,431


54,907,597 5,490,761


31 Dec2019

31 Dec2019

Fair Value£

10% Sensitivity£


-Bonds 30,611,422 3,061,142



-Real Estate Investment Trusts 941,411 94,141

-Warrants 1,871,100 187,110


53,055,848 5,305,584

Third Avenue Real Estate Value Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity


-Bonds - -

-Real Estate Investment Trusts 44,496,136 4,449,614


-Debt Instruments (354,384) (35,438)

115,208,123 11,520,813



302




31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$


-Bonds 1,350,512 135,051

-Real Estate Investment Trusts 54,473,227 5,447,323


-Debt Instruments (86,330) (8,633)

142,082,349 14,208,235

Semper Total Return Fund31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity

$Financial instruments at fair value through profit or loss-Forwards Exchange Contracts 10,330,334 1,033,033

-Treasury Bills - -

-Asset Backed Securities 149,742,601 14,974,260

-Mortgage Backed Securities 163,934,212 16,393,421

324,007,147 32,400,714

31 Dec2019

31 Dec2019

Fair Value$

10% Sensitivity$

Financial instruments at fair value through profit or loss-Forwards Exchange Contracts 4,990,864 499,086

-Treasury Bills 6,300,000 630,000

-Asset Backed Securities 102,229,340 10,222,934

-Mortgage Backed Securities 137,471,516 13,747,152

250,991,720 25,099,172



303




Calamos Global Convertible Fund*31 Dec

202031 Dec

2020Fair Value

$10% Sensitivity


-Bonds 473,799,443 47,379,944

-Investment Funds 29,753,418 2,975,342


552,209,460 55,220,946


Disclosures of Limitations of the Analysis

• Sensitivity analysis was based on historical data and could not take account of the fact that future market price

movements, correlations between markets and levels of market liquidity in conditions of market stress may

bore no relation to historical patterns.

• The market price risk information was a relative estimate of risk rather than a precise and accurate number.

• The market price risk information represented a hypothetical outcome and was not intended to be predictive.

• Future market conditions could have varied significantly from those experienced in the past.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of

changes in prevailing interest rates. The Company is exposed to interest rate risk through its investments in

securities with floating rates of interest and its cash balances. High yield securities as an asset class have

traditionally been less sensitive to interest rate risk relative to other asset classes such as investment grade bonds.

However, when interest rates decline, the value of a Sub-Fund’s portfolio invested in fixed-rate obligations can be

expected to rise. Conversely, when interest rates rise, the value of a Sub- Fund’s portfolio investments in fixed-rate

obligations can be expected to decline. To mitigate the negative impact of a rising interest rate environment, the

Investment Manager manages the Company’s interest rate risk on a daily basis in accordance with policies and

procedures in place.

The interest rate risk in relation to cash holdings is not regarded as a material risk. Other than the Sub-Funds shown

in the following tables, the Company’s other Sub-Funds are not exposed to significant interest rate risk as the

majority of the Company’s financial assets are equity shares and other instruments which neither pay interest nor

have a maturity date.



304



Interest rate risk (Continued)

The interest rate profile of fixed income securities and other interest bearing instruments held by the Company for

the financial year ended 31st December 2020 and 31st December 2019 is as follows:

Atlantic House Defined Returns Fund*Fixed Rate

InterestFloating Rate

InterestNon-interest

bearingTotal

31 Dec 2020 £ £ £ £AssetsBonds 1,028,644,710 9,983,700 - 1,038,628,410

Forward Exchange contracts - - 406 406

Swaps - 6,553,129 160,485,990 167,039,119

Cash at Bank - 70,594,365 - 70,594,365

Cash held as collateral - 7,370,000 - 7,370,000

Other receivables - - 5,056,503 5,056,503

1,028,644,710 94,501,194 165,542,899 1,288,688,803LiabilitiesForward Exchange contracts - - 178,589 178,589

Swaps - 22,124,229 8,196,350 30,320,579

Other Liabilities - - 1,951,412 1,951,412

- 22,124,229 10,326,351 32,450,580*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.

Atlantic House Defined Returns FundFixed Rate



bearingTotal

31 Dec 2019 £ £ £ £AssetsBonds 479,381,639 408,371,708 76,387,966 964,141,313

Forward Exchange contracts - - 1,762 1,762

Swaps - 8,265,401 139,540,460 147,805,861

Cash at Bank - 106,807,184 - 106,807,184

Cash held as collateral - 500,000 - 500,000


479,381,639 523,944,293 225,703,114 1,229,029,046LiabilitiesForward Exchange contracts - - 383,616 383,616

Swaps - 12,953,587 6,200,377 19,153,964


- 12,953,587 8,295,811 21,249,398



305




Atlantic House US Enhanced Equity Fund*Fixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsBonds 25,670,872 1,992,000 - 27,662,872

Swaps - - 47,856,688 47,856,688

Cash at Bank - 299,395 - 299,395

Other receivables - - 735,995 735,995

25,670,872 2,291,395 48,592,683 76,554,950LiabilitiesSwaps - 1,873,327 24,369,940 26,243,267

Other Liabilities - - 772,591 772,591

- 1,873,327 25,142,531 27,015,858*Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.

Atlantic House US Enhanced Equity FundFixed Rate



bearingTotal

31 Dec 2019 $ $ $ $AssetsBonds 33,786,580 15,877,799 - 49,664,379

Swaps - - 56,946,381 56,946,381

Cash at Bank - 3,884,299 - 3,884,299


33,786,580 19,762,098 58,200,573 111,749,251LiabilitiesSwaps - 2,325,810 37,513,056 39,838,866


- 2,325,810 38,777,738 41,103,548

Atlantic House Total Return Fund*Fixed Rate



bearingTotal

31 Dec 2020 £ £ £ £AssetsBonds 12,872,650 494,468 - 13,367,118

Exchange Traded Fund - - 753,928 753,928

Exchange Traded Commodities - - 731,015 731,015

Swaps - 6,721 600,230 606,951

Cash at Bank - 2,371,480 - 2,371,480




306




Atlantic House Total Return Fund* (Continued)Fixed Rate



bearingTotal

31 Dec 2020 £ £ £ £Cash held as collateral - 470,000 - 470,000


12,872,650 3,342,669 2,313,432 18,528,751LiabilitiesForward Exchange contracts - - 2,780 2,780

Swaps - 104,022 32,822 136,844


- 104,022 130,038 234,060*Formerly AHFM Total Return Fund. Name change effective on 5th October 2020.

Atlantic House Total Return FundFixed Rate



bearingTotal

31 Dec 2019 £ £ £ £AssetsEquities - - 7,164,524 7,164,524

Bonds 3,796,176 3,705,942 - 7,502,118

Exchange Traded Commodities - - 1,464,208 1,464,208


Real Estate Investment Trusts - - 188,583 188,583

Warrants - - 353,703 353,703

Options - - 5,422 5,422


Swaps - 4,509 595,585 600,094

Cash at Bank - 85,510 - 85,510


3,796,176 3,795,961 10,210,397 17,802,534LiabilitiesOptions - - 15,589 15,589

Swaps - 53,610 257,381 310,991


- 53,610 296,886 350,496



307




London & Capital Global Balanced Fixed Income FundFixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsBonds 69,428,753 934,370 - 70,363,123


Cash at Bank - 2,845,518 - 2,845,518




- - 892,021 892,021

Fixed RateInterest

Floating RateInterest

Non-interestbearing

Total

31 Dec 2019 $ $ $ $AssetsBonds 55,237,207 2,584,106 - 57,821,313

Forward Exchange contracts - - 1,014,751 1,014,751

Cash at Bank - 2,163,102 - 2,163,102





- - 192,698 192,698

London & Capital Global Conservative Fixed Income FundFixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsBonds 20,096,889 1,486,782 - 21,583,671


Cash at Bank - 537,028 - 537,028


20,096,889 2,023,810 475,635 22,596,334LiabilitiesForward Exchange contracts - - 316,588 316,588


- - 420,797 420,797



308




London & Capital Global Conservative Fixed Income Fund(Continued)

Fixed RateInterest


Non-interestbearing

Total

31 Dec 2019 $ $ $ $AssetsBonds 33,845,316 2,328,865 - 36,174,181


Cash at Bank - 597,731 - 597,731





- - 192,376 192,376

London & Capital Global Defensive Equity FundFixed Rate



bearingTotal


Bonds 2,518,974 - - 2,518,974

Investment Funds - - 259,764 259,764



Warrants - - 433,755 433,755


Futures - - 8,134 8,134

Cash at Bank - 1,811,268 - 1,811,268

Cash held as collateral - 250 - 250



Futures - - 12,383 12,383


- - 150,180 150,180



309




London & Capital Global Growth FundFixed Rate



bearingTotal


Bonds 7,830,429 170,886 - 8,001,315

Investment Funds - - 2,253,148 2,253,148

Exchange Traded Fund - - 3,918,079 3,918,079

Warrants - - 2,082,371 2,082,371


Cash at Bank - 3,043,665 - 3,043,665




- - 152,671 152,671

Fixed RateInterest


Non-interestbearing

Total


Bonds 13,004,654 338,225 - 13,342,879



Real Estate Investment Trusts - - 1,031,564 1,031,564

Warrants - - 1,786,049 1,786,049


Cash at Bank - 2,476,941 - 2,476,941




- - 128,896 128,896



310




London & Capital Global Growth Fixed Income FundFixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsBonds 46,195,101 1,941,690 - 48,136,791


Cash at Bank - 3,886,772 - 3,886,772




- - 643,262 643,262

Fixed RateInterest


Non-interestbearing

Total

31 Dec 2019 $ $ $ $AssetsBonds 44,496,742 3,299,838 - 47,796,580


Cash at Bank - 3,145,662 - 3,145,662





- - 183,100 183,100

London & Capital Global Balanced FundFixed Rate



bearingTotal


Bonds 26,011,892 1,454,991 - 27,466,883



Warrants - - 3,894,305 3,894,305


Cash at Bank - 3,605,308 - 3,605,308




- - 229,210 229,210



311




London & Capital Global Balanced Fund (Continued)Fixed Rate



bearingTotal


Bonds 28,855,198 1,756,224 - 30,611,422




Warrants - - 1,871,100 1,871,100


Cash at Bank - 3,620,827 - 3,620,827




- - 223,440 223,440

Principal Asset Allocation FundFixed Rate



bearingTotal


Bonds 1,955,161 - - 1,955,161

Investment Funds - - 38,569 38,569

Cash at Bank - 63,357 - 63,357



1,955,161 816,013 5,388,468 8,159,642LiabilitiesCollateral due to broker - 72,581 - 72,581


Futures - - 81,169 81,169


- 72,581 185,628 258,209

Fixed RateInterest


Non-interestbearing

Total

31 Dec 2019 £ £ £ £AssetsInvestment Funds - - 4,372,661 4,372,661


Warrants - - 2,367,111 2,367,111


Futures - - 23,067 23,067

Cash at Bank - 1,981,857 - 1,981,857



312




Principal Asset Allocation Fund (Continued)Fixed Rate



bearingTotal

31 Dec 2019 £ £ £ £Cash held as collateral - 2,794,518 - 2,794,518


- 4,776,375 8,780,681 13,557,056LiabilitiesCollateral due to broker - 942,046 - 942,046


Futures - - 299,675 299,675


- 942,046 411,177 1,353,223

Third Avenue Real Estate Value FundFixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsEquities - - 70,894,507 70,894,507


Options - - 338 338


Cash at Bank - 16,455,925 - 16,455,925



- 16,745,925 117,975,863 134,721,788LiabilitiesOptions - - 354,722 354,722


- - 16,513,445 16,513,445

Fixed RateInterest


Non-interestbearing

Total


Bonds - - 1,350,512 1,350,512


Options - - 20,559 20,559


Cash at Bank - 10,621,010 - 10,621,010


- 10,621,010 145,004,272 155,625,282LiabilitiesOverdraft - 162 - 162

Options - - 106,889 106,889


- 162 1,651,247 1,651,409



313




Semper Total Return FundFixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsAsset Backed Securities - 149,742,601 - 149,742,601

Mortgage Backed Securities - 144,417,913 - 144,417,913


Cash at Bank - 12,639,107 - 12,639,107


- 306,799,621 11,139,149 317,938,770LiabilitiesForward Exchange contracts - - 107,296 107,296


- - 4,433,653 4,433,653

Fixed RateInterest


Non-interestbearing

Total

31 Dec 2019 $ $ $ $AssetsAsset Backed Securities - 102,229,340 - 102,229,340

Mortgage Backed Securities - 137,471,516 - 137,471,516

Treasury Bills 6,300,000 - - 6,300,000


Cash at Bank - 462,364 - 462,364




- - 259,314 259,314

Causeway Defined Growth Fund*Fixed Rate



bearingTotal

31 Dec 2020 $ $ $ $AssetsBonds 10,404,810 - - 10,404,810


Swaps - - 516,851 516,851

Cash at Bank - 1,069,454 - 1,069,454




314




Causeway Defined Growth Fund* (Continued)Fixed Rate



bearingTotal

31 Dec 2020 $ $ $ $Cash held as collateral - 360,000 - 360,000


10,404,810 1,429,454 781,303 12,615,567LiabilitiesForward Exchange contracts - - 367 367

Swaps - - 92,285 92,285


- - 168,571 168,571*Launched on 31st January 2020.

Calamos Global Convertible Fund*Fixed Rate



bearingTotal


Bonds 464,038,586 9,760,857 - 473,799,443



Cash at Bank - 5,739,449 - 5,739,449


464,038,586 15,500,306 148,914,876 628,453,768LiabilitiesOverdraft - 411,082 - 411,082



- 411,082 67,275,621 67,686,703*Launched on 30th November 2020.

The Sub-Funds below are not included as they do not have significant interest rate risk.



The sensitivity analysis below is based on a change in one variable while holding all other variables constant. In

practice all other variables are unlikely to remain constant, and changes in some of the variables may be correlated.

In addition as the analysis is based on historical data it cannot take account of future rate movements. The market

price information represents a hypothetical outcome and is not intended to be predictive.



315




Had interest rates increased by 5 basis points as at 31st December 2020 and 31st December 2019, the net assets

would have increased as set out in the table below:

Sensitivity Analysis Currency 31 Dec 2020 31 Dec 2019

AHFM Defined Returns Fund £ 43,974 254,344

AHFM US Enhanced Equity Fund $ 209 8,718

AHFM Total Return Fund £ 1,619 1,871

GSI Global Sustainable Value Fund $ 500 -

London & Capital Global Balanced Fixed Income Fund $ 1,890 2,374

London & Capital Global Conservative Fixed Income Fund $ 1,012 1,766

London & Capital Global Defensive Equity Fund £ - 906

London & Capital Global Growth Fund £ 1,607 1,408

London & Capital Global Growth Fixed Income Fund $ 2,914 3,758

London & Capital Global Star Equity Fund $ 9,776 -

London & Capital Global Balanced Fund £ 2,530 2,689

Principal Asset Allocation Fund £ 372 1,917

Third Avenue Real Estate Value Fund $ 8,373 5,310

Semper Total Return Fund $ 153,400 120,082

Causeway Defined Growth Fund* $ 715 -

Calamos Global Convertible Fund** $ 7,545 -

*Launched on 31st January 2020.**Launched on 30th November 2020.

A decrease in the movement of interest rates held by the Sub-Funds by 5 basis points would have resulted in an

equal and opposite effect on the financial statements, assuming that all other variables remained constant.

Currency risk

Currency risk is the risk that the value of a financial instrument may fluctuate due to changes in foreign exchange

rates. Each Sub-Fund invests in securities that are denominated in currencies other than the functional currency of

that Sub-Fund. Accordingly, the value of the Company’s assets might be affected favourably or unfavourably by

fluctuations in currency rates and therefore the Company may be subject to foreign exchange risks.



316



Currency risk (Continued)

The Company’s total exposure to fluctuations in foreign currency exchange rates as at 31st December 2020 was as

follows:


TotalInvestments

2020

NetMonetary

Assets/Liabilities2020

OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020

Sensitivity analysisof Net Exposure

(10% movement)2020

£ £ £ £ £ £

EUR - - 1,892 4,344,428 4,346,320 434,632

USD - - 89,365 9,080,218 9,169,583 916,958

- - 91,257 13,424,646 13,515,903 1,351,590*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

GBP 148,102 - - - 148,102 14,810

148,102 - - - 148,102 14,810*Formerly AHFM US Enhanced Equity Fund. Name change effective on 5th October 2020.


