PAN EUROPEAN SMALLER COMPANIES - ZE EUR THREADNEEDLE (LUX) PROFESSIONAL INVESTORS (FOR MARKETING PURPOSES) - ALL DATA AS AT 31 AUGUST 2021 SICAV Investment Objective & Policy The Fund aims to increase the value of your investment over the long term. It looks to outperform the EMIX Smaller European Companies Index after the deduction of charges. Contact Details The Fund invests at least two-thirds of its assets in shares of smaller companies in Continental Europe and the UK or companies that have significant operations there. The smaller companies that the Fund invests in will typically be companies that are smaller in size than the top 300 companies in the FTSE World Europe Index. Tel: +352 46 40 10 7190* The fund may also invest in asset classes and instruments other than those listed above. [email protected] The Fund permanently invests a minimum of 75% of its assets in European Economic Area equities, and is therefore PEA (Plan d’Epargne en Actions) eligible in France. *Please note that calls and electronic communications The Fund is actively managed in reference to the EMIX Smaller European Companies Index. The index is broadly representative of the companies in which the Fund invests, and provides a suitable target benchmark against which Fund performance will be measured and evaluated over time. The fund manager has discretion to select investments with weightings may be recorded. different to the index, and that are not in the index, and the Fund may display significant divergence from the index. Deviations from the index, including guidelines on the level of risk relative to the index, will be considered as part of the fund manager’s risk monitoring process, to ensure the overall level IFDS, 47, avenue J.F. Kennedy, L-1855, Luxembourg of risk is broadly consistent with the index. In line with its active management strategy, there may be significant deviation from the index. Fund Manager: Philip Dicken Since: Aug-18 Management Co: Threadneedle Man. Lux. S.A. Fund Inception Date: 29/08/18 Index: EMIX Smaller European Companies Investment Approach Morningstar Category Europe Small/ The fund invests mainly in European small and mid-sized companies, and typically holds between 80 and 100 positions. The portfolio manager Peer Group: can take significant country and sector positions relative to the index. Mid-Cap Equity Combined Fund Currency: EUR Research is carried out by our European small-cap team across a wide range of mid-sized and smaller companies. Access to company management is an important part of our research process and we have over 500 contacts with management per annum. We use this research to Fund Domicile: Luxembourg select companies which can generate and sustain high returns on capital via successful business models. This usually means that the XD Date: companies have competitive advantages which boost pricing power and we use Professor Michael Porter’s framework, “Porter’s Five Forces”, to assess this. The market assumes that these competitive advantages will fade over time; we seek companies which can resist this tendency and Pay Date: are therefore undervalued. Portfolio Size: €2,356.4m We are not constrained by mechanistic limits on sector and country weightings, barring those which are required under applicable regulations. In No. of Securities: 94 order to manage risk, we carefully limit the maximum percentage exposure to any one company. All information expressed in EUR PAN EUROPEAN SMALLER COMPANIES - ZE EUR ISIN: LU1849566838 Share Class Price: 14.9456 Ongoing Charges (OCF): 1.10% (as at 31/03/21) Performance Fee: No The ongoing charges figure (OCF) is usually based on the last year’s 5 Years (EUR) Calendar Years (EUR) expenses and may vary from year to year. It includes charges such as 40% the fund’s annual management charge, registration fee, custody fees 200 and distribution cost but excludes the costs of buying or selling assets 30% for the fund (unless these assets are shares of another fund). For a 180 more detailed breakdown please visit 20% www.columbiathreadneedle.com/fees. In some cases, the ongoing 160 charges figure may be based on an estimate of future charges, either 10% because the share/unit class is relatively new and has an insufficient 140 track record to be calculated exactly, or if historic figures are unlikely to 0% accurately reflect future ongoing costs. 120 Please see table of Share Classes available on page 4. 100 -10%

