Winton Diversified Fund (UCITS)
A Sub-Fund of Winton UCITS Funds ICAV
(An umbrella open-ended Irish collective asset-management vehicle with segregated liability between sub-funds incorporated in Ireland under the Irish Collective Asset-Management Vehicles Act 2015 and authorised by the Central Bank as a UCITS pursuant to the UCITS Regulations).
Annual Report and Audited Financial Statements For the year ended 29 February 2020
WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Audited Financial Statements For the year ended 29 February 2020
Table of Contents Page(s)
General Information 2 - 5
Directors’ Report 6 -8
Investment Manager’s Report 9
Depositary Report 10
Independent Auditor’s Report 11 - 13
Statement of Financial Position 14 - 15
Statement of Comprehensive Income 16
Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 17
Statement of Cash Flows 18
Schedule of Investments 19 - 215
Notes to the Audited Financial Statements 216 - 248
Statement of Significant Purchases and Sales (Unaudited) 249 - 250
Remuneration Policy (Unaudited) 251 - 252
Other Information (Unaudited) 253
1 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) General Information Audited Financial Statements For the year ended 29 February 2020
Directors Dermot Butler 1 John Skelly 1 Rajeev Patel 1 Taavi Davies 1
Registered Office 32 Molesworth Street Dublin 2 Ireland
Investment Manager and Distributor Winton Capital Management Limited Grove House 27 Hammersmith Grove London, W6 0NE United Kingdom
Manager (From 1 July 2019) Winton Fund Management Ireland DAC 32 Molesworth Street Dublin 2 Ireland
Depositary The Bank of New York Mellon SA/NV (Dublin Branch)* Riverside Two Sir John Rogerson’s Quay Grand Canal Dock Dublin 2 Ireland
Administrator and Transfer Agent Citco Fund Services (Ireland) Limited Custom House Plaza, Block 6 International Financial Services Centre Dublin 1 Ireland
Prime Broker Morgan Stanley & Co. International plc. 25 Cabot Square Canary Wharf London, E14 4QA United Kingdom
FX Prime Brokers and Clearing Brokers UBS AG, London Branch 5 Broadgate London, EC2M 2QS United Kingdom
1 All Directors of the ICAV are independent of the Investment Manager and of all Service Providers to the ICAV. * BNY Mellon Trust Company (Ireland) Limited merged into The Bank of New York Mellon SA/NV (Dublin Branch) effective 1 December 2019.
2 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) General Information (continued) Audited Financial Statements For the year ended 29 February 2020
FX Prime Brokers and Clearing Brokers (continued) Societe Generale International Limited** One Bank Street Canary Wharf London, E14 4SG United Kingdom
Company Secretary MFD Secretaries Limited 32 Molesworth Street Dublin 2 Ireland
Independent Auditors KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place International Financial Services Centre Dublin 1 Ireland
Legal Advisers in Ireland on Matters of Irish Law Maples and Calder 75 St. Stephen’s Green Dublin 2 Ireland
Legal Advisers in the UK on Matters of English Law Simmons & Simmons LLP CityPoint One Ropemaker Street London, EC2Y 9SS United Kingdom
Broker and EMIR Reporting Provider Goldman Sachs International*** Plumtree Court 25 Shoe Lane London, EC4A 4AU United Kingdom
Local Representative Agent – France Société Générale 29 Boulevard Haussmann 75009 Paris France
Spanish Representative Allfunds Bank C/ de los Padres Dominicos, 7 28050 Madrid Spain
** Change in address effective on 7 February 2020. *** Change in address effective on 2 September 2019.
3 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) General Information (continued) Audited Financial Statements For the year ended 29 February 2020
Swiss Representative First Independent Fund Services Ltd. Klausstrasse 33 Zurich, CH-8008 Switzerland
Global Registration Service Provider Maples and Calder 75 St. Stephen’s Green Dublin 2 Ireland
Facilities Agent in the UK Winton Capital Management Limited Grove House 27 Hammersmith Grove London, W6 0NE United Kingdom
German Information Agent Zeidler Legal Services Bettinastrasse 48 60325 Frankfurt Germany
Paying Agent in Austria Erste Bank der oesterreichischen Sparkassen AG OE 0984, Graben 21 A-1010 Wien Austria
Paying Agent in Luxembourg Caceis Bank Luxembourg 5 Allée Scheffer L-2520 Luxembourg
Paying Agent in Sweden Skandinaviska Enskilda Banken AB (publ) SE-106 40 Stockholm Sweden
Swiss Paying Agent NPB New Private Bank Ltd. Limmatquai 1/am Bellevue P.O. Box 8024 Zurich Switzerland
4 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) General Information (continued) Audited Financial Statements For the year ended 29 February 2020
The latest Prospectus including the relevant Fund Supplement, the Instrument of Incorporation, the Key Investor Information Document (“KIID”), the annual and semi-annual reports as well as a list containing all purchases and sales which have been made during the reporting year can be obtained free of charge from the Investment Manager, and for Swiss Shareholders, these can be obtained free of charge from the Swiss Representative.
The latest Prospectus including the relevant Fund Supplement, the KIID, the Instrument of Incorporation, the annual and semi- annual reports, a list of changes in the composition of the portfolios as well as the issue and redemption prices are available free of charge pursuant to Sec. 297(1) of the German Capital Investment Code at the office of the German information agent (under indication of its name and address).
No notification pursuant to Section 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the following sub-fund and the units/shares in this sub-fund may not be marketed to investors in the Federal Republic of Germany: Winton Absolute Return Futures Fund.
The information contained in these financial statements is historical and not indicative of future performance. The performance data contained in these financial statements does not take account of any commissions or costs charged when subscribing for and redeeming shares.
5 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Directors’ Report Audited Financial Statements For the year ended 29 February 2020
The Board of Directors (the “Directors” or “Board”) of Winton UCITS Funds ICAV (the “ICAV”) herewith submit their report for the Winton Diversified Fund (UCITS) (“WDFU” or the “Fund”) together with the audited financial statements for the year ended 29 February 2020.
Principal activities The ICAV was originally incorporated as an umbrella investment company with segregated liability between sub-funds on 8 July 2010. The ICAV converted from an umbrella investment company to an Irish collective asset-management vehicle pursuant to the Irish Collective Asset-Management Vehicles Act 2015 (the “ICAV Act”) on 26 July 2017. The ICAV is authorised by the Central Bank of Ireland in accordance with the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, (as amended) (the “UCITS Regulations”) and is regulated by the Central Bank of Ireland in accordance with the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations”). The financial statements comply with the UCITS Regulations and with the Central Bank UCITS Regulations.
As at 29 February 2020, the ICAV has the following sub-funds:
Name Launch date Year end date Winton Global Equity Fund (“WGEF”) 1 December 2010 31 December 2019 Winton European Equity Fund (“WEEF”)* 6 May 2014 Not applicable Winton US Equity Fund (“WUSEF”)** 6 May 2014 Not applicable Winton Absolute Return Futures Fund (“WARF”) 3 July 2017 29 February 2020 Winton Diversified Fund (UCITS) (“WDFU”) 3 July 2017 29 February 2020 Winton Trend Fund (UCITS) (“WTFU”) 2 July 2018 29 February 2020
* On 29 November 2019, the Directors resolved to terminate WEEF. Final termination accounts were prepared as at 31 December 2019. ** On 7 May 2019, the Directors resolved to terminate WUSEF. Final termination accounts were prepared as at 31 October 2019.
These financial statements relate to WDFU only.
Segregated liability The ICAV is an umbrella fund with segregated liability between sub-funds.
Directors’ responsibilities The Directors are responsible for preparing the annual report and financial statements, in accordance with applicable law and regulations.
The ICAV Act, UCITS Regulations and Central Bank UCITS Regulations require the Directors to prepare an annual report and financial statements for each financial year. Under that law they have elected to prepare the annual report and financial statements in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union and applicable laws.
The financial statements are required to give a true and fair view of the assets, liabilities and financial position of the Fund at the end of the financial year and of the increase/decrease in net assets attributable to holders of redeemable participating shares in the Fund for the financial year. In preparing these financial statements, the Directors are required to:
• select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether IFRS have been followed, subject to any material departures disclosed and explained in the financial statements and ensure that they contain the additional information required by the ICAV Act; • assess the Fund’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and • use the going concern basis of accounting unless they either intend to liquidate the Fund or to cease operations, or have no realistic alternative but to do so.
6 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Directors’ Report (continued) Audited Financial Statements For the year ended 29 February 2020
Directors’ responsibilities (continued) The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets, liabilities, financial position and increase/decrease in net assets attributable to holders of redeemable participating shares in the Fund and enable them to ensure that the financial statements comply with the ICAV Act, the UCITS Regulations and the Central Bank UCITS Regulations. They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Fund. In this regard they have entrusted the assets of the Fund to a depositary for safe-keeping. They are responsible for such internal controls as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and to prevent and detect fraud and other irregularities.
The Directors are also responsible for preparing a Directors’ Report that complies with the requirements of the ICAV Act.
Accounting Records The Directors ensure compliance with the ICAV’s obligation to maintain adequate accounting records for the Fund by appointing competent persons to be responsible for them. Since 1 March 2019, the accounting records have been kept by Citco Fund Services (Ireland) Limited, an experienced third party Administrator, at Custom House Plaza, Block 6 International Financial Services Centre, Dublin 1, Ireland. Prior to 1 March 2019, the accounting records were kept by State Street Fund Services (Ireland) Limited, at 78 Sir John Rogerson’s Quay, Dublin 2, Ireland.
On 1 March 2019, Citco Fund Services (Ireland) Limited was appointed as Administrator and Transfer Agent to the ICAV.
Results for the year ended 29 February 2020 For a detailed commentary on the results of Fund for the year ended 29 February 2020, see the Investment Manager’s Report on page 9, the Statement of Financial Position on pages 14 to 15 and the Statement of Comprehensive Income on page 16. At year end, the Fund’s net assets amounted to USD841,329,115 (28 February 2019: USD733,501,008).
Distribution policy It is not envisaged that any income or gains will be distributed by the ICAV in respect of the Fund by way of dividends. This does not preclude the Directors from declaring a dividend at any time in the future if they consider it appropriate to do so. Such dividends (if any) will be declared out of the relevant portion of the Fund’s net income less expenses which is attributable to such Shares, in accordance with the Distribution Policy set out in the Prospectus. Any dividends declared shall be paid within four months of the date of declaration or, in the event that a dividend is declared and remains unclaimed after a period of six years from the date of declaration, such dividend will be forfeited and reinvested in the Fund. Shareholders will be notified in advance of any change in the dividend policy of the Fund and full details will be provided in an updated Supplement.
No dividend was declared by the Fund for the year ended 29 February 2020.
Principal risks and uncertainties The principal risks and uncertainties facing the Fund relate to the financial instruments held and are set out in Note 8 to the financial statements.
Review of business activities A detailed review of the business is given in the Investment Manager’s Report on page 9.
Political contributions The Fund did not make any political contributions during the year.
Brexit The United Kingdom ceased to be a member of the European Union on 31 January 2020. A transition period is expected to remain in place in the short term. The Board of Directors are aware of, and are monitoring on an ongoing basis, the developments. The Board of Directors do not believe that this will present any significant risks to the Fund and, if required, appropriate contingency arrangements will be put in place.
7 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Directors’ Report (continued) Audited Financial Statements For the year ended 29 February 2020
Directors The names of the persons who are Directors of the ICAV at the date of this report are listed on page 2.
Directors’ interests As at 29 February 2020 and 28 February 2019, Dermot Butler held one non-participating share of the ICAV in trust for Winton Capital Management Limited, the Investment Manager. As at 29 February 2020 and 28 February 2019, the Investment Manager held one redeemable non-participating share of the ICAV.
Other than the Director specified above, no other Director has any interest in the shares of the ICAV or the Fund nor any contract of significance with the ICAV or the Fund.
Directors’ remuneration Please see Note 12 for details of the Directors’ remuneration.
Employees The ICAV had no employees during the year ended 29 February 2020.
Going concern The financial statements of the Fund have been prepared on a going concern basis.
Corporate governance The philosophy of the Board in relation to corporate governance is to ensure transparency and reporting that conforms fully to applicable laws, regulations and guidelines in Ireland and abroad. The Board promotes ethical conduct by the Service Providers with the primary objective of enhancing Shareholders’ value. The Board firmly believes that any meaningful policy on corporate governance must create a mechanism of controls which ensure that the decisions and procedures of the Service Providers are implemented with care and responsibility to meet Shareholders’ aspirations. The Board is committed to attaining the highest standards of corporate governance.
On 18 December 2012, the Board of the ICAV adopted the corporate governance code as published by Irish Funds in conjunction with the Central Bank of Ireland (the “Code”) and is responsible for ongoing compliance with the Code.
Dealings with connected persons Regulation 43(1) of the Central Bank UCITS Regulations 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 UCITS Regulation 81(4) of the Central Bank UCITS Regulations, the Directors are satisfied that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected person; and all transactions with connected persons that were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 43(1).
Subsequent events Details of subsequent events are set out in Note 16 of the financial statements.
On behalf of the Board
______John Skelly Taavi Davies Director Director
17 June 2020
8 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Investment Manager’s Report Audited Financial Statements For the year ended 29 February 2020
Winton Capital Management Limited, the Investment Manager, is part of the Winton Group (“Winton”). Winton is a research-led investment management company with a single-minded focus on statistical and mathematical inference in financial markets. Founded in 1997 by CEO David Harding, the firm manages assets for many of the world’s largest pension funds, sovereign wealth funds, banks and fund platforms. Winton uses technology and mathematics to uncover patterns and order in global financial markets. It then develops and implements algorithms to profit from this order, to help invest and grow the money people are saving for their future. Winton Diversified Fund (UCITS) (the “Fund”) is seeking to achieve long-term capital appreciation through compound growth. There can be no assurance that the Fund will achieve its investment objective over any time period and a capital loss may occur. In pursuing this objective, the Fund invests long and short, using Financial Derivative Instruments (“FDIs”) and Structured Financial Instruments (“SFIs”) to construct a diversified portfolio across equity, bond, interest rate, currency and commodity markets that the Investment Manager believes are sufficiently liquid, and for which there is sufficient data available. There is no fixed allocation between these markets, or between regions or sectors within these markets. Winton Diversified Fund (UCITS) Performance
Shares (Lead Series) USD I USD I-D1* USD I-P** GBP I GBP I-2 EUR I EUR I-2 EUR I-P CHF I
Net return for the 12 -1.74% -4.89%* -3.71%** -3.16% -3.13% -4.21% -4.19% -4.31% -4.62% months to 28 Feb 2020
28 Feb 2020 NAV per USD103.45 USD95.11 USD96.29 GBP99.58 GBP101.13 EUR97.25 EUR98.32 EUR92.04 CHF95.80 share *Launched 25 October 2019. **Launched 3 December 2019.
The Fund returned -1.74% in the period 1 March 2019 to 28 February 2020 for investors in the USD I shares, which are the shares the performance analysis below is based upon. Most global financial markets rose over the period under review. The MSCI World stock index had rallied 18.8% to all-time highs by February, before giving most of its gains back in the final week to end the 12 months only 4.6% higher. In fixed income, government bonds rose across the board, as yields continued to trend downwards. The US 10-year Treasury note yield ended February 2020 at a record low of 1.1%. Commodity markets generally fell, with energies, base metals and livestock markets leading the way. Gold and palladium were notable exceptions, gaining by 15.7% and 66.9%, respectively, over the 12 months. The Fund made money in currencies, fixed income and long-short equity systems over the review period, but these profits were outpaced by losses in commodities, which were split across the energies, metals and agriculture sectors. A short position in the euro − which trended downwards against the US dollar for most of the 12 months − was the largest individual contributor to performance. Elsewhere in currencies, profits accrued from mostly short exposure to the Australian dollar and long positions in non-G10 currencies, such as the Indian rupee and Mexican peso. The Fund’s positioning in fixed income turned negative shortly before the start of the review period, but was long by May, leaving the portfolio well positioned to profit from an uptrend in bonds through to September. Longer-dated US Treasuries, Italian BTPs and Euribor futures were the Fund’s top performers in the sector. Within long-short equities, the Fund profited from positioning in consumer discretionary, communication services and information technology stocks. Directional stock index futures were another source of profits up until the final week of February, when the stock market sold off sharply, erasing the Fund’s earlier gains. The Fund performed less well in commodities, where losses were concentrated in May and September. Exposure to energies was whipsawed by market movements over the course of the 12 months, with negative performance stemming from the Fund’s oil and oil products positions. Silver and gold led the losses in metals, due to the Fund being short throughout most of a double-digit rally in the two markets between June and September. Livestock, meanwhile, accounted for most of the negative return in agriculture, alongside mixed performance in crops. These losses were reduced by strong individual performances in UK natural gas, copper and Dutch natural gas. Dutch natural gas was only added to the portfolio during September. Winton’s approach to investment is grounded in rigorous statistical research into the behaviour of financial markets. This research has over time resulted in the discovery and implementation of new investment signals. The Fund heads into its third financial year with 35% of risk allocated to technical macro signals, 35% to fundamental macro signals, 19% to technical equity signals and 11% to fundamental equity signals.
9
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REPORT FROM THE DEPOSITARY TO THE SHAREHOLDERS DATED 17 JUNE 2020 For the year from 1 March 2019 to 29 February 2020 (the “Year”)
The Bank of New York Mellon SA/NV, Dublin Branch (the “ Depositary ” “us ”, “ we ”, or “ our ”) has enquired into the conduct of Winton Diversified Fund (UCITS), a sub-fund of Winton UCITS Funds ICAV (the “Company”) for the year, in its capacity as Depositary to the Company.
This report including the opinion has been prepared for and solely for the shareholders in the Company, in accordance with our role as Depositary to the Company and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.
Responsibilities of the Depositary
Our duties and responsibilities are outlined in Regulation 34 of the of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (S.I. No 352 of 2011), as amended (the “Regulations”).
Our report shall state whether, in our opinion, the Company has been managed in that year in accordance with the provisions of the Company’s constitutional documentation and the Regulations. It is the overall responsibility of the Company to comply with these provisions. If the Company has not been so managed, we as Depositary must state in what respects it has not been so managed and the steps which we have taken in respect thereof.
Basis of Depositary Opinion
The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutional documentation and the appropriate regulations.
Opinion
In our opinion, the Company has been managed during the year, in all material respects:
(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the constitutional documentation and the Regulations; and
(ii) otherwise in accordance with the provisions of the constitutional documentation and the Regulations.
______For and on behalf of The Bank of New York Mellon SA/NV, Dublin Branch, Riverside Two, Sir John Rogerson’s Quay, Grand Canal Dock, Dublin 2, D02 KV60, Ireland.
Date: 17 June 2020