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

£ £ £ £ £ £

CHF 51,370 - - - 51,370 5,137

EUR 734,117 - - (495,360) 238,757 23,876

USD 1,648,483 - - - 1,648,483 164,848

2,433,970 - - (495,360) 1,938,610 193,861*Formerly AHFM Total Return Fund. Name change effective on 5th October 2020.



317





TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

AU$ 3,188,176 - 4,055 - 3,192,231 319,223

CA$ 3,593,220 - 7,741 - 3,600,961 360,096

CHF 4,779,001 - - - 4,779,001 477,900

DKK 1,305,109 - - - 1,305,109 130,511

EUR 13,080,211 - 10,416 - 13,090,627 1,309,063

GBP 6,781,204 - 320,885 - 7,102,089 710,209

HK$ 1,194,242 - - - 1,194,242 119,424

JPY 12,092,786 - 21,476 - 12,114,262 1,211,426

NOK 515,165 - - - 515,165 51,517

NZ$ 274,981 - - - 274,981 27,498

SEK 1,634,776 - 327 - 1,635,103 163,510

SG$ 592,875 - 4,025 - 596,900 59,690

49,031,746 - 368,925 - 49,400,671 4,940,067


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

BRL 735,570 - - - 735,570 73,557

EUR 19,603,278 188,180 - (11,016,937) 8,774,521 877,452

GBP 9,745,611 140,573 (1) 41,188,075 51,074,258 5,107,426

MXN 737,630 - - - 737,630 73,763

30,822,089 328,753 (1) 30,171,138 61,321,979 6,132,198


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

CA$ - 19 - - 19 2

EUR 6,934,520 55,511 - (6,913,938) 76,093 7,609

GBP 5,539,424 189,309 (136,695) 13,332,078 18,924,116 1,892,412

NOK - 2 - - 2 -

12,473,944 244,841 (136,695) 6,418,140 19,000,230 1,900,023



318





TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

£ £ £ £ £ £

AU$ - 820 - - 820 82

BRL 115,309 - - - 115,309 11,531

CA$ 469,590 23,904 3,368 (457,084) 39,778 3,978

CHF 849,533 49,205 - (791,290) 107,448 10,745

EUR 8,318,034 119,461 - (8,056,763) 380,732 38,073

HK$ - 366 - - 366 37

JPY - 580 - - 580 58

MXN 154,176 - - - 154,176 15,418

NOK 473,712 39,940 - (468,231) 45,421 4,542

PLN - 64 - - 64 6

SG$ - 209 - - 209 21

USD 21,437,580 205,702 11,076 (16,365,756) 5,288,602 528,860

ZAR - 22 - - 22 2

31,817,934 440,273 14,444 (26,139,124) 6,133,527 613,353


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

BRL 1,576,221 - - - 1,576,221 157,622

EUR 14,177,334 163,816 - (8,951,656) 5,389,494 538,949

GBP 12,331,514 125,956 - 20,727,250 33,184,720 3,318,472

MXN 895,693 - - - 895,693 89,569

28,980,762 289,772 - 11,775,594 41,046,128 4,104,612


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

CA$ 5,209,668 1,312,602 37,363 (4,788,193) 1,771,440 177,144

CHF 10,315,269 231,942 - (8,938,480) 1,608,731 160,873

EUR 51,703,363 653,742 - (35,437,275) 16,919,830 1,691,983

GBP 10,671,984 2,279,125 (53,666) 102,707,339 115,604,782 11,560,478

NOK 5,384,809 185,913 - (4,788,752) 781,970 78,197

83,285,093 4,663,324 (16,303) 48,754,639 136,686,753 13,668,675



319





TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

£ £ £ £ £ £

CA$ 279,031 4,002 2,001 (268,163) 16,871 1,687

CHF 792,978 36,965 - (782,185) 47,758 4,776

EUR 13,568,653 58,415 - (13,329,467) 297,601 29,760

NOK 261,539 14,709 - (272,565) 3,683 368

USD 26,028,057 371,212 6,467 (16,806,759) 9,598,977 959,898

40,930,258 485,303 8,468 (31,459,139) 9,964,890 996,489


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

£ £ £ £ £ £

CHF 914,696 492 - - 915,188 91,519

DKK 452,137 36 - - 452,173 45,217

EUR 2,150,840 401,473 4,857 153,376 2,710,546 271,055

NOK - 31 - - 31 3

PLN - 179 - - 179 18

SEK 629,163 3 - - 629,166 62,917

USD - 2,807 3,568 1,037,704 1,044,079 104,408

4,146,836 405,021 8,425 1,191,080 5,751,362 575,137


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

AU$ 641,653 - 11,422 - 653,075 65,308

EUR 2,099,801 259 - 42,276,180 44,376,240 4,437,624

GBP 26,384,195 - 55,856 - 26,440,051 2,644,005

HK$ 13,220,410 - (1,767,397) - 11,453,013 1,145,301

42,346,059 259 (1,700,119) 42,276,180 82,922,379 8,292,238



320





TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

EUR - - - 511,794 511,794 51,179

GBP - - 147,215 318,402,390 318,549,605 31,854,961

- - 147,215 318,914,184 319,061,399 31,906,140


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

EUR - - - 113,132 113,132 11,313

GBP - - 51,944 7,383,819 7,435,763 743,576

JPY 3,010,916 - - - 3,010,916 301,092

3,010,916 - 51,944 7,496,951 10,559,811 1,055,981*Launched on 31st January 2020.


TotalInvestments

2020

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2020

NetExposure

2020


(10% movement)2020

$ $ $ $ $ $

CHF - 659 6,398 17,606,671 17,613,728 1,761,373

EUR 57,144,867 - (276,146) 40,537,256 97,405,977 9,740,598

GBP 3,381,765 4,268,588 (801,275) 4,748,444 11,597,522 1,159,752

HK$ 8,882,288 - - - 8,882,288 888,229

JPY 22,100,055 - - - 22,100,055 2,210,006

SG$ - - 370 - 370 37

91,508,975 4,269,247 (1,070,653) 62,892,371 157,599,940 15,759,995*Launched on 30th November 2020.

A strengthening of 10% of the relevant Sub-Fund’s functional currency against the currencies in the above tables

would have resulted in losses to the amounts shown in the Sensitivity Analysis column. A weakening of the

functional currency against these currencies would have resulted in an equal but opposite effect.



321




The Company’s total exposure to fluctuations in foreign currency exchange rates as at 31st December 2019 was as

follows:


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

£ £ £ £ £ £

EUR - - 194,709 3,779,497 3,974,206 397,421

USD - - - 13,542,466 13,542,466 1,354,247

- - 194,709 17,321,963 17,516,672 1,751,667


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

GBP 383,348 40,603 - - 423,951 42,395

383,348 40,603 - - 423,951 42,395


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

£ £ £ £ £ £

CA$ 181,058 - 413 - 181,471 18,147

CHF 12,507 - - - 12,507 1,251

EUR 87,870 - - - 87,870 8,787

HK$ 262,081 - - - 262,081 26,208

IDR 148,696 - - - 148,696 14,870

JPY 127,508 - - - 127,508 12,751

USD 5,621,292 - 2,868 (6,152,249) (528,089) (52,809)

6,441,011 - 3,281 (6,152,249) 292,044 29,205



322





TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

AU$ 1,789,125 - 4,776 - 1,793,901 179,390

CA$ 2,190,419 - 2,860 - 2,193,279 219,328

CHF 1,894,082 - - - 1,894,082 189,408

DKK 484,081 - - - 484,081 48,408

EUR 7,465,018 - 95,372 - 7,560,390 756,039

GBP 4,426,564 - 169,840 - 4,596,404 459,640

HK$ 575,182 - - - 575,182 57,518

JPY 6,363,147 - 10,963 - 6,374,110 637,411

NOK 310,731 - - - 310,731 31,073

NZ$ 113,524 - - - 113,524 11,352

SEK 906,829 - - - 906,829 90,683

SG$ 364,241 - 2,654 - 366,895 36,690

26,882,943 - 286,465 - 27,169,408 2,716,940


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

CA$ - 15 - - 15 2

EUR 9,481,335 249,899 - (9,143,060) 588,174 58,817

GBP 13,440,701 134,007 - 31,189,662 44,764,370 4,476,437

22,922,036 383,921 - 22,046,602 45,352,559 4,535,256


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

CA$ - 18 - - 18 2

EUR 4,896,802 140,638 - (5,009,159) 28,281 2,828

GBP 11,569,389 139,952 - 19,460,318 31,169,659 3,116,966

NOK - 3 - - 3 -

16,466,191 280,611 - 14,451,159 31,197,961 3,119,796



323





TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

£ £ £ £ £ £

AU$ - 203 - - 203 20

CA$ 435,405 30,154 2,532 (392,599) 75,492 7,549

CHF 453,320 17,312 - (409,786) 60,846 6,085

EUR 2,340,972 317,870 5,666 (2,025,466) 639,042 63,904

JPY - 1 - - 1 -

NOK 339,491 10,039 - - 349,530 34,953

SG$ - 2,264 - - 2,264 226

USD 4,969,926 312,999 6,128 (1,186,344) 4,102,709 410,271

ZAR - 45 - - 45 5

8,539,114 690,887 14,326 (4,014,195) 5,230,132 523,013


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

£ £ £ £ £ £

AU$ - 6,077 - - 6,077 608

CA$ 615,572 7,590 3,580 (569,995) 56,747 5,675

CHF 565,221 16,714 - (530,771) 51,164 5,116

EUR 6,480,242 134,573 - (6,276,883) 337,932 33,793

HK$ - 6,189 - - 6,189 619

JPY - 571 - - 571 57

NOK 586,332 9,249 - (549,354) 46,227 4,623

PLN - 65 - - 65 7

SG$ - 1,896 - - 1,896 190

USD 15,807,282 734,306 11,091 (13,056,877) 3,495,802 349,580

ZAR - 24 - - 24 2

24,054,649 917,254 14,671 (20,983,880) 4,002,694 400,270



324





TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

CAD - 97 - - 97 10

EUR 6,929,439 404,652 - (6,682,347) 651,744 65,174

GBP 13,626,993 145,876 - 27,261,201 41,034,070 4,103,407

20,556,432 550,625 - 20,578,854 41,685,911 4,168,591


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

CAD 5,018,577 165,228 29,187 (4,537,694) 675,298 67,530

CHF 5,400,168 200,321 - (4,956,325) 644,164 64,416

EUR 46,292,139 302,097 - (35,412,578) 11,181,658 1,118,166

GBP 16,310,705 403,438 37,515 65,259,386 82,011,044 8,201,104

NOK 4,584,885 140,827 - (4,175,294) 550,418 55,042

77,606,474 1,211,911 66,702 16,177,495 95,062,582 9,506,258


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

£ £ £ £ £ £

CAD 506,721 9,642 2,685 (494,384) 24,664 2,466

CHF 498,244 3,725 - (483,938) 18,031 1,803

EUR 8,511,351 111,659 - (8,482,275) 140,735 14,074

NOK 500,445 13,048 - (493,560) 19,933 1,993

USD 21,937,404 276,594 9,611 (17,975,216) 4,248,393 424,839

31,954,165 414,668 12,296 (27,929,373) 4,451,756 445,175



325





TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

£ £ £ £ £ £

EUR (5,553) 537,303 3,881 141,591 677,222 67,722

JPY 14,834 299,497 (14,834) - 299,497 29,950

USD 3,779,010 875,413 (888,150) (2,466,983) 1,299,290 129,929

3,788,291 1,712,213 (899,103) (2,325,392) 2,276,009 227,601


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

EUR 1,035,942 - - 68,987,495 70,023,437 7,002,344

GBP 30,407,377 - 12,586 - 30,419,963 3,041,996

HK$ 21,436,356 - (26,932) - 21,409,424 2,140,942

SG$ 5,748,332 - - - 5,748,332 574,833

58,628,007 - (14,346) 68,987,495 127,601,156 12,760,115


TotalInvestments

2019

NetMonetary


OtherNet


Net ForeignCurrency

Derivatives2019

NetExposure

2019


(10% movement)2019

$ $ $ $ $ $

EUR - - - 53,099 53,099 5,310

GBP - - 856,757 224,893,384 225,750,141 22,575,014

- - 856,757 224,946,483 225,803,240 22,580,324

A strengthening of 10% of the relevant Sub-Fund’s functional currency against the currencies in the above tables

would have resulted in losses to the amounts shown in the Sensitivity Analysis column. A weakening of the

functional currency against these currencies would have resulted in an equal but opposite effect.

Liquidity Risk

Liquidity risk represents the possibility that the Company may not be able to rapidly adjust the size of its

investment position in times of high volatility and financial stress at a reasonable price and possible redemption

restrictions from underlying investments. The main liabilities of the Company are the redemption of any shares that

shareholders may wish to redeem, bank overdrafts and cash collateral.



326


Liquidity Risk (Continued)

The Company is exposed to daily cash redemptions of Redeemable Participating Shares. Substantial voluntary

redemptions of shares by shareholders within a limited period of time could require a Sub-Fund to liquidate

interests in securities sooner than would otherwise be desirable. Regardless of the period of time in which

redemptions occur, the resulting reduction in the Net Asset Value of a Sub-Fund and thus in its equity base, could

make it more difficult for a Sub-Fund to diversify its holdings and achieve its investment objective. Under the

Articles, if redemption requests on any Dealing Day equal or exceed 10% of the Net Asset Value of a Sub-Fund in

issue on that Dealing Day, the Directors may limit redemptions to 10% of Net Asset Value on that Dealing Day as

they deem necessary in their sole discretion. Any redemptions in excess of 10% of Net Asset Value may be held

over to the next Dealing Day where they will be effected with priority over any new redemptions received. All the

Company’s financial liabilities fall due within one month.

Credit Risk

Credit risk is the risk that an issuer or counterparty would be unable or unwilling to meet a commitment that it has

entered into and might cause the Company to incur financial losses. The Company is exposed to credit risk on

parties with whom it trades and would also have to bear the risk of settlement default.

The carrying amounts of financial assets as disclosed in the Schedule of Investments best represent the maximum

credit risk exposure at the financial year end.

The Company could be exposed to credit risk on cash held with the Depositary and other brokers. The Company

monitors its risk by monitoring the credit quality and financial positions of RBC Investor Services Bank S.A and

counterparties.

As at 31st December 2020 RBC Investor Services Bank S.A. has a credit rating of AA- (2019: AA-) with S&P’s.

The Investment Managers regularly review concentrations of credit risk.

At the reporting date, the Sub-Funds’ financial assets exposed to credit risk amounted to the following:

Assets AHFM AHFM AUEE AUEE ATRF ATRF GSI GSI

31 Dec2020

£

31 Dec2019

£

31 Dec2020

$

31 Dec2019

$

31 Dec2020

£

31 Dec2019

£

31 Dec2020

$

31 Dec2019

$Debt Instruments 1,038,628,410 964,141,313 27,662,872 49,664,379 14,248,731 7,502,118 - -

Cash at bank 70,594,365 106,307,184 299,395 3,884,299 2,371,480 85,510 999,644 439,267

Cash held as collateral 7,370,000 500,000 - - 470,000 - - -

Total Assets 1,116,592,7751,070,948,497 27,962,267 53,548,678 17,090,211 7,587,628 999,644 439,267



327


Credit Risk (Continued)

Assets L&CGBFI L&CGBFI L&CGCFI L&CGCFI L&CGDE* L&CGDE L&CGG L&CGG

31 Dec2020

$

31 Dec2019

$

31 Dec2020

$

31 Dec2019

$

31 Dec2020

£

31 Dec2019

£

31 Dec2020

£

31 Dec2019

£Debt Instruments 70,363,123 57,821,313 21,583,671 36,174,181 - 2,518,974 8,001,315 13,342,879

Cash at bank 2,845,518 2,103,102 537,028 537,731 76,838 1,811,268 3,043,665 2,476,941

Cash held as collateral - 60,000 - 60,000 - 250 - -

Total Assets 73,208,641 59,984,415 22,120,699 36,771,912 76,838 4,330,492 11,044,980 15,819,820*L&CGDE was closed by way of compulsory redemption on 28th August 2020

Assets L&CGGFI L&CGGFI L&CGSE L&CGSE L&CGB L&CGB PAAF PAAF

31 Dec2020

$

31 Dec2019

$

31 Dec2020

$

31 Dec2019

$

31 Dec2020

£

31 Dec2019

£

31 Dec2020

£

31 Dec2019

£Debt Instruments 48,136,791 47,796,580 - - 27,466,883 30,611,422 1,955,161 -

Cash at bank 3,886,772 3,145,662 19,511,753 8,340,504 3,605,308 3,620,827 63,357 1,981,857

Cash held as collateral - 60,000 40,000 590,000 - - 752,656 2,794,518

Total Assets 52,023,563 51,002,242 19,551,753 8,930,504 31,072,191 34,232,249 2,771,174 4,776,375

Assets TAREVF TAREVF STRF STRF CDGF CGCF

31 Dec 2020$

31 Dec 2019$

31 Dec 2020$

31 Dec 2019$

31 Dec 2020$

31 Dec 2020$

Debt Instruments - 1,350,512 313,676,813 246,000,856 10,404,810 473,799,443

Cash at bank 16,455,925 10,621,010 12,639,107 462,364 1,069,454 5,739,449

Cash held as collateral 290,000 - - - 360,000 -

Total Assets 16,745,925 11,971,522 326,315,920 246,463,220 11,834,264 479,538,892



328


Credit Risk (Continued)

The Company’s maximum exposure to credit risk in the event that counterparties fail to perform their obligations in

relation to each recognised financial asset, other than derivatives, was the carrying value of those assets as reflected

in the Statement of Financial Position.