80 -20% Fund Changes 08/16 08/17 08/18 08/19 08/20 08/21 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 For detailed information on Fund Changes please see "Significant Share Class Peer Median Share Class Peer Median Events - Threadneedle (Lux) Funds" PDF available on https:// www.columbiathreadneedle.com/en/changes Annualised Performance (EUR) 1M 3M 6M YTD 1 YR 2 YR 3 YR 5 YR 10 YR SI Ratings/Awards Share Class (Net) 4.1 11.2 19.2 22.9 38.1 24.7 14.5 14.6 15.3 -- Peer Median (Net) 3.2 7.2 18.6 23.8 42.9 24.3 11.8 12.1 13.7 -- Peer Percentile 25% 16% 43% 57% 70% 47% 31% 27% 18% -- Peer Quartile 1 1 2 3 3 2 2 2 1 -- Fund (Gross) 4.1 11.5 20.0 23.9 39.4 26.0 15.8 15.9 16.4 -- For more information on the methodology of the Morningstar rating Index (Gross) 3.3 6.1 18.2 23.5 44.9 23.6 13.1 12.9 13.5 -- please visit www.morningstar.com Since Inception Returns from: 22/11/05 Calendar Year Performance (EUR) 12M Rolling Period (EUR) 2020 2019 2018 2017 2016 09/20 - 09/19 - 09/18 - 09/17 - 09/16 - 08/21 08/20 08/19 08/18 08/17 Share Class (Net) 9.6 37.2 -13.1 24.8 -6.2 38.1 12.5 -3.4 15.7 13.8 Peer Median (Net) 10.7 29.5 -16.5 19.9 0.1 42.9 8.0 -8.2 8.5 16.4 Peer Percentile 51% 8% 21% 18% 90% 70% 38% 21% 10% 71% Peer Quartile 3 1 1 1 4 3 2 1 1 3 Fund (Gross) 10.5 39.0 -12.2 25.5 -4.6 39.4 13.8 -2.2 16.7 15.4 Index (Gross) 7.8 29.3 -14.1 17.6 2.9 44.9 5.4 -5.1 8.2 17.1 Net returns – Net (of fee) returns assume income is reinvested for a local taxpayer, bid to bid performance (which means performance does not include the effect of any initial charges). Source Copyright © 2021 Morningstar UK Limited. Gross Fund returns - Gross Fund returns (where shown) are in-house calculated daily time weighted based on global close valuations with cash flows at start of day and are gross of fees. Past performance is not a guide to future performance. The performance data does not take account of the commissions and costs incurred on the issue and redemption of units. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by exchange rate fluctuations. This means that an investor may not get back the amount invested. Index returns assume reinvestment of dividends and capital gains and unlike fund returns do not reflect fees or expenses. The index is unmanaged and cannot be invested directly. The past performance information for the period prior to 29 August 2018 is from the Pan European Smaller Companies (Class 2 Net Accumulation Shares (EUR) GB00B0PHJR59) (a UK authorised UCITS fund launched on 21 November 2005), which merged into this Fund on 6 October 2018. The past performance calculated before 29 August 2018 includes UK taxes but does not include Luxembourg taxes. The Morningstar Categories for funds in the Europe/Asia/Africa universe include funds domiciled in Europe and/or traded on European Markets. Morningstar regularly reviews the category structure and the funds within each category to ensure that the system meets the needs of investors and keeps pace with market developments. The performance shown includes Open End Funds and Exchange Traded Funds only and is filtered by Primary Share Class in Morningstar Offshore Territories Classification.

Source: FactSet For CTI's use only: SXPESM Top 10 Holdings (%) Fund Currency Exposure including Hedging Security Name Fund Index CVS Group plc 2.5 0.1 Health Care Eurofins Scientific Societe Europeenne 2.5 -- Health Care Fluidra, S.A. 2.5 0.3 Industrials EUR 54.4% SIG Combibloc Group Ltd 2.5 0.3 Materials GBP 28.4% CHF 7.7% 2.4 0.2 Health Care SEK 6.9% Avanza Bank Holding AB 2.4 0.2 Financials DKK 2.6% USD 0.0% CompuGroup Medical SE & Co. KGaA 2.3 0.2 Health Care IMCD N.V. 2.2 -- Industrials St. James's Place Plc 2.1 -- Financials Howden Joinery Group PLC 2.0 0.3 Industrials