V$1 V`VR1J'`VC:JR*Q8 5+*Q8', , .V-:J@Q`*V1Q`@1VCCQJ+L*5 `:R1J$:.V-:J@Q`*V1Q`@1VCCQJ+L*5!%GC1J-`:JH.1:% .Q`1VRG7 .V*: 1QJ:C-:J@Q`-VC$1%I8 .V-:J@Q`*V1Q`@1VCCQJ+L*5 %V1QJ Q7V` `:: 5-R-`%VC5-VC$1%IRVC8^_ 58+88-, 8 8 R 81R 8 -`%VC9QI]:J7 *Q8 8 8 8.V-:J@Q`*V1Q`@1VCCQJ+L*1:-VC$1:JC1I1 VRC1:G1C1 7HQI]:J75:% .Q`1 Report on the audit of the financial statements Opinion We have audited the financial statements of Winton Diversified Fund (UCITS) (‘the Fund’) for the year ended 29 February 2020 set out on pages 14 to 248, which comprise the Statement of financial position, Statement of comprehensive income, Statement of changes in net assets attributable to holders of redeemable participating shares, Statement of cash flows and related notes, including the summary of significant accounting policies set out in note 2. The financial reporting framework that has been applied in their preparation is Irish Law and International Financial Reporting Standards (IFRS) as adopted by the European Union. In our opinion, the accompanying financial statements: give a true and fair view of the assets, liabilities and financial position of the Fund as at 29 February 2020 and of its changes in net assets attributable to holders of redeemable participating shares resulting from operations for the year then ended; have been properly prepared in accordance with IFRS as adopted by the European Union; and have been properly prepared in accordance with the requirements of the Irish Collective Asset- management Vehicles Act 2015 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019. 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 further described in the Auditor's responsibilities for the audit of the financial statements section of our report. We are independent of the Fund in accordance with ethical requirements that are relevant to our audit of financial statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority, 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. We have nothing to report on going concern We are required to report to you if we have concluded that the use of the going concern basis of accounting is inappropriate or there is an undisclosed material uncertainty that may cast significant doubt over the use of that basis for a period of at least twelve months from the date of approval of the financial statements. We have nothing to report in these respects. 11 INDEPENDENT AUDITOR’S REPORT TO THE SHAREHOLDERS OF WINTON DIVERSIFIED FUND (UCITS) ( continued ) Other information The directors are responsible for the other information presented in the Annual Report together with the financial statements. The other information comprises the information included in the directors’ report, Investment Manager’s Report, Depositary’s report, Schedule of Investments, Statement of Significant Purchases and Sales, Remuneration Policy and Other Information other than the financial statements and our auditor’s report thereon. The financial statements and our auditor’s report thereon do not comprise part of the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except as explicitly stated below, any form of assurance conclusion thereon. Our responsibility is to read the other information and, in doing so, consider whether, based on our financial statements audit work, the information therein is materially misstated or inconsistent with the financial statements or our audit knowledge. Based solely on that work we have not identified material misstatements in the other information. Opinion on other matter prescribed by the Irish Collective Asset-management Vehicles Act 2015 In our opinion, the information given in the Directors’ Report is consistent with the financial statements. Matters on which we are required to report by exception The Irish Collective Asset-management Vehicles Act 2015 requires us to report to you, if in our opinion, the disclosures of Directors’ remuneration specified by law are not made. We have nothing to report in this regard. Respective responsibilities and restrictions on use Responsibilities of directors for the financial statements As explained more fully in the directors’ responsibilities statement set out on page 6 and 7, the directors are responsible for: the preparation of the financial statements including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; assessing the ICAV’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 they either intend to liquidate the ICAV or to cease operations, or have no realistic alternative but to do so. 12 INDEPENDENT AUDITOR’S REPORT TO THE SHAREHOLDERS OF WINTON DIVERSIFIED FUND (UCITS) ( continued ) 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. A fuller description of our responsibilities is provided on IAASA’s website at https://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f- a98202dc9c3a/Description_of_auditors_responsiblities_for_audit.pdf . The purpose of our audit work and to whom we owe our responsibilities Our report is made solely to the shareholders of the Fund, as a body, in accordance with the Section 120 of the Irish Collective Asset-management Vehicles Act 2015. Our audit work has been undertaken so that we might state to the Fund’s shareholders 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 Fund and the Fund’s shareholders, as a body, for our audit work, for this report, or for the opinions we have formed. Garrett O’Neill 17 June 2020 for and on behalf of KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place IFSC Dublin 1 Ireland 13 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Financial Position Audited Financial Statements For the year ended 29 February 2020 As at As at 29 February 28 February 2020 2019 Notes USD USD Assets Financial assets at fair value through profit or loss: Transferable securities 10 614,411,955 496,566,278 Derivative instruments 10,11 12,022,541 16,860,763 Cash and cash equivalents 3 144,049,779 61,836,508 Balances due from brokers 4 118,004,927 167,363,119 Receivable for fund shares sold 5,409,583 2,579,331 Interest income receivable 2,713,394 1,881,084 Gross dividend income receivable 1,036,989 549,872 Operational expense rebate receivable 5 562,461 562,461 Prepaid expenses 25,060 5,666 Receivable for securities sold – 21,004,221 Total assets 898,236,689 769,209,303 Liabilities Financial liabilities at fair value through profit or loss: Derivative instruments 10,11 49,638,635 7,929,394 Balances due to brokers 4 677,490 – Payable for fund shares repurchased 3,909,976 4,520,543 Dividend expense payable 778,559 1,004,377 Investment management fees payable 5 619,334 468,861 Interest expense payable 546,732 – Performance fees payable 5 332,453 2,534 Dividend withholding tax payable 142,987 – Administration fees payable 56,687 63,527 Depositary and safekeeping fees payable 36,091 18,959 Auditor fees payable 6 24,411 21,977 Custody transaction fees payable 1,158 – Other expenses payable 143,061 99,868 Payable for securities purchased – 21,578,255 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 56,907,574 35,708,295 Net assets attributable to holders of redeemable participating shares 841,329,115 733,501,008 The audited annual financial statements set out in pages 14 to 248 were approved by the Board of Directors on 17 June 2020. The accompanying notes form an integral part of these audited financial statements 14 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Financial Position (continued) Audited Financial Statements For the year ended 29 February 2020 As at As at 29 February 28 February Shares outstanding per share class Notes 2020 2019 Class CHF I 7 4,824 88,114 Class EUR I 7 3,158,757 1,737,791 Class EUR I-P 7 80,098 110,924 Class EUR I-2 7 266,485 610,162 Class GBP I Distribution 7 2,177,794 1,987,872 Class GBP I-2 Distribution 7 637,790 784,030 Class USD I 7 1,013,518 565,232 Class USD I-D1 7 110 – Class USD I-P 7 17,389 – Net asset value per share Class CHF I 7 CHF95.803 CHF100.442 Class EUR I 7 EUR97.254 EUR101.524 Class EUR I-P 7 EUR92.041 EUR96.183 Class EUR I-2 7 EUR98.316 EUR102.617 Class GBP I Distribution 7 GBP99.580 GBP102.833 Class GBP I-2 Distribution 7 GBP101.131 GBP104.398 Class USD I 7 USD103.447 USD105.277 Class USD I-D1 7 USD95.112 – Class USD I-P 7 USD96.286 – ______John Skelly Taavi Davies Director Director The accompanying notes form an integral part of these audited financial statements 15 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Comprehensive Income Audited Financial Statements For the year ended 29 February 2020 29 February 28 February 2020 2019 Notes USD USD Investment income Net realised and unrealised loss on financial assets and liabilities at fair value through profit or loss 10 (50,042,847) (37,831,959) Gross dividend income 2 (e) 12,652,452 4,762,895 Interest income on financial assets and liabilities at fair value through profit or loss 8 12,408,241 4,298,334 Interest income on cash and broker balances 8 4,206,189 2,302,554 Other income 28,797 182,532 Total investment loss (20,747,168) (26,285,644) Operating expenses Dividend expense 12,553,731 6,904,905 Investment management fees 5 7,111,534 5,245,111 Interest expense 8 6,693,534 722,743 Administration fees 514,342 872,653 Performance fees 5 491,115 941,742 Legal and professional fees 273,108 205,131 Depositary and safekeeping fees 207,553 201,235 Custody transaction fees 143,479 91,303 Directors’ fees 12 67,760 70,606 Registration fees 42,678 49,155 Auditor fees 6 22,880 21,977 Other expenses 308,596 139,256 Operational expense rebate 5 – (562,461) Total operating expenses 28,430,310 14,903,356 Net loss from operations before dividend withholding tax (49,177,478) (41,189,000) Dividend withholding tax (2,592,576) (482,506) Changes in net assets attributable to holders of redeemable participating shares resulting from operations (51,770,054) (41,671,506) There are no recognised gains or losses arising during the financial year other than those dealt within the Statement of Comprehensive Income. In arriving at the results for the financial year all amounts relate to continuing operations. The accompanying notes form an integral part of these audited financial statements 16 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares Audited Financial Statements For the year ended 29 February 2020 29 February 28 February 2020 2019 USD USD Operating activities Changes in net assets attributable to holders of redeemable participating shares resulting from operations (51,770,054) (41,671,506) Capital transactions Issue of shares 492,978,596 585,044,278 Redemption of shares (333,380,435) (151,334,436) Net increase in net assets attributable to holders of redeemable participating shares from capital transactions 159,598,161 433,709,842 Net increase in net assets attributable to holders of redeemable participating shares during the financial year 107,828,107 392,038,336 Net assets attributable to holders of redeemable participating shares at the beginning of the financial year 733,501,008 341,462,672 Net assets attributable to holders of redeemable participating shares at the end of the financial year 841,329,115 733,501,008 The accompanying notes form an integral part of these audited financial statements 17 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Cash Flows Audited Financial Statements For the year ended 29 February 2020 29 February 28 February 2020 2019 USD USD Cash flow from operating activities Changes in net assets attributable to holders of redeemable participating shares resulting from operations (51,770,054) (41,671,506) Adjustments to reconcile changes in net assets attributable to holders of redeemable participating shares resulting from operations to cash used in operating activities Gross dividend income (12,652,452) (4,762,895) Interest income on cash and broker balances (4,206,189) (2,302,554) Interest income on debt securities (9,135,066) (4,298,334) Interest income on contracts for difference (152,347) – Dividend expense 12,553,731 6,904,905 Dividend withholding tax 2,592,576 482,506 Interest expense 6,693,534 722,743 Changes in operating assets and liabilities Increase in financial assets and liabilities at fair value through profit or loss (71,298,214) (317,667,706) Decrease/(increase) in balances due from brokers 49,358,192 (41,801,581) (Increase)/decrease in prepaid expenses (19,394) 17,646 Decrease/(increase) in receivable for securities sold 21,004,221 (15,982,444) Increase in balances due to brokers 677,490 – Increase/(decrease) in other liabilities 537,469 (762,522) (Decrease)/increase in payable for securities purchased (21,578,255) 21,418,382 Cash used in operating activities (77,394,758) (399,703,360) Gross dividend income received 12,165,335 4,294,234 Interest on cash and broker balances received 5,930,065 1,032,132 Interest on debt securities received 6,581,671 4,298,334 Interest on contracts for difference received 149,556 – Dividend expense paid (12,779,549) (6,091,376) Dividend withholding tax paid (2,449,589) (482,506) Interest expense paid (6,146,802) (722,743) Net cash used in operating activities (73,944,071) (397,375,285) Cash flows from financing activities Proceeds from issue of shares 490,148,344 582,464,947 Payments on redemption of shares (333,991,002) (146,813,893) Net cash provided by financing activities 156,157,342 435,651,054 Net increase in cash and cash equivalents for the financial year 82,213,271 38,275,769 Cash and cash equivalents at the beginning of the financial year 61,836,508 23,560,739 Cash and cash equivalents at the end of the financial year 144,049,779 61,836,508 The accompanying notes form an integral part of these audited financial statements 18 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) Investment in debt securities Interest Fair value % of (28 February 2019: 67.71%) rate % Maturity Notional USD Net assets France (28 February 2019: 5.97%) Société Générale SA* Zero Coupon 04/07/2022 56,696 46,741,639 5.56 % Total France 46,741,639 5.56 % Luxembourg (28 February 2019: 5.97%) Société Générale Issuer SA* Zero Coupon 04/07/2022 56,696 46,741,639 5.56 % Total Luxembourg 46,741,639 5.56 % United States (28 February 2019: 55.77%) United States Treasury Note/Bond 1.63 % 15/03/2020 20,000,000 20,000,000 2.38 % United States Treasury Note/Bond 1.38 % 31/03/2020 31,000,000 30,998,789 3.68 % United States Treasury Note/Bond 1 2.38 % 30/04/2020 10,000,000 10,015,234 1.19 % United States Treasury Note/Bond 2 2.50 % 31/05/2020 15,000,000 15,042,188 1.79 % United States Treasury Note/Bond 3 2.50 % 30/06/2020 20,000,000 20,081,250 2.39 % United States Treasury Note/Bond 1.63 % 30/06/2020 38,000,000 38,044,531 4.52 % United States Treasury Note/Bond 1.63 % 31/07/2020 15,000,000 15,025,195 1.79 % United States Treasury Note/Bond 4 2.63 % 15/08/2020 25,000,000 25,160,156 2.99 % United States Treasury Note/Bond 5 2.13 % 31/08/2020 9,000,000 9,040,430 1.07 % United States Treasury Note/Bond 2.75 % 30/09/2020 13,400,000 13,519,867 1.61 % United States Treasury Note/Bond 2.88 % 31/10/2020 8,700,000 8,796,855 1.05 % United States Treasury Note/Bond 6 1.63 % 30/11/2020 6,000,000 6,021,797 0.72 % United States Treasury Note/Bond 7 2.38 % 31/12/2020 10,000,000 10,103,125 1.20 % United States Treasury Note/Bond 1.75 % 31/12/2020 20,000,000 20,100,000 2.39 % United States Treasury Note/Bond 2.50 % 31/12/2020 50,000,000 50,560,547 6.01 % United States Treasury Note/Bond 8 2.13 % 31/01/2021 10,000,000 10,092,188 1.20 % United States Treasury Note/Bond 9 2.25 % 15/02/2021 7,000,000 7,076,836 0.84 % United States Treasury Note/Bond 10 2.50 % 28/02/2021 13,000,000 13,179,766 1.57 % United States Treasury Note/Bond 2.25 % 31/03/2021 20,000,000 20,253,906 2.41 % United States Treasury Note/Bond 2.25 % 30/04/2021 10,000,000 10,136,719 1.20 % United States Treasury Note/Bond 2.13 % 31/05/2021 20,000,000 20,267,188 2.41 % United States Treasury Note/Bond 1.63 % 30/06/2021 20,000,000 20,156,250 2.40 % United States Treasury Note/Bond 2.25 % 31/07/2021 25,000,000 25,437,500 3.02 % The accompanying notes form an integral part of these audited financial statements 19 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in debt securities Interest Fair value % of (28 February 2019: 67.71%) (continued) rate % Maturity Notional USD Net assets United States (28 February 2019: 55.77%) (continued) United States Treasury Note/Bond 11 2.13 % 30/09/2021 75,000,000 76,344,727 9.05 % United States Treasury Note/Bond 2.00 % 31/12/2021 25,000,000 25,473,633 3.03 % Total United States 520,928,677 61.91 % Total investment in debt securities 614,411,955 73.03 % Total investments in transferable securities 614,411,955 73.03 % * Equity Linked Note 1 10,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 2 15,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 3 20,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 4 3,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 5 8,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 6 5,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 7 10,000,000 nominal of this security is pledged as securities collateral with Goldman Sachs International. 8 10,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 9 7,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. 10 13,000,000 nominal of this security is pledged as securities collateral with Goldman Sachs International. 11 40,000,000 nominal of this security is pledged as securities collateral with Morgan Stanley. The accompanying notes form an integral part of these audited financial statements 20 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in forward foreign currency exchange contracts (28 February 2019: 1.22%) Fair value % of Currency Buy Sell USD Net assets Forward contracts included in trading portfolio (all expire between 02/03/2020 and 02/04/2020) CAD/USD 21,810 16,212 50 0.00 % CHF/USD 3,000 3,089 12 0.00 % EUR/NOK 96,185 1,000,000 105 0.00 % EUR/USD 5,177 5,668 27 0.00 % JPY/USD 17,147,672 157,692 885 0.00 % KRW/USD 119,342,130 98,353 691 0.00 % USD/AUD 10,901 16,706 52 0.00 % USD/BRL 17,300,000 75,522,015 516,522 0.06 % USD/CLP 4,499,994 3,637,930,000 52,484 0.01 % USD/SGD 3,916 5,460 – 0.00 % USD/TWD 11,478,811 345,276,200 21,269 0.00 % USD/ZAR 3,551 55,464 5 0.00 % 592,102 0.07 % Forward contracts for hedging currency risk (all expire between 02/03/2020 and 03/03/2020) EUR/USD 702,860 769,020 4,126 0.00 % USD/EUR 4,315,565 3,908,920 15,753 0.00 % 19,879 0.00 % Unrealised gains on open forward foreign currency exchange contracts 611,981 0.07 % The accompanying notes form an integral part of these audited financial statements 21 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) Fair value % of Security Quantity Notional USD Net assets Aerospace & Defense AAR Corp (198) (6,841) – 0.00 % AeroVironment Inc (3,856) (198,160) – 0.00 % Axon Enterprise Inc (1,192) (92,225) – 0.00 % Cubic Corp (11,844) (644,787) – 0.00 % Curtiss-Wright Corp (2,594) (311,124) – 0.00 % Dassault Aviation SA (65) (67,139) – 0.00 % Embraer SA (2,300) (8,687) – 0.00 % FACC AG (2,904) (28,430) – 0.00 % General Dynamics Corp (466) (74,416) – 0.00 % Jamco Corp (1,900) (18,888) – 0.00 % Korea Aerospace Industries Ltd (601) (12,794) – 0.00 % Kratos Defense & Security Solutions Inc (9,403) (152,893) – 0.00 % L3Harris Technologies Inc (4,614) (912,326) – 0.00 % Mercury Systems Inc (9,976) (732,837) – 0.00 % Moog Inc (2,694) (207,761) – 0.00 % Northrop Grumman Corp (174) – – 0.00 % Saab AB (2,794) (75,354) – 0.00 % Senior PLC (19,733) (35,598) – 0.00 % Teledyne Technologies Inc (1,875) (632,475) – 0.00 % TransDigm Group Inc (1,228) (684,991) – 0.00 % Triumph Group Inc (7,009) (133,171) – 0.00 % United Technologies Corp (4,786) (625,004) – 0.00 % Total Aerospace & Defense – 0.00 % Air Freight & Logistics Atlas Air Worldwide Holdings Inc 1,098 29,339 – 0.00 % CTT-Correios de Portugal SA (5,154) (13,142) – 0.00 % Echo Global Logistics Inc (2,962) (54,649) – 0.00 % FedEx Corp (3,631) (512,588) – 0.00 % Golden Ocean Group Ltd (10,771) (41,847) – 0.00 % Hanjin Transportation Co Ltd (262) (6,719) – 0.00 % Hub Group Inc (14,720) (680,506) – 0.00 % Hyundai Glovis Co Ltd (97) (9,902) – 0.00 % Kintetsu World Express Inc (3,500) (54,797) – 0.00 % Konoike Transport Co Ltd (3,455) (42,654) – 0.00 % Maruwa Unyu Kikan Co Ltd (3,500) (56,513) – 0.00 % PostNL NV (15,786) (23,876) – 0.00 % SBS Holdings Inc (995) (14,704) – 0.00 % Sinotrans Ltd (34,000) (9,598) – 0.00 % XPO Logistics Inc (6,859) (507,360) – 0.00 % Yamato Holdings Co Ltd (15,196) (239,179) – 0.00 % Total Air Freight & Logistics – 0.00 % The accompanying notes form an integral part of these audited financial statements 22 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Airlines Air France-KLM (20,254) (153,906) – 0.00 % American Airlines Group Inc (6,286) (119,748) – 0.00 % China Eastern Airlines Corp Ltd (146,000) (62,575) – 0.00 % China Southern Airlines Co Ltd (200,000) (105,480) – 0.00 % Delta Air Lines Inc (4,414) (203,618) – 0.00 % Hanjin Kal Corp 870 48,520 – 0.00 % Korean Air Lines Co Ltd (2,444) (45,231) – 0.00 % SAS AB (48,295) (49,936) – 0.00 % Spirit Airlines Inc (7,897) (224,670) – 0.00 % Total Airlines – 0.00 % Auto Components Adient PLC (2,125) (50,851) – 0.00 % Aisan Industry Co Ltd (6,700) (38,601) – 0.00 % Aisin Seiki Co Ltd (9,500) (307,486) – 0.00 % American Axle & Manufacturing (100,144) (633,912) – 0.00 % Aptiv PLC (6,145) (479,986) – 0.00 % Autoliv Inc (15,139) (1,014,598) – 0.00 % Autoneum Holding AG (1,092) (106,118) – 0.00 % BorgWarner Inc 9 284 – 0.00 % Bridgestone Corp (5,464) (182,209) – 0.00 % Continental AG (5,955) (665,662) – 0.00 % Cooper-Standard Holdings Inc (5,260) (90,893) – 0.00 % Dana Inc (27,340) (393,149) – 0.00 % Denso Corp (8,311) (324,339) – 0.00 % Dorman Products Inc (420) (25,469) – 0.00 % Faurecia SE (12,924) (581,166) – 0.00 % Fox Factory Holding Corp (2,054) (130,224) – 0.00 % Fuyao Glass (400) (1,142) – 0.00 % Gentherm Inc (2,058) (83,925) – 0.00 % Goodyear Tire & Rubber Co (20,916) (202,571) – 0.00 % Hankook Tire & Technology Co Ltd (2,707) (57,288) – 0.00 % Hyundai Wia Corp (557) (17,774) – 0.00 % Koito Manufacturing Co Ltd (8,900) (350,617) – 0.00 % KYB Corp (3,000) (66,417) – 0.00 % LCI Industries (3,114) (300,657) – 0.00 % Linamar Corp (366) (10,075) – 0.00 % Magna International Inc (6,854) (314,050) – 0.00 % Mando Corp (818) (20,230) – 0.00 % Michelin (5,754) (609,141) – 0.00 % Minth Group Ltd 14,000 49,224 – 0.00 % Mitsuba Corp (4,100) (23,204) – 0.00 % Modine Manufacturing Co (2,622) (39,120) – 0.00 % Motorcar Parts of America Inc (1,171) (19,603) – 0.00 % NGK Spark Plug Co Ltd (22,950) (376,717) – 0.00 % NHK Spring Co Ltd (10,600) (80,773) – 0.00 % The accompanying notes form an integral part of these audited financial statements 23 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Auto Components (continued) NOK Corp (37,334) (473,343) – 0.00 % Nokian Renkaat Oyj (23,819) (617,817) – 0.00 % Pacific Industrial Co Ltd (2,800) (30,451) – 0.00 % Riken Corp (500) (13,987) – 0.00 % Sanden Holdings Corp (7,600) (36,125) – 0.00 % Showa Corp 17,400 368,001 – 0.00 % Stanley Electric Co Ltd (11,950) (291,304) – 0.00 % Sumitomo Electric Industries Ltd (34,800) (830,617) – 0.00 % Sumitomo Riko Co Ltd (4,600) (30,586) – 0.00 % Sumitomo Rubber Industries Ltd (28,752) (298,594) – 0.00 % Superior Industries International Inc (4,465) (11,609) – 0.00 % Tachi-S Co Ltd (2,400) (22,594) – 0.00 % Taiho Kogyo Co Ltd (603) (3,179) – 0.00 % Tenneco Inc (42,878) (393,191) – 0.00 % Toyota Industries Corp (6,050) (319,466) – 0.00 % Tupy SA (700) (3,412) – 0.00 % Valeo SA (25,889) (648,727) – 0.00 % Veoneer Inc (13,112) (161,409) – 0.00 % Visteon Corp (2,747) (178,665) – 0.00 % Yokohama Rubber Co Ltd (19,166) (311,413) – 0.00 % Yorozu Corp (200) (2,380) – 0.00 % Total Auto Components – 0.00 % Automobiles Aston Martin Lagonda Global Holdings PLC (14,419) (62,265) – 0.00 % Bayerische Motoren Werke AG (10,107) (655,166) – 0.00 % Brilliance Chi (32,000) (27,101) – 0.00 % BYD Co Ltd 8,000 48,967 – 0.00 % Daimler AG (18,177) (750,601) – 0.00 % Fiat Chrysler Automobiles NV (26,422) (328,690) – 0.00 % Geely Automobile Holdings Ltd 12,000 21,342 – 0.00 % Guangzhou Automobile Group Co (28,000) (31,223) – 0.00 % Honda Motor Co Ltd (16,383) (424,138) – 0.00 % Hyundai Motor Co (605) (57,741) – 0.00 % Isuzu Motors Ltd (26,883) (252,584) – 0.00 % Mazda Motor Corp (44,185) (306,457) – 0.00 % Mitsubishi Motors Corp (47,536) (157,816) – 0.00 % Nissan Motor Co Ltd (53,957) (231,326) – 0.00 % Nissan Shatai Co Ltd (2,100) (19,304) – 0.00 % Peugeot SA (32,536) (626,497) – 0.00 % Porsche Automobil Holding SE (11,060) (684,702) – 0.00 % Renault SA (18,674) (1,088,489) – 0.00 % Subaru Corp (14,100) (341,563) – 0.00 % Suzuki Motor Corp (6,799) (272,689) – 0.00 % Tesla Inc (268) (179,021) – 0.00 % The accompanying notes form an integral part of these audited financial statements 24 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Automobiles (continued) Thor Industries Inc (9,584) (722,729) – 0.00 % Toyota Motor Corp (5,700) (375,678) – 0.00 % Volkswagen AG (4,196) (685,786) – 0.00 % Yamaha Motor Co Ltd (18,651) (298,043) – 0.00 % Yulon Motor Co Ltd 76,584 51,746 – 0.00 % Total Automobiles – 0.00 % Banks 77 Bank Ltd (4,825) (62,424) – 0.00 % Agricultural Bank of China Ltd 916,000 366,731 – 0.00 % Akbank T.A.S. (15,615) (16,947) – 0.00 % Alior Bank SA (15,672) (83,611) – 0.00 % Ameris Bancorp (27,760) (948,837) – 0.00 % Aozora Bank Ltd (10,804) (269,963) – 0.00 % Associated Banc-Corp (12,601) (213,335) – 0.00 % Atlantic Union Bankshares Corp (8,515) (253,236) – 0.00 % Australia & New Zealand Banking Group Ltd (20,220) (326,039) – 0.00 % Awa Bank Ltd (2,936) (59,353) – 0.00 % Banc of California Inc (5,471) (83,870) – 0.00 % Banco BPM SpA (87,083) (379,813) – 0.00 % Banco Bradesco SA (200) (1,215) – 0.00 % Banco Comercial Portugues SA (131,740) (23,549) – 0.00 % Banco de Sabadell SA (238,269) (414,741) – 0.00 % Banco del Bajio SA (34,189) (53,194) – 0.00 % Banco Macro SA (2,034) (58,945) – 0.00 % Banco Santander SA (116,613) (426,769) – 0.00 % Bancorp Inc 695 8,458 – 0.00 % BancorpSouth Bank (23,573) (576,831) – 0.00 % Bank of China Ltd 755,000 298,398 – 0.00 % Bank of East Asia Ltd (49,622) (105,447) – 0.00 % Bank of Georgia Group PLC 3,174 68,612 – 0.00 % Bank of Ireland Group PLC (5,107) (18,853) – 0.00 % Bank of Kyoto Ltd (5,819) (197,760) – 0.00 % Bank of Montreal (35,690) (2,427,234) – 0.00 % Bank of Nova Scotia (49,118) (2,571,723) – 0.00 % Bank of Queensland Ltd (77,697) (377,919) – 0.00 % Bank OZK (2,863) (72,692) – 0.00 % Bankia SA (144,670) (455,132) – 0.00 % Bankinter SA (24,041) (141,217) – 0.00 % Barclays PLC (214,225) (407,092) – 0.00 % BB&T Corp (19,766) (912,003) – 0.00 % BBVA (64,346) (613,597) – 0.00 % Bendigo & Adelaide Bank Ltd (46,653) (278,424) – 0.00 % Berkshire Hills Bancorp Inc (29,761) (726,466) – 0.00 % BNK Financial Group Inc (46,344) (237,308) – 0.00 % The accompanying notes form an integral part of these audited financial statements 25 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) BNP Paribas SA (8,590) (413,724) – 0.00 % Boston Private Financial Holdings Inc (10,869) (106,027) – 0.00 % Brookline Bancorp Inc (1,381) (19,154) – 0.00 % CaixaBank SA (66,593) (170,019) – 0.00 % Canadian Western Bank (2,932) (65,367) – 0.00 % Carolina Financial Corp (835) (27,054) – 0.00 % Cathay General Bancorp (4,880) (150,206) – 0.00 % CenterState Bank Corp (12,981) (262,606) – 0.00 % Chang Hwa Commercial Bank Ltd 310,047 238,245 – 0.00 % Chiba Bank Ltd (78,590) (387,372) – 0.00 % China Construction Bank Corp 441,000 356,515 – 0.00 % Chugoku Bank Ltd (17,707) (140,497) – 0.00 % CIBC (33,113) (2,522,331) – 0.00 % CIT Group Inc (2,543) (100,983) – 0.00 % Columbia Banking System Inc (15,404) (511,413) – 0.00 % Commerzbank AG (15,854) (90,877) – 0.00 % Commonwealth Bank of Australia (4,834) (256,724) – 0.00 % Community Bank System Inc (11,924) (725,098) – 0.00 % Concordia Financial Group Ltd (500) (1,720) – 0.00 % Credit Agricole SA (29,683) (352,961) – 0.00 % CTBC Financial Holding Co Ltd 366,402 275,481 – 0.00 % Customers Bancorp Inc (3,730) (75,682) – 0.00 % CVB Financial Corp (39,289) (728,418) – 0.00 % CYBG PLC (131,195) (254,523) – 0.00 % Daishi Hokuetsu Financial Group Inc (2,400) (49,716) – 0.00 % Danske Bank A/S (9,238) (284,616) – 0.00 % DGB Financial Group Inc (5,049) (23,507) – 0.00 % E.Sun Financial Holding Co Ltd 401,843 386,643 – 0.00 % Equity Bancshares Inc (321) (8,404) – 0.00 % FB Financial Corp (337) (10,976) – 0.00 % Fifth Third Bancorp (22,289) (543,852) – 0.00 % FinecoBank Banca Fineco SpA (12,724) (132,882) – 0.00 % First Bancorp/Southern Pines NC (564) (18,104) – 0.00 % First Commonwealth Financial Corp (10,539) (124,360) – 0.00 % First Financial Bancorp (34,098) (702,419) – 0.00 % First Financial Bankshares Inc (19,099) (548,905) – 0.00 % First Horizon National Corp (30,697) (409,191) – 0.00 % First Interstate BancSystem Inc (2,549) (86,819) – 0.00 % First Merchants Corp (3,939) (137,786) – 0.00 % First Midwest Bancorp Inc/IL (34,486) (625,921) – 0.00 % First Northwest Bancorp 1,023 16,286 – 0.00 % First Republic Bank/CA (1,984) (199,531) – 0.00 % FNB Corp/PA (51,018) (514,772) – 0.00 % Franklin Financial Network Inc (248) (8,306) – 0.00 % Fukuoka