The most significant exposure to credit risk for the Sub-Funds arises from investment in debt instruments. The

Sub-Funds are invested in bonds taking into account and monitoring the credit quality of the issuer.

As at the reporting date of 31st December 2020 and 31st December 2019, the Sub-Funds’ were using the following

counterparties for trading purposes;

Counterparty Credit Rating - Standard & Poor’s31 Dec 2020

Credit Rating - Standard & Poor’s31 Dec 2019

Citigroup Global A+ A+

Credit Suisse International A+ A+

ED&F Man International Not rated Not rated

JP Morgan Securities PLC A+ A+

Natixis Paris A+ A+

Societe Generale A A

UBS AG A+ A+

Offsetting


Atlantic House Defined Returns Fund is subject to Master Netting Agreements.

As at 31st December 2020 swaps were held on Atlantic House Defined Returns Fund with Citigroup Global, Credit

Suisse International, JP Morgan Securities PLC, Natixis Paris, Societe Generale and UBS AG. As at 31st December

2020, there are collaterals of £(62,549,592) attached to these swaps (31st December 2019 : £(30,858,192))

As at 31st December 2020 forwards were held on Atlantic House Defined Returns Fund with RBC IS Bank

Luxembourg.

There were netting agreements in place on all of the swaps held with all of the above counterparties.



329


Offsetting (Continued)

Atlantic House Defined Returns Fund (Continued)

The disclosures set out in the table below include financial assets and financial liabilities that are subject to an

enforceable master netting arrangement;

Grossamounts ofrecognised

financialassets

/liabilities

Gross amountsof recognised

financialassets/liabilities

offset in thestatement of

financialposition

Net amounts offinancial assets

presented in thestatement of

financialposition

Related amounts not set off inStatement of Financial PositionFinancialinstruments(includingnon-cashcollateral) Cash collateral Net amount

31 Dec 2020 £ £ £ £ £ £

Financial assetsForwards 406 - 406 (406) - -

Swap 167,039,119 - 167,039,119 (30,320,579) (62,549,592) 74,168,948

Financial liabilitiesForwards (178,589) - (178,589) 406 - (178,183)

Swap (30,320,579) - (30,320,579) 30,320,579 - -


financialassets

/liabilities




financialposition



financialposition


31 Dec 2019 £ £ £ £ £ £

Financial assetsForwards 1,762 - 1,762 (1,762) - -

Swap 147,805,861 - 147,805,861 (19,153,964) (30,858,192) 97,793,705

Financial liabilitiesForwards (383,616) - (383,616) 1,762 - (381,854)

Swap (19,153,964) - (19,153,964) 19,153,964 - -


Atlantic House US Enhanced Equity Fund is subject to Master Netting Agreements. As at 31st December

2020 swaps were held on Atlantic House US Enhanced Equity Fund with Citigroup Global, Credit Suisse

International, JP Morgan Securities PLC, Natixis Paris and RBC IS Bank Luxembourg. As at 31st December 2020,

there was no collateral attached to these swaps (31st December 2019: (7,597,684)). There were netting agreements

in place on all of the swaps held with the above counterparties.



330



Atlantic House US Enhanced Equity Fund (Continued)




financialassets

/liabilities




financialposition



financialposition


31 Dec 2020 $ $ $ $ $ $

Financial assetsForwards - - - - - -

Swap 47,856,688 - 47,856,688 (26,243,267) - 21,613,421

Financial liabilitiesForwards - - - - - -

Swap (26,243,267) - (26,243,267) 26,243,267 - -


financialassets

/liabilities




financialposition



financialposition


31 Dec 2019 $ $ $ $ $ $


Swap 56,946,381 - 56,946,381 (39,838,866) (7,597,684) 9,509,831


Swap (39,838,866) - (39,838,866) 39,838,866 - -


Atlantic House Total Return Fund is subject to Master Netting Agreements. As at 31st December 2020 swaps were

held on Atlantic House Total Return Fund with Citigroup Global, JP Morgan Securities PLC and RBC IS Bank

Luxembourg. As at 31st December 2020, there was no collateral attached to these swaps (31st December 2019 :

None). There were netting agreements in place on all of the swaps held with the above counterparties.



331



Atlantic House Total Return Fund (Continued)




financialassets

/liabilities




financialposition



financialposition


31 Dec 2020 £ £ £ £ £ £


Swap 606,951 - 606,951 (136,844) - 470,107

Financial liabilitiesForwards (2,780) - (2,780) - - (2,780)

Swap (136,844) - (136,844) 136,844 - -


financialassets

/liabilities




financialposition



financialposition


31 Dec 2019 £ £ £ £ £ £

Financial assetsForwards 47,751 - 47,751 - - 47,751

Swap 600,094 - 600,094 (310,991) - 289,103


Swap (310,991) - (310,991) 310,991 - -

Efficient Portfolio Management

The Company may, within the conditions and limits laid down by the Central Bank, for the purpose of efficient

portfolio management specifically for currency hedging, enter into a variety of derivative instruments including,

but not limited to, swaps, options and futures. The Company may also purchase or sell spot or forward contracts

predominantly for the purpose of providing protection against exchange rate risk.

Furthermore, the Company may, for efficient portfolio management, enter into contracts for difference with one or

more counterparties subject to the conditions and limits set out in the UCITS Regulations.



332


Efficient Portfolio Management (Continued)

Each Sub-Fund may also utilise derivative instruments for investment purposes and details of such instruments

used and the specific strategies for which such instruments are employed in this context will be set out in the

applicable Supplement.

“Efficient Portfolio Management”, for these purposes, means an investment decision involving transactions that

are entered into for one or more of the following specific aims:

• a reduction of risk;

• a reduction of cost and;

• the generation of additional capital or income for the Fund with an appropriate level of risk, taking into

account the risk profile of a Sub-Fund and the general provisions of the UCITS Regulations.

The Company employs a risk management process which enables it to accurately manage, monitor and measure the

risks attached to derivative positions and details of this process have been provided to the Central Bank. The

Company does not utilise derivative positions which have not been included in the risk management process until

such time as a revised risk management process has been submitted and cleared by the Central Bank.

The Company provides on request to shareholders supplementary information relating to the risk management

methods employed by the Company including the quantitative limits that are applied and any recent developments

in the risk and yield characteristics of the main categories of investments of the relevant Sub-Fund.

5. CASH AND CASH EQUIVALENTS

At the financial year end the following cash and overdraft balances were held:

31 Dec2020

$

31 Dec2019

$Cash at bankRBC Investor Services Bank S.A., Dublin Branch 173,049,020 183,124,836

NatWest Markets 5 426,712

Cash balances held as collateralRBC Investor Services Bank S.A., Dublin Branch 723,750 1,432,582

ED & F Man International Inc. 1,029,256 3,701,340

Societe Generale S.A. 9,394,726 -

Citibank N.A. 642,725 -

JPMorgan Chase Bank 290,000 -

Morgan Stanley And Co. 230,000 -

Goldman Sachs International 130,000 -

Total 185,489,482 188,685,470Bank overdraftRBC Investor Services Bank S.A., Dublin Branch 421,833 162

Collateral due to brokersED & F Man International Inc. 99,255 1,247,740

Total 521,088 1,247,902



333

6. SHARE CAPITAL

Capital Management

The authorised share capital of the Company is 2 Subscriber Shares of €1 each which are held with Stuart

Alexander and GemCap UK Limited and 1,000,000,000,000 shares of no par value initially designated as

unclassified participating shares. The minimum issued share capital of the Company is €2 or its equivalent in

another currency. The maximum issued share capital of the Company is €1,000,000,000,000 or its equivalent in

any other currency.

The Articles provide un-issued shares are at the disposal of the Directors who may offer, allot, issue, grant options

over or otherwise dispose of them to such persons, at such times, for such consideration and on such terms and

conditions as the Directors see fit.

The Company may by ordinary resolution increase its share capital, consolidate its shares or subdivide any of

them into Shares of a smaller amount or cancel authorised but unissued shares.

The holders of shares (excluding the holder of subscriber shares) shall:

(i) have the right to vote at a general meeting. On a show of hands, be entitled to one vote per holder and, on

a poll, be entitled to one vote per share;

(ii) be entitled to such dividends as the Directors may from time to time declare; and

(iii) in the event of a winding up or dissolution of the Company, have the entitlements referred to under

“Liquidation” in the section under the heading “Memorandum and Articles of Association” in the

prospectus of the Company;


Class B – GBPClass


Class I – GBPClass


31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019

Number of Redeemable Participating

Shares at beginning of financial year

640,751,182.60 515,965,666.94 188,280,012.91 104,504,947.95

Redeemable Participating Shares issued 258,382,892.41 263,273,013.71 151,627,643.55 106,316,878.62

Redeemable Participating Share

redeemed

(234,027,746.11) (138,487,498.05) (129,933,149.96) (22,541,813.66)

Number of RedeemableParticipating Shares at end offinancial year 665,106,328.90 640,751,182.60 209,974,506.50 188,280,012.91



334

6. SHARE CAPITAL (Continued)

Atlantic House Defined Returns Fund (Continued)

Class B (Hedged)– USD Class

Class B (Hedged)– USD Class

Class B (Hedged)– EUR Class

Class B (Hedged)– EUR Class

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



15,433,238.94 3,971,338.38 4,263,957.43 1,311,035.81



redeemed

(12,208,683.03) (4,535,116.30) (1,374,455.67) (640,020.93)


Class I – GBPDist Class*

31 Dec 2020



-

Redeemable Participating Shares issued 2,514,298.33


redeemed

(7,849.00)

Number of RedeemableParticipating Shares at end offinancial year 2,506,449.33

*Launched on 8th July 2020 therefore no comparative available.


Class A – USDClass


31 Dec 2020 31 Dec 2019



41,942,138.20 37,050,877.12

Redeemable Participating Shares issued 4,953,261.07 8,595,649.92


redeemed

(21,173,890.67) (3,704,388.84)

Number of RedeemableParticipating Shares at end offinancial year 25,721,508.60 41,942,138.20



335



Class A – GBPClass


31 Dec 2020 31 Dec 2019



16,967,227.51 1,025,000.00

Redeemable Participating Shares issued 4,644,664.50 16,523,409.92


redeemed

(4,350,424.18) (581,182.41)

Number of RedeemableParticipating Shares at end offinancial year 17,261,467.83 16,967,227.51





Class B – GBPClass*

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



325,165.96 85,695.75 44,710.59 -

Redeemable Participating Shares issued 253,930.92 247,383.56 111,812.86 45,103.12


redeemed

(26,034.81) (7,913.35) (23,904.40) (392.53)

Number of RedeemableParticipating Shares at end offinancial year 553,062.07 325,165.96 132,619.05 44,710.59

*Launched on 13th September 2019.

Class C – EURClass

Class C – EURClass*

31 Dec 2020 31 Dec 2019



2,620.51 -

Redeemable Participating Shares issued 5,776.34 2,620.51


redeemed

- -

Number of RedeemableParticipating Shares at end offinancial year 8,396.85 2,620.51




336





Class X – GBPClass


31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



88,350.17 143,709.92 216,436.34 281,823.68



redeemed

(76,563.25) (87,173.94) (89,714.66) (158,794.37)


Class X – USDClass


Class I – USDClass


31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



158,958.25 115,914.19 13,223.47 13,046.21

Redeemable Participating Shares issued 13,275.65 90,653.08 - 1,177.26


redeemed

(57,115.73) (47,609.02) (6,782.16) (1,000.00)


Class X – EURClass


31 Dec 2020 31 Dec 2019



5,198.24 4,949.39

Redeemable Participating Shares issued 76,430.01 514.72


redeemed

(3,003.21) (265.87)




337







31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



92,011.93 99,214.85 132,171.36 163,722.31



redeemed

(72,850.65) (66,560.04) (65,925.63) (110,203.93)






31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



69,704.03 51,087.92 2,789.16 4,589.16

Redeemable Participating Shares issued 6,799.85 43,223.69 735.00 -


redeemed

(47,570.56) (24,607.58) (1,785.00) (1,800.00)




31 Dec 2020 31 Dec 2019



514.63 514.63

Redeemable Participating Shares issued - -


redeemed

(514.63) -

Number of RedeemableParticipating Shares at end offinancial year - 514.63



338







31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



52,947.56 14,166.37 61,716.04 67,812.00



redeemed

(53,971.99) (48,313.63) (64,611.15) (91,430.55)

Number of RedeemableParticipating Shares at end offinancial year - 52,947.56 - 61,716.04




Class I – USDClass*

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



34,660.89 26,537.13 - 1,887.24

Redeemable Participating Shares issued 456.33 36,007.89 - -


redeemed

(35,117.22) (27,884.13) - (1,887.24)

Number of RedeemableParticipating Shares at end offinancial year - 34,660.89 - -

*Terminated on 11th June 2019.



31 Dec 2020 31 Dec 2019



810.20 2,420.76

Redeemable Participating Shares issued - 3,119.56


redeemed

(810.20) (4,730.12)

Number of RedeemableParticipating Shares at end offinancial year - 810.20



339




Class A – USDClass*


Class A – GBPClass*

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



6,994.74 - 37,897.40 -



redeemed

(3,048.38) (5,108.81) (7,727.08) (16,955.70)


*Launched on 15th May 2019.

Class B – USDClass

Class B – USDClass**


Class B – GBPClass**

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



29,693.39 - 353,721.99 -



redeemed

(13,284.28) (15,193.39) (54,558.15) (56,993.54)


**Launched on 15th May 2019.




Class X – GBPClass***

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



97.30 22,598.33 - 28,025.31

Redeemable Participating Shares issued - 1,062.60 - 677.09


redeemed

(86.02) (23,563.63) - (28,702.40)

Number of RedeemableParticipating Shares at end offinancial year 11.28 97.30 - -

***Terminated on 5th June 2019.



340


London & Capital Global Growth Fund (Continued)


Class X – USDClass**



31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



- 15,055.47 - 1,113.47

Redeemable Participating Shares issued - - - -


redeemed

- (15,055.47) - (1,113.47)

Number of RedeemableParticipating Shares at end offinancial year - - - -

**Terminated on 28th May 2019.*Terminated on 5th July 2019.


Class X – EURClass****

31 Dec 2020 31 Dec 2019



- 723.59



redeemed

- (723.59)

Number of RedeemableParticipating Shares at end offinancial year - -

****Terminated on 18th April 2019.






31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



91,018.70 124,441.38 172,590.15 224,664.34



redeemed

(57,622.33) (85,900.15) (48,954.93) (122,231.08)




341


London & Capital Global Growth Fixed Income Fund (Continued)





31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



100,933.99 94,389.18 16,135.14 6,241.73

Redeemable Participating Shares issued 45,310.96 58,501.70 - 9,893.41


redeemed

(39,276.34) (51,956.89) (3,698.69) -




Class I – EURClass

Class I – EURClass

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



5,962.92 6,640.62 - -

Redeemable Participating Shares issued 42,542.43 859.15 - -


redeemed

(2,683.64) (1,536.85) - -

Number of RedeemableParticipating Shares at end offinancial year 45,821.71 5,962.92 - -






31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



137,583.30 285,234.57 277,632.04 471,460.64



redeemed

(68,134.68) (174,015.77) (78,293.63) (282,479.94)




342


London & Capital Global Star Equity Fund (Continued)





31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



347,344.22 310,142.39 126,058.85 107,965.46



redeemed

(98,470.34) (191,196.02) (7,994.33) (8,026.11)




31 Dec 2020 31 Dec 2019



49,291.58 53,443.92

Redeemable Participating Shares issued 32,264.22 8,188.61


redeemed

(19,489.17) (12,340.95)






Class A – GBPClass*

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



8,778.22 - 39,506.52 -



redeemed

(14,261.22) - (9,828.58) (4,067.85)


*Launched on 24th June 2019.