Total 23.2 1.6 All % are as at calendar month end based at global close gross valuation point and on a look- through exposure basis to underlying assets including forward currency positions. Weightings (%) Sector Fund Index Diff Country Fund Index Diff Health Care 23.0 9.4 13.5 United Kingdom 28.3 26.9 1.5 Industrials 22.1 22.9 -0.8 Germany 18.6 11.4 7.2 Information Technology 13.1 10.4 2.7 France 13.2 8.2 5.0 Materials 10.4 7.0 3.4 Switzerland 7.7 8.6 -0.9 Financials 10.1 12.4 -2.3 Italy 7.1 6.9 0.2 Consumer Discretionary 7.8 12.6 -4.8 Sweden 6.9 11.9 -5.0 Communication Services 6.9 5.4 1.5 Netherlands 4.2 3.4 0.8 Real Estate 2.8 10.0 -7.3 Spain 3.0 3.8 -0.7 Consumer Staples 2.4 4.5 -2.1 Denmark 2.6 2.9 -0.2 Energy -- 2.0 -2.0 Ireland 2.2 0.8 1.4 Utilities -- 3.4 -3.4 Finland 1.9 3.2 -1.3 Cash Equivalents 1.3 -- 1.3 Other 2.8 12.2 -9.4 Cash 0.1 -- 0.1 Cash Equivalents 1.3 -- 1.3 Cash 0.1 -- 0.1 Top 10 Overweight/Underweight (%) 3 Month Largest Position Changes Overweight Fund Index Diff Underweight Fund Index Diff Security Name 3 Mth Change Eurofins Scientific Societe Europeenne 2.5 -- 2.5 Wm Morrison Supermarkets plc -- 0.3 -0.3 Signature Aviation Plc -1.0 CVS Group plc 2.5 0.1 2.4 TOMRA Systems ASA -- 0.3 -0.3 CompuGroup Medical SE & Co. KGaA 0.5 Genus plc 2.4 0.2 2.2 PLC -- 0.3 -0.3 Eurofins Scientific Societe Europeenne 0.5 IMCD N.V. 2.2 -- 2.2 Wacker Chemie AG -- 0.3 -0.3 Sartorius AG Pref 0.3 Avanza Bank Holding AB 2.4 0.2 2.2 Avast Plc -- 0.3 -0.3 Elekta AB Class B -0.3 Fluidra, S.A. 2.5 0.3 2.2 Warehouses De Pauw SCA -- 0.3 -0.3 0.3 SIG Combibloc Group Ltd 2.5 0.3 2.1 D'Ieteren Group Societe anonyme -- 0.3 -0.3 GRENKE AG -0.3 CompuGroup Medical SE & Co. KGaA 2.3 0.2 2.1 Deliveroo plc Class A -- 0.3 -0.3 VAT Group AG 0.3 St. James's Place Plc 2.1 -- 2.1 Evotec SE -- 0.3 -0.3 Dalata Hotel Group Plc -0.3 Sartorius AG Pref 1.7 -- 1.7 voestalpine AG -- 0.3 -0.3 DiaSorin S.p.A. 0.3