Financial Group Inc (24,607) (374,106) – 0.00 % The accompanying notes form an integral part of these audited financial statements 26 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) Glacier Bancorp Inc (21,652) (807,403) – 0.00 % Great Western Bancorp Inc (997) (26,789) – 0.00 % Grupo Financiero Galicia SA (4,570) (57,765) – 0.00 % Grupo Financiero Inbursa SAB de CV (24,071) (25,765) – 0.00 % Grupo Supervielle SA (21,572) (57,813) – 0.00 % Gunma Bank Ltd (24,148) (72,800) – 0.00 % Hachijuni Bank Ltd (28,421) (96,984) – 0.00 % Hana Financial Group Inc (4,391) (114,427) – 0.00 % Hancock Whitney Corp (14,650) (490,775) – 0.00 % Hang Seng Bank Ltd 1,800 37,534 – 0.00 % Heartland Financial USA Inc (1,030) (44,136) – 0.00 % Heritage Financial Corp/WA (863) (20,013) – 0.00 % Hilltop Holdings Inc (3,871) (80,633) – 0.00 % Hokkoku Bank Ltd (2,032) (51,939) – 0.00 % Hokuhoku Financial Group Inc (1,161) (9,845) – 0.00 % Home BancShares Inc/AR (38,797) (650,238) – 0.00 % Hope Bancorp Inc (29,677) (362,356) – 0.00 % HSBC Holdings PLC (53,619) (358,891) – 0.00 % Huntington Bancshares Inc/OH (20,988) (257,523) – 0.00 % Hyakugo Bank Ltd (7,600) (21,577) – 0.00 % ICBC 518,000 354,287 – 0.00 % Independent Bank Corp (13,955) (942,381) – 0.00 % Independent Bank Group Inc (674) (31,199) – 0.00 % Industrial Bank of Korea (14,952) (118,009) – 0.00 % Investors Bancorp Inc 7 74 – 0.00 % Iyo Bank Ltd (20,600) (92,965) – 0.00 % Juroku Bank Ltd (1,600) (27,225) – 0.00 % Jyske Bank A/S (4,559) (311,253) – 0.00 % KB Financial Group Inc (4,860) (156,899) – 0.00 % KeyCorp (7,712) (126,091) – 0.00 % Kiyo Bank Ltd (3,200) (42,199) – 0.00 % Kyushu Financial Group Inc (1,945) (6,619) – 0.00 % Live Oak Bancshares Inc (2,672) (41,069) – 0.00 % Lloyds Banking Group PLC (448,810) (287,847) – 0.00 % M&T Bank Corp (74) (10,388) – 0.00 % Mega Financial Holding Co Ltd 303,468 325,159 – 0.00 % Mitsubishi UFJ Financial Group (47,447) (233,385) – 0.00 % Mizuho Financial Group Inc (185,100) (252,654) – 0.00 % Musashino Bank Ltd (2,991) (41,213) – 0.00 % National Australia Bank Ltd (17,884) (291,508) – 0.00 % National Bank Holdings Corp (2,065) (63,168) – 0.00 % National Bank of Canada (48,360) (2,515,809) – 0.00 % NBT Bancorp Inc (643) (21,663) – 0.00 % Nordea Bank Abp (140,626) (1,133,992) – 0.00 % OFG Bancorp (6,760) (113,162) – 0.00 % The accompanying notes form an integral part of these audited financial statements 27 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) Ogaki Kyoritsu Bank Ltd (1,217) (22,790) – 0.00 % Old National Bancorp/IN (50,115) (789,812) – 0.00 % Old Second Bancorp Inc (231) (2,458) – 0.00 % Pacific Premier Bancorp Inc (14,244) (367,923) – 0.00 % People’s United Financial Inc (71,281) (997,221) – 0.00 % Pinnacle Financial Partners Inc (12,499) (657,947) – 0.00 % Prosperity Bancshares Inc (14,615) (944,129) – 0.00 % Regional SAB de CV 200 1,109 – 0.00 % Renasant Corp (3,187) (90,288) – 0.00 % Resona Holdings Inc (55,900) (211,534) – 0.00 % Royal Bank of Canada (33,693) (2,507,725) – 0.00 % Royal Bank of Scotland Group PLC (120,197) (274,342) – 0.00 % Santander Bank Polska SA (361) (23,001) – 0.00 % Seacoast Banking Corp of Florida (8,199) (204,155) – 0.00 % Shinhan Financial Group Co Ltd (3,818) (102,347) – 0.00 % Shinsei Bank Ltd (25,900) (344,184) – 0.00 % Shizuoka Bank Ltd (13,200) (83,251) – 0.00 % Simmons First National Corp (33,571) (717,748) – 0.00 % SinoPac Financial Holdings Co Ltd 654,346 281,747 – 0.00 % Skandinaviska Enskilda Banken (110,358) (1,054,246) – 0.00 % South State Corp (1,455) (99,115) – 0.00 % Standard Chartered PLC (62,755) (451,069) – 0.00 % Sterling Bancorp/DE (36,082) (598,240) – 0.00 % Sumitomo Mitsui Financial Group Inc (1,780) (57,350) – 0.00 % Sumitomo Mitsui Trust Holdings (9,800) (335,322) – 0.00 % Suruga Bank Ltd (76,198) (273,407) – 0.00 % SVB Financial Group (1,351) (281,224) – 0.00 % Svenska Handelsbanken AB (5,104) – – 0.00 % Swedbank AB (74,253) (1,110,217) – 0.00 % Synovus Financial Corp (21,358) (619,809) – 0.00 % TCF Financial Corp (24,738) (901,453) – 0.00 % Toho Bank Ltd (4,042) (8,223) – 0.00 % Tokyo Kiraboshi Financial Group Inc (1,350) (13,620) – 0.00 % TOMONY Holdings Inc (3,168) (8,848) – 0.00 % Toronto-Dominion Bank (48,148) (2,478,573) – 0.00 % Towne Bank/Portsmouth VA (1,036) (23,890) – 0.00 % Triumph Bancorp Inc (3,518) (119,155) – 0.00 % Tsukuba Bank Ltd (414) (659) – 0.00 % Turkiye Garanti Bankasi AS (5,477) (8,354) – 0.00 % Umpqua Holdings Corp (5,259) (80,936) – 0.00 % UniCredit SpA (3,875) (93,564) – 0.00 % Unione di Banche Italiane SpA 29,992 122,628 – 0.00 % United Bankshares Inc/WV (17,208) (496,967) – 0.00 % United Community Banks Inc/GA (19,728) (488,663) – 0.00 % Valley National Bancorp (76,119) (707,907) – 0.00 % Veritex Holdings Inc (36,411) (876,413) – 0.00 % The accompanying notes form an integral part of these audited financial statements 28 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) Westamerica Bancorporation (1,268) (73,316) – 0.00 % Westpac Banking Corp (21,346) (327,700) – 0.00 % Wintrust Financial Corp (10,442) (557,707) – 0.00 % Yamagata Bank Ltd (600) (6,131) – 0.00 % Yamaguchi Financial Group Inc (9,467) (50,340) – 0.00 % Yamanashi Chuo Bank Ltd (1,803) (13,639) – 0.00 % Zions Bancorp NA (3,579) (142,981) – 0.00 % Total Banks – 0.00 % Beverages Ambev SA (3,100) (10,037) – 0.00 % Anheuser-Busch InBev SA/NV (6,918) (386,045) – 0.00 % Coca-Cola Bottlers Japan Holdings Inc (7,700) (176,950) – 0.00 % Cott Corp (4,584) (65,044) – 0.00 % Craft Brew Alliance Inc (829) (13,189) – 0.00 % Fevertree Drinks PLC (3,865) (62,317) – 0.00 % Ito En Ltd (3,700) (162,870) – 0.00 % Molson Coors Brewing Co (4,725) (234,407) – 0.00 % Sapporo Holdings Ltd (6,200) (124,075) – 0.00 % Takara Holdings Inc (28,200) (218,277) – 0.00 % Total Beverages – 0.00 % Biotechnology 3SBio Inc (27,000) (27,995) – 0.00 % AbbVie Inc 2,824 242,045 – 0.00 % ACADIA Pharmaceuticals Inc (4,755) (203,229) – 0.00 % Adamas Pharmaceuticals Inc (6,320) (28,819) – 0.00 % ADMA Biologics Inc (13,293) (38,749) – 0.00 % Agenus Inc (24,168) (61,145) – 0.00 % Agios Pharmaceuticals Inc (2,496) (118,510) – 0.00 % Aimmune Therapeutics Inc (2,664) (63,430) – 0.00 % Akebia Therapeutics Inc (600) (5,322) – 0.00 % Aldeyra Therapeutics Inc (5,485) (20,843) – 0.00 % Alexion Pharmaceuticals Inc (5,897) (354,493) – 0.00 % Allogene Therapeutics Inc 3,457 93,339 – 0.00 % Alteogen Inc (112) (8,040) – 0.00 % Altimmune Inc 8,231 30,455 – 0.00 % Amgen Inc (4,080) (814,898) – 0.00 % Amicus Therapeutics Inc (2,814) (26,860) – 0.00 % Anavex Life Sciences Corp (2,979) (11,350) – 0.00 % Anterogen Co Ltd (276) (7,421) – 0.00 % Apellis Pharmaceuticals Inc (7,271) (251,722) – 0.00 % Aptinyx Inc (1,813) (5,838) – 0.00 % Arbutus Biopharma Corp (1,296) (3,784) – 0.00 % Ardelyx Inc (9,190) (63,595) – 0.00 % The accompanying notes form an integral part of these audited financial statements 29 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Biotechnology (continued) Argenx SE (570) (77,748) – 0.00 % Assembly Biosciences Inc (5,940) (107,633) – 0.00 % Atara Biotherapeutics Inc (14,699) (178,593) – 0.00 % Basilea Pharmaceutica AG (4,366) (193,182) – 0.00 % Bellicum Pharmaceuticals Inc (1,608) (14,472) – 0.00 % Biohaven Pharmaceutical Holding Co Ltd (4,865) (214,838) – 0.00 % Bluebird Bio Inc (1,806) (130,628) – 0.00 % Blueprint Medicines Corp (3,388) (183,392) – 0.00 % BrainStorm Cell Therapeutics Inc 4,598 32,094 – 0.00 % CareDx Inc (438) (10,210) – 0.00 % Celldex Therapeutics Inc 1,776 4,671 – 0.00 % Cellectis SA (1,710) (26,466) – 0.00 % Celltrion Inc 342 48,251 – 0.00 % Coherus Biosciences Inc (5,924) (114,629) – 0.00 % Corbus Pharmaceuticals Holding (19,261) (91,297) – 0.00 % Corvus Pharmaceuticals Inc (1,469) (5,053) – 0.00 % CrystalGenomics Inc (271) (2,440) – 0.00 % Cytokinetics Inc (20,808) (290,064) – 0.00 % CytomX Therapeutics Inc (4,142) (27,710) – 0.00 % Dynavax Technologies Corp (26,293) (207,452) – 0.00 % Eidos Therapeutics Inc (355) (17,956) – 0.00 % Eiger BioPharmaceuticals Inc (1,683) (15,972) – 0.00 % Emergent BioSolutions Inc (6,063) (355,777) – 0.00 % Epizyme Inc (3,813) (81,713) – 0.00 % Esperion Therapeutics Inc (3,311) (167,172) – 0.00 % Exact Sciences Corp (939) (76,012) – 0.00 % Five Prime Therapeutics Inc (8,025) (30,736) – 0.00 % Flexion Therapeutics Inc (13,457) (212,486) – 0.00 % Fortress Biotech Inc (6,908) (14,783) – 0.00 % Genmab A/S (130) – – 0.00 % GlycoMimetics Inc (2,107) (7,627) – 0.00 % Green Cross Corp/South Korea (756) (71,212) – 0.00 % Gritstone Oncology Inc (1,641) (13,784) – 0.00 % Idera Pharmaceuticals Inc (4,330) (6,885) – 0.00 % Idorsia Ltd (9,904) (262,114) – 0.00 % ImmunoGen Inc (39,126) (174,111) – 0.00 % Immunomedics Inc (8,628) (138,048) – 0.00 % Intercept Pharmaceuticals Inc (2,364) (217,346) – 0.00 % Kadmon Holdings Inc (11,638) (54,000) – 0.00 % Karyopharm Therapeutics Inc (24,110) (393,957) – 0.00 % Kindred Biosciences Inc 3,010 32,719 – 0.00 % Kura Oncology Inc 5,962 71,961 – 0.00 % La Jolla Pharmaceutical Co (9,025) (61,370) – 0.00 % MacroGenics Inc (420) (3,683) – 0.00 % MediciNova Inc (586) (2,461) – 0.00 % Minerva Neurosciences Inc (6,069) (44,182) – 0.00 % The accompanying notes form an integral part of these audited financial statements 30 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Biotechnology (continued) Mirati Therapeutics Inc (1,449) (129,671) – 0.00 % MorphoSys AG (1,766) (186,587) – 0.00 % Mustang Bio Inc (2,140) (6,249) – 0.00 % Myovant Sciences Ltd (3,442) (35,453) – 0.00 % NewLink Genetics Corp (13,713) (18,787) – 0.00 % Novavax Inc 41 656 – 0.00 % OncoTherapy Science Inc (9,750) (6,041) – 0.00 % Organovo Holdings Inc 28,171 9,099 – 0.00 % Pfenex Inc (511) (5,928) – 0.00 % Pharma Mar SA (65,863) (284,871) – 0.00 % PhaseBio Pharmaceuticals Inc (1,080) (4,547) – 0.00 % Pieris Pharmaceuticals Inc (5,420) (16,856) – 0.00 % Portola Pharmaceuticals Inc (11,206) (113,293) – 0.00 % Ra Pharmaceuticals Inc 18,002 841,774 – 0.00 % Recro Pharma Inc (3,154) (45,228) – 0.00 % Regeneron Pharmaceuticals Inc 829 368,549 – 0.00 % Repligen Corp (2,026) – – 0.00 % ReproCELL Inc (3,418) (9,388) – 0.00 % SanBio Co Ltd (8,669) (135,164) – 0.00 % Sangamo Therapeutics Inc 8,190 69,861 – 0.00 % Seattle Genetics Inc (738) (84,029) – 0.00 % Seegene Inc 525 15,903 – 0.00 % Selecta Biosciences Inc (5,926) (23,704) – 0.00 % Seres Therapeutics Inc (5,804) (18,225) – 0.00 % Solid Biosciences Inc (12,891) (42,540) – 0.00 % STCUBE (984) (8,036) – 0.00 % Stemline Therapeutics Inc (3,477) (20,932) – 0.00 % Syndax Pharmaceuticals Inc (3,053) (28,729) – 0.00 % Synlogic Inc (4,657) (9,593) – 0.00 % Syros Pharmaceuticals Inc (3,777) (22,095) – 0.00 % T2 Biosystems Inc (11,374) (7,841) – 0.00 % Takara Bio Inc (6,000) (103,648) – 0.00 % TG Therapeutics Inc (33,960) (439,702) – 0.00 % Ultragenyx Pharmaceutical Inc (3,146) (176,428) – 0.00 % UNITY Biotechnology Inc (933) (5,607) – 0.00 % Veracyte Inc (3,342) (82,514) – 0.00 % Vertex Pharmaceuticals Inc (1,187) (265,924) – 0.00 % Vitrolife AB (366) (6,181) – 0.00 % Y-mAbs Therapeutics Inc (1,388) (40,835) – 0.00 % Zealand Pharma A/S (2,366) (84,144) – 0.00 % Total Biotechnology – 0.00 % The accompanying notes form an integral part of these audited financial statements 31 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Building Products AAON Inc 10,245 563,577 – 0.00 % Aica Kogyo Co Ltd (1,400) (41,365) – 0.00 % Apogee Enterprises Inc (3,234) (195,269) – 0.00 % Arbonia AG (5,063) (55,796) – 0.00 % Armstrong Flooring Inc (3,697) (9,760) – 0.00 % Central Glass Co Ltd (3,900) (74,007) – 0.00 % Cie de Saint-Gobain (10,252) (356,360) – 0.00 % Cornerstone Building Brands Inc (8,037) (59,072) – 0.00 % Daikin Industries Ltd (400) (54,469) – 0.00 % Fortune Brands Home & Security (1,545) (95,404) – 0.00 % Griffon Corp (2,966) (51,608) – 0.00 % Insteel Industries Inc (75) (1,492) – 0.00 % JELD-WEN Holding Inc (5,980) (112,424) – 0.00 % Johnson Controls International (16,610) (607,428) – 0.00 % KCC Corp (490) (67,709) – 0.00 % Kyung Dong Navien Co Ltd (24) (739) – 0.00 % LIXIL Group Corp (9,300) (139,326) – 0.00 % Maeda Kosen Co Ltd (2,520) (46,585) – 0.00 % Munters Group AB (16,605) (75,434) – 0.00 % Nibe Industrier AB (2,615) (41,976) – 0.00 % Nichias Corp (1,145) (23,644) – 0.00 % Nippon Aqua Co Ltd (6,600) (30,823) – 0.00 % Nitto Boseki Co Ltd (3,875) (149,073) – 0.00 % Noritz Corp (2,800) (28,664) – 0.00 % PGT Innovations Inc (21,143) (320,739) – 0.00 % Reliance Worldwide Corp Ltd (24,925) (54,710) – 0.00 % Resideo Technologies Inc 8,999 96,739 – 0.00 % Sankyo Tateyama Inc (2,600) (26,088) – 0.00 % Sanwa Holdings Corp (4,200) (38,530) – 0.00 % Takara Standard Co Ltd (2,000) (28,298) – 0.00 % Takasago Thermal (3,500) (53,988) – 0.00 % Universal Forest Products Inc (2,760) (130,927) – 0.00 % Uponor Oyj (123) (1,603) – 0.00 % Total Building Products – 0.00 % Capital Markets Aizawa Securities Co Ltd (2,100) (11,652) – 0.00 % Alaris Royalty Corp (2,197) (32,517) – 0.00 % Ameriprise Financial Inc (1,039) (146,811) – 0.00 % Amundi SA (1,448) (102,975) – 0.00 % Anima Holding SpA (7,643) (33,192) – 0.00 % Ares Management Corp (98) (3,390) – 0.00 % Avanza Bank Holding AB (6,315) (62,034) – 0.00 % BGC Partners Inc (14,859) (69,243) – 0.00 % BlackRock Inc (1,845) (854,253) – 0.00 % The accompanying notes form an integral part of these audited financial statements 32 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Capital Markets (continued) Blucora Inc (25,035) (435,609) – 0.00 % Brightsphere Investment Group 402 3,759 – 0.00 % Bure Equity AB (69) (1,289) – 0.00 % China Huarong (1,133,000) (154,111) – 0.00 % CI Financial Corp (5,159) (85,743) – 0.00 % CICC (34,000) (62,739) – 0.00 % Close Brothers Group PLC (1,842) (30,193) – 0.00 % Cowen Inc (2,238) (33,503) – 0.00 % Credit Suisse Group AG (14,839) (165,832) – 0.00 % Daiwa Securities Group Inc (95,500) (811,090) – 0.00 % Deutsche Bank AG (46,988) (407,240) – 0.00 % Deutsche Boerse AG (151) (23,595) – 0.00 % E*Trade Financial Corp (934) (42,759) – 0.00 % Eaton Vance Corp (5,472) (225,775) – 0.00 % EFG International AG (8,478) (48,556) – 0.00 % Federated Investors Inc (30,511) (880,242) – 0.00 % Fiera Capital Corp (6,381) (51,432) – 0.00 % Fintech Global Inc (15,079) (6,275) – 0.00 % Flow Traders 24,652 587,901 – 0.00 % Franklin Resources Inc (41,528) (903,649) – 0.00 % GAIN Capital Holdings Inc 5,956 35,140 – 0.00 % Guotai Junan International Holdings Ltd (271,000) (44,860) – 0.00 % Haitong International (310,000) (89,504) – 0.00 % Hargreaves Lansdown PLC (7,247) (142,261) – 0.00 % HKEX (1,800) (59,084) – 0.00 % Huatai Securities Co Ltd (99,800) (173,399) – 0.00 % IG Group Holdings PLC 8,561 73,675 – 0.00 % Interactive Brokers Group Inc 11,321 578,503 – 0.00 % Intermediate Capital Group PLC (2,743) (55,791) – 0.00 % Invesco Ltd (71,507) (1,029,701) – 0.00 % Investec PLC (76,536) (383,405) – 0.00 % IOOF Holdings Ltd (14,662) (53,987) – 0.00 % Jafco Co Ltd (6,160) (233,845) – 0.00 % Japan Exchange Group Inc (2,900) (48,675) – 0.00 % Julius Baer Group Ltd (3,779) (157,090) – 0.00 % KIWOOM Securities Co Ltd (734) (40,265) – 0.00 % KKR & Co Inc (6,473) (185,128) – 0.00 % Korea Investment Holdings Co Ltd (382) (19,909) – 0.00 % M&A Capital Partners Co Ltd (3,419) (99,122) – 0.00 % Man Group PLC/Jersey (47,346) (88,677) – 0.00 % MarketAxess Holdings Inc (26) (8,433) – 0.00 % Marusan Securities Co Ltd (2,248) (9,002) – 0.00 % Mercuria Investment Co Ltd (1,700) (9,511) – 0.00 % Meritz Securities Co Ltd (1,198) (3,455) – 0.00 % Mirae Asset Daewoo Co Ltd (12,987) (68,333) – 0.00 % The accompanying notes form an integral part of these audited financial statements 33 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Capital Markets (continued) Mito Securities Co Ltd (12,920) (21,148) – 0.00 % Monex Group Inc (100,102) (192,548) – 0.00 % Moody’s Corp (1,612) (386,928) – 0.00 % MSCI Inc 662 195,581 – 0.00 % Natixis SA (86,568) (349,189) – 0.00 % NH Investment & Securities Co (6,531) (54,093) – 0.00 % Nomura Holdings Inc (103,900) (482,005) – 0.00 % Okasan Securities Group Inc (14,997) (94,585) – 0.00 % Perpetual Ltd (87) (2,167) – 0.00 % Piper Jaffray Cos (8,222) (576,198) – 0.00 % PJT Partners Inc (939) (42,208) – 0.00 % Rathbone Brothers PLC (1,683) (35,693) – 0.00 % Samsung Securities Co Ltd (1,987) (54,583) – 0.00 % SBI Holdings Inc/Japan (8,000) (160,910) – 0.00 % Schroders PLC (505) (18,414) – 0.00 % Sparx Group Co Ltd (1,658) (3,404) – 0.00 % Standard Life Aberdeen PLC (4,224) (14,916) – 0.00 % Stifel Financial Corp (5,363) (291,962) – 0.00 % Swiss Market Index (10) (1,004,549) – 0.00 % Tokai Tokyo Financial Holdings (61,542) (161,631) – 0.00 % Toyo Securities Co Ltd (15,411) (18,527) – 0.00 % Uranium Participation Corp (26,925) (76,289) – 0.00 % Value Partners Group Ltd (112,000) (62,231) – 0.00 % Virtu Financial Inc 20,077 377,648 – 0.00 % Virtus Investment Partners Inc (3,908) (431,443) – 0.00 % WisdomTree Investments Inc (74,645) (303,059) – 0.00 % Total Capital Markets – 0.00 % Chemicals ADEKA Corp (5,200) (68,429) – 0.00 % AdvanSix Inc (830) (12,060) – 0.00 % Air Liquide SA (853) (115,317) – 0.00 % Air Water Inc (5,500) (72,682) – 0.00 % Akzo Nobel NV (2,291) (181,825) – 0.00 % Albemarle Corp (4,184) (342,460) – 0.00 % American Vanguard Corp (2,657) (40,519) – 0.00 % Asahi Kasei Corp (10,267) (85,518) – 0.00 % Ashland Global Holdings Inc (831) (59,450) – 0.00 % Balchem Corp (5,889) (556,275) – 0.00 % BASF SE (7,306) (426,583) – 0.00 % Carlit Holdings Co Ltd (2,700) (11,910) – 0.00 % Chugoku Marine Paints Ltd (3,000) (25,607) – 0.00 % Clariant AG (23,267) (487,806) – 0.00 % Corbion NV 5,999 217,104 – 0.00 % Covestro AG (10,167) (385,726) – 0.00 % The accompanying notes form an integral part of these audited financial statements 34 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Chemical Croda International PLC (4,566) (265,659) – 0.00 % Dai Nippon Toryo Co Ltd (100) (833) – 0.00 % Daicel Corp (1,599) (13,767) – 0.00 % Dainichiseika (1,100) (23,854) – 0.00 % Denka Co Ltd (6,800) (171,549) – 0.00 % DIC Corp (4,000) (94,659) – 0.00 % DKS Co Ltd (1,500) (49,660) – 0.00 % Dongyue Group Ltd 31,000 16,111 – 0.00 % DuPont de Nemours Inc (2,179) (93,479) – 0.00 % Ecopro Co Ltd (309) (5,834) – 0.00 % Element Solutions Inc (13,452) (139,766) – 0.00 % Elementis PLC (48,230) (62,481) – 0.00 % EMS-Chemie Holding AG (563) (327,975) – 0.00 % Ercros SA (14,855) (37,256) – 0.00 % Essentra PLC (4,253) (19,485) – 0.00 % Evonik Industries AG (14,633) (360,718) – 0.00 % Ferro Corp (33,752) (392,198) – 0.00 % Flotek Industries Inc (3,452) (5,454) – 0.00 % FMC Corp (881) (82,021) – 0.00 % Formosa Chemicals & Fibre Corp (137,959) (375,604) – 0.00 % Formosa Plastics Corp (125,133) (377,156) – 0.00 % Fujimi Inc (1,200) (30,717) – 0.00 % Fujimori Kogyo Co Ltd (900) (23,887) – 0.00 % Fuso Chemical Co Ltd (2,300) (63,490) – 0.00 % Givaudan SA (57) (177,134) – 0.00 % HB Fuller Co (13,206) (518,071) – 0.00 % Hexpol AB (2,479) (18,360) – 0.00 % Hitachi Chemical Co Ltd (3,560) (149,959) – 0.00 % Hodogaya Chemical Co Ltd (1,000) (33,800) – 0.00 % IFF (7,453) (892,720) – 0.00 % Incitec Pivot Ltd (31,553) (55,939) – 0.00 % Ingevity Corp (6,028) (271,501) – 0.00 % Innospec Inc (1,728) (149,541) – 0.00 % Intrepid Potash Inc (12,404) (21,955) – 0.00 % Ishihara Sangyo Kaisha Ltd (5,800) (38,404) – 0.00 % Johnson Matthey PLC (13,849) (444,283) – 0.00 % JSP Corp (2,200) (33,101) – 0.00 % JSR Corp (11,196) (196,721) – 0.00 % K+S AG (41,899) (340,597) – 0.00 % Kaneka Corp (8,600) (231,353) – 0.00 % Kansai Paint Co Ltd (4,700) (102,445) – 0.00 % Kolon Industries Inc (2,296) (63,739) – 0.00 % Koninklijke DSM NV (2,820) (315,629) – 0.00 % Konishi Co Ltd (1,400) (17,375) – 0.00 % Koppers Holdings Inc (3,069) (67,088) – 0.00 % The accompanying notes form an integral part of these audited financial statements 35 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Chemicals (continued) Korea Petrochemical Ind Co Ltd (1,551) (110,184) – 0.00 % Kronos Worldwide Inc (4,305) (43,007) – 0.00 % Kumho Petrochemical Co Ltd (439) (21,605) – 0.00 % Kumiai Chemical (13,200) (88,500) – 0.00 % Kuraray Co Ltd (21,910) (227,742) – 0.00 % LANXESS AG (6,387) (332,386) – 0.00 % LG Chem Ltd (210) (64,136) – 0.00 % Lotte Chemical Corp (796) (123,865) – 0.00 % Lotte Fine Chemical Co Ltd (1,443) (39,759) – 0.00 % LSB Industries Inc (3,371) (6,573) – 0.00 % MEC Co Ltd (1,100) (12,695) – 0.00 % Methanex Corp (1,324) (38,146) – 0.00 % Minerals Technologies Inc (5,864) (263,118) – 0.00 % Mitsui Chemicals Inc (775) (16,764) – 0.00 % Mosaic Co (43,364) (738,489) – 0.00 % Nan Ya Plastics Corp (162,246) (365,956) – 0.00 % Nihon Nohyaku Co Ltd (3,700) (17,279) – 0.00 % Nihon Parkerizing Co Ltd (9,900) (91,003) – 0.00 % Nippon Paint Holdings Co Ltd (6,350) (289,210) – 0.00 % Nippon Shokubai Co Ltd (1,800) (91,219) – 0.00 % Nippon Soda Co Ltd (2,300) (59,513) – 0.00 % Nissan Chemical Corp (2,000) (84,431) – 0.00 % NOF Corp (1,000) (32,043) – 0.00 % Nufarm Ltd/Australia (30,323) (100,625) – 0.00 % Nutrien Ltd (1,503) (60,797) – 0.00 % OCI Co Ltd (2,767) (113,097) – 0.00 % OCI NV (3,750) (62,514) – 0.00 % PolyOne Corp (15,121) (374,396) – 0.00 % PQ Group Holdings Inc (687) (9,116) – 0.00 % Quaker Chemical Corp (4,915) (774,457) – 0.00 % Rayonier Advanced Materials Inc (2,130) (5,219) – 0.00 % Riken Technos Corp (800) (3,137) – 0.00 % Sakai Chemical Industry Co Ltd (1,200) (21,229) – 0.00 % Sakata INX Corp (4,700) (41,030) – 0.00 % Sasol Ltd (6,915) (82,186) – 0.00 % Scotts Miracle-Gro Co (2,716) (287,869) – 0.00 % Shanghai PECHEM (232,000) (59,243) – 0.00 % Sherwin-Williams Co (736) (380,328) – 0.00 % Shin-Etsu Polymer Co Ltd (9,800) (76,580) – 0.00 % SKC Co Ltd (1,425) (60,787) – 0.00 % SKCKOLONPI Inc (126) (3,503) – 0.00 % Solvay SA (3,204) (289,283) – 0.00 % Stella Chemifa Corp (1,900) (46,914) – 0.00 % Sumitomo Bakelite Co Ltd (7,200) (215,730) – 0.00 % Sumitomo Chemical Co Ltd (18,600) (67,599) – 0.00 % The accompanying notes form an integral part of these audited financial statements 36 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Chemicals (continued) Sumitomo Seika (1,100) (28,564) – 0.00 % Symrise AG (3,839) (372,206) – 0.00 % Synthomer PLC (13,901) (50,012) – 0.00 % T Hasegawa Co Ltd (800) (14,841) – 0.00 % Taiyo Holdings Co Ltd (600) (23,804) – 0.00 % Taiyo Nippon Sanso Corp (13,700) (244,645) – 0.00 % Tayca Corp (1,600) (21,736) – 0.00 % Teijin Ltd (4,650) (76,328) – 0.00 % Titan Kogyo Ltd (300) (5,058) – 0.00 % Toagosei Co Ltd (1,100) (10,966) – 0.00 % Tokyo Ohka Kogyo Co Ltd (7,600) (273,048) – 0.00 % Toray Industries Inc (50,906) (294,086) – 0.00 % Tosoh Corp (10,600) (145,176) – 0.00 % Toyo Ink SC Holdings Co Ltd (2,200) (42,745) – 0.00 % Toyobo Co Ltd (15,200) (190,747) – 0.00 % Tredegar Corp (1,705) (29,087) – 0.00 % Tronox Holdings PLC (38,003) (278,942) – 0.00 % Ube Industries Ltd (6,800) (123,756) – 0.00 % Ultrafabrics Holdings Co Ltd (900) (8,439) – 0.00 % Umicore SA (11,304) (469,647) – 0.00 % Venator Materials PLC (3,867) (10,325) – 0.00 % Wacker Chemie AG (4,880) (340,761) – 0.00 % Zeon Corp (27,700) (264,615) – 0.00 % Total Chemicals – 0.00 % Commercial Services & Supplies ABM Industries Inc (20,166) (663,865) – 0.00 % Aeon Delight Co Ltd (600) (18,255) – 0.00 % Bilfinger SE (3,470) (103,135) – 0.00 % Bingo Industries Ltd (25,868) (48,044) – 0.00 % BrightView Holdings Inc (3,120) (43,680) – 0.00 % Brink’s Co (516) – – 0.00 % Casella Waste Systems Inc (3,449) (167,104) – 0.00 % CECO Environmental Corp (1,670) (11,273) – 0.00 % Central Security Patrols Co Ltd (1,600) (65,178) – 0.00 % Cewe Stiftung & Co KGAA (57) (6,025) – 0.00 % CG SERVICES 15,000 58,514 – 0.00 % China EB Int’l (86,000) (57,275) – 0.00 % Civeo Corp (4,202) (4,916) – 0.00 % Clean Harbors Inc (1,306) (90,793) – 0.00 % Cleanaway Waste Management Ltd 44,128 65,051 – 0.00 % Covanta Holding Corp (18,732) (250,260) – 0.00 % Daiseki Co Ltd (3,300) (78,857) – 0.00 % Deluxe Corp (5,764) (191,941) – 0.00 % Duskin Co Ltd (2,100) (54,182) – 0.00 % Edenred (870) (45,142) – 0.00 % The accompanying notes form an integral part of these audited financial statements 37 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Commercial Services & Supplies (continued) Elis SA (7,219) (125,069) – 0.00 % Fiera Milano SpA (9,542) (46,446) – 0.00 % G4S PLC (62,879) (137,492) – 0.00 % Greentown Service Group Co Ltd 12,000 14,998 – 0.00 % Healthcare Services Group Inc 12,658 348,601 – 0.00 % Interface Inc (109) (1,590) – 0.00 % ISS A/S (2,484) (44,244) – 0.00 % Itoki Corp (2,800) (9,270) – 0.00 % Japan Elevator Service Holding Co Ltd (800) (15,344) – 0.00 % KAR Auction Services Inc (4,808) (92,554) – 0.00 % Mitie Group PLC 4,360 7,787 – 0.00 % Mitsubishi Pencil Co Ltd (2,200) (30,273) – 0.00 % MSA Safety Inc (2,716) (330,456) – 0.00 % Okamura Corp (8,120) (67,883) – 0.00 % Pilot Corp (583) (18,951) – 0.00 % Pitney Bowes Inc (30,466) (104,194) – 0.00 % Prestige International Inc (10,948) (84,437) – 0.00 % Prosegur Cash SA (22,292) (32,417) – 0.00 % Prosegur Cia de Seguridad SA (13,662) (50,555) – 0.00 % Rentokil Initial PLC 6,168 38,140 – 0.00 % Rollins Inc (1,210) (45,302) – 0.00 % RR Donnelley & Sons Co (26,397) (50,154) – 0.00 % Securitas AB (3,532) (47,574) – 0.00 % Serco Group PLC (26,930) (52,503) – 0.00 % Sohgo Security Services Co Ltd (600) (28,021) – 0.00 % SPIE SA (6,657) (125,950) – 0.00 % Takeei Corp (3,600) (29,064) – 0.00 % Team Inc (2,969) (37,795) – 0.00 % Tetra Tech Inc (7,277) (588,491) – 0.00 % Toppan Forms Co Ltd (7,925) (75,413) – 0.00 % Viad Corp (10,062) (505,112) – 0.00 % Total Commercial Services & Supplies – 0.00 % Communication Services Aiming Inc (6,100) (21,493) – 0.00 % Airtel Africa PLC (579) (480) – 0.00 % Atrae Inc (1,700) (36,504) – 0.00 % Broadmedia Corp (17,700) (13,913) – 0.00 % China Literature Ltd (24,800) (112,178) – 0.00 % CITIC TELECOM 209,000 75,630 – 0.00 % Digital Bros SpA (729) (8,644) – 0.00 % Drecom Co Ltd (6,300) (33,966) – 0.00 % Freebit Co Ltd (1,600) (9,988) – 0.00 % Fringe81 Co Ltd (200) (1,104) – 0.00 % G5 Entertainment AB (1,171) (10,160) – 0.00 % The accompanying notes form an integral part of these audited financial statements 38 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Communication Services (continued) Gumi Inc (18,900) (103,995) – 0.00 % International Games System Co 10,066 203,374 – 0.00 % LG Uplus Corp (1,540) (16,871) – 0.00 % Media Kobo Inc (600) (1,787) – 0.00 % Mobcast Holdings Inc (7,000) (15,212) – 0.00 % Mondo TV SpA (678) (1,319) – 0.00 % NetDragon Websoft Holdings Ltd (10,000) (27,589) – 0.00 % NHN Corp (135) (7,809) – 0.00 % SK Telecom Co Ltd (1) (176) – 0.00 % Technicolor SA (25,571) (6,683) – 0.00 % Trenders Inc (200) (1,258) – 0.00 % Wemade Co Ltd (86) (2,155) – 0.00 % WirelessGate Inc (6,000) (24,858) – 0.00 % Total Communication Services – 0.00 % Communications Equipment Applied Optoelectronics Inc (9,235) (82,469) – 0.00 % CalAmp Corp (2,681) (25,791) – 0.00 % Casa Systems Inc (10,292) (33,758) – 0.00 % Cisco Systems Inc (23,668) (945,063) – 0.00 % CommScope Holding Co Inc (21,724) (239,181) – 0.00 % Denki Kogyo Co Ltd (500) (12,517) – 0.00 % Ericsson (18,407) (145,794) – 0.00 % Extreme Networks Inc (88,322) (444,260) – 0.00 % F5 Networks Inc (2,480) (297,476) – 0.00 % Harmonic Inc (1,136) (6,975) – 0.00 % Infinera Corp (33,683) (229,044) – 0.00 % InterDigital Inc (5,455) (288,515) – 0.00 % KVH Industries Inc 1,782 18,568 – 0.00 % Lumentum Holdings Inc 5,025 391,046 – 0.00 % Motorola Solutions Inc (1,843) (305,348) – 0.00 % NetScout Systems Inc (12,816) (329,371) – 0.00 % Nokia Oyj (73,095) (276,994) – 0.00 % Plantronics Inc (13,135) (180,344) – 0.00 % Ribbon Communications Inc 13,473 43,518 – 0.00 % Sierra Wireless Inc (6,106) (95,063) – 0.00 % Taihan Fiberoptics Co Ltd 8,374 19,424 – 0.00 % Viavi Solutions Inc (34,768) (458,590) – 0.00 % Total Communications Equipment – 0.00 % Construction & Engineering ACS Actividades de Construccion y Servicios SA (1,035) (30,569) – 0.00 % AECOM (7,653) (355,386) – 0.00 % Aecon Group Inc (8,953) (104,874) – 0.00 % Aegion Corp (1,771) (34,975) – 0.00 % The accompanying notes form an integral part of these audited financial statements 39 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Construction & Engineering (continued) Ameresco Inc (152) (3,426) – 0.00 % Arcadis NV (1,983) (45,153) – 0.00 % Arcosa Inc (1,420) (61,003) – 0.00 % Balfour Beatty PLC (40,268) (126,661) – 0.00 % Bauer AG (784) (12,091) – 0.00 % Boskalis Westminster NV (2,985) (64,997) – 0.00 % Bouygues SA (4,481) (174,884) – 0.00 % China Communications Services Co Ltd 8,000 6,190 – 0.00 % Chiyoda Corp (50,585) (142,210) – 0.00 % Cie d’Entreprises CFE (506) (44,138) – 0.00 % CIMIC Group Ltd (2,600) (40,252) – 0.00 % Comfort Systems USA Inc (6,754) (285,154) – 0.00 % COMSYS Holdings Corp (5,000) (123,179) – 0.00 % Daelim Industrial Co Ltd (1,428) (85,921) – 0.00 % Daewoo Engineering & Construction (38,499) (129,401) – 0.00 % Dycom Industries Inc (8,905) (263,232) – 0.00 % Eiffage SA (1,413) (149,866) – 0.00 % Ferrovial SA (5,973) (170,039) – 0.00 % Fluor Corp (9,080) (84,626) – 0.00 % Granite Construction Inc (11,468) (466,060) – 0.00 % GS Engineering & Construction (2,912) (63,439) – 0.00 % Hazama Ando Corp (5,800) (42,427) – 0.00 % HDC Holdings Co Ltd (21,837) (165,100) – 0.00 % HDC Hyundai Development Co-Engineering & Construction (3,234) (48,445) – 0.00 % Hochtief AG (2,157) (211,052) – 0.00 % Hyundai Engineering & Construction Co Ltd (3,561) (102,550) – 0.00 % Jacobs Engineering Group Inc (10,001) (923,492) – 0.00 % JGC Corp (17,900) (219,332) – 0.00 % Kajima Corp (3,010) (32,373) – 0.00 % Kinden Corp (3,900) (58,824) – 0.00 % Koninklijke BAM Groep NV (65,015) (175,645) – 0.00 % Kumagai Gumi Co Ltd (2,903) (76,995) – 0.00 % Maeda Corp (15,400) (137,572) – 0.00 % Monadelphous Group Ltd (1,347) (12,614) – 0.00 % Mota-Engil SGPS SA (30,833) (44,736) – 0.00 % MYR Group Inc (1,656) (42,245) – 0.00 % NCC AB (8,916) (155,091) – 0.00 % Nippo Corp (5,469) (123,759) – 0.00 % Nippon Densetsu Kogyo Co Ltd (3,230) (58,814) – 0.00 % Nippon Koei Co Ltd (1,400) (38,297) – 0.00 % Nishimatsu Construction Co Ltd (2,900) (121,862) – 0.00 % NRC Group ASA 219 - – 0.00 % NV5 Global Inc (702) (37,578) – 0.00 % Obayashi Corp (3,600) (36,255) – 0.00 % Orion Group Holdings Inc (2,996) (11,774) – 0.00 % The accompanying notes form an integral part of these audited financial statements 40 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Construction & Engineering (continued) Peab AB (13,490) (133,979) – 0.00 % Penta-Ocean Construction Co Ltd (8,000) (42,539) – 0.00 % Quanta Services Inc (7,098) (270,647) – 0.00 % Raito Kogyo Co Ltd (3,381) (40,990) – 0.00 % Sacyr SA (1,133) (2,976) – 0.00 % Samsung Engineering Co Ltd (5,722) (66,958) – 0.00 % Sanki Engineering Co Ltd (3,000) (35,317) – 0.00 % Shimizu Corp (9,300) (84,456) – 0.00 % SHO-BOND Holdings Co Ltd (2,900) (105,664) – 0.00 % Skanska AB (2,437) (52,586) – 0.00 % Sumitomo Densetsu Co Ltd (450) (9,209) – 0.00 % Taihei Dengyo Kaisha Ltd (1,200) (25,413) – 0.00 % Taikisha Ltd (2,700) (77,528) – 0.00 % Taisei Corp (6,000) (205,022) – 0.00 % Takamatsu (600) (12,962) – 0.00 % Toa Corp/Tokyo (4,804) (70,149) – 0.00 % Toda Corp (25,040) (149,589) – 0.00 % Totetsu Kogyo Co Ltd (1,700) (43,610) – 0.00 % Toyo Engineering Corp (9,900) (42,572) – 0.00 % Vinci SA (1,619) (162,026) – 0.00 % WillScot Corp (2,323) (40,745) – 0.00 % WSP Global Inc (726) (47,891) – 0.00 % Yahagi Construction Co Ltd (1,623) (11,992) – 0.00 % Yokogawa Bridge Holdings Corp (5,840) (106,069) – 0.00 % Total Construction & Engineering – 0.00 % Construction Materials Adelaide Brighton Ltd (44,064) (85,845) – 0.00 % Anhui Conch Cement Co Ltd 26,000 190,672 – 0.00 % BBMG Corp 194,000 54,519 – 0.00 % Boral Ltd (13,771) (40,422) – 0.00 % Buzzi Unicem SpA (8,439) (183,477) – 0.00 % China Resources Cement Holding Ltd 214,000 269,390 – 0.00 % CNBM 104,000 120,242 – 0.00 % CRH PLC (6,855) (229,759) – 0.00 % Forterra Inc (9,601) (129,998) – 0.00 % HeidelbergCement AG (1,557) (92,212) – 0.00 % Imerys SA (965) (37,237) – 0.00 % Martin Marietta Materials Inc (786) (178,839) – 0.00 % Nippon Concrete Industries Co (6,600) (16,296) – 0.00 % Sumitomo Osaka Cement Co Ltd (1,000) (34,170) – 0.00 % Summit Materials Inc (15,644) (305,684) – 0.00 % US Concrete Inc (7,567) (203,098) – 0.00 % Total Construction Materials – 0.00 % The accompanying notes form an integral part of these audited financial statements 41 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Discretionary 361 Degrees International Ltd 39,000 7,006 – 0.00 % Airtrip Corp (5,700) (59,723) – 0.00 % AP Eagers Ltd (1,043) (6,015) – 0.00 % AppBank Inc (1,200) (2,064) – 0.00 % ARB Corp Ltd (1,470) (16,372) – 0.00 % ASKUL Corp (5,000) (140,565) – 0.00 % Beaglee Inc (2,500) (30,402) – 0.00 % Beauty Garage Inc (1,100) (16,510) – 0.00 % Boozt AB 7,751 41,953 – 0.00 % Byggmax Group AB (13,599) (36,887) – 0.00 % Chargeurs SA (1,131) (17,965) – 0.00 % China East Education Holdings 3,000 6,106 – 0.00 % China Meidong Auto Holdings Ltd 4,000 5,882 – 0.00 % China Yuhua Education Corp Ltd 22,000 17,023 – 0.00 % Cia Hering (200) (1,004) – 0.00 % Cleanup Corp (1,800) (8,689) – 0.00 % Corporate Travel Management Ltd (1,194) (10,809) – 0.00 % Cub Elecparts Inc (3,000) (20,072) – 0.00 % Cuckoo Holdings Co Ltd (3) (241) – 0.00 % Curves Holdings Co Ltd (1,400) - – 0.00 % Dignity PLC 1,963 14,383 – 0.00 % Fields Corp (3,100) (11,066) – 0.00 % Fujita Kanko Inc (400) (7,317) – 0.00 % Futaba Industrial Co Ltd (12,500) (66,237) – 0.00 % Gamesys Group PLC (1,962) (17,722) – 0.00 % Giant Manufacturing Co Ltd (273) (1,487) – 0.00 % Green Brick Partners Inc (909) (9,944) – 0.00 % Grendene SA (800) (1,728) – 0.00 % Grupo SBF SA 800 7,766 – 0.00 % Haidilao International Holding Ltd 2,000 8,174 – 0.00 % Hana Tour Service Inc (139) (4,880) – 0.00 % Hanssem Co Ltd (212) (11,260) – 0.00 % Harmony Auto (27,500) (13,586) – 0.00 % HelloFresh SE (8,974) (216,677) – 0.00 % Hope Education Group Co Ltd (116,000) (25,603) – 0.00 % Hotai Motor Co Ltd 122 2,534 – 0.00 % Hyundai Livart Furniture Co Ltd (311) (2,403) – 0.00 % Jinjiang Hotels 6,000 1,039 – 0.00 % JP-Holdings Inc (4,600) (11,613) – 0.00 % KASEN 41,000 7,681 – 0.00 % Kirkland’s Inc (5,482) (6,469) – 0.00 % Lock&Lock Co Ltd (209) (2,125) – 0.00 % Lotte Tour Development Co Ltd (1,254) (10,875) – 0.00 % Marisa Lojas SA (900) (2,750) – 0.00 % Meituan Dianping (12,300) (156,099) – 0.00 % The accompanying notes form an integral part of these audited financial statements 42 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Discretionary (continued) MRV Engenharia e Participacoes (200) (868) – 0.00 % N Brown Group PLC (1,601) (1,176) – 0.00 % Nien Made Enterprise Co Ltd (3,571) (28,859) – 0.00 % Pacific Textiles Holdings Ltd 86,000 53,743 – 0.00 % Paradise Co Ltd (1,003) (13,651) – 0.00 % Qliro Group AB (2,545) (1,711) – 0.00 % Sanoh Industrial Co Ltd (14,100) (109,921) – 0.00 % Sanyo Shokai Ltd (600) (7,452) – 0.00 % Sekisui Chemical Co Ltd (3,300) (49,103) – 0.00 % Shimano Inc (300) (41,948) – 0.00 % SKIYAKI Inc (2,400) (8,700) – 0.00 % SL Corp (67) (834) – 0.00 % Sogefi SpA (24,090) (28,433) – 0.00 % Wacoal Holdings Corp (3,300) (77,026) – 0.00 % Wisdom Education International Holdings Co Ltd (28,000) (10,671) – 0.00 % Yasunaga Corp (400) (3,333) – 0.00 % Total Consumer Discretionary – 0.00 % Consumer Finance Aiful Corp (15,400) (37,740) – 0.00 % Ally Financial Inc (1,402) (35,148) – 0.00 % B2Holding ASA (67,409) (44,077) – 0.00 % Curo Group Holdings Corp (3,189) (29,434) – 0.00 % Eclipx Group Ltd (68,025) (64,054) – 0.00 % FirstCash Inc (6,116) (470,443) – 0.00 % Hoist Finance AB (24,854) (117,222) – 0.00 % J Trust Co Ltd (3,929) (12,572) – 0.00 % LendingClub Corp (13,979) (153,909) – 0.00 % Navient Corp (4,944) (55,521) – 0.00 % Premium Group Co Ltd (2,720) (42,887) – 0.00 % Provident Financial PLC (22,684) (116,446) – 0.00 % SLM Corp (13,265) (137,558) – 0.00 % Zip Co Ltd (24,219) (42,780) – 0.00 % Total Consumer Finance – 0.00 % Consumer Staples B&G Foods Inc (5,895) (87,246) – 0.00 % BGF retail Co Ltd (76) (9,556) – 0.00 % British American Tobacco Malaysia 32,627 96,214 – 0.00 % C&C Group PLC (6,962) (29,174) – 0.00 % Celsius Holdings Inc (364) (2,151) – 0.00 % China Foods Ltd (6,000) (2,217) – 0.00 % CJ Freshway Corp (35) (616) – 0.00 % Cosmax Inc (667) (41,572) – 0.00 % FGV Holdings Berhad (10,644) (2,876) – 0.00 % The accompanying notes form an integral part of these audited financial statements 43 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Staples (continued) Grape King Bio Ltd 19,659 143,249 – 0.00 % Kobe Bussan Co Ltd (1,100) (40,029) – 0.00 % Life Corp (1,200) (26,090) – 0.00 % Megmilk Snow Brand Co Ltd (6,700) (134,762) – 0.00 % Migros Ticaret AS (13,129) (45,866) – 0.00 % Nissin Foods Co Ltd 33,000 27,694 – 0.00 % Orion Holdings Corp (59) (698) – 0.00 % Samyang Holdings Corp (46) (1,876) – 0.00 % Soiken Holdings Inc (9,586) (35,193) – 0.00 % Sok Marketler Ticaret AS (434) (592) – 0.00 % Suedzucker AG (5,746) (88,931) – 0.00 % Zhou Hei Ya International Holdings Co Ltd 14,000 7,420 – 0.00 % Total Consumer Staples – 0.00 % Containers & Packaging AptarGroup Inc (3,822) (772,579) – 0.00 % Avery Dennison Corp (1,493) (170,934) – 0.00 % Ball Corp (11,433) (805,569) – 0.00 % Berry Global Group Inc (2,954) (112,134) – 0.00 % BillerudKorsnas AB (565) (6,811) – 0.00 % Cascades Inc (2,588) (21,053) – 0.00 % CCL Industries Inc (418) (13,810) – 0.00 % Crown Holdings Inc (4,624) (325,992) – 0.00 % DS Smith PLC (24,898) (99,946) – 0.00 % Fuji Seal International Inc (6,100) (108,365) – 0.00 % Graphic Packaging Holding Co (4,261) (57,609) – 0.00 % Greif Inc (17,333) (612,548) – 0.00 % International Paper Co (6,856) (253,398) – 0.00 % Intertape Polymer Group Inc (3,412) (36,101) – 0.00 % Owens-Illinois Inc (56,273) (607,748) – 0.00 % Packaging Corp of America (224) (20,299) – 0.00 % Pact Group Holdings Ltd (7,200) (9,281) – 0.00 % Rengo Co Ltd (20,700) (139,933) – 0.00 % Sealed Air Corp (19,428) (588,863) – 0.00 % Silgan Holdings Inc (15,912) (455,561) – 0.00 % Smurfit Kappa Group PLC (114) (3,790) – 0.00 % Sonoco Products Co (14,517) (699,865) – 0.00 % Toyo Seikan Group Holdings Ltd (13,500) (215,980) – 0.00 % Westrock Co (16,992) (1,129,968) – 0.00 % Winpak Ltd (918) (30,097) – 0.00 % Total Containers & Packaging – 0.00 % The accompanying notes form an integral part of these audited financial statements 44 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Distributors Arata Corp (600) (22,916) – 0.00 % Bapcor Ltd (1,989) (7,543) – 0.00 % Core-Mark Holding Co Inc (6,881) (158,332) – 0.00 % Genuine Parts Co (4,261) (743,459) – 0.00 % Inchcape PLC (8,023) (59,144) – 0.00 % Jardine Cycle & Carriage Ltd (1,600) (30,808) – 0.00 % LKQ Corp (1,276) – – 0.00 % PALTAC Corporation (5,100) (215,536) – 0.00 % Total Distributors – 0.00 % Diversified Consumer Services Adtalem Global Education Inc (11,378) (351,239) – 0.00 % Benesse Holdings Inc (15,600) (401,343) – 0.00 % Chegg Inc (6,491) (254,512) – 0.00 % G8 Education Ltd (31,808) (33,566) – 0.00 % H&R Block Inc (2,228) (46,053) – 0.00 % Houghton Mifflin Harcourt Co (11,319) (61,915) – 0.00 % IDP Education Ltd 9,454 130,463 – 0.00 % Kroton Educacional SA (2,314) (5,199) – 0.00 % Regis Corp (2,975) (37,961) – 0.00 % Ser Educacional SA (300) (1,724) – 0.00 % ServiceMaster Global Holdings Inc (3,791) (135,604) – 0.00 % Total Diversified Consumer Services – 0.00 % Diversified Financial Services Aker ASA (1,612) (72,077) – 0.00 % AMP Ltd (511,306) (556,171) – 0.00 % AXA Equitable Holdings Inc (5,902) (126,303) – 0.00 % Challenger Ltd 658 3,884 – 0.00 % ECN Capital Corp (5,851) (23,951) – 0.00 % eGuarantee Inc (5,887) (65,983) – 0.00 % Element Fleet Management Corp (2,266) (21,221) – 0.00 % Exor NV (883) (62,241) – 0.00 % FGL Holdings 20,978 239,988 – 0.00 % Fuyo General Lease Co Ltd (1,369) (77,100) – 0.00 % Grenke AG (1,185) (109,103) – 0.00 % IBJ Leasing Co Ltd (2,600) (68,477) – 0.00 % Industrivarden AB (9,709) (216,923) – 0.00 % Investor AB (1,876) (92,491) – 0.00 % Japan Securities Finance Co Ltd (1,900) (8,205) – 0.00 % Jefferies Financial Group Inc (17,907) (352,947) – 0.00 % Kinnevik AB (2,869) (57,640) – 0.00 % L E Lundbergforetagen AB (5,068) (207,827) – 0.00 % Mitsubishi UFJ Lease & Finance Co Ltd (3,500) (19,970) – 0.00 % Onex Corp (1,234) (69,339) – 0.00 % Pargesa Holding SA (1,183) (86,282) – 0.00 % The accompanying notes form an integral part of these audited financial statements 45 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Diversified Financial Services (continued) Plus500 Ltd 16,222 196,807 – 0.00 % PSG Group Ltd (7,584) (90,476) – 0.00 % Remgro Ltd (15,996) (163,627) – 0.00 % RMB Holdings Ltd (13,567) (60,768) – 0.00 % Tokyo Century Corp (700) (29,001) – 0.00 % Voya Financial Inc (2,269) (119,440) – 0.00 % Wendel SA (852) (103,748) – 0.00 % Zenkoku Hosho Co Ltd (1,300) (48,629) – 0.00 % Total Diversified Financial Services – 0.00 % Diversified Telecommunication Anterix Inc (855) (40,057) – 0.00 % AT&T Inc (5,820) (204,980) – 0.00 % ATN International Inc (91) (4,905) – 0.00 % Bandwidth Inc (2,281) (143,452) – 0.00 % BT Group PLC (107,222) (194,001) – 0.00 % Cellnex Telecom SA (1,159) (55,930) – 0.00 % China Telecom Corp Ltd (2,750,000) (1,033,947) – 0.00 % China Tower Corp Ltd 118,000 28,618 – 0.00 % China Unicom Hong Kong Ltd (1,472,000) (1,161,665) – 0.00 % Cogent Communications Holdings 15,911 1,161,662 – 0.00 % Consolidated Communications Holdings 21,014 130,707 – 0.00 % Deutsche Telekom AG (8,210) (133,261) – 0.00 % HKBN Ltd 138,500 248,104 – 0.00 % Iliad SA (1,589) (220,760) – 0.00 % Iridium Communications Inc 1,726 46,723 – 0.00 % Koninklijke KPN NV (46,046) (111,482) – 0.00 % Masmovil Ibercom SA (1,720) (33,905) – 0.00 % Ooma Inc (144) (1,848) – 0.00 % Orange SA (1,558) (20,891) – 0.00 % Proximus SADP (5,759) (141,648) – 0.00 % SpeedCast International Ltd (88,360) – – 0.00 % Swisscom AG (31) (16,460) – 0.00 % TalkTalk Telecom Group PLC (63,640) (89,356) – 0.00 % Telecom Italia SpA/Milano (33,650) – – 0.00 % Telefonica Deutschland Holding (128,527) (333,797) – 0.00 % Telefonica SA (54,027) (318,543) – 0.00 % Telenor ASA (2,127) (33,836) – 0.00 % Telia Co AB (42,918) (168,150) – 0.00 % United Internet AG (3,581) (106,395) – 0.00 % Vonage Holdings Corp (36,528) (654,582) – 0.00 % Total Diversified Telecommunication – 0.00 % The accompanying notes form an integral part of these audited financial statements 46 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electric Utilities Acciona SA 274 34,480 – 0.00 % Chubu Electric Power Co Inc (16,900) (219,973) – 0.00 % Chugoku Electric Power Co Inc (16,660) (221,240) – 0.00 % CLP Holdings Ltd 37,000 388,377 – 0.00 % Fortum Oyj (1,780) (37,750) – 0.00 % Hokkaido Electric Power Co Inc (23,245) (202,065) – 0.00 % Hokuriku Electric Power Co (59,377) (801,687) – 0.00 % Hydro One Ltd 2,581 51,845 – 0.00 % Iberdrola SA 171,359 1,945,267 – 0.00 % Kansai Electric Power Co Inc (1,400) (15,077) – 0.00 % Kyushu Electric Power Co Inc (11,400) (82,441) – 0.00 % MGE Energy Inc (915) (65,276) – 0.00 % Orsted A/S (1,082) (110,758) – 0.00 % PGE Polska Grupa Energetyczna (58,868) (66,850) – 0.00 % Shikoku Electric Power Co Inc (29,100) (442,414) – 0.00 % Tauron Polska Energia SA (84,715) (23,674) – 0.00 % TEPCO (52,100) (197,540) – 0.00 % Tohoku Electric Power Co Inc (9,285) (81,400) – 0.00 % Verbund AG (3,131) (147,683) – 0.00 % Total Electric Utilities – 0.00 % Electrical Equipment ABB Ltd (7,152) (153,864) – 0.00 % AMETEK Inc (9,689) (833,254) – 0.00 % Atkore International Group Inc (1,297) (47,872) – 0.00 % Bloom Energy Corp (15,004) (136,086) – 0.00 % Cosel Co Ltd (2,000) (18,551) – 0.00 % Daihen Corp (2,200) (57,637) – 0.00 % Doosan Heavy Industries & Construction Co Ltd (14,897) (61,940) – 0.00 % Eaton Corp PLC (2,424) (219,905) – 0.00 % Emerson Electric Co (5,900) (378,249) – 0.00 % EnerSys (9,944) (612,352) – 0.00 % Fuji Electric Co Ltd (1,400) (38,361) – 0.00 % Fujikura Ltd (10,200) (32,637) – 0.00 % Generac Holdings Inc (1,734) (178,585) – 0.00 % Hubbell Inc (2,437) (324,706) – 0.00 % Idec Corp/Japan (2,671) (40,731) – 0.00 % LS Corp (2,188) (65,462) – 0.00 % Melrose Industries PLC (94,564) (252,987) – 0.00 % Mitsubishi Electric Corp (39,900) (533,769) – 0.00 % NEL ASA (376,647) (384,561) – 0.00 % Nexans SA (1,579) (71,560) – 0.00 % Nidec Corp (1,000) (118,186) – 0.00 % Nissin Electric Co Ltd (700) (6,681) – 0.00 % Nitto Kogyo Corp (1,800) (31,527) – 0.00 % The accompanying notes form an integral part of these audited financial statements 47 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electrical Equipment (continued) Nordex SE (5,378) (62,885) – 0.00 % PowerCell Sweden AB 837 17,015 – 0.00 % Prysmian SpA (2,783) (65,451) – 0.00 % Regal Beloit Corp (1,828) (141,926) – 0.00 % Sanyo Denki Co Ltd (1,600) (65,030) – 0.00 % Sensata Technologies Holding (5,751) (234,641) – 0.00 % Siemens Gamesa Renewable Energy (10,850) (173,356) – 0.00 % Sunrun Inc (24,346) (470,852) – 0.00 % Tatsuta Electric Wire and Cable (1,800) (8,606) – 0.00 % TPI Composites Inc (5,613) (133,253) – 0.00 % Ushio Inc (6,400) (79,900) – 0.00 % Vicor Corp (5,775) (249,711) – 0.00 % Vivint Solar Inc (14,950) (168,038) – 0.00 % WEG SA 200 1,922 – 0.00 % Total Electrical Equipment – 0.00 % Electronic Equipment, Instruments & Components AAC Technologies Holdings Inc (15,500) (101,537) – 0.00 % ALSO Holding AG 600 102,967 – 0.00 % Arisawa Manufacturing Co Ltd (4,600) (34,414) – 0.00 % Arlo Technologies Inc (19,195) (62,960) – 0.00 % Arrow Electronics Inc (2,074) (139,082) – 0.00 % AT&S Austria Technologie & Systemtechnik (4,094) (70,974) – 0.00 % AU Optronics Corp (363,484) (114,371) – 0.00 % AVX Corp 12,297 267,337 – 0.00 % Belden Inc (5,474) (218,577) – 0.00 % Canon Marketing Japan Inc (2,200) (50,740) – 0.00 % Celestica Inc (7,633) (48,149) – 0.00 % Chilisin Electronics Corp (8,000) (28,352) – 0.00 % CMK Corp (9,700) (41,981) – 0.00 % Cognex Corp (3,099) (138,029) – 0.00 % Coherent Inc (3,290) (423,456) – 0.00 % Compeq Manufacturing Co Ltd (25,000) (32,293) – 0.00 % Corning Inc (547) (13,051) – 0.00 % Daea TI Co Ltd 18 60 – 0.00 % Dai-ichi Seiko Co Ltd (7,900) (140,854) – 0.00 % Datalogic SpA (5,648) (84,805) – 0.00 % Delta Electronics Inc (12,000) (55,644) – 0.00 % E Ink Holdings Inc 54,498 55,776 – 0.00 % FIH Mobile Ltd (406,000) (61,476) – 0.00 % Fitbit Inc (16,837) (107,588) – 0.00 % Flex Ltd (34,087) (378,707) – 0.00 % FLIR Systems Inc (5,242) (222,628) – 0.00 % Foxconn Technology Co Ltd (44,785) (88,259) – 0.00 % The accompanying notes form an integral part of these audited financial statements 48 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electronic Equipment, Instruments & Components (continued) G-treeBNT Co Ltd (711) (13,867) – 0.00 % Halma PLC (741) (18,262) – 0.00 % Hexagon AB (514) (27,216) – 0.00 % Hitachi High-Technologies Corp 1,438 105,987 – 0.00 % Hon Hai Precision Industry Co Ltd (26,000) (69,151) – 0.00 % II-VI Inc (15,568) (924,428) – 0.00 % Iljin Materials Co Ltd (721) (27,734) – 0.00 % Innolux Corp (652,688) (170,782) – 0.00 % Insight Enterprises Inc (9,948) (548,035) – 0.00 % Iriso Electronics Co Ltd (1,800) (61,090) – 0.00 % ITEQ Corp 10,667 50,699 – 0.00 % ITEQ Corporation 1,003 – – 0.00 % Itron Inc (7,406) (561,671) – 0.00 % Kaga Electronics Co Ltd (300) (5,490) – 0.00 % Knowles Corp (3,656) (60,763) – 0.00 % Koa Corp (6,500) (63,116) – 0.00 % LG Display Co Ltd (5,998) (67,699) – 0.00 % LG Innotek Co Ltd (686) (74,012) – 0.00 % Littelfuse Inc (1,802) (287,743) – 0.00 % Macnica Fuji Electronics Holdings (4,900) (68,378) – 0.00 % Methode Electronics Inc (11,794) (361,604) – 0.00 % Newmax Technology Co Ltd 15,934 38,473 – 0.00 % Nichicon Corp (14,000) (102,927) – 0.00 % Nichidenbo Corp 2,000 3,471 – 0.00 % Nippon Ceramic Co Ltd (1,600) (32,315) – 0.00 % Nippon Chemi-Con Corp (7,000) (100,014) – 0.00 % Nippon Signal Company Ltd (5,260) (55,842) – 0.00 % Nissha Co Ltd (2,795) (21,789) – 0.00 % nLight Inc (6,820) (112,598) – 0.00 % Oki Electric Industry Co Ltd (1,500) (16,507) – 0.00 % PAR Technology Corp (4,513) (119,549) – 0.00 % Renishaw PLC (1,744) (77,851) – 0.00 % Restar Holdings Corp (200) (2,935) – 0.00 % Riken Keiki Co Ltd (300) (5,513) – 0.00 % Rogers Corp 575 66,700 – 0.00 % Ryosan Co Ltd (1,100) (22,705) – 0.00 % Ryoyo Electro Corp (400) (6,533) – 0.00 % Samsung Electro-Mechanics Co Ltd (1) (105) – 0.00 % Samwha Capacitor Co Ltd 1,301 63,056 – 0.00 % Samwha Electric Co Ltd (155) (1,936) – 0.00 % Sang-A Frontec Co Ltd (19) (223) – 0.00 % Santec Corp (100) (1,294) – 0.00 % ScanSource Inc (1,911) (54,330) – 0.00 % Shimadzu Corp (2,323) (56,456) – 0.00 % The accompanying notes form an integral part of these audited financial statements 49 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electronic Equipment, Instruments & Components (continued) Siix Corp (2,600) (29,069) – 0.00 % Smart Metering Systems PLC (806) (4,961) – 0.00 % Spectris PLC 2,224 77,172 – 0.00 % Sunny Optical (1,500) (23,329) – 0.00 % SYNNEX Corp (5,301) (662,784) – 0.00 % TA-I Technology Co Ltd 1,000 2,398 – 0.00 % Taiwan Union Technology Corp 15,699 69,156 – 0.00 % Tamura Corp (3,200) (14,500) – 0.00 % Tech Data Corp (652) (92,838) – 0.00 % TPK Holding Co Ltd (68,678) (102,021) – 0.00 % Trimble Inc (13,917) (549,443) – 0.00 % TTM Technologies Inc (21,139) (274,596) – 0.00 % Yokowo Co Ltd (1,100) (24,699) – 0.00 % Zebra Technologies Corp (747) (157,595) – 0.00 % Total Electronic Equipment, Instruments & Components – 0.00 % Energy Avance Gas Holding Ltd (13,940) (57,079) – 0.00 % Bumi Armada Berhad (205,934) (15,377) – 0.00 % Frontline Ltd/Bermuda (15,707) (119,987) – 0.00 % Fuji Kosan Co Ltd (1,900) (10,068) – 0.00 % NexGen Energy Ltd (6,712) (5,956) – 0.00 % Paramount Resources Ltd (1,714) (5,470) – 0.00 % Petronas Dagangan Berhad 21,911 118,632 – 0.00 % Public Joint Stock Company Gazprom (11,735) (70,762) – 0.00 % Rex International Holding Ltd 44,600 6,205 – 0.00 % San-Ai Oil Co Ltd (3,000) (26,189) – 0.00 % Sapura Energy Berhad (267,596) (11,735) – 0.00 % Tecnicas Reunidas SA (592) (13,271) – 0.00 % Vallourec SA (20,199) (38,294) – 0.00 % Total Energy – 0.00 % Energy Equipment & Services Aker Solutions ASA (17,615) (24,238) – 0.00 % Archrock Inc (49,564) (349,426) – 0.00 % Borr Drilling Ltd (10,633) (21,690) – 0.00 % CES Energy Solutions Corp 8,241 12,474 – 0.00 % CGG SA (35,299) (94,471) – 0.00 % Covia Holdings Corp (16,441) (25,319) – 0.00 % Dril-Quip Inc (210) (7,480) – 0.00 % Forum Energy Technologies Inc (44,203) (34,478) – 0.00 % Fugro NV (3,880) (30,695) – 0.00 % Geospace Technologies Corp (1,069) (13,181) – 0.00 % The accompanying notes form an integral part of these audited financial statements 50 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Energy Equipment & Services (continued) Hunting PLC 961 3,904 – 0.00 % Independence Contract Drilling (1,854) (733) – 0.00 % ION Geophysical Corp (2,641) (9,296) – 0.00 % John Wood Group PLC (30,943) (144,769) – 0.00 % KLX Energy Services Holdings Inc (2,907) (7,035) – 0.00 % Nabors Industries Ltd (51,094) (89,925) – 0.00 % National Oilwell Varco Inc (6,828) (127,752) – 0.00 % NEL ASA 28,685 – – 0.00 % Nine Energy Service Inc (1,779) (7,223) – 0.00 % Noble Corp plc (144,243) (101,143) – 0.00 % Northern Drilling Ltd (1,433) (954) – 0.00 % Oceaneering International Inc (30,376) (320,163) – 0.00 % Oil States International Inc (24,650) (194,982) – 0.00 % Pason Systems Inc (927) (8,509) – 0.00 % Petrofac Ltd (9,670) (39,324) – 0.00 % PGS ASA (36,321) (50,304) – 0.00 % Precision Drilling Corp 6,794 8,409 – 0.00 % RigNet Inc (1,294) (4,555) – 0.00 % Saipem SpA (48,022) (180,395) – 0.00 % Schlumberger Ltd (2,463) (66,723) – 0.00 % Schoeller-Bleckmann Oilfield Equipment AG (209) (8,518) – 0.00 % Secure Energy Services Inc (1,001) (2,993) – 0.00 % ShawCor Ltd (4,445) (27,907) – 0.00 % Stobart Group Ltd (19,176) (18,864) – 0.00 % Tenaris SA (5,823) (52,318) – 0.00 % TETRA Technologies Inc (16,340) (20,588) – 0.00 % Toyo Kanetsu KK (2,100) (42,588) – 0.00 % Trican Well Service Ltd (10,425) (6,763) – 0.00 % US Silica