343


London & Capital Global Balanced Fund (Continued)



Class B – GBPClass**


31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



74,342.66 - 448,542.10 -



redeemed

(2,844.60) (7,042.98) (101,651.82) (68,985.96)


**Launched on 24th June 2019.





31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



164.77 14,364.96 36.88 45,300.81

Redeemable Participating Shares issued - 2,705.02 - 450.85


redeemed

(105.51) (16,905.21) - (45,714.78)

Number of RedeemableParticipating Shares at end offinancial year 59.26 164.77 36.88 36.88






31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



62,918.89 121,749.66 3,120.98 3,811.19

Redeemable Participating Shares issued 575.31 1,056.65 1,050.67 738.70


redeemed

(33,510.00) (59,887.42) (297.57) (1,428.91)




344


Principal Asset Allocation Fund (Continued)

Class C – USD(Hedged) Class

Class C – USD(Hedged) Class

Class C – GBPClass

Class C – GBPClass

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



11,317.74 23,952.57 60,021.85 80,480.29

Redeemable Participating Shares issued - 2,202.06 - 1,194.48


redeemed

(9,654.94) (14,836.89) (18,337.49) (21,652.92)


Class B – USD(Hedged) Class

Class B – USD(Hedged) Class

Class B – EUR(Hedged) Class

Class B – EUR(Hedged) Class

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



12,758.19 3,645.03 310.00 512.65

Redeemable Participating Shares issued 5,320.17 12,771.96 - -


redeemed

(4,904.85) (3,658.80) - (202.65)

Number of RedeemableParticipating Shares at end offinancial year 13,173.51 12,758.19 310.00 310.00

Class C – EUR(Hedged) Class

Class C – EUR(Hedged) Class

31 Dec 2020 31 Dec 2019



1,849.42 4,995.77



redeemed

(93.79) (3,146.35)




345



Class A1 – (USDRetail

Acc) Class

Class A1 – (USDRetail

Acc) Class

Class A4 – (USDInstitutional

Acc) Class

Class A4 – (USDInstitutional

Acc) Class31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



138,726.12 140,363.30 1,817,423.05 1,777,241.59

Redeemable Participating Shares issued 133,254.47 12,134.66 2,475,328.97 236,805.71


redeemed

(128,154.39) (13,771.84) (2,524,833.11) (196,624.25)

Number of RedeemableParticipating Shares at end offinancial year 143,826.20 138,726.12 1,767,918.91 1,817,423.05

Class A5 – (EURInstitutional

Acc) Class

Class A5 – (EURInstitutional

Acc) Class

Class D4 – (USDInstitutional

Dist) Class

Class D4 – (USDInstitutionalDist) Class*

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



2,991,736.00 2,848,150.00 96,731.76 -

Redeemable Participating Shares issued 2,728,514.00 403,995.00 42,775.90 96,731.76


redeemed

(3,842,211.00) (260,409.00) (18,222.29) -

Number of RedeemableParticipating Shares at end offinancial year 1,878,039.00 2,991,736.00 121,285.37 96,731.76

*Launched on 29th January 2019.


Class I (Inc) –USD Class

Class I (Inc) –USD Class

Class I (Inc) –GBP Hedged

Class

Class I (Inc) –GBP Hedged

Class31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



29,150.91 713.00 1,505,285.17 740,140.22

Redeemable Participating Shares issued 6,582.81 46,093.50 2,468,037.95 924,183.04


redeemed

(8,068.93) (17,655.59) (1,298,301.33) (159,038.09)




346


Semper Total Return Fund (Continued)

Class I (Inc) –GBP Class

Class I (Inc) –GBP Class

Class B – GBPHedged Class

Class B – GBPHedged Class

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



75,688.83 57,000.00 174,879.30 31,462.50



redeemed

(110,244.75) (183.00) (180,348.42) (9,851.58)



Class C – GBPHedged

Class

Class C – GBPHedged

Class31 Dec 2019 31 Dec 2020 31 Dec 2019



15,000.00 55,663.02 35,259.12

Redeemable Participating Shares issued 5,911.71 21,646.35 23,779.10


redeemed

(20,911.71) (22,278.12) (3,375.20)

Number of RedeemableParticipating Shares at end offinancial year - 55,031.25 55,663.02

*Terminated on 31st May 2019.



Class A – GBPHedged

Class

Class A – GBPHedgedClass*

31 Dec 2020 31 Dec 2019 31 Dec 2020 31 Dec 2019



109,923.65 23,305.88 4,982.62 -



redeemed

(124,815.38) (2,998.64) (5,077.34) (3,489.38)





347


Semper Total Return Fund (Continued)

Class I (Inc)–EUR Hedged

Class

Class I (Inc)–EUR Hedged

Class**31 Dec 2020 31 Dec 2019



472.50 -

Redeemable Participating Shares issued 4,570.21 472.50


redeemed

(191.42) -

Number of RedeemableParticipating Shares at end offinancial year 4,851.29 472.50

**Launched on 13th March 2019.


Class B – GBPHedgedClass**

Class A – USDClass***


Class A – GBPHedged

Class****31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020



- - - -



redeemed

(265,052.74) (90,432.60) (99,618.53) (196,811.56)


**Launched on 31st January 2020.***Launched on 2nd April 2020.****Launched on 25th Febuary 2020.



348


Causeway Defined Growth Fund (Continued)

Class C – USDClass*****

Class C – GBPClass******

Class B (Hedged)– EUR Class*******

Class D – GBPClass********

31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020



- - - -



redeemed

- - - -


*****Launched on 12th March 2020.******Launched on 5th November 2020.*******Launched on 10th August 2020.********Launched on 6th November 2020.

Class D – USDClass*********

31 Dec 2020



-

Redeemable Participating Shares issued 116,977.91


redeemed

-

Number of RedeemableParticipating Shares at end offinancial year 116,977.91

*********Launched on 16th November 2020.


Class I (Inc) –USD Class *


Class A - GBPClass*

Class C – USDClass*

31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020



- - - -

Redeemable Participating Shares issued 431,112.80 8,831,655.51 6,450.00 1,344,173.05


redeemed

(6,582.63) (103,905.78) - (13,991.68)

Number of RedeemableParticipating Shares at end offinancial year 424,530.17 8,727,749.73 6,450.00 1,330,181.37




349


Calamos Global Convertible Fund (Continued)

Class C – EURClass*

Class I – GBPClass*

Class X – USDClass*


31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020



- - - -

Redeemable Participating Shares issued 15,327.10 133,792.84 1,410,981.85 7,360,427.25


redeemed

(919.52) (41,062.30) - (2,472,678.94)



Class A (Inc) –USD Class *

Class C (Inc) –USD Class *

Class A - EURClass*

Class I – EURClass*

31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020



- - - -



redeemed

- - (1,174.81) (5,920.89)



Class Z – CHFClass*

Class Z – EURClass*

Class Z – GBPClass*

Class Z – USDClass*

31 Dec 2020 31 Dec 2020 31 Dec 2020 31 Dec 2020



- - - -

Redeemable Participating Shares issued 1,116,062.81 1,443,379.43 76,414.98 7,993,742.75


redeemed

(1,500.00) (29,855.87) - (465.00)

Number of RedeemableParticipating Shares at end offinancial year 1,114,562.81 1,413,523.56 76,414.98 7,993,277.75




350

7. FEES AND EXPENSES

Investment Management Fees


Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at the rate of 0.55% per

annum of the Net Asset Value of Class B Shares, Class B (Hedged) Shares and Class I Shares and 1.30% per annum

of the Net Asset Value of Class A Shares of the Fund.

Reasonable out-of-pocket expenses incurred by the Investment Manager in the performance of its duties will be

reimbursed by the Company as may be approved from time to time by the Directors.

Investment Management fees charged for the financial year ended 31st December 2020 amounted to

£6,740,683 (2019: £5,570,561), with fees payable at 31st December 2020 amounting to £587,259 (31st December

2019: £570,058).


Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at the rate of up to

0.55% per annum of the Net Asset Value of Class A Shares and Class D Shares.



The Investment Manager may waive or rebate all or part of its investment management fee to the shareholders of a

Class, it being acknowledged that such waiver or rebate, if any, may differ between shareholders in different

classes and that the Investment Manager will have ultimate discretion in this matter.


$331,101 (2019: $333,666), with fees payable at 31st December 2020 amounting to $23,251 (31st December 2019:

$33,548).

The “Investment Manager capped fees” reimbursement for Atlantic House US Enhanced Equity Fund for the

financial year ended 31st December 2020 amounted to $151,178 (2019: $121,361), with an amount receivable from

the Investment Manager at 31st December 2020 of $23,985 (31st December 2019: $298).


Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at the rate of 0.75% per

annum of the Net Asset Value of Class A Shares, Class B Shares and Class I Shares of the Fund.







£127,587 (2019: £86,192), with fees payable at 31st December 2020 amounting to £64,724 (31st December 2019:

£11,250).



351

7. FEES AND EXPENSES (Continued)

Investment Management Fees (Continued)

Atlantic House Total Return Fund (Continued)

The “Investment Manager capped fees” reimbursement for Atlantic House Total Return Fund for the financial year

ended 31st December 2020 amounted to £123,090 (2019: £117,392), with an amount receivable from the

Investment Manager at 31st December 2020 of £89,475 (31st December 2019: £20,073).


Global Systematic Investors LLP is paid a fee from the Company monthly in arrears at the rate of 0.30% per

annum, of the Net Asset Value of Class A Shares, Class B Shares and Class C Shares of the Fund.






Investment management fees charged for the financial year ended 31st December 2020 amounted to


$247,901).

The “Investment Manager capped fees” for the financial year ended 31st December 2020 amounted to

$63,829 (2019: $70,759), with an amount receivable from the Investment Manager at 31st December 2020 of

$1,779 (31st December 2019: $310,993).

London & Capital Global Balanced Fixed Income Fund, London & Capital Global Conservative FixedIncome Fund, London & Capital Global Defensive Equity Fund*, London & Capital Global GrowthFixed Income Fund and London & Capital Global Star Equity Fund

London and Capital Asset Management Limited is paid a fee from the Company monthly in arrears at the rate of

1% per annum of the Net Asset Value of non Class X Shares of the Funds. Reasonable out-of-pocket expenses

incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be

approved from time to time by the Directors.

Class X Shares may only be issued to investors who have in place an agreement with the Investment Manager in

relation to the collection of an investment management fee or similar fee arrangement, which is not payable from

the Net Asset Value.


$751,857 (2019: $1,098,060), with fees payable at 31st December 2020 amounting to $112,232 (31st December

2019: $88,424).




352





1% per annum of the Net Asset Value of Class I Shares up until 14 May 2019 and thereafter up to 1.5% per annum

of the Net Asset Value of Class B Shares and Class I Shares of the Fund. Reasonable outof- pocket expenses

incurred by the Investment Manager in the performance of its duties will be reimbursed by the Company as may be

approved from time to time by the Directors.

Class A Shares and Class X Shares may only be issued to investors who have in place an agreement with the

Investment Manager in relation to the collection of an investment management fee or similar fee arrangement,

which is not payable from the Net Asset Value.



£35,874).



1% per annum of the Net Asset Value of Class I Shares up until 21 June 2019 and thereafter 1.5% per annum of the

Net Asset Value of Class B Shares and Class I Shares of the Fund. Reasonable out-of-pocket expenses incurred by

the Investment Manager in the performance of its duties will be reimbursed by the Company as may be approved

from time to time by the Directors.

Class A Shares and Class X Shares may only be issued to investors who have in place an agreement with the

Investment Manager in relation to the collection of an investment management fee or similar fee arrangement,

which is not payable from the Net Asset Value.



£46,556).


Mansard Capital Management Ltd. was the Investment Manager for the period from 1st January 2020 to 30th April

2020 and was replaced by Mariana Investment Partners LLP from 1st May 2020.

The Investment Manager is paid a fee from the Company monthly in arrears at the rate of up to 0.65% per annum

of the Net Asset Value of Class A GBP Shares, Class A USD (Hedged) Shares, Class A EUR (Hedged) Shares,

Class A PLN (Hedged) Shares and Class A CZK (Hedged) Shares, up to 1.15% per annum of the Net Asset Value

of Class B GBP Shares, Class B USD (Hedged) Shares, Class B EUR (Hedged) Shares, Class B PLN (Hedged)

Shares and Class B CZK (Hedged) Shares, and up to 1.65% per annum of the Net Asset Value of Class C GBP

Shares, Class C USD (Hedged) Shares, Class C EUR (Hedged) Shares, Class C PLN (Hedged) Shares and Class C

CZK (Hedged) Shares, of the Sub-Fund.





353



Principal Asset Allocation Fund (Continued)






£12,600).


£38,975 (2019: £2,757), with an amount receivable from the Investment Manager at 31st December 2020 of

£9,383 (31st December 2019: £2,757).


For the period from 1st January 2020 to 8th October 2020, Third Avenue Management LLC Fund was entitled to a

fee from the Company monthly in arrears at the rate of up to 1.60% (plus VAT, if any) per annum of the Net Asset

Value of Class A1 Shares, A3 Shares, D1 Shares and D3 Shares, and up to 1.10% (plus VAT, if any) per annum of

the Net Asset Value of Class A2 Institutional Shares, A4 Institutional Shares, A5 Institutional Shares,

D2 Institutional Shares, D4 Institutional Shares and D5 Institutional Income Shares of the Fund.

For the period from 9th October 2020 to 31st December 2020, Third Avenue Management LLC Fund is entitled to

a fee from the Company monthly in arrears at the rate of up to 1.25% (plus VAT, if any) per annum of the Net Asset

Value of Class A1 Shares, A3 Shares, D1 Shares and D3 Shares, and up to 0.90% (plus VAT, if any) per annum of

the Net Asset Value of Class A2 Institutional Shares, A4 Institutional Shares, A5 Institutional Shares,

D2 Institutional Shares, D4 Institutional Shares and D5 Institutional Income Shares of the Fund.





$1,451,051 (2019: $1,583,721), with fees payable at 31st December 2020 amounting to $230,576 (31st December

2019: $175,024).

The Investment Manager shall be entitled to be reimbursed out of the assets of the Fund for the reasonable out-of-

pocket costs and expenses incurred by the Investment Manager in the performance of its duties.

Where in an accounting period, the fees and expenses payable by the Fund in respect of the Class A1, Class A3,

Class D1 and Class D3 exceed 1.95% of the Net Asset Value of the Fund or in respect of Class A2, Class A4,

Class A5, Class D2, Class D4 and Class D5 exceed 1.45% of the Net Asset Value of the Fund, the Investment

Manager will waive its fees and/or reimburse the Fund for any fees paid to it so as to ensure that the Fund's annual

fees and expenses do not exceed the relevant threshold.



354



Third Avenue Real Estate Value Fund (Continued)

If subsequently, the annual fees and expenses payable by the Fund fall below 1.95% of the Net Asset Value of the

Fund in respect of the Class A1, Class A3, Class D1 and Class D3 or fall below 1.45% of the Net Asset Value of the

Fund in respect of Class A2, Class A4, Class A5, Class D2, Class D4 and Class D5 the Fund will pay to the

Investment Manager, subject to the relevant threshold, the fees waived and/or amounts reimbursed by the

Investment Manager to the Fund. This repayment may continue for up to three years after the end of the financial

year in which an expense is waived or reimbursed by the Investment Manager, until the Investment Manager has

been paid for the entire amount waived or reimbursed or such three year period expires.


$6,819 (2019: $0), with an amount receivable from the Investment Manager at 31st December 2020 of

$53,897 (31st December 2019: $43,593).