Top Positive/Negative Security Attribution (3 Months) Fund Index Attri. Fund Index Attri. Contr. Geo. Contr. Geo. Avg. Total Avg. Total Avg. Total Avg. Total To Total To Total Security Name - 10 Highest Weight Return Weight Return Security Name - 10 Lowest Weight Return Weight Return Return Effect Return Effect Eurofins Scientific Societe Europeenne 2.2 37.1 0.7 -- -- 0.6 Dalata Hotel Group Plc 1.0 -14.4 -0.2 0.0 -14.3 -0.2 VAT Group AG 1.5 41.2 0.5 -- -- 0.4 Elekta AB Class B 1.4 -11.3 -0.1 0.2 -11.0 -0.2 Sartorius AG Pref 1.6 37.8 0.5 -- -- 0.4 CTS Eventim AG & Co. KGaA 2.0 -2.9 0.0 0.2 -2.8 -0.1 IMCD N.V. 2.1 26.7 0.5 0.1 0.1 0.4 NORMA Group SE 1.0 -9.4 -0.1 0.1 -9.4 -0.1 Future plc 1.5 36.0 0.5 0.2 36.0 0.3 Stillfront Group AB 0.4 -35.5 -0.2 0.1 -35.1 -0.1 DiaSorin S.p.A. 1.4 33.0 0.4 -- -- 0.3 SEB SA 0.7 -12.4 -0.1 -- -- -0.1 ASM International N.V. 1.4 27.8 0.4 -- -- 0.3 Intrum AB 0.8 -11.7 -0.1 0.1 -11.4 -0.1 SIG Combibloc Group Ltd 2.4 19.1 0.4 0.3 19.2 0.2 Wm Morrison Supermarkets plc ------0.3 64.4 -0.1 Group PLC 1.3 29.4 0.4 0.1 29.6 0.2 Verallia SAS 1.4 -3.3 -0.1 0.2 -3.2 -0.1 Genus plc 2.3 17.8 0.4 0.2 17.9 0.2 Meggitt PLC ------0.2 63.4 -0.1

Page 2 - Pan European Smaller Companies - ZE EUR Relative Monthly Net Returns vs Peer Median 4%

3% 2.6% 2.3% 2.2% 2.1% 2% 2.1% 1.5% 1.5% 1.5% 1.5% 1.2% 1.1% 1.1% 1.0% 0.9% 0.9% 0.9% 0.8% 0.9%

1% 0.8% 0.8% 0.8% 0.7% 0.7% 0.7% 0.6% 0.6% 0.6% 0.6% 0.5% 0.4% 0.4% 0.4% 0.2% 0% 0.1% 0.1% 0.0% 0.0% Return -0.2%

-1% -0.2% -0.2% -0.3% -0.3% -0.4% -0.4% -0.5% -0.5% -0.5% -0.5% -0.7% -0.7% -0.7% -0.8% -2% -1.3% -1.5% -1.8% -3% -1.9% -2.6% -2.7%

-4% -3.0% -3.3% -5% 09/16 03/17 09/17 03/18 09/18 03/19 09/19 03/20 09/20 03/21

Net Returns - All performance is sourced from Morningstar. Returns are calculated on a bid-bid basis and are net of all other expenses. Returns assume income is invested for local taxpayer. Gross Returns - Gross Fund returns (where shown) are inhouse calculated daily time weighted based on global close valuations with cash flows at start of day and are gross of fees. Relative returns are calculated on a geometric basis. Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise. All positions are based on gross portfolio asset valuations at global close. Groupings of securities, e.g. sectors are in-house defined and are for comparative purposes only. Risk Analysis Portfolio Statistics Market Cap Breakdown Chart 3 YR 5 YR Fund Index Fund Index Fund Index Price to Earnings 44.4 -- Absolute Volatility 19.4 20.7 15.8 16.8 Price to Book 4.2 1.8 Relative Volatility 0.9 -- 0.9 -- 20bn - 50bn 6.0% Dividend Yield 0.9 1.7 10bn - 20bn 18.3% Tracking Error 6.6 -- 5.6 -- 5bn - 10bn 25.2% Sharpe Ratio 0.8 -- 1.0 -- Return On Assets 1.8 0.0 2bn - 5bn 37.5% 1bn - 2bn 10.3% Information Ratio 0.4 -- 0.5 -- Return on Equity 9.5 16.0 500m - 1bn 2.6% Beta 0.9 -- 0.9 -- Active Share 92.0 -- Sortino Ratio 1.3 -- 1.6 -- Jensen Alpha 4.2 -- 4.4 --

Annualised Alpha 3.7 -- 4.0 -- Currency: EUR Analytics are based on global close valuations using Columbia Alpha 0.3 -- 0.3 -- Drawdown Max Drawdown -24.5 -27.6 -24.5 -27.6 Threadneedle Investments sourced market attributes. Underlying securities data may be provisional or based on 0% R² 89.9 -- 88.8 -- estimates. Market cap weightings include cash in the % -5% Ex post risk calculations are based on monthly gross global close returns. calculations. -10%