Holdings Inc (28,630) (131,412) – 0.00 % WorleyParsons Ltd (11,204) (91,094) – 0.00 % Total Energy Equipment & Services – 0.00 % Entertainment Activision Blizzard Inc 91 5,290 – 0.00 % Alibaba Pictures Group Ltd (230,000) (30,990) – 0.00 % CJ CGV Co Ltd (4,265) (83,534) – 0.00 % COLOPL Inc (16,500) (126,495) – 0.00 % Gaia Inc (1,125) (9,484) – 0.00 % Glu Mobile Inc 4,547 32,375 – 0.00 % IHQ Inc (9,549) (12,482) – 0.00 % Imagica Group Inc (100) (372) – 0.00 % Koei Tecmo Holdings Co Ltd (500) (12,397) – 0.00 % Marcus Corp (6,762) (180,681) – 0.00 % Modern Times Group MTG AB (22,816) (200,749) – 0.00 % NCSoft Corp 216 116,341 – 0.00 % The accompanying notes form an integral part of these audited financial statements 51 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Entertainment (continued) Netflix Inc 1,609 593,769 – 0.00 % Paradox Interactive AB (294) (4,069) – 0.00 % Rosetta Stone Inc (11) (190) – 0.00 % Shochiku Co Ltd (700) (75,156) – 0.00 % Square Enix Holdings Co Ltd (3,100) (124,705) – 0.00 % THQ Nordic AB 8,450 80,929 – 0.00 % Toho Co Ltd/Tokyo (4,000) (122,994) – 0.00 % Walt Disney Co (12,486) (1,468,978) – 0.00 % YG Entertainment Inc (642) (16,144) – 0.00 % Total Entertainment – 0.00 % Equity Real Estate Investment Armada Hoffler Properties Inc (2,392) (40,090) – 0.00 % Artis Real Estate Investment Trust 14,063 126,458 – 0.00 % Ashford Hospitality Trust Inc (29,100) (62,856) – 0.00 % Braemar Hotels & Resorts Inc (1,642) (12,085) – 0.00 % British Land Co PLC (30,311) (194,014) – 0.00 % CBL & Associates Properties Inc (43,204) (22,933) – 0.00 % Cedar Realty Trust Inc (6,583) (17,050) – 0.00 % Clipper Realty Inc 1,954 22,022 – 0.00 % Community Healthcare Trust Inc (1,758) (83,734) – 0.00 % CorePoint Lodging Inc (920) (7,323) – 0.00 % Cousins Properties Inc (23,457) (837,180) – 0.00 % CT Real Estate Investment Trust (1,603) (18,467) – 0.00 % Derwent London PLC (123) (6,160) – 0.00 % DiamondRock Hospitality Co (35,381) (322,675) – 0.00 % Dream Office Real Estate Investment Trust 643 15,908 – 0.00 % Equinix Inc (117) (67,018) – 0.00 % Franklin Street Properties Corp (12,071) (86,066) – 0.00 % GEO Group Inc (240) (3,514) – 0.00 % Gladstone Land Corp 8,044 108,031 – 0.00 % Goodman Group 95,030 924,453 – 0.00 % Great Portland Estates PLC (4,309) (46,387) – 0.00 % Hammerson PLC (105,978) (282,439) – 0.00 % Hersha Hospitality Trust (20,042) (231,084) – 0.00 % Hospitality Properties Trust (22,282) (402,859) – 0.00 % Host Hotels & Resorts Inc (26,208) (379,492) – 0.00 % Hyprop Investments Ltd (35,582) (101,527) – 0.00 % Independence Realty Trust Inc (2,359) (31,280) – 0.00 % Innovative Industrial Properties Inc (941) (86,516) – 0.00 % Intu Properties PLC (37,469) (5,819) – 0.00 % Investors Real Estate Trust (876) (61,714) – 0.00 % Invitation Homes Inc (1,398) (40,109) – 0.00 % Iron Mountain Inc (10,765) (327,364) – 0.00 % iStar Inc 63,615 962,495 – 0.00 % The accompanying notes form an integral part of these audited financial statements 52 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Equity Real Estate Investment (continued) Keppel DC REIT 62,700 104,316 – 0.00 % Keppel REIT 88,500 78,063 – 0.00 % Killam Apartment Real Estate Investment Trust 2,263 36,211 – 0.00 % Lamar Advertising Co (3,347) (280,278) – 0.00 % Land Securities Group PLC (13,716) (146,252) – 0.00 % Mapletree Logistics Trust 161,000 213,597 – 0.00 % Medical Properties Trust Inc (31,483) (665,236) – 0.00 % Mercialys SA (6,389) (73,442) – 0.00 % Mid-America Apartment Community (3,207) (414,537) – 0.00 % Minto Apartment Real Estate Investment Trust 1,127 21,764 – 0.00 % New Senior Investment Group Inc (10,851) (65,866) – 0.00 % NewRiver REIT PLC (11,685) (23,229) – 0.00 % NexPoint Residential Trust Inc (3,370) (149,965) – 0.00 % Office Properties Income Trust (21,827) (635,821) – 0.00 % Omega Healthcare Investors Inc (6,575) (260,370) – 0.00 % Outfront Media Inc (351) (9,245) – 0.00 % Paramount Group Inc (157) (1,908) – 0.00 % Pebblebrook Hotel Trust (49,846) (1,007,388) – 0.00 % Pennsylvania Real Estate Investment Trust (12,596) (29,727) – 0.00 % Physicians Realty Trust (889) (16,767) – 0.00 % Prologis Inc (11,957) (1,007,736) – 0.00 % Redefine Properties Ltd (34,011) (11,807) – 0.00 % Regency Centers Corp (3,691) (212,011) – 0.00 % Rexford Industrial Realty Inc (5,808) (271,640) – 0.00 % RLJ Lodging Trust (13,928) (183,989) – 0.00 % Ryman Hospitality Properties Inc (2,719) (188,998) – 0.00 % Sabra Health Care REIT Inc (36,776) (718,971) – 0.00 % SBA Communications Corp 7,191 1,906,262 – 0.00 % Seritage Growth Properties (1,005) (34,552) – 0.00 % Shaftesbury PLC (2,812) (28,651) – 0.00 % Slate Office REIT (16,695) (65,229) – 0.00 % Summit Hotel Properties Inc (50,671) (469,720) – 0.00 % Sunstone Hotel Investors Inc (9,823) (107,562) – 0.00 % Taubman Centers Inc 5,863 305,228 – 0.00 % True North Commercial Real Estate (1,334) (7,102) – 0.00 % UMH Properties Inc (728) (10,563) – 0.00 % Unibail-Rodamco-Westfield 15 1,799 – 0.00 % UNITE Group PLC (3,593) (52,009) – 0.00 % Universal Health Realty Income (1,953) (210,377) – 0.00 % Welltower Inc (3,605) (269,726) – 0.00 % Wereldhave NV 2,566 40,787 – 0.00 % Weyerhaeuser Co (13,855) (372,683) – 0.00 % WPT Industrial Real Estate Investment Trust (188) (2,594) – 0.00 % Xenia Hotels & Resorts Inc (24,089) (360,371) – 0.00 % Total Equity Real Estate Investment – 0.00 % The accompanying notes form an integral part of these audited financial statements 53 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Financials AEON Financial Service Co Ltd (300) (4,350) – 0.00 % Aichi Bank Ltd (400) (11,911) – 0.00 % Aomori Bank Ltd (500) (10,320) – 0.00 % AURELIUS Equity Opportunities (1,935) (56,150) – 0.00 % Axactor SE (4,309) (5,927) – 0.00 % Bank of Iwate Ltd (900) (18,494) – 0.00 % Bank of Nagoya Ltd (300) (8,034) – 0.00 % Bank of Okinawa Ltd (700) (19,614) – 0.00 % Banner Corp (15,495) (707,192) – 0.00 % China Reinsurance Group Corp (27,000) (3,673) – 0.00 % Collection House Ltd 6,832 4,814 – 0.00 % Deutsche Beteiligungs AG (99) (3,545) – 0.00 % Entrust Inc (2,627) (14,552) – 0.00 % Flatex AG (1,201) (36,330) – 0.00 % Future Venture Capital Co Ltd (4,549) (29,321) – 0.00 % Hanwha Investment & Securities (98) (143) – 0.00 % HUB24 Ltd (3,546) (23,143) – 0.00 % Illimity Bank SpA 5,005 54,339 – 0.00 % Japan Investment Adviser Co Ltd (840) (11,637) – 0.00 % King’s Town Bank Co Ltd 87,289 106,249 – 0.00 % Kyokuto Securities Co Ltd (1,182) (7,116) – 0.00 % Liberbank SA (84,942) (26,143) – 0.00 % mBank SA (363) (27,481) – 0.00 % Meritz Financial Group Inc 5,332 45,136 – 0.00 % Money Partners Group Co Ltd (1,100) (1,963) – 0.00 % Money3 Corp Ltd 18,741 34,077 – 0.00 % Netwealth Group Ltd (186) (918) – 0.00 % NIBC Holding NV 13,322 141,999 – 0.00 % Pinnacle Investment Management (14,309) (48,599) – 0.00 % Sheng Ye Capital Ltd 52,000 46,575 – 0.00 % Strike Co Ltd (1,829) (68,079) – 0.00 % Svolder AB (1,198) (15,345) – 0.00 % Taichung Commercial Bank Co Ltd 276,204 112,981 – 0.00 % Trupanion Inc (4,709) (144,755) – 0.00 % Woori Financial Group Inc (7,780) (62,049) – 0.00 % Yuanta Securities Korea Co Ltd (41) (80) – 0.00 % Total Financials – 0.00 % The accompanying notes form an integral part of these audited financial statements 54 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food & Staples Retailing Aeon Co Ltd (41,300) (769,398) – 0.00 % Ain Holdings Inc (1,300) (75,017) – 0.00 % Alimentation Couche-Tard Inc (646) (19,633) – 0.00 % Andersons Inc (227) (4,170) – 0.00 % Atacadao SA (700) (3,225) – 0.00 % BIM Birlesik Magazalar AS 47,723 368,072 – 0.00 % BJ’s Wholesale Club Holdings Inc (6,729) (129,601) – 0.00 % Casey’s General Stores Inc 5,321 867,429 – 0.00 % Chefs’ Warehouse Inc (3,016) (92,350) – 0.00 % Clicks Group Ltd (7,047) (106,101) – 0.00 % cocokara fine Inc (300) (13,747) – 0.00 % Colruyt SA (4,667) (214,691) – 0.00 % E-MART Inc (2,749) (239,551) – 0.00 % Genky DrugStores Co Ltd (1,500) (24,816) – 0.00 % J Sainsbury PLC (264,832) (662,319) – 0.00 % Kato Sangyo Co Ltd (800) (22,268) – 0.00 % Koninklijke Ahold Delhaize NV (8,417) (196,099) – 0.00 % Lacto Japan Co Ltd (1,900) (61,234) – 0.00 % Massmart Holdings Ltd (7,280) (20,828) – 0.00 % Ministop Co Ltd (100) (1,325) – 0.00 % North West Co Inc (3,032) (58,079) – 0.00 % Performance Food Group Co (587) (24,889) – 0.00 % Rite Aid Corp (21,808) (297,025) – 0.00 % Shoei Foods Corp (1,400) (41,494) – 0.00 % Shoprite Holdings Ltd (36,473) (261,444) – 0.00 % Sonae SGPS SA (165,118) (128,594) – 0.00 % SPAR Group Ltd (15,650) (164,090) – 0.00 % Sprouts Farmers Market Inc 50,611 808,764 – 0.00 % Sun Art Retail Group Ltd 110,500 141,228 – 0.00 % Sundrug Co Ltd 7,400 230,961 – 0.00 % Tesco PLC (165,525) (483,220) – 0.00 % United Natural Foods Inc (31,680) (204,970) – 0.00 % Walgreens Boots Alliance Inc (3,520) (161,075) – 0.00 % Wal-Mart de Mexico SAB de CV 23,830 66,665 – 0.00 % Weis Markets Inc 2,571 95,770 – 0.00 % Wm Morrison Supermarkets PLC (221,544) (484,714) – 0.00 % Yaoko Co Ltd (900) (48,606) – 0.00 % Zur Rose Group AG (251) (29,062) – 0.00 % Total Food & Staples Retailing – 0.00 % The accompanying notes form an integral part of these audited financial statements 55 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food Products AAK AB (893) (15,261) – 0.00 % Ajinomoto Co Inc (2,900) (48,595) – 0.00 % Archer-Daniels-Midland Co (15,285) (575,480) – 0.00 % Ariake Japan Co Ltd (800) (50,899) – 0.00 % Aryzta AG (181,884) (155,127) – 0.00 % Ausnutria Dairy Corp Ltd (2,000) (3,229) – 0.00 % Bega Cheese Ltd (23,585) (62,030) – 0.00 % BRF SA (1,100) (6,624) – 0.00 % Bunge Ltd (244) (11,456) – 0.00 % Calbee Inc (1,600) (40,882) – 0.00 % Cal-Maine Foods Inc (160) (5,582) – 0.00 % Campbell Soup Co (6,037) (272,389) – 0.00 % Chubu Shiryo Co Ltd (2,000) (26,337) – 0.00 % CJ CheilJedang Corp (496) (100,440) – 0.00 % Conagra Brands Inc (13,753) (367,068) – 0.00 % Danone SA (28) (1,963) – 0.00 % Darling Ingredients Inc (5,284) (135,799) – 0.00 % Ezaki Glico Co Ltd (2,400) (98,654) – 0.00 % Farmer Brothers Co 2,000 24,700 – 0.00 % Fresh Del Monte Produce Inc (729) (19,989) – 0.00 % Freshpet Inc (5,598) (372,043) – 0.00 % Fuji Oil Holdings Inc (6,200) (143,626) – 0.00 % General Mills Inc (1,620) (79,380) – 0.00 % GrainCorp Ltd (5,198) (26,330) – 0.00 % Gruma SAB de CV (1,915) (18,349) – 0.00 % Grupo Bimbo SAB de CV (23,496) (35,354) – 0.00 % H&H International Holdings Ltd 39,500 170,054 – 0.00 % Hain Celestial Group Inc (5,231) (124,132) – 0.00 % House Foods Group Inc (6,400) (188,505) – 0.00 % Kagome Co Ltd (9,900) (213,134) – 0.00 % Kameda Seika Co Ltd (200) (8,092) – 0.00 % Kenko Mayonnaise Co Ltd (1,300) (23,659) – 0.00 % Kerry Group PLC (360) (45,540) – 0.00 % Kikkoman Corp (6,000) (277,986) – 0.00 % Kotobuki Spirits Co Ltd (1,000) (47,996) – 0.00 % Leroy Seafood Group ASA (6,237) (37,892) – 0.00 % Maple Leaf Foods Inc (4,667) (77,879) – 0.00 % Marudai Food Co Ltd (1,600) (26,145) – 0.00 % McCormick & Co Inc/MD (2,231) (326,150) – 0.00 % Morinaga & Co Ltd/Japan (1,000) (39,441) – 0.00 % Morinaga Milk Industry Co Ltd (3,600) (127,507) – 0.00 % NH Foods Ltd (5,000) (188,191) – 0.00 % Nisshin Seifun Group Inc (12,600) (212,767) – 0.00 % Nissin Foods Holdings Co Ltd (3,200) (251,537) – 0.00 % Orion Corp/Republic of Korea (396) (30,991) – 0.00 % The accompanying notes form an integral part of these audited financial statements 56 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food Products (continued) Pilgrim’s Pride Corp (17,824) (377,156) – 0.00 % Post Holdings Inc (9,094) (920,858) – 0.00 % Premium Brands Holdings Corp (367) (25,758) – 0.00 % Rokko Butter Co Ltd (900) (11,203) – 0.00 % S Foods Inc (500) (10,362) – 0.00 % Sakata Seed Corp (3,000) (83,368) – 0.00 % Schouw & Co A/S (783) (58,552) – 0.00 % Simply Good Foods Co (5,167) (113,984) – 0.00 % SLC Agricola SA (200) (898) – 0.00 % TINGYI 110,000 200,155 – 0.00 % Toyo Suisan Kaisha Ltd (2,900) (114,648) – 0.00 % TreeHouse Foods Inc (9,687) (369,172) – 0.00 % Tyson Foods Inc (4,099) (278,035) – 0.00 % Warabeya (200) (3,004) – 0.00 % Yakult Honsha Co Ltd (2,200) (100,402) – 0.00 % Yamazaki Baking Co Ltd (16,900) (286,785) – 0.00 % Total Food Products – 0.00 % Gas Utilities Chesapeake Utilities Corp (357) (30,524) – 0.00 % Hong Kong & China Gas Co Ltd 238,000 458,106 – 0.00 % New Jersey Resources Corp (21,775) (768,875) – 0.00 % Nippon Gas Co Ltd (300) (9,516) – 0.00 % Osaka Gas Co Ltd (23,400) (377,611) – 0.00 % Rubis SCA (2,638) (141,608) – 0.00 % Southwest Gas Holdings Inc (1,763) (114,031) – 0.00 % Spire Inc (1,521) (228,302) – 0.00 % Superior Plus Corp (3,236) (24,201) – 0.00 % Toho Gas Co Ltd (9,805) (334,133) – 0.00 % Tokyo Gas Co Ltd (9,600) (193,802) – 0.00 % UGI Corp (3,210) (115,688) – 0.00 % Total Gas Utilities – 0.00 % Health Care AK Medical Holdings Ltd 20,000 41,371 – 0.00 % Alphatec Holdings Inc (747) (4,370) – 0.00 % Ambea AB (8,476) (52,181) – 0.00 % Amicogen Inc (500) (9,067) – 0.00 % Aurinia Pharmaceuticals Inc 1,020 18,565 – 0.00 % Bavarian Nordic A/S (5,538) (180,567) – 0.00 % Carna Biosciences Inc (5,505) (69,592) – 0.00 % Cellseed Inc (2,839) (8,559) – 0.00 % Delta-Fly Pharma Inc (256) (2,391) – 0.00 % DIO Corp (19) (523) – 0.00 % DNA Chip Research Inc (696) (3,952) – 0.00 % The accompanying notes form an integral part of these audited financial statements 57 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care (continued) DWTI (7,267) (26,478) – 0.00 % Eutilex Co Ltd (346) (14,358) – 0.00 % Evolus Inc (7,758) (66,641) – 0.00 % Gene Techno Science Co Ltd (7,600) (49,760) – 0.00 % GNI Group Ltd (17,409) (207,198) – 0.00 % Green Cross Holdings Corp (32) (466) – 0.00 % Green Cross LabCell Corp (156) (3,716) – 0.00 % Hansoh Pharmaceutical Group Co (2,000) (6,942) – 0.00 % Human Metabolome Technologies (101) (599) – 0.00 % Immuno-Biological Laboratories (700) (3,884) – 0.00 % Ion Beam Applications (729) (7,109) – 0.00 % Japan Tissue Engineering Co Ltd (1,032) (6,566) – 0.00 % JW Pharmaceutical Corp (84) (1,694) – 0.00 % Lifetech Scientific Corp 54,000 10,602 – 0.00 % Medacta Group SA (1,072) (83,561) – 0.00 % Medipost Co Ltd (453) (10,414) – 0.00 % Menlo Therapeutics Inc (1,265) (3,732) – 0.00 % Microport Scientific Corp 49,000 68,662 – 0.00 % MRT Inc/JP (825) (7,553) – 0.00 % NanoCarrier Co Ltd (10,811) (20,495) – 0.00 % NKMax Co Ltd (95) (743) – 0.00 % Nordic Nanovector ASA (666) (1,173) – 0.00 % Ocular Therapeutix Inc (12,776) (60,111) – 0.00 % Oncocyte Corp (935) (2,010) – 0.00 % Ovid therapeutics Inc (5,730) (18,794) – 0.00 % Oxurion NV (1,357) (4,165) – 0.00 % Paradigm Biopharmaceuticals Ltd (3,422) (6,333) – 0.00 % Pharma Research Products Co Ltd 73 2,463 – 0.00 % PhotoCure ASA (47) (390) – 0.00 % Precigen Inc (24,666) (93,484) – 0.00 % Precision System Science Co Ltd (4,678) (17,304) – 0.00 % Provention Bio Inc (710) (8,506) – 0.00 % RaySearch Laboratories AB (424) (3,624) – 0.00 % Rhoen-Klinikum AG 2,668 52,826 – 0.00 % Ribomic Inc (3,239) (8,776) – 0.00 % ScinoPharm Taiwan Ltd 29,166 27,435 – 0.00 % Tego Science Inc (152) (2,170) – 0.00 % TherapeuticsMD Inc (75,527) (127,641) – 0.00 % Wuxi Biologics Cayman Inc 1,500 21,943 – 0.00 % Xvivo Perfusion AB (72) (1,108) – 0.00 % Total Health Care – 0.00 % The accompanying notes form an integral part of these audited financial statements 58 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Equipment & Supplies Abbott Laboratories (6,659) (512,943) – 0.00 % Accuray Inc (6,441) (19,098) – 0.00 % Antares Pharma Inc (20,767) (64,378) – 0.00 % Avanos Medical Inc 1,295 41,971 – 0.00 % Axogen Inc (8,869) (109,798) – 0.00 % Becton Dickinson and Co (1,555) (369,810) – 0.00 % BioMerieux (1,391) (127,534) – 0.00 % BioSig Technologies Inc (1,327) (4,804) – 0.00 % Boston Scientific Corp (12,817) (479,228) – 0.00 % Cantel Medical Corp (2,426) (306,161) – 0.00 % Cardiovascular Systems Inc (131) (4,928) – 0.00 % Cellavision AB (1,513) (45,322) – 0.00 % Coloplast A/S 4,067 541,676 – 0.00 % Conformis Inc (16,027) (12,488) – 0.00 % CONMED Corp (6,379) (603,709) – 0.00 % Cooper Cos Inc (69) (22,395) – 0.00 % CryoLife Inc (15,255) (390,986) – 0.00 % CryoPort Inc (3,438) (57,415) – 0.00 % CYBERDYNE Inc (19,004) (76,976) – 0.00 % DexCom Inc 616 170,016 – 0.00 % DiaSorin SpA (191) (21,535) – 0.00 % El.En. SpA (3,055) (84,953) – 0.00 % GenMark Diagnostics Inc (1,334) (4,656) – 0.00 % Glaukos Corp (1,313) (57,746) – 0.00 % GN Store Nord A/S 5,992 330,762 – 0.00 % Haemonetics Corp 2,249 243,634 – 0.00 % Hill-Rom Holdings Inc (3,478) (334,062) – 0.00 % Hologic Inc (1,903) (89,669) – 0.00 % ICU Medical Inc (13) (2,546) – 0.00 % Integra LifeSciences Holdings (9,263) (965,205) – 0.00 % iRhythm Technologies Inc (1,573) (136,804) – 0.00 % Jeol Ltd (400) (10,509) – 0.00 % Mani Inc (1,200) (25,435) – 0.00 % Masimo Corp (854) (139,484) – 0.00 % Menicon Co Ltd (600) (24,469) – 0.00 % Merit Medical Systems Inc (2,395) (86,244) – 0.00 % Mesa Laboratories Inc (1,131) (270,637) – 0.00 % Nanosonics Ltd (22,911) (99,685) – 0.00 % Novocure Ltd (3,378) (245,750) – 0.00 % Olympus Corp (6,300) (114,307) – 0.00 % Orthofix Medical Inc (3,413) (120,615) – 0.00 % OrthoPediatrics Corp (67) (3,110) – 0.00 % Quotient Ltd (7,230) (43,958) – 0.00 % ResMed Inc (1,726) (274,365) – 0.00 % Sientra Inc (13,447) (56,343) – 0.00 % The accompanying notes form an integral part of these audited financial statements 59 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Equipment & Supplies (continued) STAAR Surgical Co (1,233) (38,692) – 0.00 % STERIS PLC 4,179 662,873 – 0.00 % Stryker Corp (354) (67,469) – 0.00 % Surmodics Inc (1,455) (50,794) – 0.00 % TaiDoc Technology Corp 17,846 91,322 – 0.00 % Tandem Diabetes Care Inc (1,248) (93,176) – 0.00 % Varex Imaging Corp (1,845) (42,841) – 0.00 % ViewRay Inc (22,809) (65,462) – 0.00 % Wright Medical Group NV 11,585 350,446 – 0.00 % Zynex Inc 5,974 77,781 – 0.00 % Total Health Care Equipment & Supplies – 0.00 % Health Care Providers & Services Addus HomeCare Corp (5,871) (447,781) – 0.00 % Alfresa Holdings Corp (2,000) (35,067) – 0.00 % Amedisys Inc (1,713) (298,079) – 0.00 % American Renal Associates Holdings (3,349) (26,959) – 0.00 % AmerisourceBergen Corp (2,826) (238,288) – 0.00 % Attendo AB (3,308) (16,559) – 0.00 % BioTelemetry Inc (3,563) (152,211) – 0.00 % Brookdale Senior Living Inc (17,133) (112,564) – 0.00 % Capital Senior Living Corp (4,621) (11,830) – 0.00 % Cardinal Health Inc (15,948) (831,210) – 0.00 % Centene Corp (5,469) (289,966) – 0.00 % Cigna Corp (1,197) (218,979) – 0.00 % Cross Country Healthcare Inc (13) (123) – 0.00 % CVS Health Corp (5,850) (346,203) – 0.00 % Elan Corp (400) (4,997) – 0.00 % Fleury SA (200) (1,325) – 0.00 % Fresenius SE & Co KGaA (782) (36,485) – 0.00 % Guardant Health Inc 28 2,435 – 0.00 % Laboratory Corp of America Holdings (1,169) (205,382) – 0.00 % LHC Group Inc (1,775) (215,592) – 0.00 % Magellan Health Inc (1,788) (107,298) – 0.00 % McKesson Corp (3,002) (419,860) – 0.00 % Medical Facilities Corp (8,011) (18,875) – 0.00 % Mediclinic International PLC (34,881) (151,072) – 0.00 % Medipal Holdings Corp (6,400) (116,713) – 0.00 % Miraca Holdings Inc (1,009) (25,054) – 0.00 % NMC Health PLC (2,197) (26,340) – 0.00 % Patterson Cos Inc 5,463 129,965 – 0.00 % Quorum Health Corp (312) (328) – 0.00 % R1 RCM Inc (2,054) (25,223) – 0.00 % Sinopharm Group Co Ltd (14,800) (45,675) – 0.00 % Surgery Partners Inc (4,726) (77,601) – 0.00 % The accompanying notes form an integral part of these audited financial statements 60 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Providers & Services (continued) Suzuken Co Ltd/Aichi Japan (2,800) (92,569) – 0.00 % Tenet Healthcare Corp (17,986) (965,002) – 0.00 % Tivity Health Inc (5,276) (66,847) – 0.00 % Toho Holdings Co Ltd (4,294) (81,008) – 0.00 % UDG Healthcare PLC (5,261) (47,151) – 0.00 % Total Health Care Providers & Services – 0.00 % Health Care Technology AGFA-Gevaert NV (17,072) (74,891) – 0.00 % Allscripts Healthcare Solution (87,601) (660,512) – 0.00 % Ascom Holding AG (2,446) (21,216) – 0.00 % HMS Holdings Corp (8,320) (191,110) – 0.00 % HTG Molecular Diagnostics Inc 1,221 708 – 0.00 % Medical Data Vision Co Ltd (10,847) (73,427) – 0.00 % MedPeer Inc (200) (2,223) – 0.00 % Tabula Rasa HealthCare Inc (5,062) (284,333) – 0.00 % Total Health Care Technology – 0.00 % Hotels Restaurants & Leisure Accor SA (2,204) (79,205) – 0.00 % Aeon Fantasy Co Ltd (900) (15,381) – 0.00 % Alsea SAB de CV (16,371) (33,121) – 0.00 % Ananti Inc (2,981) (16,947) – 0.00 % Boyd Gaming Corp (11,621) (552,256) – 0.00 % Caesars Entertainment Corp (21,954) (279,035) – 0.00 % Carnival Corp (4,893) (163,720) – 0.00 % Carrols Restaurant Group Inc (435) (1,794) – 0.00 % CHINA TRAVEL HK (28,000) (4,419) – 0.00 % Choice Hotels International Inc (2,359) (215,330) – 0.00 % Churchill Downs Inc (5,079) (638,126) – 0.00 % Chuy’s Holdings Inc (1,049) (22,491) – 0.00 % Colowide Co Ltd (7,400) (121,469) – 0.00 % Create Restaurants Holdings Inc (2,800) (22,139) – 0.00 % DD Holdings Co Ltd (600) (6,736) – 0.00 % Domino’s Pizza Inc 3,451 1,171,476 – 0.00 % Doutor Nichires Holdings Co Ltd (5,700) (95,567) – 0.00 % Drive Shack Inc (2,823) (8,074) – 0.00 % El Pollo Loco Holdings Inc (3,466) (44,711) – 0.00 % Eldorado Resorts Inc (12,070) (605,673) – 0.00 % Everi Holdings Inc (247) (2,569) – 0.00 % Evolution Gaming Group AB 1,140 41,332 – 0.00 % Fiesta Restaurant Group Inc (5,356) (51,739) – 0.00 % Fuji Kyuko Co Ltd (2,900) (74,796) – 0.00 % Genting Singapore Ltd (50,800) (29,691) – 0.00 % Golden Entertainment Inc (2,308) (37,574) – 0.00 % The accompanying notes form an integral part of these audited financial statements 61 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Hotels Restaurants & Leisure (continued) GVC Holdings PLC (2,872) (28,973) – 0.00 % Habit Restaurants Inc (3,441) (48,036) – 0.00 % Hotland Co Ltd (200) (1,872) – 0.00 % Hyatt Hotels Corp (6,237) (477,754) – 0.00 % InterContinental Hotels Group (2,465) (135,482) – 0.00 % KNT-CT Holdings Co Ltd (2,400) (20,863) – 0.00 % Koshidaka Holdings Co Ltd (800) (4,165) – 0.00 % Kyoritsu Maintenance Co Ltd (300) (9,197) – 0.00 % Las Vegas Sands Corp (7,570) (441,407) – 0.00 % Marriott International Inc/MD (8,194) (1,016,056) – 0.00 % Marriott Vacations Worldwide (7,585) (1,221,073) – 0.00 % Melia Hotels International SA (10,163) (69,703) – 0.00 % MGM Resorts International (41,028) (1,007,648) – 0.00 % MOS Food Services Inc (1,200) (27,299) – 0.00 % Noodles & Co (2,435) (19,772) – 0.00 % Oriental Land Co Ltd/Japan (500) (56,712) – 0.00 % Penn National Gaming Inc (2,949) – – 0.00 % Playtech Plc (16,101) (51,427) – 0.00 % Plenus Co Ltd (100) (1,579) – 0.00 % Potbelly Corp 236 1,180 – 0.00 % Red Lion Hotels Corp (2,200) (5,654) – 0.00 % Red Robin Gourmet Burgers Inc (1,648) (45,320) – 0.00 % Red Rock Resorts Inc (10,091) (207,976) – 0.00 % Resorttrust Inc (7,900) (104,179) – 0.00 % Restaurant Group PLC (11,732) (15,888) – 0.00 % Royal Caribbean Cruises Ltd (5,532) (444,828) – 0.00 % Royal Holdings Co Ltd (1,300) (21,543) – 0.00 % Saizeriya Co Ltd (5,900) (111,742) – 0.00 % Shangri-La Asia Ltd (60,000) (52,355) – 0.00 % SJM Holdings Ltd 73,000 82,621 – 0.00 % Star Entertainment Grp Ltd (13,113) (31,082) – 0.00 % TKP Corp (3,600) (85,227) – 0.00 % Tokyotokeiba Co Ltd (2,300) (69,871) – 0.00 % Toridoll Holdings Corp (8,100) (162,846) – 0.00 % Tosho Co Ltd (2,200) (31,982) – 0.00 % William Hill PLC (51,709) (98,335) – 0.00 % Wyndham Destinations Inc (20,972) (836,783) – 0.00 % Wyndham Hotels & Resorts Inc (1,349) (68,732) – 0.00 % Wynn Resorts Ltd (3,598) (388,512) – 0.00 % Yoshinoya Holdings Co Ltd (5,700) (113,067) – 0.00 % Zensho Holdings Co Ltd (533) (9,715) – 0.00 % Total Hotels Restaurants & Leisure – 0.00 % The accompanying notes form an integral part of these audited financial statements 62 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Household Durables Arcelik AS (25,011) (74,607) – 0.00 % Bang & Olufsen A/S (1,532) (7,483) – 0.00 % Beazer Homes USA Inc (12,733) (156,107) – 0.00 % Casio Computer Co Ltd (3,700) (63,540) – 0.00 % Chofu Seisakusho Co Ltd (300) (5,873) – 0.00 % De’ Longhi SpA (960) (16,474) – 0.00 % Electrolux AB (1,221) (24,524) – 0.00 % Foster Electric Co Ltd (700) (9,302) – 0.00 % Fujitsu General Ltd (4,600) (91,290) – 0.00 % Funai Electric Co Ltd (1,700) (8,914) – 0.00 % GoPro Inc (43,337) (164,464) – 0.00 % Helen of Troy Ltd (2,246) (369,692) – 0.00 % Hovnanian Enterprises Inc (2,606) (64,499) – 0.00 % Installed Building Products Inc (3,550) (234,478) – 0.00 % iRobot Corp (1,605) (77,024) – 0.00 % JM AB (2,285) (61,957) – 0.00 % La-Z-Boy Inc (3,585) (102,710) – 0.00 % LEC Inc (4,200) (36,626) – 0.00 % Leggett & Platt Inc (13,631) (572,928) – 0.00 % Lennar Corp (930) (56,116) – 0.00 % LGI Homes Inc (2,840) (213,994) – 0.00 % Libbey Inc 121 174 – 0.00 % Lovesac Co (4,433) (38,523) – 0.00 % Mohawk Industries Inc (277) (33,559) – 0.00 % New Home Co Inc (1,833) (9,000) – 0.00 % Newell Brands Inc (30,476) (470,245) – 0.00 % Roku Inc (2,292) (260,532) – 0.00 % Sharp Corp/Japan (9,500) (110,695) – 0.00 % Skyline Champion Corp (4,672) (119,043) – 0.00 % Skyworth Group Ltd (68,000) (17,015) – 0.00 % Space Value Holdings Co Ltd (3,700) (15,671) – 0.00 % Starts Corp Inc (500) (10,283) – 0.00 % Sumitomo Forestry Co Ltd (2,600) (38,663) – 0.00 % Tatung Co Ltd (39,798) (27,747) – 0.00 % Taylor Morrison Home Corp (933) (21,011) – 0.00 % Tempur Sealy International Inc (588) (43,953) – 0.00 % Toa Corp/Hyogo (1,000) (8,388) – 0.00 % TomTom NV (1,424) (14,303) – 0.00 % TopBuild Corp (3,555) (359,055) – 0.00 % Universal Electronics Inc (1,622) (68,481) – 0.00 % ZAGG Inc (5,614) (37,726) – 0.00 % Total Household Durables – 0.00 % The accompanying notes form an integral part of these audited financial statements 63 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Household Products Central Garden & Pet Co (2,417) (61,174) – 0.00 % Clorox Co 12,895 2,055,721 – 0.00 % Earth Corp (500) (25,940) – 0.00 % Energizer Holdings Inc (22,070) (948,789) – 0.00 % Henkel AG & Co KGaA (1,420) (120,040) – 0.00 % Spectrum Brands Holdings Inc (3,742) (201,656) – 