Semper Capital Management, L.P. is paid a fee from the Company monthly in arrears at the rate of 0.75% per

annum of the Net Asset Value of Class A Shares and Class C Shares, 0.45% per annum of the Net Asset Value of

Class I (Inc) Shares and Class B Shares of the Sub-Fund.







$1,340,232 (2019: $768,246), with fees payable at 31st December 2020 amounting to $126,633 (31st December

2019: $99,736).

The “Investment Manager capped fees” reimbursement for Semper Total Return Fund for the financial year ended

31st December 2020 amounted to $0 (2019: $26,752), with an amount receivable from the Investment Manager at

31st December 2020 of $0 (31st December 2019: $0), and payable to the Investment Manager of $0 (31st December

2019: $52,830).


Causeway Securities Limited is paid a fee from the Company monthly in arrears at the rate of 0.50% per annum of

the Net Asset Value of each Class A Shares, Class A (Hedged) Shares, Class C Shares and Class C (Hedged) Shares

at the rate of 1% per annum of the Net Asset Value of each Class B Shares, Class B (Hedged) Shares, Class D

Shares and Class D (Hedged) Shares.


reimbursed by the Company as may be approved from time to time by the Director.



355



Causeway Defined Growth Fund (Continued)




Investment management fees charged for the financial year ended 31st December 2020 amounted to $36,279, with

fees payable at 31st December 2020 amounting to $36,279.

The “Investment Manager capped fees” reimbursement for Causeway Defined Growth Fund for the financial year

ended 31st December 2020 amounted to $121,455, with an amount receivable from the Investment Manager at 31st

December 2020 of $80,039.


Calamos Advisors LLC will be paid a fee from the Company accrued daily and payable monthly in arrears at the

rate of 1.65% per annum of the Net Asset Value of Class A Shares and Class C Shares of the Fund, at the rate of

1.05% per annum of the Net Asset Value of Class I Shares of the Fund, at the rate of 0.75% per annum of the Net

Asset Value of Class Z Shares of the Fund.

In respect of the Class X Shares, the Investment Manager is entitled to an investment management fee which will

be payable under a separate agreement with the Investment Manager into which each Shareholder must enter prior

to their initial subscription for Class X Shares of the Fund.



Investment management fees charged for the financial year ended 31st December 2020 amounted to $522,752, with

fees payable at 31st December 2020 amounting to $522,751.

Sub-Investment Management Fees


Atlantic House Fund Management LLP is paid a fee from the Company monthly in arrears at a variable rate per

annum dependent on the sum of the Net Asset Value of all Share Classes. The rate will be equal to 0.40% per

annum on the first EUR 50,000,000 and 0.30% per annum thereafter.

Reasonable out-of-pocket expenses incurred by the Sub-Investment Manager in the performance of its duties will

be reimbursed by the Company as may be approved from time to time by the Directors.

Sub-Investment Management Fees charged for the financial year ended 31st December 2020 amounted to $4,132,

with fees payable at 31st December 2020 amounting to $1,924.



356


Manager Fees

The Manager shall be entitled to receive out of the assets of each Fund a fee of up to 0.10% per annum of the Net

Asset Value of the Fund payable monthly in arrears subject to a minimum annual fee of up to €75,000. The

Manager will also be entitled to be reimbursed out of the assets of the Fund for all reasonable, vouched out-of-

pocket expenses incurred by it on behalf of the Fund.

Manager’s fees charged for the financial year ended 31st December 2020 amounted to $1,717,875 (2019:

$1,433,045), with fees payable at 31st December 2020 amounting to $192,895 (31st December 2019: $155,025).

Global Distributor and UK Facilities Agent Fee

The Company will discharge, out of the Manager’s fee, the fees and expenses of the Global Distributor and UK

Facilities Agent, GemCap UK Limited.

Formation and Organisation Costs

The costs of forming the Company including the fees and expenses of legal advisers, product development fees and

expenses, regulatory and listing fees and expenses and any other fees and expenses arising on the formation and

launch of the Company have been expensed by the Company. In the event that new funds are created within the

Company, the formation and organisation costs relating to each new fund, as determined by the Directors, will be

charged to the new fund and amortised over a period of five financial years in the NAV calculations. However in

accordance with IFRS these costs will be written off as charged in the financial statements.

Formation and Organisation Costs charged for the financial year ended 31st December 2020 were $38,778 on

Causeway Defined Growth Fund and $1,070 on Calamos Global Convertible Fund.

Administration Fees

The Administrator, in relation to the provision of its services is entitled to a fee payable out of the assets of each

Sub-Fund accruing daily and payable monthly in arrears at the end of each calendar month, at an annual rate of up

to 0.0225% of the Net Asset Value per Sub-Fund for the first €100,000,000, up to 0.0175% of the Net Asset Value

per Sub-Fund for the next €400,000,000 and up to 0.01% of the Net Asset Value per Sub- Fund in excess of

€500,000,000. The charges are subject to a minimum annual fee of €32,250 per Sub-Fund.

The Administrator is also entitled in respect of its registrar and transfer agent services, to a fee of €1,250 per share

class per annum subject to a minimum annual fee of €5,000 per Sub-Fund, exclusive of out-of-pocket expenses.



357


Administration Fees (Continued)

Below is the breakdown for administration and transfer agency fees charged and payable during and as at financial

year ended 31st December 2020 and 31st December 2019:

31 December 2020Sub-Fund Name

Admin feescharged to

31 Dec 2020

Admin feespayable at

31 Dec 2020

Transfer agencyfees charged to

31 Dec 2020

Transfer agencyfees payable at

31 Dec 2020

AHFM £ 397,912 58,540 53,731 3,754

AUEE $ 40,170 7,498 3,548 1,875

ATRF £ 41,271 5,691 12,943 1,423

GSI $ 73,582 7,832 9,860 3,075

L&CGBFI $ 64,395 14,285 18,094 6,088

L&CGCFI $ 57,608 11,644 14,287 3,833

L&CGDE* £ 44,079 8,094 5,864 -

L&CGG £ 57,048 11,088 8,624 4,042

L&CGGFI $ 62,342 12,951 16,633 4,209

L&CGSE $ 109,898 25,274 21,436 6,087

L&CGB £ 57,307 11,440 10,589 3,871

PAAF £ 66,837 6,822 17,467 3,120

TAREVF $ 146,618 8,230 10,589 3,729

STRF $ 80,059 30,815 96,041 5,939

CDGF** $ 15,353 8,357 11,551 2,999

CGCF*** $ 60,083 13,875 3,519 3,519

*L&CGDE was closed by way of compulsory redemption on 28th August 2020**Launched on 31st January 2020.***Launched on 30th November 2020.

31 December 2019Sub-Fund Name

Admin feescharged to

31 Dec 2019

Admin feespayable at

31 Dec 2019

Transfer agencyfees charged to

31 Dec 2019

Transfer agencyfees payable at

31 Dec 2019

AHFM £ 372,219 34,797 37,585 1,247

AUEE $ 38,938 4,633 5,225 1,158

ATRF £ 15,379 632 6,662 891

GSI $ 50,850 4,632 3,844 1,436

L&CGBFI $ 55,626 7,417 22,632 3,752

L&CGCFI $ 53,553 6,681 17,893 2,362

L&CGDE £ 53,326 4,974 13,033 1,817

L&CGG £ 58,646 6,184 10,531 2,530

L&CGGFI $ 54,620 7,231 20,012 2,594

L&CGSE $ 97,400 11,314 25,217 3,752

L&CGB £ 52,257 6,127 9,053 2,423

PAAF £ 50,678 4,275 13,178 1,960

TAREVF $ 95,752 5,476 33,258 2,066

STRF $ 48,532 15,796 80,931 3,437



358


Depositary and Depositary Oversight Fees

Transaction and Safekeeping fees based on the Net Asset Value of the Company's assets that vary, from 0.005% to

1.08% per annum, depending on the country in which the security is traded and held, subject to a minimum monthly

fee, exclusive of transaction charges and out-of-pocket expenses, of €400 per Sub-Fund. The Sub-Fund shall also

bear the cost of all sub-custodian charges and transaction charges incurred by the Depositary, or any sub-custodian,

which shall not exceed normal commercial rates. The Depositary shall also be entitled to reimbursement of

properly vouched out of pocket expenses incurred by the Depositary, or any sub-custodian, for the benefit of the

Sub-Fund out of the assets of the Sub-Fund in respect of which such charges and expenses were incurred.

Depositary Fees will be accrued daily and paid monthly in arrears.

The Depositary, in respect of its depositary oversight services, shall be entitled to a fee payable out of the assets of

each Sub-Fund accruing daily and payable monthly in arrears at the end of each calendar month at an annual rate of

up to 0.025% of the Net Asset Value per Sub-Fund for the first €100,000,000, up to 0.02% of the Net Asset Value

per Sub-Fund for the next €400,000,000 and up to 0.01% of the Net Asset Value per Sub-Fund in excess of

€500,000,000. The charges are subject to a minimum annual fee for each Sub-Fund, exclusive of out-of-pocket

expenses, of €10,000 and an annual fee of €5,000 per Sub-Fund for cash flow monitoring and reconciliation.

Depositary and depositary oversight fees charged for the financial year ended 31st December 2020 amounted to

$863,888 (2019: $775,169), with fees payable at 31st December 2020 amounting to $207,703 (31st December

2019: $129,682).

Directors’ Fees

The Directors are entitled to remuneration which will be accrued at the each Valuation Point of each Sub- Fund and

paid quarterly for their services as Directors, provided that the aggregate emoluments of such Directors in respect

of any 12 month financial year shall not exceed €200,000 plus any VAT or such other amount as the Directors may

determine from time to time and notify to shareholders in advance. The Directors are entitled to be reimbursed for

their reasonable out of pocket expenses (including travelling expenses) incurred in discharging their duties as

Directors.

Directors’ fees and expenses charged for the financial year ended 31st December 2020 amounted to


$4,384).

Audit Fees

The Independent Auditor, Deloitte Ireland LLP, earned the following fees (excluding VAT) from the Company:

2020 2019EUR EUR

Audit of Statutory Financial Statements 120,800 107,400

Other Assurance Services - -

Taxation Services - -

Other Services - -

Total 120,800 107,400

Audit fees as disclosed on the Statement of Comprehensive Income are based on accrued figures for the financial

year and are quoted in USD Dollars.



359


Other Fees and Expenses

Below is the breakdown for other fees and expenses charged during the financial year ended 31st December

2020 and 31st December 2019.

AHFM AHFM AUEE AUEE ATRF ATRF GSI GSI L&CGBFI

L&CGBFI

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

£ £ $ $ £ £ $ $ $ $Distribution fees - 125 - 156 - - - - - -

Financial statements fees 912 869 1,187 1,115 913 872 1,186 1,115 - -

Legal fees 18,135 35,888 20,497 5,275 11,848 14,286 11,451 - 14,561 10,494

Miscellaneous fees 6,349 - - - 323 - 1 - 8 -

Professional fees 76,583 - 14,008 - 12,903 - 19,388 - 15,548 -

Risk management fees 10,897 5,263 13,451 6,718 7,800 5,264 7,443 6,718 7,850 6,718

Shareholder services fees - 83 - - - - - 8,370 - 238

Valuation Fee 10,675 3,027 10,306 - 850 320 - - - -

VAT fees 11,936 20,302 835 1,937 1,789 - 1,363 - 1,234 1,410

Total Other Fees andExpenses

135,487 65,557 60,284 15,201 36,426 20,742 40,832 16,203 39,201 18,860

L&CGCFI

L&CGCFI

L&CGDE

L&CGDE

L&CGG

L&CGG

L&CGGFI

L&CGGFI

L&CGSE

L&CGSE

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

$ $ £ £ £ £ $ $ $ $Distribution fees - - - - - - - - - -

Financial statements fees - - - - - - - - - -

Legal fees 14,222 10,612 52,822 11,816 12,716 13,687 14,609 6,592 14,842 15,730

Miscellaneous fees 1 1 3,620 2 2 - 5 1 6 -

Professional fees 15,419 - 15,123 - 13,591 - 15,025 - 16,429 -

Risk management fees 7,850 6,718 5,528 5,264 6,238 5,264 8,050 6,718 7,705 6,718

Shareholder services fees - - - - - - - 829 - 409

Valuation Fee - - - - - - - - - -

VAT fees 1,133 1,303 1,359 988 1,236 1,569 1,102 1,419 - 1,666

Total Other Fees andExpenses

38,625 18,634 78,452 18,070 33,783 20,520 38,791 15,559 38,982 24,523



360


Other Fees and Expenses (Continued)

L&CGB

L&CGB

PAAF PAAF TAREVF

TAREVF

STRF STRF CDGF CGCF TOTAL** TOTAL**

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2019

31 Dec2020

31 Dec2020

31 Dec2020

31 Dec2019

£ £ £ £ $ $ $ $ $ $ $ $Distribution

fees

- - - 125 13,771 7,500 10,478 7,657 - 27,273 51,522 15,633

Financial

statements

fees

- - 912 869 1,187 1,115 - - 1,080 104 8,258 6,676

Legal fees 11,014 5,241 10,277 6,929 27,224 52,989 15,415 20,637 27,110 13,349 323,249 234,470

Miscellaneous

fees

3 1 - - - 23 1 - - 249,542* 262,784 29

Paying

agent fees

- - - - - - - - - 4,806 4,806 -

Professional

fees

12,996 - 23,098 - 51,100 - 44,357 - 1,656 10,679 401,700 -

Regulatory

Fees

- - - - - - - - - 6,942 6,942 -

Risk

management

fees

5,838 4,764 6,338 5,264 11,351 13,718 7,704 6,718 11,336 1,506 138,988 100,423

Shareholder

services

fees

- 286 - - - 912 - - - - - 11,229

Valuation

Fee

- - - - - - - - 5,239 - 30,341 4,272

VAT fees 954 515 1,331 239 2,635 3,697 3,329 608 - - 35,517 42,182

TotalOther FeesandExpenses

30,805 10,807 41,956 13,426 107,268 79,954 81,284 35,620 46,421 314,201 1,264,108 414,914

* Includes adjustment for fees under-accrued on date of merger.

** Total other fees and expenses include a translation adjustment converting the results of the £ Sub-Funds to the presentation currency of the Company andhas no impact on the dealing Net Asset Values of any Sub-Fund.