-15%

-20%

-25%

09/16 05/17 01/18 09/18 05/19 01/20 09/20 05/21 Fund Index

Performance Attribution (Year to Date) Total Effect Analysis (Year to Date) Geometric Attrib. 15 Var. In Fund Index Rel. Index

Avg. Total Total Total Rel. to Alloc. Selec. Total Health Care Weight Return Return Return Total Effect Effect Effect 10 Consumer Staples Communication Services 1.2 11.7 15.6 -3.4 -6.3 -0.1 -0.2 -0.3 Information Technology Consumer Discretionary Consumer Discretionary -4.4 20.7 21.6 -0.8 -1.5 0.1 -0.1 0.0 Financials Communication Consumer Staples -2.3 22.8 21.5 1.0 -1.6 0.0 0.0 0.1 Services Materials 5 Energy -1.9 -- -0.4 0.4 -19.4 0.4 -- 0.4 Total Financials -3.0 31.9 27.5 3.5 3.3 -0.1 0.3 0.2 Industrials Health Care 13.3 28.2 26.2 1.5 2.3 0.3 0.4 0.7 0 Industrials -0.7 32.0 26.2 4.5 2.3 0.0 1.1 1.0 Utilities

Information Technology 4.4 7.5 28.4 -16.3 4.0 0.0 -2.4 -2.4 Variation in Average Weight Materials 2.6 25.8 23.1 2.3 -0.3 0.0 0.2 0.2 -5 Energy Real Estate -7.3 37.3 25.2 9.7 1.4 -0.1 0.2 0.2 Real Estate Utilities -3.6 -- 3.3 -3.2 -16.4 0.6 -- 0.6 Total -- 23.9 23.5 0.4 -- 1.0 -0.6 0.4 -15 -10 -5 0 5 10 Relative Total Return Performance Attribution - Rolling 3 Month Total Effects 3 Month Effect Totals

Geometric Attrib. 10.0 Alloc. Selec. Total Fund Index Total Total Alloc. Selec. Total Return Return Effect Effect Effect 5.0 Aug-20 - Nov-20 8.1 10.5 -0.3 -1.9 -2.2 Nov-20 - Feb-21 7.5 11.0 0.5 -3.7 -3.2 0.0 Feb-21 - May-21 7.7 11.3 -0.7 -2.6 -3.3 May-21 - Aug-21 11.5 6.1 1.1 3.9 5.0 -5.0 11/20 02/21 05/21 08/21

Attribution analysis is calculated on a daily geometric basis unless otherwise stated. Fund returns may result in residual factors when compared to geometric attribution total returns due to data and calculation methodologies. Variation in weights is the average daily under/overweight position of the fund verses the index over the period. The Attribution table and graph only display a maximum of 12 groupings based on the highest portfolio end weight. The Rolling 3 Month Total Effect Attribution summary is based on the same groupings as the Year to Date Attribution.

Page 3 - Pan European Smaller Companies - ZE EUR Share Classes Available Entry WKN/ Share Class Curr Tax OCF OCF Date Min Inv. Launch ISIN SEDOL BBID Valor/ Hedged Charge CUSIP IE Acc EUR Gross 0.95% 31/03/21 0.00% 100,000 25/06/19 LU2005601245 BK1WVG7 TPESIEE LX A2PLXP No ZE Acc EUR Gross 1.10% 31/03/21 5.00% 1,500,000 29/08/18 LU1849566838 BD2Z490 TPESZEE LX A2JP8Z No The Share Class currency, unless indicated as a Hedged Share Class, is a translated price using exchange rates at the official valuation point of the fund. This is intended as a way to access a Share Class in your chosen currency and does not reduce your overall exposure to foreign currency. The fund currency indicates the highest currency exposure of the fund unless the currency breakdown is detailed in the Weightings % table on page 2.