0.00 % ST Corp (1,200) (16,202) – 0.00 % Total Household Products – 0.00 % Independent Power and Renewable Electricity Producers Boralex Inc 2,816 60,156 – 0.00 % CGN Power Co Ltd (33,000) (8,046) – 0.00 % China Power (701,000) (130,432) – 0.00 % China Res Power (64,000) (76,130) – 0.00 % Drax Group PLC (24,296) (83,810) – 0.00 % Electric Power Development Co (6,260) (134,075) – 0.00 % eRex Co Ltd (3,147) (37,775) – 0.00 % Falck Renewables SpA (60,962) (392,961) – 0.00 % Huadian Power (198,000) (59,708) – 0.00 % Huaneng Power (150,000) (60,439) – 0.00 % Innergex Renewable Energy Inc 5,313 77,963 – 0.00 % Northland Power Inc 2,808 62,477 – 0.00 % Ormat Technologies Inc (1,437) (100,130) – 0.00 % Scatec Solar ASA (9,048) (154,320) – 0.00 % Solaria Energia y Medio Ambien (23,407) (223,104) – 0.00 % TransAlta Corp 3,721 27,884 – 0.00 % Total Independent Power and Renewable Electricity Producers – 0.00 % Industrial Conglomerates 3M Co (1,481) (221,024) – 0.00 % Alfa SAB de CV (85,738) (54,619) – 0.00 % Carlisle Cos Inc (2,279) (331,116) – 0.00 % CITIC Ltd (44,000) (48,839) – 0.00 % CJ Corp (2,136) (142,703) – 0.00 % DCC PLC (1,882) (133,014) – 0.00 % Doosan Corp (609) (28,202) – 0.00 % Fosun International Ltd (50,000) (63,711) – 0.00 % General Electric Co (28,507) (310,156) – 0.00 % Hanwha Corp (4,729) (78,690) – 0.00 % Hyosung Corp (410) (23,580) – 0.00 % Indus Holding AG (507) (18,097) – 0.00 % Katakura Industries Co Ltd (1,800) (20,658) – 0.00 % Keppel Corp Ltd (16,100) (73,200) – 0.00 % The accompanying notes form an integral part of these audited financial statements 64 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrial Conglomerates (continued) Lifco AB (171) (8,858) – 0.00 % Lotte Corp (4,564) (110,034) – 0.00 % Nisshinbo Holdings Inc (20,500) (174,412) – 0.00 % Nolato AB (971) (50,500) – 0.00 % Noritsu Koki Co Ltd (4,300) (50,979) – 0.00 % Raven Industries Inc (91) (2,613) – 0.00 % Roper Technologies Inc (2,226) (782,884) – 0.00 % Samsung C&T Corp (323) (28,281) – 0.00 % Sembcorp Industries Ltd (114,000) (149,607) – 0.00 % Siemens AG (385) (39,470) – 0.00 % Toshiba Corp (4,900) (132,543) – 0.00 % Total Industrial Conglomerates – 0.00 % Industrials Airtac International Group (1,727) (27,542) – 0.00 % Alfen Beheer BV 494 14,482 – 0.00 % Alimak Group AB (160) (1,844) – 0.00 % A-Living Services Co Ltd 10,750 48,143 – 0.00 % Babcock & Wilcox Enterprises Inc (2,290) (9,504) – 0.00 % Bertrandt AG (465) (21,713) – 0.00 % Bobst Group SA (1,408) (66,899) – 0.00 % Brighton-Best International 10,014 9,436 – 0.00 % Bufab AB (165) (1,824) – 0.00 % Careerlink Co Ltd (530) (1,970) – 0.00 % Caverion Oyj (2,999) (20,849) – 0.00 % China Lesso Group Holdings Ltd 34,000 51,046 – 0.00 % Chugai Ro Co Ltd (600) (8,356) – 0.00 % CIMC Enric Holdings Ltd (28,000) (14,516) – 0.00 % Cleanaway Co Ltd 10,385 54,690 – 0.00 % Creek & River Co Ltd (1,400) (11,497) – 0.00 % CTI Engineering Co Ltd (1,300) (21,567) – 0.00 % D/S Norden A/S (4,344) (50,005) – 0.00 % Dai-Dan Co Ltd (567) (13,654) – 0.00 % Daiho Corp (300) (6,367) – 0.00 % Daikokuya Holdings Co Ltd (16,344) (3,627) – 0.00 % De La Rue PLC 11,706 20,818 – 0.00 % Denyo Co Ltd (500) (8,582) – 0.00 % Dr Hoenle AG (7) (296) – 0.00 % Electro Optic Systems Holdings (616) (2,920) – 0.00 % Eltes Co Ltd (1,800) (27,898) – 0.00 % Emeco Holdings Ltd (2,201) (2,716) – 0.00 % EnBio Holdings Inc (2,800) (16,650) – 0.00 % Envipro Holdings Inc (460) (2,603) – 0.00 % Escrow Agent Japan Inc (1,700) (2,720) – 0.00 % Ever Sunshine Lifestyle Service 44,000 44,435 – 0.00 % The accompanying notes form an integral part of these audited financial statements 65 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Evergreen International Storage 57,800 26,419 – 0.00 % FreightCar America Inc (1,804) (2,814) – 0.00 % Frencken Group Ltd (4,200) (2,500) – 0.00 % Fukuda Corp (100) (3,620) – 0.00 % Galliford Try Holdings PLC (18,694) (36,929) – 0.00 % Hiwin Technologies Corp (2,000) (19,972) – 0.00 % Hyosung Heavy Industries Corp (197) (3,229) – 0.00 % Hyundai Merchant Marine Co Ltd (5,184) (14,004) – 0.00 % Hyundai Rotem Co Ltd (4,112) (45,047) – 0.00 % Inui Global Logistics Co Ltd (1,300) (12,900) – 0.00 % Italmobiliare SpA 1,460 42,158 – 0.00 % Japan Asia Group Ltd (2,800) (7,975) – 0.00 % Kawata Manufacturing Co Ltd (23) (182) – 0.00 % KEPCO Engineering & Construction (620) (9,288) – 0.00 % Kokuyo Co Ltd (3,500) (49,457) – 0.00 % Manitou BF SA (793) (14,131) – 0.00 % Mie Kotsu Group Holdings Inc (1,400) (6,318) – 0.00 % Nice Corp (100) (961) – 0.00 % Nichiban Co Ltd (2,347) (33,164) – 0.00 % Nihon Trim Co Ltd (300) (8,739) – 0.00 % Nikkato Corp (1,000) (5,049) – 0.00 % Nikko Co Ltd/Hyogo (1,682) (10,235) – 0.00 % Nippon Road Co Ltd (100) (6,011) – 0.00 % Nissei ASB Machine Co Ltd (1,900) (60,619) – 0.00 % Nitto Seiko Co Ltd (1,500) (6,575) – 0.00 % NKT A/S (3,028) (73,901) – 0.00 % nms Holdings Co (8,120) (22,903) – 0.00 % Okabe Co Ltd (1,900) (13,354) – 0.00 % Okada Aiyon Corp (1,200) (10,021) – 0.00 % Orion Energy Systems Inc (51) (241) – 0.00 % Oyo Corp (2,088) (24,021) – 0.00 % Prima Industrie SpA (488) (7,773) – 0.00 % QST International Corp 4,654 9,249 – 0.00 % Realord Group Holdings Ltd 148,000 85,842 – 0.00 % Rozetta Corp (66) (1,730) – 0.00 % Run Long Construction Co Ltd 13,001 25,794 – 0.00 % Salini Impregilo SpA (55,176) (80,783) – 0.00 % SANY INT’L 15,000 8,950 – 0.00 % Sato Holdings Corp (400) (8,992) – 0.00 % SGL Carbon SE (5,343) (20,147) – 0.00 % Shibuya Corp (938) (22,701) – 0.00 % Shin Nippon Air Technologies Co Ltd (1,100) (18,524) – 0.00 % Sintokogio Ltd (2,791) (19,900) – 0.00 % SMC Corp/Japan (300) (119,490) – 0.00 % Sotetsu Holdings Inc (1,500) (34,069) – 0.00 % The accompanying notes form an integral part of these audited financial statements 66 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Sporton International Inc 1,536 10,684 – 0.00 % Sunonwealth Electric Machine Industry Co Ltd (5,896) (7,714) – 0.00 % Takaoka Toko Co Ltd (100) (963) – 0.00 % Teikoku Sen-I Co Ltd (1,600) (28,424) – 0.00 % Torishima Pump Manufacturing Co Ltd (600) (3,928) – 0.00 % TOTO Ltd (1,300) (49,230) – 0.00 % Toyo Denki Seizo KK (700) (7,762) – 0.00 % Tsudakoma Corp (600) (4,772) – 0.00 % Tsurumi Manufacturing Co Ltd (333) (5,324) – 0.00 % Uber Technologies Inc (9,946) (336,871) – 0.00 % Union Tool Co (700) (17,142) – 0.00 % Valuenex Japan Inc (80) (932) – 0.00 % Yang Ming Marine Transport Corp 96,499 22,150 – 0.00 % Yushin Precision Equipment Co (1,200) (8,978) – 0.00 % Yuyang DNU Co Ltd (461) (664) – 0.00 % Zoomlion Co Ltd 54,200 44,929 – 0.00 % Zumtobel Group AG (669) (5,298) – 0.00 % Total Industrials – 0.00 % Information Technology A-DATA Technology Co Ltd (1,670) (3,717) – 0.00 % AI Inc (300) (3,754) – 0.00 % Aplix Corp (5,900) (10,476) – 0.00 % Argo Graphics Inc (200) (5,919) – 0.00 % AVIC IHL 4,000 4,271 – 0.00 % Benefitfocus Inc (8,210) (102,461) – 0.00 % Cafe24 Corp (150) (4,257) – 0.00 % Career Technology MFG. Co Ltd (33,000) (34,867) – 0.00 % Casetek Holdings Ltd (18,626) (25,602) – 0.00 % Chaun-Choung Technology Corp 3,000 22,556 – 0.00 % Cheng Uei Precision Industry (47,506) (58,533) – 0.00 % Chroma ATE Inc (3,184) (14,975) – 0.00 % Comet Holding AG (381) (46,478) – 0.00 % Comture Corp (900) (17,603) – 0.00 % Conduent Inc (22,293) (72,898) – 0.00 % Cypress Semiconductor Corp (17,017) (392,923) – 0.00 % Darwin Precisions Corp (16,946) (7,381) – 0.00 % Econocom Group SA/NV (714) (1,989) – 0.00 % Elite Material Co Ltd (11,000) (43,720) – 0.00 % Elite Semiconductor Memory Technology Inc (10,000) (11,377) – 0.00 % Ennoconn Corp (2,000) (14,474) – 0.00 % Exela Technologies Inc (3,214) (826) – 0.00 % Faraday Technology Corp (23,000) (33,557) – 0.00 % Finablr PLC (75,618) (59,028) – 0.00 % Formosa Sumco Technology Corp 492 2,281 – 0.00 % The accompanying notes form an integral part of these audited financial statements 67 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Information Technology (continued) Forside Co Ltd (2,600) (2,140) – 0.00 % Foxsemicon Integrated Technology Inc (5,055) (27,961) – 0.00 % Fronteo Inc (10,300) (22,765) – 0.00 % Future Innovation Group Inc (700) (1,469) – 0.00 % GemVax & Kael Co Ltd (1,847) (42,154) – 0.00 % GFT Technologies SE (77) (922) – 0.00 % Gig Works Inc (500) (6,436) – 0.00 % GMO Payment Gateway Inc (200) (12,244) – 0.00 % HannStar Display Corp (352,633) (76,969) – 0.00 % Hotto Link Inc (6,200) (15,939) – 0.00 % Infomedia Ltd 32,463 44,693 – 0.00 % Internap Corp (4,341) (2,865) – 0.00 % iRidge (200) (1,509) – 0.00 % ITbook Holdings Co Ltd (7,600) (25,934) – 0.00 % JALCO Holdings Inc (800) (1,058) – 0.00 % JBCC Holdings Inc (300) (4,572) – 0.00 % Jentech Precision Industrial Co Ltd 4,000 27,689 – 0.00 % Jusung Engineering Co Ltd (7,127) (35,725) – 0.00 % Kingsoft Corp Ltd (68,000) (219,891) – 0.00 % Kinsus Interconnect Technology (18,000) (30,763) – 0.00 % Kudelski SA (91) (422) – 0.00 % LandMark Optoelectronics Corp (3,000) (26,431) – 0.00 % Lasertec Corp (1,100) (50,099) – 0.00 % Lightspeed POS Inc (248) (6,147) – 0.00 % Logizard Co Ltd (100) (1,248) – 0.00 % LPKF Laser & Electronics AG 518 11,738 – 0.00 % Luna Innovations Inc (597) (4,000) – 0.00 % Macronix International (18,000) (19,674) – 0.00 % MediaTek Inc (1,000) (11,924) – 0.00 % Megachips Corp (7,200) (97,079) – 0.00 % Megaport Ltd (1,812) (11,908) – 0.00 % Melco Holdings Inc (100) (1,971) – 0.00 % Mitac Holdings Corp 143,071 161,353 – 0.00 % My EG Services Bhd (100) (27) – 0.00 % NEPES Corp 1,893 45,874 – 0.00 % Network International Holdings (8,380) (57,493) – 0.00 % NHN KCP Corp 1,292 31,900 – 0.00 % Nihon Dempa Kogyo Co Ltd (5,100) (18,724) – 0.00 % O-Net Technologies Group Ltd (14,000) (7,635) – 0.00 % Pan-International Industrial Corp (15,574) (10,110) – 0.00 % Pipedo HD Inc (2,000) (25,043) – 0.00 % PKSHA Technology Inc (5,500) (121,917) – 0.00 % Posco ICT Co Ltd (915) (3,387) – 0.00 % PVA TePla AG (148) (2,002) – 0.00 % Quanta Storage Inc (27,000) (27,901) – 0.00 % The accompanying notes form an integral part of these audited financial statements 68 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Information Technology (continued) Research Frontiers Inc (789) (2,446) – 0.00 % RichWave Technology Corp 3,000 15,700 – 0.00 % Sakura Internet Inc (6,000) (27,355) – 0.00 % Sanshin Electronics Co Ltd (400) (5,534) – 0.00 % Satori Electric Co Ltd (800) (5,593) – 0.00 % Shanghai Fudan Microelectronic (6,000) (4,589) – 0.00 % SharpSpring Inc (1,204) (13,726) – 0.00 % Showcase Inc/Japan (1,000) (4,716) – 0.00 % SMA Solar Technology AG (2,003) (67,509) – 0.00 % SMIC (43,500) (84,288) – 0.00 % SMK Corp (300) (6,226) – 0.00 % Solxyz Co Ltd (2,600) (16,783) – 0.00 % Soshin Electric Co Ltd (1,900) (5,535) – 0.00 % Spirent Communications PLC (4,624) (12,406) – 0.00 % Taiwan Semiconductor Co Ltd (2,462) (3,580) – 0.00 % Techfirm Holdings Inc (900) (7,424) – 0.00 % Tecnos Data Science Engineering (100) (2,184) – 0.00 % TEMONA inc (2,200) (13,855) – 0.00 % Tera Probe Inc (100) (647) – 0.00 % TerraSky Co Ltd (2,600) (62,683) – 0.00 % Tobii AB (8,109) (34,124) – 0.00 % TXC Corp 24,979 39,257 – 0.00 % Ubiquitous AI Corp (2,800) (13,283) – 0.00 % Visual Photonics Epitaxy Co Ltd (11,000) (35,668) – 0.00 % Wafer Works Corp (4,191) (4,740) – 0.00 % Wasion Holdings Ltd 26,000 10,509 – 0.00 % Win Semiconductors Corp (2,000) (18,117) – 0.00 % Winbond Electronics Corp (60,000) (31,797) – 0.00 % Wiwynn Corp 2,000 47,960 – 0.00 % Wonik Holdings Co Ltd (435) (1,563) – 0.00 % XinTec Inc (4,000) (11,778) – 0.00 % Total Information Technology – 0.00 % Insurance AIA Group Ltd (8,600) (84,864) – 0.00 % Ambac Financial Group Inc (2,426) (46,628) – 0.00 % American International Group Inc (13,283) (560,011) – 0.00 % Anicom Holdings Inc (1,659) (51,395) – 0.00 % Arthur J Gallagher & Co (1,387) (135,219) – 0.00 % Assurant Inc (3,781) (455,951) – 0.00 % BB Seguridade Participacoes SA (100) (709) – 0.00 % Beazley PLC (22,846) (156,010) – 0.00 % Brown & Brown Inc (8,182) (351,908) – 0.00 % China Life Insurance Co Ltd (59,000) (138,245) – 0.00 % The accompanying notes form an integral part of these audited financial statements 69 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Insurance (continued) CHINA TAIPING (26,400) (53,932) – 0.00 % Citizens Inc/TX (1,203) (7,026) – 0.00 % CNO Financial Group Inc (24,372) (390,439) – 0.00 % CNP Assurances (6,151) (95,740) – 0.00 % CPIC (6,800) (22,382) – 0.00 % Dai-ichi Life Holdings Inc (31,000) (423,854) – 0.00 % Discovery Ltd (40,493) (249,305) – 0.00 % Dream Incubator Inc (550) (6,729) – 0.00 % eHealth Inc (9,316) (1,093,233) – 0.00 % Erie Indemnity Co (515) (73,604) – 0.00 % Fairfax Financial Holdings Ltd (159) (68,550) – 0.00 % FedNat Holding Co (1,278) (16,665) – 0.00 % Goosehead Insurance Inc (4,340) (235,402) – 0.00 % Hanwha Life Insurance Co Ltd (100,936) (138,218) – 0.00 % Hartford Financial Services Group Inc (5,032) (251,348) – 0.00 % HCI Group Inc (673) (28,616) – 0.00 % Health Insurance Innovations Inc (4,059) (119,375) – 0.00 % Horace Mann Educators Corp (874) (34,025) – 0.00 % iA Financial Corp Inc (319) (20,008) – 0.00 % Insurance Australia Group Ltd (68,632) (284,354) – 0.00 % Intact Financial Corp 173 18,767 – 0.00 % Just Group PLC (80,810) (74,954) – 0.00 % Kemper Corp (8,869) (610,542) – 0.00 % Lincoln National Corp (3,679) (166,990) – 0.00 % Loews Corp (12,627) (576,170) – 0.00 % Mapfre SA (15,376) (34,250) – 0.00 % Markel Corp 514 607,342 – 0.00 % Marsh & McLennan Cos Inc (4,610) (482,022) – 0.00 % MBIA Inc (4,965) (38,727) – 0.00 % Medibank Pvt Ltd (172,386) (316,811) – 0.00 % Momentum Metropolitan Holdings (31,145) (35,443) – 0.00 % MS&AD Insurance Group Holdings (9,238) (297,554) – 0.00 % NCI (23,600) (89,791) – 0.00 % Old Mutual Ltd (116,811) (116,950) – 0.00 % People’s Insurance Co Group of China Ltd (161,000) (57,021) – 0.00 % Prudential Financial Inc (206) (15,543) – 0.00 % Prudential PLC (32,252) (522,069) – 0.00 % QBE Insurance Group Ltd (43,339) (382,482) – 0.00 % Rand Merchant Investment Holdings Ltd (45,318) (72,056) – 0.00 % RenaissanceRe Holdings Ltd (2,180) (371,472) – 0.00 % Saga PLC (184,684) (76,213) – 0.00 % Samsung Fire & Marine Insurance Co Ltd (461) (75,753) – 0.00 % Samsung Life Insurance Co Ltd (3,593) (174,441) – 0.00 % Sanlam Ltd (29,773) (123,688) – 0.00 % Sompo Holdings Inc (10,700) (397,385) – 0.00 % The accompanying notes form an integral part of these audited financial statements 70 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Insurance (continued) Sony Financial Holdings Inc (15,300) (305,335) – 0.00 % Storebrand ASA (11,355) (71,364) – 0.00 % Suncorp Group Ltd (43,219) (318,273) – 0.00 % T&D Holdings Inc (39,004) (384,143) – 0.00 % Tokio Marine Holdings Inc (4,700) (252,136) – 0.00 % Unipol Gruppo SpA (13) (64) – 0.00 % United Insurance Holdings Corp (69) (649) – 0.00 % Willis Towers Watson PLC (5,049) (955,523) – 0.00 % Total Insurance – 0.00 % Interactive Media & Services Adevinta ASA (2,595) (27,072) – 0.00 % Auto Trader Group PLC (2,119) (14,067) – 0.00 % Eventbrite Inc (2,586) (37,781) – 0.00 % Kakao Corp (99) (14,132) – 0.00 % Liberty TripAdvisor Holdings Inc (16,984) (73,965) – 0.00 % LINE Corp (300) (14,732) – 0.00 % NAVER Corp (137) (19,784) – 0.00 % New Work SE (50) (13,420) – 0.00 % PR Times Inc (700) (12,940) – 0.00 % Snap Inc (43,912) (622,233) – 0.00 % Solocal Group (79,407) (40,285) – 0.00 % Tencent Holdings Ltd 500 24,766 – 0.00 % Total Interactive Media & Services – 0.00 % Internet & Direct Marketing Retail 1-800-Flowers.com Inc 2,292 41,348 – 0.00 % ASOS PLC (4,918) (188,309) – 0.00 % Beenos Inc (3,800) (34,087) – 0.00 % Belluna Co Ltd (4,800) (24,059) – 0.00 % Delivery Hero SE (1,767) (132,172) – 0.00 % Duluth Holdings Inc (4,574) (31,378) – 0.00 % Enigmo Inc (12,600) (86,808) – 0.00 % Expedia Group Inc (3,613) (356,314) – 0.00 % Fisco Ltd 9,901 14,100 – 0.00 % Fundely Co Ltd 900 9,072 – 0.00 % GrubHub Inc (2,189) (105,313) – 0.00 % Istyle Inc (7,100) (19,172) – 0.00 % Lands’ End Inc (3,715) (39,156) – 0.00 % Media Do Holdings Co Ltd (2,900) (76,084) – 0.00 % MercadoLibre Inc (614) (378,242) – 0.00 % Naspers Ltd (986) (150,089) – 0.00 % Ocado Group PLC (20,832) (283,183) – 0.00 % Qurate Retail Inc (22,930) (156,383) – 0.00 % Raccoon Holdings Inc (700) (4,395) – 0.00 % The accompanying notes form an integral part of these audited financial statements 71 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Internet & Direct Marketing Retail (continued) Rubicon Project Inc (23,934) (271,651) – 0.00 % Senshukai Co Ltd (13,600) (51,439) – 0.00 % Stamps.com Inc 1,634 230,574 – 0.00 % Stitch Fix Inc (8,667) (208,268) – 0.00 % Takeaway.com NV (669) (58,357) – 0.00 % Wayfair Inc (6,836) (432,104) – 0.00 % Webjet Ltd (4,385) (27,223) – 0.00 % Zalando SE (2,298) (99,924) – 0.00 % zooplus AG (22) (2,176) – 0.00 % Total Internet & Direct Marketing Retail – 0.00 % IT Services Accenture PLC (2,746) (495,900) – 0.00 % Afterpay Touch Group Ltd (9,054) (195,029) – 0.00 % Appen Ltd (4,951) (66,619) – 0.00 % CACI International Inc (2,713) (664,739) – 0.00 % Chinasoft International Ltd (94,000) (57,657) – 0.00 % Core Corp (1,100) (11,617) – 0.00 % CoreLogic Inc/United States (9,876) (448,074) – 0.00 % CSG Systems International Inc (1,940) (85,845) – 0.00 % Densan System Co Ltd (1,100) (22,023) – 0.00 % Digital Garage Inc (2,100) (65,543) – 0.00 % Double Standard Inc (400) (12,355) – 0.00 % DXC Technology Co (19,474) (469,518) – 0.00 % Equiniti Group PLC (4,962) (12,730) – 0.00 % Fidelity National Information (3,610) (504,389) – 0.00 % Fiserv Inc (5,781) (632,210) – 0.00 % Flight Holdings Inc (2,900) (19,363) – 0.00 % Gartner Inc (2,057) (266,155) – 0.00 % Global Payments Inc (5,271) (969,706) – 0.00 % GMO internet Inc (14,900) (247,059) – 0.00 % IBM (13,174) (1,714,596) – 0.00 % Indra Sistemas SA (8,258) (167,285) – 0.00 % Itfor Inc (1,400) (8,402) – 0.00 % Limelight Networks Inc 3,454 17,425 – 0.00 % Link Administration Holdings Ltd (1,606) (4,902) – 0.00 % ManTech International Corp/VA (5,353) (400,940) – 0.00 % MAXIMUS Inc (4,428) (279,053) – 0.00 % MongoDB Inc (1,632) (248,880) – 0.00 % NEC Networks & System Integration Corp (300) (11,028) – 0.00 % NET One Systems Co Ltd 11,400 236,466 – 0.00 % NTT Data Corp (1,600) (19,102) – 0.00 % Oro Co Ltd (100) (2,510) – 0.00 % Otsuka Corp 8,300 354,229 – 0.00 % PayPal Holdings Inc (1,369) (147,838) – 0.00 % The accompanying notes form an integral part of these audited financial statements 72 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets IT Services (continued) Perficient Inc (11,314) (463,535) – 0.00 % Perspecta Inc (7,699) (192,244) – 0.00 % Sabre Corp (4,776) (65,025) – 0.00 % Science Applications International Corp (9,946) (796,973) – 0.00 % Shopify Inc 903 419,616 – 0.00 % TechMatrix Corp (500) (11,379) – 0.00 % Transcosmos Inc (2,800) (61,394) – 0.00 % Twilio Inc (872) (98,222) – 0.00 % Unisys Corp 28,888 448,631 – 0.00 % VINX Corp (1,300) (9,582) – 0.00 % WEX Inc (2,653) (496,748) – 0.00 % Worldline SA/France (3,158) (239,171) – 0.00 % Total IT Services – 0.00 % Leisure Products Beneteau SA (4,679) (44,032) – 0.00 % Brunswick Corp/DE (4,131) (589,084) – 0.00 % Callaway Golf Co (39,442) (1,339,450) – 0.00 % GLOBERIDE Inc (1,000) (17,645) – 0.00 % Hasbro Inc (6,665) (514,871) – 0.00 % HLB Inc 400 32,035 – 0.00 % Mattel Inc (2,409) (28,402) – 0.00 % Mizuno Corp (1,300) (25,763) – 0.00 % Polaris Inc (1,686) (139,146) – 0.00 % Sega Sammy Holdings Inc (10,500) (138,175) – 0.00 % Snow Peak Inc (100) (626) – 0.00 % Vista Outdoor Inc (4,953) (36,405) – 0.00 % XXL ASA (623) – – 0.00 % Yamaha Corp (1,100) (53,914) – 0.00 % Total Leisure Products – 0.00 % Life Sciences Tools & Services Agilent Technologies Inc 186 14,335 – 0.00 % Biotage AB (3,265) (38,380) – 0.00 % Charles River Laboratories Inc (1,919) (298,539) – 0.00 % Chiome Bioscience Inc 23,270 49,925 – 0.00 % ChromaDex Corp (4,410) (16,273) – 0.00 % Codexis Inc (1,994) (23,230) – 0.00 % Evotec SE (6,550) (156,709) – 0.00 % Genscript Biotech Corp (44,000) (91,580) – 0.00 % Gerresheimer AG (55) (3,951) – 0.00 % Harvard Bioscience Inc 2,551 8,265 – 0.00 % LegoChem Biosciences Inc (329) (12,260) – 0.00 % Linical Co Ltd (671) (5,274) – 0.00 % Medpace Holdings Inc 8,451 760,083 – 0.00 % The accompanying notes form an integral part of these audited financial statements 73 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Life Sciences Tools & Services (continued) NeoGenomics Inc (17,182) (486,766) – 0.00 % PerkinElmer Inc 205 17,720 – 0.00 % PRA Health Sciences Inc (156) (14,695) – 0.00 % QIAGEN NV 15,172 544,675 – 0.00 % Sartorius Stedim Biotech (723) (136,553) – 0.00 % WuXi AppTec Co Ltd 6,600 97,311 – 0.00 % Total Life Sciences Tools & Services – 0.00 % Machinery Actuant Corp (8,070) (344,912) – 0.00 % AGCO Corp (3,010) (181,894) – 0.00 % Aida Engineering Ltd (1,187) (8,826) – 0.00 % Alamo Group Inc (4,041) – – 0.00 % Altra Industrial Motion Corp (3,035) (103,974) – 0.00 % Anest Iwata Corp (1,019) (9,244) – 0.00 % Asahi Diamond Industrial Co Ltd (3,374) (16,443) – 0.00 % Astec Industries Inc (3,028) (113,701) – 0.00 % Atlas Copco AB (1,712) (55,570) – 0.00 % Barnes Group Inc (9,654) (518,420) – 0.00 % Briggs & Stratton Corp (21,504) (68,168) – 0.00 % Burckhardt Compression Holding (140) (32,927) – 0.00 % Cargotec Oyj (1,016) (29,058) – 0.00 % Chart Industries Inc (12,656) (1,440,759) – 0.00 % CKD Corp (18,699) (287,398) – 0.00 % CNH Industrial NV (15,868) (145,748) – 0.00 % Colfax Corp (31,673) (1,060,095) – 0.00 % Commercial Vehicle Group Inc (655) (2,856) – 0.00 % CONCH Venture 49,000 238,305 – 0.00 % Crane Co (6,226) (423,057) – 0.00 % CRRC Corp Ltd (217,000) (139,228) – 0.00 % Cummins Inc (129) (19,516) – 0.00 % Daewoo Shipbuilding & Marine Engineering Co Ltd (750) (13,787) – 0.00 % Daifuku Co Ltd (1,500) (89,055) – 0.00 % Daiwa Industries Ltd (400) (3,684) – 0.00 % Deere & Co (2,347) (367,259) – 0.00 % Deutz AG (3,349) (15,657) – 0.00 % Doosan Infracore Co Ltd (17,936) (62,519) – 0.00 % Dover Corp (2,047) (210,309) – 0.00 % Ebara Corp (4,900) (116,502) – 0.00 % Energy Recovery Inc (1,546) (15,213) – 0.00 % EnPro Industries Inc (1,609) (86,806) – 0.00 % Epiroc AB (5,584) (63,765) – 0.00 % ESCO Technologies Inc (1,575) (143,199) – 0.00 % Evoqua Water Technologies Corp (14,448) (302,975) – 0.00 % ExOne Co (363) (2,214) – 0.00 % The accompanying notes form an integral part of these audited financial statements 74 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Machinery (continued) FANUC Corp (400) (66,472) – 0.00 % Federal Signal Corp (19,042) (552,218) – 0.00 % Flowserve Corp (3,604) (144,845) – 0.00 % FLSmidth & Co A/S (1,920) (64,948) – 0.00 % Fortive Corp (9,514) (657,988) – 0.00 % Fukushima Industries Corp (300) (9,627) – 0.00 % Furukawa Co Ltd (1,707) (19,164) – 0.00 % GEA Group AG (280) (7,374) – 0.00 % Glory Ltd (1,100) (29,236) – 0.00 % Greenbrier Cos Inc (19,188) (464,925) – 0.00 % Harmonic Drive Systems Inc (1,645) (69,065) – 0.00 % Harsco Corp (36,365) (436,016) – 0.00 % Heidelberger Druckmaschinen AG (4,625) (4,050) – 0.00 % Helios Technologies Inc (2,743) (109,034) – 0.00 % Hillenbrand Inc (15,589) (364,783) – 0.00 % Hino Motors Ltd (2,043) (16,853) – 0.00 % Hisaka Works Ltd (700) (5,185) – 0.00 % Hitachi Construction Machinery (9,900) (243,804) – 0.00 % Hyster-Yale Materials Handling (1,700) (81,838) – 0.00 % Hyundai Construction Equipment (4,200) (71,456) – 0.00 % Hyundai Heavy Industries Holdings Co Ltd (287) (64,429) – 0.00 % Hyundai Mipo Dockyard Co Ltd (1,213) (36,492) – 0.00 % IDEX Corp (122) – – 0.00 % IHI Corp (4,800) (100,719) – 0.00 % Ingersoll-Rand PLC (4,508) (581,712) – 0.00 % Interpump Group SpA 791 23,789 – 0.00 % Iochpe Maxion SA (1,200) (5,195) – 0.00 % Iseki & Co Ltd (1,300) (13,849) – 0.00 % ITT Inc (2,401) (144,420) – 0.00 % Japan Steel Works Ltd (5,700) (83,021) – 0.00 % John Bean Technologies Corp (7,065) (684,316) – 0.00 % JTEKT Corp (7,150) (69,625) – 0.00 % Kawasaki Heavy Industries Ltd (2,500) (45,314) – 0.00 % Kennametal Inc (1,332) (37,030) – 0.00 % KION Group AG (495) (26,245) – 0.00 % Koenig & Bauer AG (1,160) (27,689) – 0.00 % Komori Corp (4,300) (32,727) – 0.00 % Konecranes Oyj (2,371) (69,454) – 0.00 % Korea Shipbuilding & Offshore (533) (46,004) – 0.00 % Kubota Corp (16,850) (237,320) – 0.00 % Kurita Water Industries Ltd (4,200) (108,559) – 0.00 % Kyokuto Kaihatsu Kogyo Co Ltd (900) (10,337) – 0.00 % LB Foster Co (740) (11,662) – 0.00 % LiqTech International Inc (757) (3,868) – 0.00 % Lydall Inc (610) (7,265) – 0.00 % The accompanying notes form an integral part of these audited financial statements 75 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Machinery (continued) Makino Milling Machine Co Ltd 100 3,394 – 0.00 % Makita Corp (5,200) (179,609) – 0.00 % Manitex International Inc (415) (2,299) – 0.00 % Manitowoc Co Inc (9,273) (231,269) – 0.00 % Max Co Ltd (800) (13,191) – 0.00 % Meidensha Corp (200) (3,207) – 0.00 % Metso Oyj (368) (11,828) – 0.00 % Minebea Mitsumi Inc (3,800) (66,909) – 0.00 % Misumi Group Inc (3,900) (82,122) – 0.00 % Mitsubishi Logisnext Co Ltd (6,778) (84,619) – 0.00 % Mitsui E&S Holdings Co Ltd (12,700) (91,138) – 0.00 % Miura Co Ltd (4,500) (146,900) – 0.00 % Morita Holdings Corp (2,380) (37,064) – 0.00 % Mueller Industries Inc (8,716) (243,874) – 0.00 % Nabtesco Corp (900) (24,236) – 0.00 % Nachi-Fujikoshi Corp (900) (29,630) – 0.00 % Namura Shipbuilding Co Ltd (9,100) (17,336) – 0.00 % Navistar International Corp (11,464) (416,258) – 0.00 % NGK Insulators Ltd (6,100) (95,729) – 0.00 % Nilfisk Holding A/S (232) (4,754) – 0.00 % Nippon Sharyo Ltd (300) (7,172) – 0.00 % Nippon Thompson Co Ltd (8,361) (28,763) – 0.00 % Nitta Corp (1,350) (30,387) – 0.00 % Nittoku Co Ltd (2,068) (60,241) – 0.00 % NN Inc (6,448) (49,972) – 0.00 % Nordson Corp (1,490) (216,497) – 0.00 % NTN Corp (74,900) (361,565) – 0.00 % OC Oerlikon Corp AG (6,834) (63,338) – 0.00 % Oiles Corp (2,100) (27,538) – 0.00 % OKUMA Corp (2,300) (97,415) – 0.00 % Outotec Oyj (20,054) (101,385) – 0.00 % Parker-Hannifin Corp (4,635) (856,409) – 0.00 % Pentair PLC (8,369) (329,655) – 0.00 % Proto Labs Inc (4,138) (362,654) – 0.00 % RBC Bearings Inc (1,277) (218,610) – 0.00 % REV Group Inc (5,062) (39,635) – 0.00 % Rexnord Corp (4,525) (141,076) – 0.00 % Rheon Automatic Machinery Co Ltd (1,000) (10,727) – 0.00 % Rieter Holding AG (318) (37,445) – 0.00 % Samsung Heavy Industries Co Ltd (12,985) (62,827) – 0.00 % Sandvik AB (2,675) (43,768) – 0.00 % SFS Group AG (437) (36,097) – 0.00 % Sinotruk Hong Kong Ltd 66,000 126,191 – 0.00 % Spartan Motors Inc (6,221) (91,760) – 0.00 % SPX Corp (14,912) (625,260) – 0.00 % The accompanying notes form an integral part of these audited financial statements 76 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Machinery (continued) Standex International Corp (207) (13,130) – 0.00 % Stanley Black & Decker Inc (4,799) (689,616) – 0.00 % Sulzer AG (692) (63,133) – 0.00 % Tadano Ltd (14,800) (123,590) – 0.00 % Takuma Co Ltd (400) (4,380) – 0.00 % Techtronic Industries Co Ltd 4,000 32,363 – 0.00 % Teikoku Electric Manufacturing (703) (8,211) – 0.00 % Tennant Co (2,284) (163,397) – 0.00 % THK Co Ltd (200) (4,574) – 0.00 % Timken Co (7,690) (344,820) – 0.00 % Titan International Inc (8,236) (18,284) – 0.00 % Toro Co (5,132) (366,579) – 0.00 % Trelleborg AB (7,759) (145,342) – 0.00 % Trinity Industries Inc (11,939) (242,959) – 0.00 % Tsugami Corp (9,521) (77,129) – 0.00 % Tsukishima Kikai Co Ltd (2,507) (28,795) – 0.00 % VAT Group AG (109) (14,632) – 0.00 % Volvo AB (1,774) (27,267) – 0.00 % Wabtec Corp (7,188) (987,631) – 0.00 % Wacker Neuson SE (6,513) (90,342) – 0.00 % Wartsila OYJ Abp (13,067) (135,170) – 0.00 % Weichai Power Co Ltd 65,000 127,949 – 0.00 % Weir Group PLC (15,110) (252,021) – 0.00 % Welbilt Inc (7,378) (97,537) – 0.00 % Woodward Inc (4,954) (511,253) – 0.00 % Xylem Inc/NY (6,164) (476,724) – 0.00 % YAMABIKO Corp (4,306) (34,644) – 0.00 % Total Machinery – 0.00 % Marine AP Moller - Maersk A/S (117) (116,597) – 0.00 % COSCO SHIP ENGY (84,000) (32,768) – 0.00 % COSCO SHIPPING Holdings Co Ltd (87,000) (29,026) – 0.00 % Evergreen Marine Corp Taiwan Ltd (248,750) (95,160) – 0.00 % Genco Shipping & Trading Ltd (3,888) (29,860) – 0.00 % Iino Kaiun Kaisha Ltd (8,426) (25,792) – 0.00 % Kawasaki Kisen Kaisha Ltd (29,339) (329,923) – 0.00 % Kirby Corp (9,729) (1,240,448) – 0.00 % Matson Inc (89) (2,956) – 0.00 % Mitsui OSK Lines Ltd (4,700) (97,403) – 0.00 % Nippon Yusen KK (13,100) (187,048) – 0.00 % Pacific Basin Shipping Ltd (113,000) (16,820) – 0.00 % Pan Ocean Co Ltd 2,382 7,384 – 0.00 % Total Marine – 0.00 % The accompanying notes form an integral part of these audited financial statements 77 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Materials AECI Ltd 12,372 82,428 – 0.00 % Aichi Steel Corp (700) (19,394) – 0.00 % Arakawa Chemical (600) (7,124) – 0.00 % Asahi Yukizai Corp (1,300) (17,107) – 0.00 % Cementir Holding NV (4,878) (31,250) – 0.00 % Cheng Loong Corp 130,330 102,090 – 0.00 % China General Plastics Corp 58,308 37,563 – 0.00 % China Hongqiao Group Ltd 38,500 20,651 – 0.00 % China Metal Products 16,989 16,318 – 0.00 % China Steel Chemical Corp 13,048 50,996 – 0.00 % Chung Hwa Pulp Corp 92,963 28,358 – 0.00 % Cia Siderurgica Nacional SA (400) (996) – 0.00 % Dongkuk Steel Mill Co Ltd (2,445) (9,496) – 0.00 % Dongwon Systems Corp (28) (514) – 0.00 % Duk San Neolux Co Ltd (1,192) (32,695) – 0.00 % Eternal Materials Co Ltd 62,475 55,766 – 0.00 % Feng Hsin Steel Co Ltd 17,467 31,414 – 0.00 % Gold Road Resources Ltd (8,183) (7,705) – 0.00 % Gran Colombia Gold Corp 1,714 7,272 – 0.00 % Huabao International Holdings Ltd 88,000 34,780 – 0.00 % Hyosung Advanced Materials Corp (13) (889) – 0.00 % Imdex Ltd 12,457 12,620 – 0.00 % Namhae Chemical Corp (234) (1,348) – 0.00 % Nan Pao Resins Chemical Co Ltd 3,937 20,342 – 0.00 % New Japan Chemical Co Ltd (2,700) (4,020) – 0.00 % Nippon Chutetsukan KK (500) (5,840) – 0.00 % Oat Agrio Co Ltd (700) (7,645) – 0.00 % Oriental Union Chemical Corp 31,185 20,606 – 0.00 % Orocobre Ltd (32,770) (57,458) – 0.00 % Pack Corp (400) (13,002) – 0.00 % Reno de Medici SpA (1,473) (1,037) – 0.00 % SAMPYO Cement Co Ltd (833) (2,112) – 0.00 % Seah Besteel Corp (233) (2,108) – 0.00 % Seiko PMC Corp (2,200) (15,279) – 0.00 % Sekisui Plastics Co Ltd (2,900) (16,761) – 0.00 % Shiny Chemical Industrial Co Ltd 7,058 21,998 – 0.00 % Sibanye Stillwater Ltd (16,114) (32,421) – 0.00 % Takasago International Corp (1,000) (18,745) – 0.00 % Tokushu Tokai Paper Co Ltd (200) (6,640) – 0.00 % Tongyang Inc 2,059 2,384 – 0.00 % YC INOX Co Ltd 18,855 16,081 – 0.00 % YFY Inc 108,235 49,830 – 0.00 % Total Materials – 0.00 % The accompanying notes form an integral part of these audited financial statements 78 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Media Aimia Inc (4,640) (11,175) – 0.00 % Altice Europe NV (39,331) (209,528) – 0.00 % Ascential PLC (6,815) (29,760) – 0.00 % Atresmedia Corp de Medios de Comunicacion SA 6,162 22,368 – 0.00 % Cairo Communication SpA (9,761) (23,300) – 0.00 % Cardlytics Inc (5,068) (402,349) – 0.00 % CBS Corp (41,872) (1,030,470) – 0.00 % Charter Communications Inc (2,951) (1,455,345) – 0.00 % Clear Channel Outdoor Holdings (18,824) (38,966) – 0.00 % Cogeco Communications Inc 4,184 331,376 – 0.00 % Comcast Corp (32,844) (1,327,883) – 0.00 % Corus Entertainment Inc (11,245) (35,299) – 0.00 % CyberAgent Inc (2,800) (106,034) – 0.00 % Daily Mail & General Trust PLC 572 5,408 – 0.00 % Discovery Inc (55,630) (1,429,691) – 0.00 % DISH Network Corp (29,562) (990,918) – 0.00 % eBook Initiative Japan Co Ltd (1,100) (15,452) – 0.00 % Entercom Communications Corp (2,866) (9,945) – 0.00 % EW Scripps Co (38,402) (456,984) – 0.00 % F@N Communications Inc 14,000 57,095 – 0.00 % Fuji Media Holdings Inc (12,100) (142,669) – 0.00 % Future PLC (2,429) (35,874) – 0.00 % Gray Television Inc (3,184) (60,241) – 0.00 % Hakuhodo DY Holdings Inc (11,000) (128,071) – 0.00 % Informa PLC (19,161) (167,052) – 0.00 % Interpublic Group of Cos Inc/T (68,012) (1,452,736) – 0.00 % ITV PLC (137,845) (205,257) – 0.00 % JCDecaux SA (13,321) (304,784) – 0.00 % John Wiley & Sons Inc (6,862) (510,396) – 0.00 % Kadokawa Corp (2,300) (30,054) – 0.00 % Lagardere SCA (9,909) (170,692) – 0.00 % Liberty Global PLC (48,598) (903,437) – 0.00 % Liberty Latin America Ltd (6,987) (106,133) – 0.00 % Meredith Corp (7,724) (203,527) – 0.00 % Nasmedia Co Ltd (55) (1,595) – 0.00 % New Media Investment Group Inc (13,742) (57,716) – 0.00 % New York Times Co 11,767 440,792 – 0.00 % News Corp (85,683) (1,034,622) – 0.00 % Nexstar Media Group Inc (793) (91,179) – 0.00 % Nippon Television Holdings Inc (12,200) (147,120) – 0.00 % Omnicom Group Inc (5,295) (366,838) – 0.00 % OPT Holding Inc (300) (4,553) – 0.00 % ProSiebenSat.1 Media SE (7,382) (89,079) – 0.00 % Publicis Groupe SA (6,354) (244,489) – 0.00 % Schibsted ASA (8,859) (222,333) – 0.00 % The accompanying notes form an integral part of these audited financial statements 79 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Media (continued) Septeni Holdings Co Ltd (10,700) (24,045) – 0.00 % Sirius XM Holdings Inc (147,134) (932,830) – 0.00 % SKY Perfect JSAT Holdings Inc (20,100) (172,867) – 0.00 % Smiles Fidelidade SA (1,400) (10,220) – 0.00 % TEGNA Inc (59,872) (857,367) – 0.00 % Telenet Group Holding NV (8,630) (327,698) – 0.00 % Tokyo Broadcasting System Hold (11,000) (171,304) – 0.00 % Tribune Publishing Co (31) (356) – 0.00 % TV Asahi Holdings Corp (7,100) (119,827) – 0.00 % Vector Inc (22,100) (184,959) – 0.00 % WPP PLC (17,099) (164,454) – 0.00 % Total Media – 0.00 % Metals & Mining AK Steel Holding Corp (79,863) (184,484) – 0.00 % Alamos Gold Inc (379) (2,207) – 0.00 % Alcoa Corp (9,979) (138,409) – 0.00 % Allegheny Technologies Inc (5,405) (92,371) – 0.00 % Aluminum Corp of China Ltd (26,000) (6,906) – 0.00 % Antofagasta PLC (2,931) (28,160) – 0.00 % ArcelorMittal (9,296) (262,512) – 0.00 % Argonaut Gold Inc (10,337) (9,943) – 0.00 % Barrick Gold Corp 364 6,948 – 0.00 % Barrick Gold Corporation 1,883 35,852 – 0.00 % BlueScope Steel Ltd (476) (3,654) – 0.00 % Boliden AB (7,533) (154,378) – 0.00 % Carpenter Technology Corp (8,874) (326,120) – 0.00 % Century Aluminum Co (11,017) (63,899) – 0.00 % Century Iron & Steel Industria 44,049 107,380 – 0.00 % China Molybdenum Co Ltd (399,000) (148,992) – 0.00 % Commercial Metals Co (27,530) (502,698) – 0.00 % Compass Minerals International (4,134) (225,510) – 0.00 % Daido Steel Co Ltd (2,000) (72,594) – 0.00 % Dowa Holdings Co Ltd (8,200) (270,338) – 0.00 % Eramet (2,151) (69,611) – 0.00 % Evolution Mining Ltd 50,887 133,506 – 0.00 % First Quantum Minerals Ltd (4,319) (31,946) – 0.00 % Fortuna Silver Mines Inc (3,748) (10,983) – 0.00 % Freeport-McMoRan Inc (45,315) (451,337) – 0.00 % Godo Steel Ltd (300) (6,853) – 0.00 % Harmony Gold Mining Co Ltd 23,445 83,264 – 0.00 % Haynes International Inc (1,227) (31,055) – 0.00 % Hitachi Metals Ltd (26,792) (382,300) – 0.00 % Hudbay Minerals Inc (15,330) (74,755) – 0.00 % The accompanying notes form an integral part of these audited financial statements 80 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Metals & Mining (continued) Hyundai Steel Co (5,252) (103,956) – 0.00 % IAMGOLD Corp (2,317) (6,600) – 0.00 % Iluka Resources Ltd (24,111) (130,585) – 0.00 % Independence Group NL (25,888) (88,597) – 0.00 % Industrias Penoles SAB de CV (3,979) (35,782) – 0.00 % Ivanhoe Mines Ltd (8,644) (20,174) – 0.00 % Jastrzebska Spolka Weglowa SA (3,775) (12,976) – 0.00 % JFE Holdings Inc (13,733) (127,253) – 0.00 % Jiangxi Copper Co Ltd (9,000) (10,556) – 0.00 % KAZ Minerals PLC (12,804) (67,053) – 0.00 % KGHM Polska Miedz SA (1,459) (26,146) – 0.00 % Kinross Gold Corp 1,587 7,987 – 0.00 % Kobe Steel Ltd (86,025) (319,009) – 0.00 % Koza Anadolu Metal Madencilik 131,016 237,687 – 0.00 % Kyoei Steel Ltd (3,300) (49,896) – 0.00 % Labrador Iron Ore Royalty Corp (870) (12,637) – 0.00 % Lundin Mining Corp (7,122) (36,376) – 0.00 % Lynas Corp Ltd (2,255) (2,702) – 0.00 % MAG Silver Corp (720) (6,109) – 0.00 % Maruichi Steel Tube Ltd (2,500) (60,572) – 0.00 % Mineral Resources Ltd (11,784) (126,649) – 0.00 % Mitsub Steel Mfg (1,300) (9,918) – 0.00 % Mitsubishi Materials Corp (9,300) (212,085) – 0.00 % Mitsui Mining & Smelting Co Ltd (16,800) (402,231) – 0.00 % MMG Ltd (432,000) (88,141) – 0.00 % Nakayama Steel Works Ltd (2,400) (9,122) – 0.00 % Neturen Co Ltd (1,700) (10,706) – 0.00 % New Gold Inc (19,850) (15,245) – 0.00 % Newmont Goldcorp Corp 1,459 65,115 – 0.00 % Nippon Denko Co Ltd (24,400) (32,944) – 0.00 % Nippon Steel Corp (2,350) (26,426) – 0.00 % Norsk Hydro ASA (31,492) (88,831) – 0.00 % Northam Platinum Ltd (19,447) (138,268) – 0.00 % Northern Star Resources Ltd 15,073 131,752 – 0.00 % OceanaGold Corp (5,879) (8,592) – 0.00 % Olympic Steel Inc (2,996) (36,102) – 0.00 % Osaka Steel Co Ltd (500) (6,506) – 0.00 % OSAKA Titanium Technologies Co (9,000) (91,635) – 0.00 % Osisko Gold Royalties Ltd (1,178) (9,688) – 0.00 % Outokumpu Oyj (13,585) (51,047) – 0.00 % OZ Minerals Ltd (17,874) (104,466) – 0.00 % Pacific Metals Co Ltd (18,500) (334,466) – 0.00 % Petra Diamonds Ltd (20,861) (1,106) – 0.00 % Poongsan Corp (601) (10,175) – 0.00 % The accompanying notes form an integral part of these audited financial statements 81 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Metals & Mining (continued) POSCO (277) (44,943) – 0.00 % Premier Gold Mines Ltd (15,501) (14,332) – 0.00 % Ryerson Holding Corp (4,973) (41,425) – 0.00 % Sanyo Special Steel Co Ltd (2,500) (27,165) – 0.00 % SEMAFO Inc (3,686) (7,311) – 0.00 % Sims Metal Management Ltd (12,196) (75,954) – 0.00 % South32 Ltd (91,921) (132,520) – 0.00 % Stelco Holdings Inc (7,184) (38,246) – 0.00 % Sumitomo Metal Mining Co Ltd (8,800) (218,545) – 0.00 % SunCoke Energy Inc (70,384) (324,470) – 0.00 % TA Chen Stainless Pipe 195,718 200,308 – 0.00 % Teck Resources Ltd (3,938) (39,640) – 0.00 % thyssenkrupp AG (35,314) (338,033) – 0.00 % TimkenSteel Corp (7,913) (40,119) – 0.00 % Tokyo Steel Manufacturing Co Ltd (10,200) (64,897) – 0.00 % Topy Industries Ltd (2,300) (32,117) – 0.00 % Turquoise Hill Resources Ltd (87,897) (47,188) – 0.00 % UACJ Corp (4,800) (84,161) – 0.00 % United States Steel Corp (20,542) (164,747) – 0.00 % voestalpine AG (4,546) (98,912) – 0.00 % Western Areas Ltd (56,924) (89,459) – 0.00 % Worthington Industries Inc (8,883) (282,479) – 0.00 % Yamato Kogyo Co Ltd (8,700) (181,828) – 0.00 % Yodogawa Steel Works Ltd (2,100) (35,286) – 0.00 % Zhaojin Mining Industry Co Ltd 116,500 138,880 – 0.00 % Total Metals & Mining – 0.00 % Mortgage Real Estate Investment Colony Credit Real Estate Inc (293) (3,730) – 0.00 % Redwood Trust Inc (31,744) (542,188) – 0.00 % Total Mortgage Real Estate Investment – 0.00 % Multiline Retail Dollar Tree Inc (2,901) (240,870) – 0.00 % El Puerto de Liverpool SAB de (14,231) (66,216) – 0.00 % Fuji Co Ltd/Ehime (2,100) (31,228) – 0.00 % H2O Retailing Corp (16,600) (127,875) – 0.00 % Hyundai Department Store Co Ltd (3,038) (178,759) – 0.00 % Isetan Mitsukoshi Holdings Ltd (83,333) (1,089,683) – 0.00 % J Front Retailing Co Ltd (54,825) (1,163,070) – 0.00 % Lotte Shopping Co Ltd (2,638) (208,423) – 0.00 % Marks & Spencer Group PLC (97,972) (198,268) – 0.00 % Marui Group Co Ltd (25,200) (981,573) – 0.00 % Matsuya Co Ltd (4,600) (27,183) – 0.00 % The accompanying notes form an integral part of these audited financial statements 82 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Metals & Mining (continued) Shinsegae Inc (532) (104,198) – 0.00 % Takashimaya Co Ltd (59,225) (1,105,249) – 0.00 % Tuesday Morning Corp 11,168 18,427 – 0.00 % Woolworths Holdings Ltd/South (151,407) (346,056) – 0.00 % Total Multiline Retail – 0.00 % Multi-Utilities ACEA SpA (1,899) (39,564) – 0.00 % Algonquin Power & Utilities Co 7,555 114,918 – 0.00 % Black Hills Corp (3,540) (255,588) – 0.00 % DTE Energy Co (579) (64,657) – 0.00 % E.ON SE (18,097) (207,627) – 0.00 % Engie SA (17,354) (286,914) – 0.00 % Hera SpA (41,031) (198,479) – 0.00 % Just Energy Group Inc (28,767) (27,455) – 0.00 % RWE AG (10,107) (346,428) – 0.00 % Suez (2,925) – – 0.00 % Veolia Environnement SA (2,669) – – 0.00 % Total Multi-Utilities – 0.00 % Oil Gas & Consumable Fuels Altus Midstream Co (2,486) (3,630) – 0.00 % Antero Resources Corp (54,383) (87,013) – 0.00 % Apache Corp (6,538) (162,927) – 0.00 % ARC Resources Ltd (2,099) (9,140) – 0.00 % Beach Energy Ltd (34,359) (39,159) – 0.00 % Cairn Energy PLC (48,170) (85,605) – 0.00 % California Resources Corp (9,087) (57,702) – 0.00 % Callon Petroleum Co (133,575) (303,215) – 0.00 % Cameco Corp 379 3,281 – 0.00 % Canacol Energy Ltd 9,381 29,938 – 0.00 % Centennial Resource Developmen (21,937) (51,991) – 0.00 % Cheniere Energy Inc (1,560) (80,012) – 0.00 % Cimarex Energy Co 449 14,839 – 0.00 % Clean Energy Fuels Corp (30,154) (68,148) – 0.00 % CNOOC Ltd (1,706,000) (2,338,021) – 0.00 % CNX Resources Corp (2,249) (11,942) – 0.00 % Concho Resources Inc (2,870) (195,217) – 0.00 % CVR Energy Inc (5,771) (164,012) – 0.00 % Diamondback Energy Inc (3,303) (204,786) – 0.00 % Earthstone Energy Inc (3,206) (12,343) – 0.00 % Energy Fuels Inc/Canada (105) (129) – 0.00 % EQT Corp (16,156) (94,836) – 0.00 % Euronav NV (14,362) (129,782) – 0.00 % FLEX LNG Ltd (3,563) (23,184) – 0.00 % The accompanying notes form an integral part of these audited financial statements 83 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Oil Gas & Consumable Fuels (continued) Formosa Petrochemical Corp (150,827) (430,121) – 0.00 % Freehold Royalties Ltd (6,306) (56,611) – 0.00 % Fuji Oil Co Ltd (10,900) (20,462) – 0.00 % Green Plains Inc (3,275) (39,267) – 0.00 % Hess Corp (779) (43,764) – 0.00 % HighPoint Resources Corp (3,914) (2,664) – 0.00 % HollyFrontier Corp (6,907) (232,628) – 0.00 % Husky Energy Inc (4,717) (22,474) – 0.00 % Idemitsu Kosan Co Ltd (8,800) (216,307) – 0.00 % Imperial Oil Limited (426) (9,342) – 0.00 % Imperial Oil Ltd (1,243) (54,478) – 0.00 % Inpex Corp (11,500) (99,213) – 0.00 % JAPEX (1,500) (32,057) – 0.00 % Laredo Petroleum Inc (34,392) (37,143) – 0.00 % Marathon Petroleum Corp (10,968) (520,103) – 0.00 % MEG Energy Corp (1,553) (7,156) – 0.00 % Murphy Oil Corp (117) (2,205) – 0.00 % New Fortress Energy LLC (416) (5,845) – 0.00 % Noble Energy Inc (17,836) (282,344) – 0.00 % Novatek PJSC (484) (69,357) – 0.00 % Oasis Petroleum Inc (98,476) (161,008) – 0.00 % Occidental Petroleum Corp (3,775) (123,594) – 0.00 % Oil Search Ltd (13,286) (47,367) – 0.00 % ONEOK Inc (1,320) – – 0.00 % Origin Energy Ltd (4,864) (22,048) – 0.00 % Overseas Shipholding Group Inc (4,615) (7,938) – 0.00 % Par Pacific Holdings Inc (29,491) (489,256) – 0.00 % PBF Energy Inc (33,871) (758,372) – 0.00 % PDC Energy Inc (4,255) (80,973) – 0.00 % PetroChina Co Ltd (6,184,000) (2,396,484) – 0.00 % Peyto Exploration & Developmen (5,716) (9,376) – 0.00 % PGS ASA 603 – – 0.00 % Polskie Gornictwo Naftowe i Gazownictwo SA (28,314) (22,788) – 0.00 % PrairieSky Royalty Ltd (3,030) (28,128) – 0.00 % Premier Oil PLC (47,730) (47,345) – 0.00 % QEP Resources Inc (114,031) (256,570) – 0.00 % Range Resources Corp (138,062) (382,432) – 0.00 % Repsol SA (138) (1,538) – 0.00 % Royal Dutch Shell PLC (3,339) (70,968) – 0.00 % Sala Corp (1,100) (5,615) – 0.00 % Seven Generations Energy Ltd (886) (3,647) – 0.00 % SINOPEC CORP (5,002,000) (2,580,286) – 0.00 % SK Innovation Co Ltd (1,462) (137,107) – 0.00 % SM Energy Co (3,490) (22,929) – 0.00 % S-Oil Corp (1,636) (90,426) – 0.00 % The accompanying notes form an integral part of these audited financial statements 84 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Oil Gas & Consumable Fuels (continued) Suncor Energy Inc (528) (14,563) – 0.00 % Targa Resources Corp (4,306) (139,514) – 0.00 % TORC Oil & Gas Ltd (2,774) (6,764) – 0.00 % TOTAL SA (1,096) (46,271) – 0.00 % Tourmaline Oil Corp (347) (2,885) – 0.00 % Transocean Ltd (106,062) (355,308) – 0.00 % Ultrapar Participacoes SA (1,800) (7,648) – 0.00 % Unit Corp (50,544) (17,701) – 0.00 % Valero Energy Corp (5,647) (374,114) – 0.00 % Vermilion Energy Inc (1,478) (29,667) – 0.00 % Viva Energy Group Ltd 20,726 23,689 – 0.00 % Washington H Soul Pattinson & (295) (3,740) – 0.00 % Whitecap Resources Inc (685) (2,012) – 0.00 % Williams Cos Inc (18,639) (355,073) – 0.00 % World Fuel Services Corp (6,755) (191,031) – 0.00 % YPF SA (6,732) (53,789) – 0.00 % Total Oil Gas & Consumable Fuels – 0.00 % Paper & Forest Products Boise Cascade Co (4,419) (156,786) – 0.00 % Canfor Pulp Products Inc (12,360) (65,894) – 0.00 % Clearwater Paper Corp (3,771) (102,835) – 0.00 % Daio Paper Corp (14,000) (185,527) – 0.00 % Ence Energia y Celulosa SA (2,518) (8,913) – 0.00 % Hokuetsu Corp (31,400) (127,476) – 0.00 % Interfor Corp (11,870) (105,588) – 0.00 % LEE & MAN PAPER 94,000 73,338 – 0.00 % Mitsubishi Paper Mills Ltd (200) (727) – 0.00 % Nippon Paper Industries Co Ltd (6,300) (91,119) – 0.00 % Norbord Inc (4,155) (110,447) – 0.00 % Oji Holdings Corp (11,500) (54,770) – 0.00 % PH Glatfelter Co (210) (2,995) – 0.00 % Schweitzer-Mauduit International Inc (2,463) (83,052) – 0.00 % Stella-Jones Inc (2,150) (54,650) – 0.00 % Stora Enso Oyj (792) (9,310) – 0.00 % Suzano SA (600) (5,096) – 0.00 % Svenska Cellulosa AB SCA (12,032) (113,918) – 0.00 % West Fraser Timber Co Ltd (2,942) (109,945) – 0.00 % Western Forest Products Inc (155,855) (124,345) – 0.00 % Total Paper & Forest Products – 0.00 % Personal Products Amorepacific Corp (274) (36,611) – 0.00 % AMOREPACIFIC Group (1,167) (60,048) – 0.00 % Coty Inc (49,851) (460,125) – 0.00 % The accompanying notes form an integral part of these audited financial statements 85 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Personal Products (continued) Edgewell Personal Care Co (14,937) (453,487) – 0.00 % elf Beauty Inc (8,042) (128,350) – 0.00 % Fancl Corp (1,500) (36,871) – 0.00 % Herbalife Nutrition Ltd (209) (6,763) – 0.00 % Interparfums SA (647) (22,027) – 0.00 % Jamieson Wellness Inc (2,454) (47,519) – 0.00 % Kobayashi Pharmaceutical Co Ltd (1,000) (72,594) – 0.00 % Kolmar Korea Co Ltd (1,343) (45,642) – 0.00 % L’Oreal SA (246) (65,215) – 0.00 % Ontex Group NV (9,264) (138,589) – 0.00 % Shiseido Co Ltd (800) (47,481) – 0.00 % USANA Health Sciences Inc 3,788 250,387 – 0.00 % Total Personal Products – 0.00 % Pharmaceuticals Aerie Pharmaceuticals Inc (7,137) (124,898) – 0.00 % ALK-Abello A/S (264) (67,036) – 0.00 % Almirall SA (5,674) (147,172) – 0.00 % Amneal Pharmaceuticals Inc (1,000) (3,850) – 0.00 % ANI Pharmaceuticals Inc (1,065) (51,131) – 0.00 % Aquestive Therapeutics Inc (7,722) (28,803) – 0.00 % Arvinas Inc (219) (10,321) – 0.00 % ASKA Pharmaceutical Co Ltd (1,380) (12,430) – 0.00 % Bristol-Myers Squibb Co (12,837) (758,153) – 0.00 % Bukwang Pharmaceutical Co Ltd (1,377) (14,342) – 0.00 % Cara Therapeutics Inc (311) (4,674) – 0.00 % Chugai Pharmaceutical Co Ltd 4,950 536,267 – 0.00 % Collegium Pharmaceutical Inc 12,296 292,030 – 0.00 % Eli Lilly & Co (3,858) (486,610) – 0.00 % Endo International PLC (138,102) (762,323) – 0.00 % EyePoint Pharmaceuticals Inc (10,215) (13,177) – 0.00 % Foamix Pharmaceuticals Ltd (6,766) (24,358) – 0.00 % Hanall Biopharma Co Ltd (902) (17,554) – 0.00 % Hanmi Pharm Co Ltd (171) (37,040) – 0.00 % Hanmi Science Co ltd (1,058) (26,078) – 0.00 % HEC PHARM 28,400 173,287 – 0.00 % Hypera SA (500) (3,819) – 0.00 % Indivior PLC 17,281 9,549 – 0.00 % Intra-Cellular Therapies Inc (1,318) (27,810) – 0.00 % JCR Pharmaceuticals Co Ltd (100) (8,869) – 0.00 % Johnson & Johnson (1,104) (148,466) – 0.00 % Kala Pharmaceuticals Inc (3,207) (17,157) – 0.00 % Kissei Pharmaceutical Co Ltd (1,500) (72,548) – 0.00 % Knight Therapeutics Inc (2,976) (14,801) – 0.00 % LIVZON GROUP 1,600 5,667 – 0.00 % The accompanying notes form an integral part of these audited financial statements 86 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Pharmaceuticals (continued) Mallinckrodt PLC (56,586) (242,188) – 0.00 % Marinus Pharmaceuticals Inc 65,540 163,850 – 0.00 % Merck & Co Inc (3,082) (235,958) – 0.00 % Mylan NV (7,740) (266,101) – 0.00 % Nabriva Therapeutics PLC (6,999) (9,449) – 0.00 % Nektar Therapeutics 14,296 297,500 – 0.00 % Omeros Corp (6,289) (74,902) – 0.00 % Optinose Inc (4,545) (27,497) – 0.00 % Oscotec Inc (77) (1,294) – 0.00 % Perrigo Co PLC (3,818) (193,534) – 0.00 % Pfizer Inc (9,149) (305,760) – 0.00 % Prestige Consumer Healthcare Inc (7,348) (274,521) – 0.00 % QIAGEN NV 10,069 367,720 – 0.00 % RaQualia Pharma Inc (4,380) (40,707) – 0.00 % Reata Pharmaceuticals Inc (914) (178,002) – 0.00 % Recipharm AB (4,902) (66,686) – 0.00 % Revance Therapeutics Inc 365 8,439 – 0.00 % Sam Chun Dang Pharm Co Ltd 1,140 37,371 – 0.00 % Sino Biopharmaceutical Ltd 25,000 36,187 – 0.00 % Sosei Group Corp (5,994) (91,184) – 0.00 % Theragen Etex Co Ltd (1,732) (10,393) – 0.00 % Theravance Biopharma Inc (8,036) (195,677) – 0.00 % Xeris Pharmaceuticals Inc (4,660) (16,590) – 0.00 % Yungjin Pharmaceutical Co Ltd (2,991) (12,436) – 0.00 % Zoetis Inc (2,062) (274,720) – 0.00 % Total Pharmaceuticals – 0.00 % Professional Services Adecco Group AG (1,974) (104,853) – 0.00 % AF POYRY AB (757) (16,921) – 0.00 % Akka Technologies (416) (23,017) – 0.00 % Applus Services SA (1,707) (19,077) – 0.00 % ASGN Inc (12,033) (610,193) – 0.00 % Barrett Business Services Inc (64) (3,834) – 0.00 % BayCurrent Consulting Inc (250) (14,889) – 0.00 % Brunel International NV (6,450) (52,929) – 0.00 % Capita PLC (131,969) (218,004) – 0.00 % CoStar Group Inc (43) (28,706) – 0.00 % Experian PLC (1,502) (49,720) – 0.00 % Exponent Inc 11,532 849,332 – 0.00 % FULLCAST Holdings Co Ltd (400) (6,991) – 0.00 % Funai Soken Holdings Inc (1,500) (34,499) – 0.00 % Hays PLC (17,372) (30,695) – 0.00 % IHS Markit Ltd (6,136) (437,129) – 0.00 % IR Japan Holdings Ltd (2,000) (120,035) – 0.00 % The accompanying notes form an integral part of these audited financial statements 87 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Professional Services (continued) Kelly Services Inc (2,371) (39,382) – 0.00 % Korn Ferry (5,802) (405,908) – 0.00 % Matching Service Japan Co Ltd (1,453) (13,598) – 0.00 % McMillan Shakespeare Ltd (1,664) (11,703) – 0.00 % Mistras Group Inc (2,211) (17,356) – 0.00 % Nielsen Holdings PLC (2,872) (52,299) – 0.00 % Nihon M&A Center Inc (1,500) (45,499) – 0.00 % Nisso Corp (1,600) (10,032) – 0.00 % Nomura Co Ltd (5,300) (48,180) – 0.00 % Outsourcing Inc (3,000) (21,834) – 0.00 % Pasona Group Inc (5,837) (59,755) – 0.00 % Prored Partners Co Ltd (336) (10,875) – 0.00 % Randstad NV (286) (14,695) – 0.00 % RELX PLC (749) (17,871) – 0.00 % SMS Co Ltd (4,800) (91,841) – 0.00 % TechnoPro Holdings Inc (700) (41,559) – 0.00 % Tinexta Spa 4,016 54,160 – 0.00 % TransUnion (120) (10,670) – 0.00 % TriNet Group Inc (5,484) (289,884) – 0.00 % TrueBlue Inc (4,694) (69,847) – 0.00 % Upwork Inc (13,542) (117,341) – 0.00 % Verisk Analytics Inc 58 8,996 – 0.00 % WDB Holdings Co Ltd (300) (6,117) – 0.00 % Willdan Group Inc (115) (3,536) – 0.00 % Total Professional Services – 0.00 % Real Estate Americold Realty Trust (4,733) (145,161) – 0.00 % Automotive Properties Real Estate Investment Trust (1,617) (13,636) – 0.00 % BR Properties SA (900) (2,762) – 0.00 % Chip Eng Seng Corp Ltd 71,400 30,210 – 0.00 % COLOUR LIFE (65,000) (34,364) – 0.00 % Emlak Konut Gayrimenkul Yatiri (569,808) (127,159) – 0.00 % Fantasia Holdings Group Co Ltd (37,500) (7,170) – 0.00 % Lendlease Group (1,161) (13,292) – 0.00 % Quabit Inmobiliaria SA (2,791) (2,517) – 0.00 % Rafael Holdings Inc (800) (15,008) – 0.00 % Ruentex Development Co Ltd (16,006) (21,762) – 0.00 % Total Real Estate – 0.00 % The accompanying notes form an integral part of these audited financial statements 88 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Real Estate Management and Development Agile Group Holdings Ltd 62,000 87,038 – 0.00 % Arealink Co Ltd (1,966) (14,490) – 0.00 % BR Malls Participacoes SA (500) (1,819) – 0.00 % Capital & Counties Properties (67,079) (169,686) – 0.00 % CBRE Group Inc (9,179) (515,309) – 0.00 % CH OVS G OCEANS (7,000) (4,788) – 0.00 % China Aoyuan Group Ltd (23,000) (33,115) – 0.00 % China Evergrande Group (17,000) (38,176) – 