8. PORTFOLIO TRANSACTION COSTS

ATRF31 Dec

2020£

ATRF31 Dec

2019£

GSI31 Dec

2020$

GSI31 Dec

2019$

L&CGBFI

31 Dec2020

$

L&CGBFI

31 Dec2019

$

L&CGDE

31 Dec2020

£

L&CGDE

31 Dec2019

£

Total transaction costs

on purchases

7,338 3,910 22,247 14,717 - - 704 4,202


on sales

7,929 854 4,537 2,251 - - 2,771 3,998



361

8. PORTFOLIO TRANSACTION COSTS (Continued)

L&CGG

31 Dec2020

£

L&CGG

31 Dec2019

£

L&CGSE

31 Dec2020

$

L&CGSE

31 Dec2019

$

L&CGB

31 Dec2020

£

L&CGB

31 Dec2019

£

PAAF31 Dec

2020£

PAAF31 Dec

2019£


on purchases

2,640 4,892 10,126 11,402 2,598 4,121 8,187 836


on sales

3,644 4,524 7,275 13,722 3,183 2,397 12,083 1,902

TAREVF

31 Dec2020

$

TAREVF

31 Dec2019

$

STRF31 Dec

2020$

STRF31 Dec

2019$


on purchases

52,972 20,125 - 1


on sales

42,849 20,956 - -

9. NET REALISED AND UNREALISED GAIN/(LOSS) ON FINANCIAL ASSETS AND LIABILITIES ATFAIR VALUE THROUGH PROFIT OR LOSS

AHFM31 Dec

2020US$

AHFM31 Dec

2019US$

AUEE31 Dec

2020US$

AUEE31 Dec

2019US$

ATRF31 Dec

2020US$

ATRF31 Dec

2019US$

Net Realised Gain/(Loss)

on Investment in Transferable Securities 3,942,311 5,729,923 (1,791,294) - 171,802 356,705

Net Change in Unrealised (Loss)/Gain on

Investment in Transferable Securities (3,536,621) 3,054,694 2,889,211 1,070,390 (350,071) 93,716

Net Realised (Loss)/Gain on Investment in

Financial Derivative Instruments (6,576,286) 5,293,098 1,313,850 6,319,673 689,996 (721,720)

Net Change in Unrealised Gain/(Loss) on

Investment in Financial Derivative Instruments 8,270,314 134,078,791 4,505,906 7,854,540 163,332 299,158

Net Currency (Loss)/Gain (268,571) (46,169) (1,530) 1,127 229,622 71,010

Net realised and unrealised gain onfinancial assets at fair value through profitor loss 1,831,147 148,110,337 6,916,143 15,245,730 904,681 98,869



362

9. NET REALISED AND UNREALISED GAIN/(LOSS) ON FINANCIAL ASSETS AND LIABILITIES ATFAIR VALUE THROUGH PROFIT OR LOSS (Continued)

GSI31 Dec

2020US$

GSI31 Dec

2019US$

L&CGBFI

31 Dec2020US$

L&CGBFI

31 Dec2019US$

L&CGCFI

31 Dec2020US$

L&CGCFI

31 Dec2019US$


on Investment in Transferable Securities (1,221,512) 346,670 (285,252) (124,460) 104,778 (212,259)

Net Change in Unrealised Gain on Investment

in Transferable Securities 17,008,467 7,917,712 2,351,089 4,481,153 34,515 2,426,610


Financial Derivative Instruments (362) 153 1,298,888 573,446 474,094 369,650


Investment in Financial Derivative Instruments - - (893,965) 803,899 (645,651) 570,095

Net Currency (Loss)/Gain (136,105) (30,436) (481,568) (463,313) (209,253) (393,014)

Net realised and unrealised gain/(loss) onfinancial assets at fair value through profitor loss 15,650,488 8,234,099 1,989,192 5,270,725 (241,517) 2,761,082

L&CGDE

31 Dec2020GB£

L&CGDE

31 Dec2019GB£

L&CGG

31 Dec2020GB£

L&CGG

31 Dec2019GB£

L&CGGFI

31 Dec2020US$

L&CGGFI

31 Dec2019US$


on Investment in Transferable Securities 806,770 823,626 (531,039) (351,700) (85,205) (22,121)


Investment in Transferable Securities (1,050,035) 1,932,702 2,477,559 1,740,961 1,598,541 4,319,611


Financial Derivative Instruments (401,329) (678,548) (580,105) 175,472 435,218 479,270


Investment in Financial Derivative Instruments 32,951 (52,413) 344,354 117,810 (977,071) 732,850

Net Currency (Loss)/Gain 34,482 319,104 309,503 249,519 (453,752) (455,878)

Net realised and unrealised gain/(loss) onfinancial assets at fair value through profitor loss (577,161) 2,344,471 2,020,272 1,932,062 517,731 5,053,732

L&CGSE

31 Dec2020US$

L&CGSE

31 Dec2019US$

L&CGB

31 Dec2020GB£

L&CGB

31 Dec2019GB£

PAAF31 Dec

2020GB£

PAAF31 Dec

2019GB£


on Investment in Transferable Securities (1,795,135) 7,667,004 (786,017) 316,754 (27,549) (752,234)


Investment in Transferable Securities 11,691,770 25,949,796 2,250,037 (27,214) 540,757 1,123,779


Financial Derivative Instruments 2,586,478 2,097,465 (1,041,107) 462,477 280,647 (972,536)


Investment in Financial Derivative Instruments (1,880,901) 1,671,668 426,583 94,415 255,211 (242,662)

Net Currency (Loss)/Gain (733,190) (912,506) 398,125 328,014 132,232 (108,508)

Net realised and unrealised gain/(loss) onfinancial assets at fair value through profitor loss 9,869,022 36,473,427 1,247,621 1,174,446 1,181,298 (952,161)



363

9. NET REALISED AND UNREALISED GAIN/(LOSS) ON FINANCIAL ASSETS AND LIABILITIES ATFAIR VALUE THROUGH PROFIT OR LOSS (Continued)

TAREVF

31 Dec2020US$

TAREVF

31 Dec2019US$

STRF31 Dec

2020US$

STRF31 Dec

2019US$

CDGF*31 Dec

2020US$

CGCF**31 Dec

2020


on Investment in Transferable Securities (14,167,693) (1,165,666) (6,628,610) (244,561) (40,508) 514,658


Investment in Transferable Securities 1,174,137 26,290,455 6,710,229 2,439,797 111,744 22,223,616


Financial Derivative Instruments 3,966,561 (4,039,495) 3,945,023 75,755 264,871 1,102,627


Investment in Financial Derivative Instruments (684,817) 363,780 5,339,470 4,812,639 517,700 (102,918)

Net Currency (Loss)/Gain 28,878 3,836 2,849,803 155 (16,417) 85,990

Net realised and unrealised gain/(loss) onfinancial assets at fair value through profitor loss (9,682,934) 21,452,910 12,215,915 7,083,785 837,390 23,823,973

*Launched on 31st January 2020.**Launched on 30th November 2020.

10. RELATED PARTIES

Parties are considered to be related if one party has the ability to control the other party or exercise significant

influence over the other party in making financial or operational decisions. There were no transactions with related

parties other than those in the normal course of business. Amounts payable to the related parties mentioned in this

note at the financial year end are disclosed in Note 7.

Orla Quigley, a Director of the Company, is head of legal of Gemini Capital Management (Ireland) Limited, the

Manager and Global Distributor of the Company. Conor Hoey, a Director of the Company, is an executive Director

of Gemini Capital Management (Ireland) Limited, the Manager and Global Distributor of the Company. Stuart

Alexander, a Director of the Company, is the CEO of GemCap UK Limited, UK Facilities Agent of the Company

and is also an executive Director of Gemini Capital Management (Ireland) Limited, the Manager and Global

Distributor of the Company and also owns a founder share in the Company. GemCap UK Limited has also been

appointed by Gemini Capital Management (Ireland) Limited to provide distribution oversight services to the

Company. Distribution oversight and UK facilities agent fees are paid out of the manager’s fees. Manager’s fees

charged for the financial year ended 31st December 2020 amounted to $1,717,875 (2019: $1,433,045), with fees

payable at 31st December 2020 amounting to $192,895 (31st December 2019: $155,025).


$14,818,290 (2019: $12,044,592), with fees payable at ended 31st December 2020 amounting to $2,200,166 (31st

December 2019: $1,540,443). Expense reimbursement from Investment Manager for the financial year ended 31st

December 2020 amounted to $551,349 (2019: $372,247), with fees receivable at ended 31st December

2020 amounting to $294,888 (31st December 2019: $385,123) and fees payable at ended 31st December

2020 amounting to $0 (31st December 2019: $52,830).

Directors’ fees charged for the financial year amounted to $159,273 (2019: $146,454), with fees payable at 31st

December 2020 amounting to $20,597 (31st December 2019: $4,919).

As at 31st December 2020 and 31st December 2019, there were no Directors’ interest in shares.



364

11. NAV HISTORY

31 Dec2020

31 Dec2019

31 Dec2018

Atlantic House Defined Returns Fund*Class B – GBP ClassReported NAV £1,020,236,802 £984,231,531 £677,514,956

Reported NAV per share £1.5339 £1.5361 £1.3131

Class I – GBP ClassReported NAV £219,896,232 £205,516,457 £101,498,926


Class B (Hedged) – USD ClassReported NAV $12,519,612 $17,975,405 $3,902,167

Reported NAV per share $1.1964 $1.1647 $0.9826

Class B (Hedged) – EUR ClassReported NAV €4,837,592 €4,675,947 €1,247,829

Reported NAV per share €1.1009 €1.0966 €0.9518

Class I – GBP Dist Class**

Reported NAV £2,616,655 - -

Reported NAV per share £1.0440 - -

*Formerly AHFM Defined Returns Fund. Name change effective on 5th October 2020.**Launched on 8th July 2020.

Atlantic House US Enhanced Equity Fund*Class A – USD ClassReported NAV $49,539,092 $70,645,703 $48,253,015



Atlantic House Total Return Fund*Class A – GBP ClassReported NAV £19,176,304 £17,452,038 £1,018,867



GSI Global Sustainable Value FundClass A – GBP ClassReported NAV £90,069,970 £50,733,371 £11,357,537


Class B – GBP Class*

Reported NAV £14,243,645 £4,519,583 -

Reported NAV per share £107.4027 £101.0853 -

Class C – EUR Class**

Reported NAV €858,306 €265,928 -

Reported NAV per share €102.2177 €101.4794 -

*Launched on 13th September 2019.**Launched on 27th November 2019.



365

11. NAV HISTORY (Continued)

31 Dec2020

31 Dec2019

31 Dec2018

London & Capital Global Balanced Fixed Income FundClass X – GBP ClassReported NAV £33,438,059 £21,785,858 £26,844,297


Class X – USD ClassReported NAV $12,587,455 $17,024,896 $11,492,834


Class I – USD ClassReported NAV $812,576 $1,592,961 $1,414,019


Class X – EUR ClassReported NAV €7,213,749 €472,169 €440,918




London & Capital Global Conservative Fixed Income FundClass X – GBP ClassReported NAV £11,349,908 £12,726,818 £15,252,232




Class I – USD ClassReported NAV $196,854 $303,821 $465,161


Class X – EUR ClassReported NAV - €46,426 €45,468

Reported NAV per share - €90.2100 €88.3500



London & Capital Global Defensive Equity Fund*Class X – GBP ClassReported NAV - £7,026,669 £6,894,045

Reported NAV per share - £113.8548 £101.6641

Class X – USD ClassReported NAV - $4,264,518 $2,859,166

Reported NAV per share - $123.0354 $107.7421

Class I – USD ClassReported NAV - - $195,183

Reported NAV per share - - $103.4223

Class X – EUR ClassReported NAV - €93,555 €250,902

Reported NAV per share - €115.4700 €103.6500

Class I – GBP ClassReported NAV - £6,106,266 £4,798,497

Reported NAV per share - £115.3267 £101.7356




366


31 Dec2020

31 Dec2019

31 Dec2018

London & Capital Global Growth FundClass A – USD Class*

Reported NAV $1,576,361 $752,577 -

Reported NAV per share $114.4109 $107.5920 -

Class A – GBP Class*

Reported NAV £4,785,940 £4,039,212 -


Class B – USD Class*

Reported NAV $3,561,948 $3,172,904 -



Reported NAV £38,133,726 £37,464,306 -


Class X – GBP Class**

Reported NAV - - £2,370,046

Reported NAV per share - - £84.5681

Class X – USD Class***

Reported NAV - - $1,331,940


Class I – USD Class****

Reported NAV - - $111,559


Class X – EUR Class*****

Reported NAV - - €62,164

Reported NAV per share - - €85.9099

Class I – GBP ClassReported NAV £1,137 £9,231 £2,024,001


*Launched on 15th May 2019.**Terminated on 5th June 2019.***Terminated on 28th May 2019.****Terminated on 5th July 2019.*****Terminated on 18th April 2019.

London & Capital Global Growth Fixed Income FundClass X – GBP ClassReported NAV £19,985,592 £18,116,441 £22,029,872




Class I – USD ClassReported NAV $1,667,011 $2,045,398 $700,300


Class X – EUR ClassReported NAV €4,394,344 €564,302 €595,312




Class I – EUR ClassReported NAV - - -

Reported NAV per share - - -



367


31 Dec2020

31 Dec2019

31 Dec2018

London & Capital Global Star Equity FundClass X – GBP ClassReported NAV £62,500,247 £38,829,848 £54,414,564




Class I – USD ClassReported NAV $22,137,129 $19,939,097 $13,603,726


Class X – EUR ClassReported NAV €7,853,619 €6,108,671 €5,505,006




London & Capital Global Balanced FundClass A – USD Class*

Reported NAV $1,025,505 $916,517 -


Class A – GBP Class*

Reported NAV £5,132,833 £4,099,275 -


Class B – USD Class*

Reported NAV $10,201,749 $7,727,314 -



Reported NAV £45,840,364 £46,300,099 -


Class X – GBP ClassReported NAV £4,398 £4,174 £4,587,341


Class I – GBP ClassReported NAV £7,326 £19,528 £1,520,501


*Launched on 24th June 2019.



368


31 Dec2020

31 Dec2019

31 Dec2018

Principal Asset Allocation FundClass A – GBP ClassReported NAV £2,930,372 £5,539,464 £11,641,165


Class B – GBP ClassReported NAV £358,753 £260,383 £346,281


Class C – USD (Hedged) ClassReported NAV $163,580 $1,027,416 $2,374,613


Class C – GBP ClassReported NAV £3,489,549 £4,657,231 £6,925,384


Class B – USD (Hedged) ClassReported NAV $1,261,377 $1,098,643 $337,771


Class B – EUR (Hedged) ClassReported NAV €28,289 €25,753 €47,132


Class C – EUR (Hedged) ClassReported NAV €143,339 €141,435 €430,416


Third Avenue Real Estate Value FundClass A1 – (USD Retail Acc) ClassReported NAV $7,872,358 $8,308,935 $7,027,956


Class A4 – (USD Institutional Acc) ClassReported NAV $66,427,320 $74,376,529 $60,498,429


Class A5 – (EUR Institutional Acc) ClassReported NAV €34,977,667 €62,641,231 €51,141,192


Class D4 – (USD Institutional Dist) Class*

Reported NAV $1,178,198 $1,030,004 -


*Launched on 29th January 2019.



369


31 Dec2020

31 Dec2019

31 Dec2018

Semper Total Return FundClass I (Inc) – USD ClassReported NAV $2,435,363 $2,969,497 $71,136


Class I (Inc) – GBP Hedged ClassReported NAV £226,110,456 £147,977,218 £73,078,146


Class I (Inc) – GBP ClassReported NAV £482,942 £7,703,789 £5,954,656


Class B – GBP Hedged ClassReported NAV £4,169,243 £17,963,043 £3,138,156


Class A – USD Class*

Reported NAV - - $1,518,639


Class C – GBP Hedged ClassReported NAV £4,586,278 £5,465,946 £3,485,954


Class B – USD ClassReported NAV $8,015,898 $11,508,430 $2,323,768


Class A – GBP Hedged Class**

Reported NAV £156,969 £509,162 -


Class I (Inc)– EUR Hedged Class***

Reported NAV €422,260 €46,973 -

Reported NAV per share €87.0408 €99.4144 -

*Terminated on 31st May 2019.**Launched on 13th March 2019.***Launched on 31st January 2019.



370


31 Dec2020

Causeway Defined Growth Fund*Class B – GBP Hedged Class**

Reported NAV £2,865,339

Reported NAV per share £1.0411

Class A – USD Class***

Reported NAV $3,079,369

Reported NAV per share $1.0590

Class B – USD Class**



Class A – GBP Hedged Class****



Class C – USD Class*****

Reported NAV $472,705


Class C – GBP Class******

Reported NAV £481,494


Class B (Hedged) – EUR Class*******

Reported NAV €92,165

Reported NAV per share €1.0241

Class D – GBP Class********



Class D – USD Class*********

Reported NAV $117,013


*Launched on 31st January 2020.**Launched on 31st January 2020.***Launched on 2nd April 2020.****Launched on 25th Febuary 2020.*****Launched on 12th March 2020.******Launched on 5th November 2020.*******Launched on 10th August 2020.********Launched on 6th November 2020.*********Launched on 16th November 2020.



371


31 Dec2020

Calamos Global Convertible Fund*Class I (Inc) – USD Class **



Class A – USD Class**



Class A – GBP Class**



Class C – USD Class**



Class C – EUR Class**

Reported NAV €210,470


Class X – USD Class**



Class I – USD Class**



Class I – GBP Class**



Class A (Inc) – USD Class **



Class C (Inc) – USD Class **



Class A – EUR Class**

Reported NAV €5,503,713


Class I – EUR Class**



Class Z – CHF Class**

Reported NAV CHF15,654,642

Reported NAV per share CHF14.0455

Class Z – EUR Class**



Class Z – GBP Class**



Class Z – USD Class**



*Launched on 30th November 2020.**Launched on 30th November 2020.



372

12. NAV RECONCILIATION

The net asset value in the financial statements as at 31st December 2020 differs from that included in the published

valuations as at 31st December 2020. The difference is due to the change in methodology in accounting for

formation costs as prescribed by IFRS, and the methodology indicated in the most recent Prospectus. This does not

have any effect on the published or dealing Net Asset Values of any of the Sub-Funds and all amounts are

immaterial in nature. The above mentioned NAVs are the reported NAVs.