Risks Opportunities nThe value of investments can fall as well as rise and investors might not get back the sum originally invested. nProvides exposure to a diverse range of countries and sectors. nWhere investments are in assets that are denominated in multiple currencies, or currencies other than your nAccess to a consistent investment process with a diversified approach own, changes in exchange rates may affect the value of the investments. that aims to reduce risk and limit volatility. nThe Fund holds assets which could prove difficult to sell. The Fund may have to lower the selling price, sell nSmaller companies can be a source of long-term growth: seeking the other investments or forego more appealing investment opportunities. industry leaders of tomorrow. nThe Fund may invest in derivatives with the aim of reducing risk or minimising the cost of transactions. Such nManaged by a multi-disciplinary team that have broad experience of all derivative transactions may benefit or negatively affect the performance of the Fund. The Manager does not market conditions. intend that such use of derivatives will affect the overall risk profile of the Fund.

Important Information For use by Professional and/or equivalent investor types in your jurisdictions only (not to be used with or passed on to retail clients). Past performance is not a guide to future performance. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by exchange rate fluctuations. This means that an investor may not get back the amount invested. Your capital is at Risk. Threadneedle (Lux) is an investment company with variable capital (Société d’investissement à capital variable, or "SICAV") formed under the laws of the Grand Duchy of Luxembourg. The SICAV issues, redeems and exchanges shares of different classes. The management company of the SICAV is Threadneedle Management Luxembourg S.A, which is advised by Threadneedle Asset Management Ltd. and/or selected sub-advisors. Certain sub-funds of the SICAV are registered in Austria, Belgium, Denmark, France, Finland, Germany, Hong Kong, Ireland, Italy, Liechtenstein, Luxembourg, Macau, the Netherlands, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UAE and the UK; however, this is subject to applicable jurisdictions and some sub-funds and/or share classes may not be available in all jurisdictions. Shares in the Funds may not be offered to the public in any other country and this document must not be issued, circulated or distributed other than in circumstances which do not constitute an offer to the public and are in accordance with applicable local legislation. This material is for information only and does not constitute an offer or solicitation of an order to buy or sell any securities or other financial instruments, or to provide investment advice or services. Subscriptions to a Fund may only be made on the basis of the current Prospectus and the Key Investor Information Document, as well as the latest annual or interim reports and the applicable terms & conditions. Please refer to the ‘Risk Factors’ section of the Prospectus for all risks applicable to investing in any fund and specifically this Fund. Documents other than KIIDs are available in English, French, German, Portuguese, Italian, Spanish and Dutch (no Dutch Prospectus). KIIDs are available in local languages. The summary of investor rights is available on our website in English. Documents can be obtained free of charge on request by writing to the management company at 44, rue de la Vallée, L-2661 Luxembourg, Grand Duchy of Luxembourg, from International Financial Data Services (Luxembourg) S.A. at 47, avenue John F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg, from www.columbiathreadneedle.com and/or from JPMorgan Worldwide Securities Services, 60 Victoria Embankment, London EC4Y 0JP. Threadneedle Management Luxembourg S.A. may decide to terminate the arrangements made for the marketing of the Fund. Portfolio positions are based on asset valuations at global close (not official NAV time). Historic Yield reflects distributions declared over the past 12 months. Distribution Yield reflects the amount that may be expected to be distributed over the next 12 months. Underlying Yield reflects the annualised income net of expenses of the fund. Yields shown do not include any preliminary charge and investors may be subject to tax on their distributions. Threadneedle Management Luxembourg S.A. Registered with the Registre de Commerce et des Sociétés (Luxembourg), Registered No. B 110242, 44, Rue de la Vallee, L-2661 Luxembourg, Grand Duchy of Luxembourg. In the UK issued by Threadneedle Asset Management Limited. Registered in England and Wales, Registered No. 573204, Cannon Place, 78 Cannon Street, London EC4N 6AG, United Kingdom. Authorised and regulated in the UK by the Financial Conduct Authority. Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies.

Index data source: Euromoney indices – Euromoney Smaller Companies Index

Page 4 - Pan European Smaller Companies - ZE EUR Modified Date - 09 September 2021