13. DIVIDEND POLICY

For Atlantic House Defined Returns Fund, the Class A Shares, Class B Shares and Class B (Hedged) Shares are

accumulating Classes and therefore, it is not currently intended for the Company to declare and distribute dividends

to the Shareholders in each Class. Any income and earnings and gains on these Classes will be accumulated and

reinvested on behalf of shareholders.

The Class I Shares are intended to be a distributing Class and as such the Company may, at its discretion, declare

dividends on the Class I Shares in the Fund quarterly as at May 4, August 4, November 4 and February 4 and/or at

such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time.

Class I Distribution 4% Shares will distribute a quarterly dividend equal to 1% of the Fund’s Net Asset Value and

Class I Distribution 5% Shares will distribute a quarterly dividend equal to 1.25% of the Fund’s Net Asset Value.

Such distributions made from the Class I Shares may be declared out of the capital of the Fund. Such distributions,

when declared, will be paid by electronic transfer within two months thereafter.

For Atlantic House US Enhanced Equity Fund, the Class A Shares is an accumulating Class and therefore, it is not

currently intended to distribute dividends to the Shareholders of the Class A Shares. The income and earnings and

gains of the Class A Shares will be accumulated and reinvested on behalf of Shareholders.

The Class D Shares are intended to be a distributing Class and as such the Company may, at its discretion, distribute

capital on the Class D Shares in the Fund quarterly as at, May 4, August 4, November 4 and February 4 and/or at

such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. Such

distributions made from the Class D Shares may be declared out of the capital of the Fund. Such distributions, when

declared, will be paid by electronic transfer within two months thereafter.

For Atlantic House Total Return Fund, the Class A Shares and Class B Shares are accumulating Classes and

therefore, it is not currently intended for the Company to declare and distribute dividends to the Shareholders in

each Class. Any income and earnings and gains on these Classes will be accumulated and reinvested on behalf of

shareholders.

The Class I Shares are intended to be a distributing Class and as such the Company may, at its discretion, declare

dividends on the Class I Shares in the Fund quarterly as at May 4, August 4, November 4 and February 4 and/or at

such other periodic intervals as shall be determined by the Company, and notified to Shareholders at that time. Such

distributions made from the Class I Shares may be declared out of the capital of the Fund. Such distributions, when

declared, will be paid by electronic transfer within two months thereafter.

For GSI Global Sustainable Value Fund the Class B Shares and Class C Shares in the Fund are accumulating

Classes and therefore, it is not currently intended to distribute dividends to the Shareholders of the Class B Shares

or Class C Shares. The income and earnings and gains of the Class B Shares and Class C Shares will be

accumulated and reinvested on behalf of Shareholders.



373

13. DIVIDEND POLICY (Continued)

It is the current intention of the Directors to declare dividends in respect of the distributing Class A Shares. Such

dividends in respect of Class A Shares, at the sole discretion of the Directors, may be paid out of net income

together with the net realised and unrealised capital gains (net of realised and unrealised losses) of the Fund. Such

dividends may also be declared out of the capital of the Fund. Such dividends will usually be declared semi-

annually on the last Business Day in May and November (or at a time and frequency to be determined at the

discretion of the Directors following prior notification to the Shareholders). Dividends will be automatically

reinvested in additional Shares of the same Class unless the Shareholder has specifically elected on the Application

Form or subsequently notified the Administrator in writing of its requirement to be paid in cash sufficiently in

advance of the declaration of the next distribution payment.

For London & Capital Sub-Funds the Company may, at its discretion, declare dividends on any class of shares in

the Fund at such intervals as shall be determined by the Company, and notified to shareholders at that time. Such

dividends may be declared out of the capital of the Fund and, when declared, will be paid by electronic transfer

within two months thereafter.

For Principal Asset Allocation Fund the Company may, at its discretion, declare dividends on any class of share in

the Fund at such intervals as shall be determined by the Company, and notified to shareholders at that time.

Dividends will be paid by electronic transfer within two months thereafter.

For Third Avenue Real Estate Value Fund the Company may, at its discretion, declare dividends on Class D1,

Class D2, Class D3, Class D4 and Class D5 Shares in the Fund annually. These dividends will be paid within

30 days of the date of that declaration. Dividends will be paid by telegraphic transfer or bank transfer unless

Shareholders specifically request that dividends be re-invested by subscription for additional Shares of the same

Class. Additional Shares will be issued to Shareholders on the same day if it is a Dealing Day, or if not, on the next

Dealing Day at a price calculated in the same way as for other issues of the relevant Class on this date but without

incurring any subscription fee. There is no minimum of such further Shares which may be so subscribed.

Class A1 Shares, Class A2 Shares (GBP Institutional), Class A3 Shares, Class A4 Shares (USD Institutional) and

Class A5 Shares (Euro Institutional) are accumulation shares and therefore carry no right to any dividend. The net

income attributable to the Shares shall be retained within the Fund and the value of the Shares will rise accordingly.

For Semper Total Return Fund the Class I (Inc) Shares and Class C Shares are intended to be distributing Shares

and as such the Company may, at its discretion, declare dividends on the Class I (Inc) Shares and Class C Shares in

the Fund quarterly as at 1 March, 1 June, 1 September, 1 December and/or at such other periodic intervals as shall

be determined by the Company, and notified to Shareholders at that time. Such distributions made from the Class I

(Inc) Shares and Class C Shares may be declared out of the capital of the Fund. Such distributions, when declared,

will be paid by electronic transfer within two months thereafter.

The Class A Shares and Class B Shares are accumulating Classes and therefore, it is not currently intended for the

Company to declare and distribute dividends to the Shareholders in each Class. Any income and earnings and gains

on these Classes will be accumulated and reinvested on behalf of Shareholders.

For Causeway Defined Growth Fund the Class A Shares, Class A (Hedged) Shares, Class B Shares and Class B

(Hedged) Shares are accumulating Classes and therefore, it is not currently intended for the Company to declare

and distribute dividends to the Shareholders in each Class. Any income and earnings and gains on these Classes

will be accumulated and reinvested on behalf of Shareholders.



374

13. DIVIDEND POLICY (Continued)

The Class C Shares, Class C (Hedged) Shares, Class D Shares and Class D (Hedged) Shares are intended to be

distributing Classes and as such the Company may, at its discretion, declare dividends on the Class C Shares,

Class C (Hedged) Shares, Class D Shares and Class D (Hedged) Shares in the Fund quarterly as at May 4, August 4,

November 4 and February 4 and/or at such other periodic intervals as shall be determined by the Company, and

notified to Shareholders at that time. The Class C Shares, Class C (Hedged) Shares, Class D Shares and Class D

(Hedged) Shares will each distribute a quarterly dividend equal to 1.25% of the Fund’s Net Asset Value. Such

distributions may be declared out of the capital of the Fund and, when declared, will be paid by electronic transfer

within two months thereafter.

For Calamos Global Convertible Fund, it is not intended that dividends be declared and distributed in the

Accumulating Shares. Any income and earnings and gains on these Classes will be accumulated and reinvested on

behalf of Shareholders. The Directors intend to declare a dividend in respect of the Shares which are identified as

distributing Classes. All of the Fund’s income and capital gains will be reinvested in accordance with the

investment objectives and investment policies of the Fund except in respect of the distributing Classes. The

Directors intend to declare a dividend quarterly in March, June, September and December in respect of the

distributing Classes of the Fund.

Dividends for the distributing Classes may, at the sole discretion of the Directors, be paid from the Fund’s net

income and realised gains net of realised losses and net unrealised losses.

14. SIGNIFICANT EVENTS DURING THE FINANCIAL YEAR

On 8th January 2020, the Central Bank of Ireland revoked the authorisation of the Third Avenue Value Fund.

On 13th January 2020, the Third Avenue Real Estate Value Fund (1) amended the Dealing Day for subscriptions

and redemptions in the Fund to “every Business Day, meaning a day on which both the New York Stock Exchange

and banks in Ireland are open for business, or such other day(s) as the Directors may determine and notify in

advance to Shareholders.”; (2) the investment policy of the Fund was amended to provide that the Sub-Fund will no

longer invest in open-ended collective investment schemes and to clarify in respect of the real estate investment

trusts (“REITs”) that the Sub-Fund may invest in, that any REITs in which the Sub-Fund invests will be

transferable securities or will be constituted as closed-ended collective investment schemes which may be treated

as transferable securities in accordance with the UCITS Regulations.

On 31st January 2020, a new Sub-Fund Causeway Defined Growth Fund was launched.

On 31st January 2020, Causeway Defined Growth Fund launched Share Class B GBP Hedged and Share Class B

USD.

On 4th February 2020, Causeway Defined Growth Fund launched Share Class A USD.

On 25th February 2020, Causeway Defined Growth Fund launched Share Class A GBP Hedged.

On 13th March 2020, the fourth addendum to the prospectus was noted by the Central Bank of Ireland. Gemini

Capital Management (Ireland) Limited replaced Gemini Investment Management Limited (now known as

GemCap UK Limited) as Global Distributor for the Company. GemCap UK Limited is no longer regulated by the

FCA.



375

14. SIGNIFICANT EVENTS DURING THE FINANCIAL YEAR (Continued)

On 23rd March 2020, an amended supplement for Semper Total Return Fund was noted by the Central Bank of

Ireland, removing the requirement to close Class I (Inc) and Class B Shares to new investors once subscription

monies totalling $250million USD have been received.

On 31st March 2020, amended supplements for AHFM Defined Returns Fund, AHFM Total Return Fund and

Causeway Defined Growth Fund were noted by the Central Bank of Ireland. Principal changes are AHFM Defined

Returns Fund changed its dealing deadline to 12pm, AHFM Total Return Fund changed its dealing deadline to

12pm and anticipated leverage to be within the range of 100% to 400% and Causeway Defined Growth Fund

changed its subscription fee disclosure and the registered address of its investment manager.

Deirdre Toner was appointed MLRO for the Company with effect from 30th April 2020.

On 1st May 2020, Principal Asset Allocation Fund changed it’s investment manager to Mariana Investment

Partners LLP.

On 2nd June 2020, an amended supplement for GSI Global Sustainable Value Fund was noted by the Central Bank

of Ireland, changing the dealing deadline to 5pm on the relevant dealing day, incorporating reference that is

considered to be actively managed in reference to Solactive GBS Developed Markets Large and Mid Cap Index

NTR and changing the names of the classes to ensure that it is clear which classes are accumulating and

distributing.

On 15th June 2020, an amended supplement for AHFM US Enhanced Equity Fund was noted by the Central Bank

of Ireland, incorporating two new classes, Class A Accumulation (GBP) Shares and Class D Distribution (GBP)

Shares and changing the name of the existing Class D Distribution shares denominated in United States of America

Dollars to become Class D Distribution (USD).

On 24th June 2020, Gemini Investment Management Limited changed it’s name to GemCap UK Limited.

On 30th June 2020, an amended supplement for AHFM Defined Returns Fund was noted by the Central Bank of

Ireland, incorporating a new class, Class I Distribution 5% Shares.

The London & Capital Global Defensive Equity Fund was closed by way of compulsory redemption on

28th August 2020. Shares in this Sub-Fund are no longer available for investment. The Company intends to apply

to the Central Bank of Ireland to revoke this Sub-Fund's approval following preparation of the audited financial

statements for the year ended 31st December 2020.

The Memorandum & Articles of Association of the Company were amended by special resolution passed on

18th September 2020.



376


On 5th October 2020, amended supplements for AHFM Defined Returns Fund, AHFM US Enhanced Equity Fund,

AHFM Total Return Fund and Causeway Defined Growth Fund were noted by the Central Bank of Ireland.

Principal changes were as follows: AHFM Total Return Fund changing the name of the Sub-Fund to Atlantic

House Total Return Fund; AHFM Defined Returns Fund changing the name of the Sub-Fund to Atlantic House

Defined Returns Fund, changing the calculation of the global exposure from employing the absolute Value at Risk

approach to the relative Value at Risk approach, changing the name of the existing “Class I Distributing” Shares to

“Class I Distribution 4%” Shares and incorporating benchmarks used for performance comparison purposes;

AHFM US Enhanced Equity Fund changing the name of the Sub-Fund to Atlantic House US Enhanced Equity

Fund, changing the calculation of the global exposure from employing the absolute Value at Risk approach to the

relative Value at Risk approach, changing the name of the existing “Class A Accumulation” Shares which are

denominated in US Dollars to “Class A Accumulation (USD)” Shares and incorporating the benchmark used for

performance comparison purposes; Causeway Defined Growth Fund changing the calculation of the global

exposure from employing the absolute Value at Risk approach to the relative Value at Risk approach and

incorporating benchmarks used for performance comparison purposes.

On 9th October 2020, an amended supplement for Third Avenue Real Estate Value Fund was noted by the Central

Bank of Ireland. Principal changes were: change to number of decimal places for the issue, transfer or conversion

of Shares from four to three, reduction to the investment manger’s fees, removing the following sentence in respect


annual fee for shareholder services activities is €100,000”, incorporating the benchmark used for performance

comparison purposes and amending the name of the “D2 (Sterling UK Distributing)” Class to “D2 (Sterling UK

Institutional Distributing)” Class.

The Calamos Global Convertible Fund was approved by the Central Bank of Ireland on 14th October 2020 and

launched on 30th November 2020.

On 24th November 2020, an amended supplement for Calamos Global Convertible Fund was noted by the Central

Bank of Ireland amending the disclosure regarding fees which may be paid to distributors and/or platforms for

certain administrative services to their clients and/or maintenance fees.

The Calamos Global Convertible Fund, a Sub-Fund of Calamos Global Funds PLC merged into Calamos Global

Convertible Fund, a sub-fund of the Company effective 30th November 2020. The investment objective of the

Sub-Fund is to achieve high long-term total return through capital appreciation and current income.

Team International Equity Fund was approved by the Central Bank of Ireland on 30th November 2020. This Sub-

Fund has not yet launched.

GSI Global Sustainable Focused Value Fund was approved by the Central Bank of Ireland on 1st December 2020.

This Sub-Fund has not yet launched.

On 22nd December 2020, an amended supplement for Team International Equity Fund was noted by the Central

Bank of Ireland amending the names and certain characteristics of the classes of shares in the Sub-Fund.



377


COVID 19Since early January 2020, global financial markets have been monitoring and reacting to the Coronavirus (Covid-

19) that is believed to have originated in Wuhan, China. As at late March 2021, the virus has infected over

117 million people, across 185 countries, with at least 2.6 million having succumbed to the virus. While

containment efforts may have helped to slow the growth of the virus, global financial markets reacted sharply to the

news that the virus was continuing to spread at the start of March 2020, as well as concerns regarding the larger

economic impact this may have on a global scale. However, this was followed by a remarkable rebound with

notable public policy intervention by governments globally to reinstate investor confidence in the financial markets

while majority of countries re-introduced lockdown measures after a short easing in the summer. The fight and

hope against Covid-19 is now placed on vaccine development which is moving at record speed with more than

170 different vaccines in trials and at least 4 vaccines approved for global roll out. Since December 2020, there has

been vaccination rolled out globally with Israel, the UK and US among the countries ahead of the race to vaccinate

their nation. The eventual impact on the global economy and markets will largely depend upon the scale and the

duration of the outbreak which at this point is not fully known.

The GemCap Investment Funds (Ireland) Plc Board has been monitoring the outbreak as markets reacted to the

pandemic with increased volatility and uncertainty. Since the onset of the pandemic the Board has also noted the

operational risks that are posed to the Company and its service providers due to global and local movement

restrictions that have been enacted by various governments. The Board will continue to monitor this situation. The

Gemini Capital Management (Ireland) Limited team continues to monitor this situation closely on behalf of the

Company and has put in place measures to safeguard its ability to provide services to the Company and each

Sub-Fund documented in its business continuity plan, supported by guidance from the WHO as well as

international and local government agencies and health authorities. Staff are able to work from home effectively

and there is no impact on the business as usual. At this time there is also close and ongoing communication with the

Investment Managers. There were not any significant net redemptions from the Sub-Funds during the year or since

the year end. All redemptions in the Sub-Funds have been met fully and in a timely manner. The Sub-Funds

continue to be managed in accordance with their investment objectives, investment policies and risk profiles.

There were no other significant events during the financial year to note.

15. TAXATION

The Company will be regarded as resident for tax purposes in Ireland if it is centrally managed and controlled in

Ireland. It is intended that the Directors of the Company will conduct the affairs of the Company in a manner that

will allow for this.

The Directors have been advised that the Company is an investment undertaking within the meaning of

Section 739B of the Taxes Consolidation Act (“TCA”) and therefore is not chargeable to Irish tax on its relevant

income or relevant gains so long as the Company is resident for tax purposes in Ireland only. On this basis, under

current Irish law and practice it should generally not be chargeable to Irish tax on its income and gains. However,

Irish tax may still arise on occurrence of a “Chargeable Event” in respect of the Company.

Shareholders, other than Irish residents, who complete a declaration confirming that they are neither Irish residents

nor ordinarily residents, will not be liable to Irish tax on income or gains arising to them from their investment in

the Company and no tax will be deducted on distributions from the Company or payments by the Company in

respect of a redemption or other disposal of their investment.

In the absence of an appropriate declaration, the Company will be liable to Irish tax on the occurrence of a

chargeable event.



378

15. TAXATION (Continued)

A chargeable event includes any distribution to shareholders or any redemption or transfer of shares. A chargeable

event does not include:

(i) any transactions in relation to shares held in a recognised clearing system as designated by order of the Revenue

Commissioners of Ireland;

(ii) an exchange of shares representing one Portfolio for another Portfolio of the Company;

(iii) an exchange of shares arising on a qualifying amalgamation or reconstruction of the Company with another

fund; or

(iv) certain exchanges of shares between spouses and former spouses.

Capital gains, dividends and interest received may be subject to withholding taxes imposed by the country of origin

and such taxes may not be recoverable by the Company or its shareholders.

16. EXCHANGE RATES USED IN THIS REPORT

The following exchange rates were used for AHFM and ATRF to translate assets and liabilities into one £:

31 Dec2020

31 Dec2019

Canadian Dollar 1.741495 1.717869

Euro 1.117200 1.180178

Hong Kong Dollar 10.599141 10.322191

Indonesia Rupee 19206.82872 18,391.642371

Japanese Yen 141.130739 143.967180

Swiss Franc 1.208315 1.282822

United States Dollar 1.36695 1.324500

The following exchange rates were used for AUEE & CDGF to translate assets and liabilities into one $:

31 Dec2020

31 Dec2019

Euro 0.817294 0.890869

Great British Pound 0.731556 0.754859

Japanese Yen 103.24499 -



379

16. EXCHANGE RATES USED IN THIS REPORT (Continued)

The following exchange rates were used for GSI, TAREVF, STRF and CGCF to translate assets and liabilities into

one $:

31 Dec2020

31 Dec2019

Australian Dollar 1.297101 1.425110


Swiss Franc 0.885300 0.967600

Danish Krone 6.092397 6.662181

Euro 0.818565 0.891583


Hong Kong Dollar 7.752479 7.792471

Israelische Schekel 3.213450 3.453396

Japanese Yen 103.255011 108.664943

South Korean Won 1085.776330 1,156.069364

Norwegian Krone 8.574270 8.777705

New Zealand Dollar 1.389854 1.485443

Swedish Krona 8.227609 9.367681

Singapore Dollar 1.321599 1.345050

South African Rand 14.684719 13.998544

The following exchange rates were used for L&CGBFI, L&CGCFI, L&CGGFI and L&CGSE to translate assets

and liabilities into one $:

31 Dec2020

31 Dec2019


Swiss Franc 0.883950 0.968350

Euro 0.817294 0.890869



The following exchange rates were used for L&CGDE, L&CGG, L&CGB to translate assets and liabilities into one

£:

31 Dec2020

31 Dec2019

Brazilian Real 7.100228 5.329077


Swiss Franc 1.208315 1.282822

Euro 1.117200 1.180178

Mexican Peso 27.237133 25.016523



The following exchange rates were used for PAAF to translate assets and liabilities into one £:

31 Dec2020

31 Dec2019

Danish Krone 8.331353 -

Euro 1.119388 1.180902

Japanese Yen 141.201227 143.926716

Norwegian Krone 11.725315 -

Swedish Krona 11.251255 -

Swiss Franc 1.210647 -




380

17. COMMITMENTS AND CONTINGENT LIABILITIES

At the financial year end date, the Company had no commitments and contingent liabilities.

18. SOFT COMMISSION ARRANGEMENTS

The Investment Manager may effect transactions through the agency of another person with whom the Investment

Manager has an arrangement under which that party will, from time to time, provide or procure for the Investment

Manager as research. Under such arrangements, no direct payment is made or required to be made for such services

or benefits, but instead the Investment Manager undertakes to place business with that party. For the avoidance of

doubt, such services do not include travel, accommodation, entertainment, general administrative goods or

services, general office equipment or premises, membership fees, employees’ salaries or direct money payments.

In such case, the Investment Manager as the case may be, shall ensure that such arrangements shall assist in the

provision of investment services to the relevant Fund and the broker/counterparty to the arrangement has agreed to

provide best execution to the relevant Fund.

During the year ended 31st December 2020 and year ended 31st December 2019, only Third Avenue Management

LLC and Calamos Advisors LLC have entered into such research arrangements with brokers in respect of which

services used to support the investment decision process were received.

19. SUBSEQUENT EVENTS

On 11th January 2021, termination and compulsory repurchase of Class X Shares and Class I Shares in the London

& Capital Global Balanced Fund and London & Capital Global Growth Fund took effect.

On 11th January 2021, updated supplements for London & Capital Global Balanced Fund and London & Capital

Global Growth Fund were noted by the Central Bank of Ireland. Principal changes to each Sub-Fund

were: clarification that the fixed income securities the Sub-Funds may invest in includes exchange traded

commodities (ETCs), removing reference to Class X and Class I shares, removing the following sentence in respect


annual fee for shareholder services activities is €100,000”, incorporating that the Sub-Funds are actively managed

without reference to any benchmark and additionally in respect of London & Capital Global Growth Fund that the

Investment Manager may typically allocate between 50% and 90% of the Net Asset Value rather than 60%-100%

to equities.

On 21st January 2021, an updated supplement for Team International Equity Fund was noted by the Central Bank

of Ireland, changing the valuation point to the close of business of the relevant market on the Dealing Day.

On 25th January 2021, an updated supplement for London & Capital Global Star Equity Fund was noted by the

Central Bank of Ireland. Principal changes were: changing the investment policy of the Sub-Fund to remove the

reference to “and may be close to 30 different holdings” in “The Fund's holding range is diversified and it is

expected that the actual number of securities will be a minimum of 16 securities and may be close to 30 different

holdings.”, removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for

fund accounting activities is €100,000 and the maximum annual fee for shareholder services activities is

€100,000” and incorporating the index used as a performance target for the Sub-Fund.



381

19. SUBSEQUENT EVENTS (Continued)

On 29th January 2021, an updated supplement for the Principal Asset Allocation Fund was noted by the Central

Bank of Ireland. Principal changes were: to change the benchmark used for performance comparison purposes,

clarification that the corporate bonds rated BB or higher by Standard and Poor's that the Sub-Fund invests in may

also have an equivalent rating with Moody’s or Fitch, inclusion of an entry charge of up to 5.00% which may be

deducted from subscription money before the remainder is used to subscribe for shares in respect of Class A shares

and removing the following sentence in respect of the administrator’s fee: “The maximum annual fee for fund

accounting activities is €100,000 and the maximum annual fee for shareholder services activities is €100,000”.

On 18th February 2021, a revised supplement for the Semper Total Return Fund was noted by the Central Bank of

Ireland following an extraordinary general meeting of the shareholders of the Sub-Fund to approve certain changes.

Principal changes were: amendment to the investment policies of the Sub-Fund to reflect that the Sub-Fund invests

primarily in US securities, with up to 10% of its assets in global (i.e. non-US) securities, change to number of

decimal places for the issue, transfer or conversion of Shares from four to three and incorporating the benchmark

used for performance comparison purposes.

Karen Nolan replaced Stuart Alexander as Chairperson of the Company with effect from 23rd February 2021.

On 10th March 2021, the Fifth Addendum to the Prospectus was noted by the Central Bank of Ireland. The Fifth

Addendum incorporates into the prospectus and supplements certain pre-contractual disclosures required by the

implementation of the Sustainable Finance Disclosure Regulation (SFDR).

On 15th March 2021, a revised supplement for the Third Avenue Real Estate Value Fund was noted by the Central

Bank of Ireland to incorporate that the Sub-Fund is considered to be actively managed without reference to any

benchmark.

On 24th March 2021, termination and compulsory repurchase of Class A GBP Hedged Shares in the Semper Total

Return Fund took effect.

On 25th March 2021, an amended supplement for Causeway Defined Growth Fund was noted by the Central Bank

of Ireland, incorporating two new classes, Class C (Hedged) Distributing Shares in euro and Class D (Hedged)

Distributing Shares in euro.

On 16th April 2021, amended supplements for Atlantic House Defined Returns Fund, Atlantic House US Enhanced

Equity Fund, Atlantic House Total Return Fund and Causeway Defined Growth Fund were noted by the Central

Bank of Ireland. Principal changes were as follows: change of legal status of the investment manager of Atlantic

House Defined Return Fund, Atlantic House US Enhanced Equity Fund, Atlantic House Total Return Fund and

sub-investment manager of Causeway Defined Growth Fund from Atlantic House Fund Management LLP to

Atlantic House Investments Limited; reduction of the investment manager’s fee for Atlantic House US Enhanced

Equity Fund from 0.55% to 0.40% and reduction of the investment manager’s fee for Atlantic House Total Return

Fund from 0.75% to 0.60%.

Year to date 22nd April 2021 the NAV of the Company has increased by approximately 12%, however to note that

there has been a decrease of 27.2% in the Semper Total Return Fund and 12.4% in the Atlantic House US Enhanced

Equity Fund. The opinion of the Board is that the Funds are a going concern, financially viable, able to meet their

obligations to shareholders and continue its business and investment strategy for the foreseeable future.

There were no other subsequent events to note.



382

20. APPROVAL OF FINANCIAL STATEMENTS

The Directors authorised the financial statements for issue on 22nd April 2021.



383

1. Remuneration Policy

The Manager has remuneration policies and practices in place consistent with the requirements of the UCITSRegulations and will also comply with the requirements of the ESMA Guidelines, as required and when applicable.The Manager will procure that any delegate, including the Investment Managers, to whom such requirements alsoapply pursuant to the ESMA Guidelines will have equivalent remuneration policies and practices in place asrequired and when applicable.

The remuneration policy reflects the Manager's objective for good corporate governance, promotes sound andeffective risk management and does not encourage risk-taking which is inconsistent with the risk profile of theFunds or the Instrument. It is also aligned with the investment objectives of the each Fund and includes measures toavoid conflicts of interest. The remuneration policy is reviewed on an annual basis (or more frequently, if required)by the board of directors of the Manager, led by the independent non-executive chairman of the Manager, to ensurethat the overall remuneration system operates as intended and that the remuneration pay-outs are appropriate foreach Fund. This review will also ensure that the policy reflects best practice guidelines and regulatoryrequirements, as may be amended from time to time.

The Manager has determined that the following persons fall within the definition of “Identified Staff”:

- Members of the Board of Directors of the Fund and the Manager;- Designated Persons responsible for the monitoring of certain management functions of the Manager; and- Senior management and other identified staff of the Investment Managers to which portfolio managementfunctions are delegated and whose actions have a material impact on the risk profile of the Sub-Funds (“IdentifiedStaff”).

The amount of total remuneration provided by the Manager to its Identified Staff which has been attributed to theSub-Funds in respect of the financial year ended 31st December 2020 is $2,617,383. This figure is comprised offixed remuneration of $1,978,301 and variable remuneration of $639,082. There were a total of 41 beneficiaries ofthe remuneration described above.

2. Cybersecurity Risk

Cybersecurity breaches may occur allowing an unauthorized party to gain access to assets of the Funds,Shareholder data, or proprietary information, or may cause the Company, the Investment Manager, the Distributor,the Administrator or the Depositary to suffer data corruption or lose operational functionality. The Funds may beaffected by intentional cybersecurity breaches which include unauthorized access to systems, networks, or devices(such as through “hacking” activity); infection from computer viruses or other malicious software code; and attacksthat shut down, disable, slow, or otherwise disrupt operations, business processes, or website access orfunctionality. In addition, unintentional incidents can occur, such as the inadvertent release of confidentialinformation (possibly resulting in the violation of applicable privacy laws). A cybersecurity breach could result inthe loss or theft of Shareholder data or funds, the inability to access electronic systems, loss or theft of proprietaryinformation or corporate data, physical damage to a computer or network system, or costs associated with systemrepairs. Such incidents could cause the Company, the Investment Manager, the Distributor, the Administrator, theDepositary, or other service providers to incur regulatory penalties, reputational damage, additional compliancecosts, or financial loss. Consequently, Shareholders may lose some or all of their invested capital. In addition, suchincidents could affect issuers in which a Sub-Fund invests, and thereby cause a Sub-Fund’s investments to losevalue, as a result of which investors, including the relevant Sub-Fund and its Shareholders, could potentially loseall or a portion of their investment with that issuer. Cybersecurity breaches may occur allowing an unauthorizedparty to gain access to assets of the Funds, Shareholder data, or proprietary information, or may cause theCompany, the Investment Manager, the Distributor, the Administrator or the Depositary to suffer data corruption orlose operational functionality.


Appendix 1 (unaudited)

384

Securities Financing Transactions Regulations

A Sub-Fund may use Securities Financing Transactions in accordance with normal market practice and subject tothe requirements of the SFTR and the Central Bank Rules where provided for in the relevant Supplement. SuchSecurities Financing Transactions may be entered into for any purpose that is consistent with the investmentobjective of the relevant Sub-Fund, including to generate income or profits in order to increase portfolio returns orto reduce portfolio expenses or risks.

Any type of assets that may be held by each Sub-Fund in accordance with its investment objectives and policiesmay be subject to such Securities Financing Transactions. Where provided for in the relevant Supplement, theSub-Fund may also use Total Return Swaps. Subject to each Fund's investment objectives and policies, there is nolimit on the proportion of assets that might be subject to Securities Financing Transactions and Total Return Swaps.

Total Return Swaps

In respect of securities and securities indices a Sub-Fund may utilise total return swap contracts where the Sub-Fund may exchange floating interest rate cash flows for fixed cash flows based on the total return of an equity orfixed income instrument or a securities index or fixed cash flow based on total return of an equity or fixed incomeinstrument or a securities index for floating interest rate cash flows. These contracts allow a Sub-Fund to manage itsexposures to certain securities or securities indexes. For these instruments the Sub-Fund’s return is based on themovement of interest rates relative to the return on the relevant security of index.

Sub-FundCollateralAmount

CollateralCurrency Notional

Sub-FundCurrency

Underlying/issuer

Pay/Receive

Maturitydate Counterparty

Net unrealisedappreciation

GBP

Atlantic House

Defined Returns

Fund

2,900,000 GBP 14,962,621 GBP UKT 0.13%

March 2026

Pay 18/01/2021 Bank of America 202,922

202,922

The total return swap agreements foresee the exchange of collateral with the counterparties based on contracts

fair value; the collateral can be in form of cash, shares or bonds.

Top Largest Collateral Issuers Rank Value of Collateral (in GBP)

UKT 0.13% March 2026 1 2,900,000

Top Largest Collateral Counterparties Rank Gross volume of outstanding transactions (in GBP)

Bank of America 1 2,900,000

Aggregate transaction data

Type of Collateral Value (in GBP) Proportion (%)Bonds 2,900,000 100.00



385

Collateral maturity

Currencies of Collateral Value (in GBP) Proportion (%)GBP 2,900,000 100.00

TRS Maturity Value (in GBP) Proportion (%)less than 1 month 2,900,000 100.00

Countries of Counterparties Value (in GBP) Proportion (%)United Kingdom 2,900,000 100.00

Settlement & Clearing Value (in GBP) Proportion (%)Bilateral 2,900,000 100.00

Data Reuse of Collateral

The cash collateral received for total return swaps is not reused. Cash collateral reinvestment returns are nil.

Safekeeping of collateral received

Depositary Value of collateralassets safe-kept

RBC Investor Services Bank S.A. 2,900,000

Safekeeping of collateral granted

Collateral held insegregated accounts (%)

Collateral held inpooled accounts (%)

Collateral held inother accounts (%)

100% 0% 0%



386

Documents

UCITS Annual Report - calamos.com