0.00 % CHINA JINMAO (62,000) (45,269) – 0.00 % CHINA OVERSEAS (14,000) (46,978) – 0.00 % China Vanke Co Ltd (4,900) (18,863) – 0.00 % CIFI Holdings Group Co Ltd (8,000) (6,108) – 0.00 % CK Asset Holdings Ltd (32,000) (199,976) – 0.00 % Country Garden Holdings Co Ltd 21,000 27,810 – 0.00 % Cushman & Wakefield PLC (12,066) (219,481) – 0.00 % Daibiru Corp (5,741) (63,869) – 0.00 % Dios Fastigheter AB (7,347) (65,038) – 0.00 % Fastighets AB Balder (2,038) (95,110) – 0.00 % FirstService Corp 15 1,490 – 0.00 % GEMDALE PPT 218,000 38,604 – 0.00 % Grainger PLC (4,312) (16,329) – 0.00 % Greentown China Holdings Ltd 26,000 34,231 – 0.00 % Hufvudstaden AB (1,015) (18,065) – 0.00 % Hysan Development Co Ltd (47,000) (169,474) – 0.00 % Ichigo Inc (4,806) (14,578) – 0.00 % Japan Property Management Center Co Ltd (1,500) (15,286) – 0.00 % Jiayuan International Group Ltd 128,000 50,589 – 0.00 % Jones Lang LaSalle Inc (5,609) (828,842) – 0.00 % Kaisa Group Holdings Ltd (120,000) (53,279) – 0.00 % Katitas Co Ltd (3,000) (100,430) – 0.00 % Kennedy-Wilson Holdings Inc (3,536) (71,463) – 0.00 % Kungsleden AB (3,616) (36,959) – 0.00 % KWG Group Holdings Ltd 56,500 82,797 – 0.00 % Logan Property Holdings Co Ltd 46,000 78,507 – 0.00 % Longfor Group Holdings Ltd 17,500 80,955 – 0.00 % Multiplan Empreendimentos Imob (200) (1,359) – 0.00 % Open House Co Ltd (2,000) (50,344) – 0.00 % Relo Group Inc (6,073) (132,597) – 0.00 % Sino Land Co Ltd (182,000) (247,557) – 0.00 % Sunac China Holdings Ltd (20,000) (109,073) – 0.00 % Swire Properties Ltd (56,800) (168,003) – 0.00 % Times China Holdings Ltd 17,000 31,413 – 0.00 % TOC Co Ltd (5,009) (31,684) – 0.00 % Wallenstam AB (9,416) (114,380) – 0.00 % Wharf Holdings Ltd (128,000) (270,029) – 0.00 % The accompanying notes form an integral part of these audited financial statements 89 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Real Estate Management and Development (continued) Wharf Real Estate Investment Co Ltd (5,000) (22,681) – 0.00 % Wihlborgs Fastigheter AB (5,423) (102,790) – 0.00 % Yuexiu Property Co Ltd 62,000 12,650 – 0.00 % Total Real Estate Management and Development – 0.00 % Road & Rail ALD SA (29) (383) – 0.00 % ArcBest Corp (4,515) (89,442) – 0.00 % Avis Budget Group Inc (13,652) (441,984) – 0.00 % CJ Logistics Corp (320) (35,454) – 0.00 % ComfortDelGro Corp Ltd (1,600) (2,237) – 0.00 % Europcar Mobility Group (4,083) (15,423) – 0.00 % Firstgroup PLC (70,284) (105,778) – 0.00 % Fukuyama Transporting Co Ltd (2,267) (67,925) – 0.00 % Heartland Express Inc (30,399) (1,088,892) – 0.00 % Hertz Global Holdings Inc (19,474) (249,072) – 0.00 % Hitachi Transport System Ltd (5,000) (134,369) – 0.00 % Ichinen Holdings Co Ltd (2,840) (29,940) – 0.00 % Keikyu Corp (1,700) (25,751) – 0.00 % Keio Corp (1,600) (76,793) – 0.00 % Mullen Group Ltd (3,952) (46,264) – 0.00 % Nankai Electric Railway Co Ltd (3,343) (73,702) – 0.00 % Nikkon Holdings Co Ltd (1,091) (21,056) – 0.00 % Nippon Express Co Ltd (5,100) (243,834) – 0.00 % Nishi-Nippon Railroad Co Ltd (4,733) (103,865) – 0.00 % Odakyu Electric Railway Co Ltd (650) (12,527) – 0.00 % Ryder System Inc (6,036) (229,609) – 0.00 % Saia Inc (346) (30,209) – 0.00 % Sankyu Inc (3,200) (135,978) – 0.00 % Seino Holdings Co Ltd (20,600) (222,888) – 0.00 % Sixt SE (1,473) (127,680) – 0.00 % Stagecoach Group PLC (53,912) (89,610) – 0.00 % Tobu Railway Co Ltd (500) (14,889) – 0.00 % Tokyu Corp (2,733) (41,854) – 0.00 % US Xpress Enterprises Inc (1,548) (6,672) – 0.00 % YRC Worldwide Inc (22,434) (47,560) – 0.00 % Total Road & Rail – 0.00 % Semiconductors & Semiconductor Equipment Advanced Energy Industries Inc (8,024) (477,227) – 0.00 % Advanced Wireless Semiconductor Co 52 – – 0.00 % AEM Holdings Ltd 36,000 54,989 – 0.00 % Ambarella Inc (1,434) (85,251) – 0.00 % The accompanying notes form an integral part of these audited financial statements 90 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Semiconductors & Semiconductor Equipment (continued) Analog Devices Inc (1,158) (126,280) – 0.00 % ASE Technology Holding Co Ltd (7,000) (16,531) – 0.00 % Axcelis Technologies Inc (1,581) (37,928) – 0.00 % AXT Inc (3,295) (11,467) – 0.00 % Broadcom Inc (232) (63,248) – 0.00 % Brooks Automation Inc (17,239) (594,918) – 0.00 % Cabot Microelectronics Corp (5,272) (734,284) – 0.00 % CEVA Inc (1,612) (45,797) – 0.00 % Cohu Inc (2,292) (46,917) – 0.00 % Cree Inc (4,313) (192,920) – 0.00 % Daqo New Energy Corp 172 11,278 – 0.00 % Eo Technics Co Ltd (105) (7,703) – 0.00 % Epistar Corp (76,000) (73,503) – 0.00 % Ferrotec Holdings Corp (8,800) (105,794) – 0.00 % FormFactor Inc (13,594) (304,098) – 0.00 % Hua Hong Semiconductor Ltd (31,000) (67,466) – 0.00 % Ichor Holdings Ltd (6,021) (174,127) – 0.00 % Innox Advanced Materials Co Ltd (958) (33,194) – 0.00 % Japan Electronic Materials Corp (5,000) (38,193) – 0.00 % Japan Material Co Ltd (6,700) (79,556) – 0.00 % JinkoSolar Holding Co Ltd 351 8,017 – 0.00 % KLA Corp (1,689) (259,616) – 0.00 % Koh Young Technology Inc 595 47,109 – 0.00 % Kopin Corp (5,908) (1,867) – 0.00 % Lattice Semiconductor Corp (1,409) (25,292) – 0.00 % MACOM Technology Solutions Hold (8,326) (210,398) – 0.00 % MaxLinear Inc (14,660) (226,644) – 0.00 % Melexis NV (1,797) (123,148) – 0.00 % Meyer Burger Technology AG (124,620) (35,558) – 0.00 % Microchip Technology Inc (1,033) (93,703) – 0.00 % Micron Technology Inc (8,046) (422,898) – 0.00 % Mimasu Semiconductor Industry (5,700) (105,266) – 0.00 % Miraial Co Ltd (300) (2,758) – 0.00 % Mitsui High-Tec Inc (12,000) (151,921) – 0.00 % MKS Instruments Inc (4,011) (401,862) – 0.00 % Nanometrics Inc (13,048) (398,877) – 0.00 % NeoPhotonics Corp (1,620) (10,708) – 0.00 % Nordic Semiconductor ASA (11,423) (59,633) – 0.00 % NVIDIA Corp 2,781 751,065 – 0.00 % Pixart Imaging Inc (2,000) (12,354) – 0.00 % Pixelworks Inc 25,883 110,262 – 0.00 % Rambus Inc (32,041) (447,933) – 0.00 % Rorze Corp (1,200) (36,732) – 0.00 % Sanken Electric Co Ltd (4,100) (96,950) – 0.00 % The accompanying notes form an integral part of these audited financial statements 91 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Semiconductors & Semiconductor Equipment (continued) SCREEN Holdings Co Ltd (2,000) (101,170) – 0.00 % Semtech Corp (1,546) (61,052) – 0.00 % Shinko Electric Industries Co (5,200) (57,081) – 0.00 % Silicon Laboratories Inc (3,673) (325,722) – 0.00 % SOITEC (413) (33,618) – 0.00 % SolarEdge Technologies Inc 386 48,142 – 0.00 % Synaptics Inc (1,574) (103,963) – 0.00 % Teradyne Inc (1,533) (90,079) – 0.00 % Towa Corp (4,600) (38,200) – 0.00 % Ultra Clean Holdings Inc (1,941) (40,586) – 0.00 % Veeco Instruments Inc (6,580) (88,106) – 0.00 % WONIK IPS Co Ltd (314) (8,117) – 0.00 % Xinyi Solar Holdings Ltd 240,000 190,018 – 0.00 % Xperi Corp 34,573 594,310 – 0.00 % Total Semiconductors & Semiconductor Equipment – 0.00 % Software 2U Inc (3,479) (81,791) – 0.00 % 8x8 Inc (33,110) (612,535) – 0.00 % ACI Worldwide Inc (19,880) (554,056) – 0.00 % Agilysys Inc (1,195) (38,395) – 0.00 % Alarm.com Holdings Inc 3,737 180,310 – 0.00 % Alteryx Inc (1,098) (153,303) – 0.00 % American Software Inc/GA 2,155 35,450 – 0.00 % ANSYS Inc (543) (131,509) – 0.00 % Appian Corp (7,080) (312,582) – 0.00 % Asteria Corp (3,600) (14,016) – 0.00 % Asure Software Inc 9,507 80,144 – 0.00 % Blackbaud Inc (3,752) (254,386) – 0.00 % BlackBerry Ltd (9,987) (103,210) – 0.00 % Blackline Inc (3,024) (189,212) – 0.00 % Blue Prism Group plc (6,072) (112,175) – 0.00 % Bottomline Technologies DE Inc (2,031) (89,933) – 0.00 % Bravura Solutions Ltd (5,625) (16,438) – 0.00 % ChannelAdvisor Corp (2,037) (19,392) – 0.00 % Cloudera Inc (7,962) (70,862) – 0.00 % Coupa Software Inc (2,330) (348,918) – 0.00 % Cybozu Inc (4,900) (82,426) – 0.00 % Digimarc Corp (2,624) (52,480) – 0.00 % Digital Turbine Inc (9,266) (56,801) – 0.00 % DocuSign Inc 74 6,387 – 0.00 % Domo Inc (11,217) (236,567) – 0.00 % Dropbox Inc 10,018 195,952 – 0.00 % The accompanying notes form an integral part of these audited financial statements 92 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Software (continued) Ebix Inc (3,570) (94,391) – 0.00 % eGain Corp (5,644) (45,604) – 0.00 % Elastic NV 85 6,278 – 0.00 % eSOL Co Ltd (500) (7,051) – 0.00 % Everbridge Inc 348 36,770 – 0.00 % FFRI Inc (1,600) (30,850) – 0.00 % First Derivatives PLC (199) (7,030) – 0.00 % Fuji Soft Inc (1,800) (59,342) – 0.00 % Infomart Corp (5,000) (29,500) – 0.00 % IRESS Ltd (2,172) (16,728) – 0.00 % j2 Global Inc (30) (2,620) – 0.00 % Justsystems Corp (1,200) (57,262) – 0.00 % KINGDEE INT’L (4,000) (5,117) – 0.00 % Learning Technologies Group PLC (38,978) (68,522) – 0.00 % LivePerson Inc (7,139) (188,898) – 0.00 % Microsoft Corp (5,674) (919,245) – 0.00 % MobileIron Inc (1,065) (4,313) – 0.00 % Money Forward Inc (3,700) (157,396) – 0.00 % m-up Inc (1,100) (22,207) – 0.00 % nearmap Ltd (63,412) (67,741) – 0.00 % Nemetschek SE (460) (28,488) – 0.00 % Neos Corp (2,900) (14,294) – 0.00 % Nutanix Inc (16,069) (383,085) – 0.00 % OBIC Bus Consult (2,400) (83,340) – 0.00 % OneSpan Inc (3,227) (53,278) – 0.00 % Oracle Corp (14,774) (730,722) – 0.00 % Paylocity Holding Corp (114) (14,765) – 0.00 % Pluralsight Inc (12,280) (218,952) – 0.00 % Progress Software Corp (7,330) (273,336) – 0.00 % PROS Holdings Inc (3,476) (159,166) – 0.00 % Q2 Holdings Inc (3,380) (254,751) – 0.00 % Rakus Co Ltd (700) (9,846) – 0.00 % Rapid7 Inc (7,150) (331,045) – 0.00 % RealPage Inc 5,702 365,498 – 0.00 % RingCentral Inc 2,005 472,679 – 0.00 % SAP SE (10,891) (1,344,144) – 0.00 % SecureWorks Corp (1,054) (14,640) – 0.00 % Smartsheet Inc (3,382) (156,587) – 0.00 % Sourcenext Corp (30,600) (87,724) – 0.00 % Systems Engineering Consultant (800) (22,971) – 0.00 % Systena Corp (2,100) (27,091) – 0.00 % TeamSpirit Inc (700) (12,422) – 0.00 % Telenav Inc (3,089) (18,426) – 0.00 % Tenable Holdings Inc (2,401) (58,873) – 0.00 % TiVo Corp 48,147 364,473 – 0.00 % The accompanying notes form an integral part of these audited financial statements 93 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Software (continued) Tyler Technologies Inc (50) (15,668) – 0.00 % Upland Software Inc (1,218) (47,392) – 0.00 % Varonis Systems Inc (3,407) (273,310) – 0.00 % WiseTech Global Ltd (8,074) (79,173) – 0.00 % Workiva Inc (3,499) (149,547) – 0.00 % Yext Inc (25,613) (388,293) – 0.00 % Zix Corp 4,953 39,030 – 0.00 % Zscaler Inc (5,079) (264,057) – 0.00 % Zuora Inc (15,960) (211,310) – 0.00 % Total Software – 0.00 % Specialty Retail Aaron’s Inc (1,581) (62,181) – 0.00 % ABC-Mart Inc (100) (5,697) – 0.00 % Adastria Co Ltd (6,800) (110,048) – 0.00 % Advance Auto Parts Inc (1,782) (236,970) – 0.00 % America’s Car-Mart Inc/TX (14) (1,439) – 0.00 % AOKI Holdings Inc (1,200) (10,076) – 0.00 % Aoyama Trading Co Ltd (10,500) (117,007) – 0.00 % Ascena Retail Group Inc (4,726) (17,959) – 0.00 % At Home Group Inc (13,674) (68,370) – 0.00 % Autobacs Seven Co Ltd (9,700) (124,059) – 0.00 % Barnes & Noble Education Inc (17,259) (57,127) – 0.00 % Bed Bath & Beyond Inc (5,024) (54,309) – 0.00 % Bic Camera Inc (20,900) (184,193) – 0.00 % Big 5 Sporting Goods Corp (1,616) (3,604) – 0.00 % Boot Barn Holdings Inc (7,410) (227,265) – 0.00 % Caleres Inc (33,574) (774,216) – 0.00 % Card Factory PLC 2,287 2,300 – 0.00 % Carvana Co (7,079) (586,920) – 0.00 % CECONOMY AG (13,785) (65,355) – 0.00 % Chiyoda Co Ltd (200) (2,251) – 0.00 % Container Store Group Inc (6,889) (26,040) – 0.00 % Designer Brands Inc (26,983) (364,540) – 0.00 % Dixons Carphone PLC (82,787) (128,720) – 0.00 % Dufry AG (1,965) (142,647) – 0.00 % EDION Corp (1,600) (13,405) – 0.00 % Express Inc (28,958) (107,145) – 0.00 % Floor & Decor Holdings Inc (3,164) (161,522) – 0.00 % Fnac Darty SA (224) (10,132) – 0.00 % Foschini Group Ltd (28,498) (227,253) – 0.00 % Genesco Inc (8,658) (297,922) – 0.00 % GNC Holdings Inc (28,565) (47,989) – 0.00 % Guess? Inc (10,812) (175,154) – 0.00 % Halfords Group PLC (3,530) (6,765) – 0.00 % The accompanying notes form an integral part of these audited financial statements 94 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Specialty Retail (continued) Hikari Tsushin Inc (500) (94,743) – 0.00 % IDOM Inc (18,900) (89,488) – 0.00 % Joshin Denki Co Ltd (800) (13,324) – 0.00 % Joyful Honda Co Ltd (4,400) (46,264) – 0.00 % Kohnan Shoji Co Ltd (500) (10,052) – 0.00 % Kojima Co Ltd (3,800) (14,197) – 0.00 % Komeri Co Ltd (11,600) (209,183) – 0.00 % K’s Holdings Corp (8,300) (91,109) – 0.00 % Maisons du Monde SA (2,266) (27,593) – 0.00 % MarineMax Inc (2,426) (41,072) – 0.00 % Mekonomen AB (5,851) (45,872) – 0.00 % Mr Price Group Ltd (12,060) (116,403) – 0.00 % National Vision Holdings Inc (5,596) (194,853) – 0.00 % Nextage Co Ltd (8,000) (62,810) – 0.00 % Nishimatsuya Chain Co Ltd (1,000) (7,213) – 0.00 % Party City Holdco Inc (42,565) (84,704) – 0.00 % Rent-A-Center Inc/TX (8,393) (178,687) – 0.00 % SA SA INT’L 26,000 4,938 – 0.00 % Sanrio Co Ltd (200) (3,018) – 0.00 % Shimachu Co Ltd (7,100) (173,930) – 0.00 % Shimamura Co Ltd (3,400) (226,698) – 0.00 % Signet Jewelers Ltd (808) (18,843) – 0.00 % Sleep Country Canada Holdings (1,611) (21,946) – 0.00 % SMCP SA (3,387) (23,584) – 0.00 % Sonic Automotive Inc (4,741) (132,748) – 0.00 % Superdry PLC (889) (3,521) – 0.00 % Tailored Brands Inc (6,963) (22,769) – 0.00 % TJX Cos Inc 6,880 411,424 – 0.00 % Tokyo Base Co Ltd (5,400) (18,826) – 0.00 % United Arrows Ltd (1,500) (33,444) – 0.00 % USS Co Ltd (5,500) (86,771) – 0.00 % Via Varejo SA (200) (615) – 0.00 % World Co Ltd (300) (5,585) – 0.00 % Xebio Holdings Co Ltd (2,500) (22,726) – 0.00 % Yamada Denki Co Ltd (24,400) (117,109) – 0.00 % Zhongsheng Group Holdings Ltd 41,000 155,994 – 0.00 % Total Specialty Retail – 0.00 % Technology Hardware & Equipment NCR Corp (6,489) (163,523) – 0.00 % Total Technology Hardware & Equipment – 0.00 % The accompanying notes form an integral part of these audited financial statements 95 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Technology Hardware Storage & Peripheral 3D Systems Corp (9,802) (89,786) – 0.00 % Acer Inc (115,682) (62,646) – 0.00 % Asia Vital Components Co Ltd (25,489) (27,860) – 0.00 % Asustek Computer Inc (3,991) (27,231) – 0.00 % Avid Technology Inc (2,139) (15,807) – 0.00 % Catcher Technology Co Ltd (10,011) (78,584) – 0.00 % CMC Magnetics Corp (94,943) (25,157) – 0.00 % Dell Technologies Inc (287) (11,612) – 0.00 % Diebold Nixdorf Inc (24,067) (168,950) – 0.00 % Eizo Corp (1,200) (38,341) – 0.00 % Eurotech SpA (9,487) (70,232) – 0.00 % Hewlett Packard Enterprise Co (102,455) (1,310,399) – 0.00 % HP Inc (14,034) (291,767) – 0.00 % Neopost SA (836) (17,767) – 0.00 % NetApp Inc (2,615) (122,173) – 0.00 % Pegatron Corp (13,925) (28,918) – 0.00 % Primax Electronics Ltd (21,000) (34,047) – 0.00 % Pure Storage Inc (18,036) (275,229) – 0.00 % S&T AG (7,685) (167,802) – 0.00 % Western Digital Corp (17,501) (972,356) – 0.00 % Total Technology Hardware Storage & Peripheral – 0.00 % Textiles Apparel & Luxury Goods Asics Corp (14,800) (158,628) – 0.00 % Capri Holdings Ltd (13,026) (336,331) – 0.00 % CCC SA (2,742) (50,121) – 0.00 % Descente Ltd (4,000) (54,561) – 0.00 % Fossil Group Inc (12,909) (59,252) – 0.00 % Geox SpA (13,656) (13,835) – 0.00 % G-III Apparel Group Ltd (15,878) (355,032) – 0.00 % Gunze Ltd (200) (7,084) – 0.00 % Hansae Co Ltd (2,414) (27,247) – 0.00 % Japan Wool Textile Co Ltd (5,400) (44,744) – 0.00 % Komatsu Matere Co Ltd (1,400) (9,516) – 0.00 % Kurabo Industries Ltd (400) (7,202) – 0.00 % Li & Fung Ltd (1,106,000) (92,250) – 0.00 % Movado Group Inc (6,472) (95,138) – 0.00 % Onward Holdings Co Ltd (31,000) (149,933) – 0.00 % OVS SpA (74,449) (120,794) – 0.00 % PVH Corp (1,974) (146,293) – 0.00 % Ruentex Industries Ltd (10,876) (24,351) – 0.00 % Seiren Co Ltd (1,100) (14,119) – 0.00 % Swatch Group AG (413) (94,743) – 0.00 % Tapestry Inc (4,327) (101,468) – 0.00 % The accompanying notes form an integral part of these audited financial statements 96 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Textiles Apparel & Luxury Goods (continued) TSI Holdings Co Ltd (7,100) (27,445) – 0.00 % Unifi Inc (496) (10,600) – 0.00 % Unitika Ltd (7,600) (20,382) – 0.00 % Yondoshi Holdings Inc (1,200) (22,849) – 0.00 % Total Textiles Apparel & Luxury Goods – 0.00 % Thrifts & Mortgage Finance Axos Financial Inc (11,268) (280,686) – 0.00 % Dime Community Bancshares Inc (795) (13,340) – 0.00 % Farmer Mac 928 69,656 – 0.00 % Home Capital Group Inc (355) (7,531) – 0.00 % LendingTree Inc (1,729) (476,893) – 0.00 % Meta Financial Group Inc (22,845) (750,458) – 0.00 % Northwest Bancshares Inc (18,345) (254,812) – 0.00 % OceanFirst Financial Corp (1,354) (27,676) – 0.00 % Ocwen Financial Corp (14,574) (18,218) – 0.00 % PennyMac Financial Services Inc (1,912) (67,417) – 0.00 % Timbercreek Financial Corp (4,127) (29,480) – 0.00 % WSFS Financial Corp (4,992) (172,024) – 0.00 % Total Thrifts & Mortgage Finance – 0.00 % Tobacco Altria Group Inc (22,975) (927,501) – 0.00 % British American Tobacco PLC (30,728) (1,202,279) – 0.00 % Imperial Brands PLC (55,414) (1,100,751) – 0.00 % Philip Morris International Inc (9,816) (803,636) – 0.00 % Swedish Match AB (1,129) (65,260) – 0.00 % Turning Point Brands Inc 3,525 92,179 – 0.00 % Universal Corp/VA (2,774) (136,897) – 0.00 % Total Tobacco – 0.00 % Trading Companies & Distributor Air Lease Corp (1,408) (63,064) – 0.00 % Alconix Corp (900) (9,255) – 0.00 % Applied Industrial Technologies Inc (8,732) (515,101) – 0.00 % Beacon Roofing Supply Inc (3,714) (110,306) – 0.00 % BlueLinx Holdings Inc (3,713) (43,628) – 0.00 % Bossard Holding AG (34) (4,626) – 0.00 % Brenntag AG (7,456) (331,427) – 0.00 % CAI International Inc (358) (8,857) – 0.00 % DXP Enterprises Inc/TX (1,960) (55,644) – 0.00 % Finning International Inc (9,238) (273,596) – 0.00 % GMS Inc (15,744) (359,750) – 0.00 % Hanwa Co Ltd (400) (16,387) – 0.00 % Herc Holdings Inc (5,695) (208,893) – 0.00 % The accompanying notes form an integral part of these audited financial statements 97 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Trading Companies & Distributor (continued) Inaba Denki Sangyo Co Ltd (400) (8,844) – 0.00 % Indutrade AB (1,650) (52,903) – 0.00 % Japan Pulp & Paper Co Ltd (200) (6,436) – 0.00 % Kaman Corp (486) (26,954) – 0.00 % Nagase & Co Ltd (6,712) (161,011) – 0.00 % Posco International Corp (2,774) (34,418) – 0.00 % Russel Metals Inc (10,081) (296,157) – 0.00 % Seika Corp (900) (9,596) – 0.00 % Seven Group Holdings Ltd (285) (3,252) – 0.00 % SIG PLC (90,028) (72,577) – 0.00 % SiteOne Landscape Supply Inc (4,606) (457,146) – 0.00 % Titan Machinery Inc (3,595) (36,345) – 0.00 % Toromont Industries Ltd (1,289) (63,780) – 0.00 % United Rentals Inc (4,183) (554,164) – 0.00 % Univar Solutions Inc (9,594) (163,002) – 0.00 % Veritiv Corp (3,292) (39,636) – 0.00 % WESCO International Inc (939) (38,095) – 0.00 % Yamazen Corp (2,533) (20,379) – 0.00 % Yuasa Trading Co Ltd (427) (12,024) – 0.00 % Total Trading Companies & Distributor – 0.00 % Transportation Infrastructure BBA Aviation PLC (12,748) (45,538) – 0.00 % CCR SA (900) (3,273) – 0.00 % CHINA MER PORT (28,000) (41,176) – 0.00 % COSCO SHIPPING Ports Ltd (44,000) (29,303) – 0.00 % EcoRodovias Infraestrutura e Logistica SA (200) (703) – 0.00 % Flughafen Zurich AG (313) (47,113) – 0.00 % Japan Airport Terminal Co Ltd (700) (27,318) – 0.00 % Kamigumi Co Ltd (10,900) (208,958) – 0.00 % Mitsubishi Logistics Corp (4,100) (94,448) – 0.00 % Sumitomo Warehouse Co Ltd (5,818) (67,953) – 0.00 % Total Transportation Infrastructure – 0.00 % Utilities Canvest Environmental Protection Group Co Ltd 110,000 53,074 – 0.00 % GCL New Energy Holdings Ltd (382,000) (6,863) – 0.00 % RENOVA Inc (1,577) (13,942) – 0.00 % Total Utilities – 0.00 % Water Utilities Aqua America Inc (7,602) (326,962) – 0.00 % Middlesex Water Co (1,957) (116,383) – 0.00 % SJW Group (33) (2,019) – 0.00 % Total Water Utilities – 0.00 % The accompanying notes form an integral part of these audited financial statements 98 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Wireless Telecommunication Services Boingo Wireless Inc (11,704) (148,290) – 0.00 % China Mobile Ltd (140,500) (1,105,185) – 0.00 % Millicom International Cellular SA (4,755) (216,407) – 0.00 % NII Holdings Inc (2,003) – – 0.00 % Rogers Communications Inc (66) (3,027) – 0.00 % StarHub Ltd 80,800 86,337 – 0.00 % Tele2 AB (15,127) (217,895) – 0.00 % TIM Participacoes SA (1,200) (4,310) – 0.00 % T-Mobile US Inc 6,797 612,818 – 0.00 % Vodafone Group PLC (135,770) (233,061) – 0.00 % Total Wireless Telecommunication Services – 0.00 % Unrealised gains on contracts for differences* – 0.00 % * At the close of business on 29 February 2020, the Fund had entered into a number of contracts for difference (“CFD”) trades. These positions were open as at 29 February 2020 but have a fair value of USDNil as the monthly realisation of gains and losses on these positions were crystallised upon the monthly reset of the CFD positions, as outlined in the Note 11. The accompanying notes form an integral part of these audited financial statements 99 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial assets at fair value through profit or loss (28 February 2019: 70.01%) (continued) Investment in futures contracts (28 February 2019: 1.08%) Fair value % of Currency Description Notional USD Net assets 83 of 6% 10 Year Australian T Bonds (Day Session) AUD (SFE) Mar-20 53,900 196,073 0.02 % EUR 5 of Euro Bund Jun-20 5,500 88 0.00 % EUR 23 of Euro Bund Mar-20 25,300 115,093 0.01 % EUR 51 of Euro-BTP Future Mar-20 56,100 215,105 0.03 % EUR 59 of Euro-OAT Future Mar-20 64,900 300,289 0.04 % EUR 7 of Short Term Euro-BTP Future Jun-20 7,700 22 0.00 % EUR 21 of Short Term Euro-BTP Future Mar-20 23,100 10,868 0.00 % MXN 6 of Mexican Bolsa Index Future Mar-20 (126,491) 8,470 0.00 % PLN 2 of WIG20 Index Mar-20 (17,783) 483 0.00 % SGD 119 of MSCI Singapore Index Mar-20 (2,936,064) 157,779 0.02 % TRY 86 of BIST 30 Futures Apr-20 (176,247) 9,905 0.00 % USD 259 of 10 Year US Government Treasury Note Jun-20 259,000 507,820 0.06 % USD 32 of 3 Month Eurodollar Future Dec-21 CME 80,000 35,325 0.00 % USD 5 of 3 Month Eurodollar Future Mar-22 CME 12,500 388 0.00 % USD 225 of Australian Dollar Future Mar-20 CME (225,000) 81,970 0.01 % USD 649 of E-Mini Russell 2000 Index Mar-20 CME (47,860,505) 5,927,764 0.70 % USD 1904 of Euro FX (Day Session) Mar-20 (238,000,000) 2,486,735 0.30 % USD 105 of Ultra Long Term US Treasury Bond Jun-20 105,000 639,328 0.08 % USD 171 of US Long Bond Jun-20 171,000 717,055 0.09 % Unrealised gains on futures contracts 11,410,560 1.36 % Total derivative assets 12,022,541 1.43 % Total financial assets at fair value through profit or loss 626,434,496 74.46 % The accompanying notes form an integral part of these audited financial statements 100 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) Investment in forward foreign currency exchange contracts (28 February 2019: (0.27)%) Fair value % of Currency Buy Sell USD Net assets Forward contracts included in trading portfolio (all expire between 03/03/2020 and 29/05/2020) BRL/USD 2,102,500 477,841 (9,641) 0.00 % EUR/USD 27,539 30,375 (82) 0.00 % IDR/USD 353,734,370,000 25,600,014 (1,426,839) (0.17) % INR/USD 4,788,814,560 66,519,532 (1,028,163) (0.12) % PHP/USD 290,327,500 5,700,000 (37,421) 0.00 % PLN/EUR 63,500,000 14,773,740 (129,023) (0.02) % RUB/USD 935,760,754 14,596,599 (688,770) (0.08) % SEK/EUR 101,000,000 9,613,718 (146,064) (0.02) % SEK/USD 95,548 9,882 (12) 0.00 % TRY/USD 25,000,000 4,208,221 (225,595) (0.03) % USD/CNH 2,775,325 19,500,000 (14,614) 0.00 % USD/KRW 8,064,384 9,769,116,000 (41,211) 0.00 % USD/MYR 4,900,000 20,770,200 (22,636) 0.00 % ZAR/USD 167,000,000 11,261,842 (609,983) (0.07) % (4,380,054) (0.51) % Forward contracts for hedging currency risk (all expire between 02/03/2020 and 04/03/2020) CHF/USD 585,820 608,351 (2,683) 0.00 % EUR/USD 351,796,097 389,549,619 (2,544,169) (0.30) % GBP/USD 291,693,490 381,301,028 (8,617,780) (1.04) % (11,164,632) (1.34) % Unrealised losses on forward foreign currency exchange contracts (15,544,686) (1.85) % The accompanying notes form an integral part of these audited financial statements 101 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) Fair value % of Security Quantity Notional USD Net assets Aerospace & Defense Aerojet Rocketdyne Holdings Inc 5,456 268,872 – 0.00 % Airbus SE 1,571 186,808 – 0.00 % Arconic Inc 15,277 448,380 – 0.00 % Astronics Corp 2,977 60,344 – 0.00 % AVICHINA (188,000) (81,782) – 0.00 % BAE Systems PLC 62,540 486,118 – 0.00 % Boeing Co 42 11,555 – 0.00 % BWX Technologies Inc 4,986 273,432 – 0.00 % CAE Inc 17,135 458,799 – 0.00 % Ducommun Inc (140) (6,251) – 0.00 % Hanwha Aerospace Co Ltd 2,606 59,476 – 0.00 % Hexcel Corp 3,952 255,418 – 0.00 % Huntington Ingalls Industries 541 111,192 – 0.00 % Kongsberg Gruppen ASA 5,272 87,631 – 0.00 % Leonardo SpA 12,890 130,986 – 0.00 % Lockheed Martin Corp 1,859 687,588 – 0.00 % Maxar Technologies Inc 7,470 113,619 – 0.00 % Meggitt PLC 36,263 251,106 – 0.00 % MTU Aero Engines AG 1,394 338,421 – 0.00 % National Presto Industries Inc 5,573 437,926 – 0.00 % Northrop Grumman Corp (389) (185,137) – 0.00 % Park Aerospace Corp 8,177 113,742 – 0.00 % QinetiQ Group PLC 83,672 367,734 – 0.00 % Raytheon Co 4,068 767,062 – 0.00 % Rolls-Royce Holdings PLC (1,496) (11,850) – 0.00 % Safran SA 3,598 491,163 – 0.00 % Spirit AeroSystems Holdings Inc 9,193 485,758 – 0.00 % ST Engineering 43,800 130,981 – 0.00 % Textron Inc 2,273 92,284 – 0.00 % Thales SA 4,316 431,082 – 0.00 % Ultra Electronics Holdings PLC 13,556 336,857 – 0.00 % Vectrus Inc 1,395 72,666 – 0.00 % Total Aerospace & Defense – 0.00 % Air Freight & Logistics Air Transport Services Group Inc 1,104 19,762 – 0.00 % Bollore SA 600 2,049 – 0.00 % bpost SA 12,024 97,981 – 0.00 % CH Robinson Worldwide Inc 6,583 453,569 – 0.00 % Cia de Distribucion Integral Logista Holdings SA 10,133 204,758 – 0.00 % Deutsche Post AG 5,998 178,932 – 0.00 % Expeditors International of Washington 9,628 678,004 – 0.00 % Forward Air Corp 314 18,529 – 0.00 % Imperial Logistics Ltd 12,614 36,677 – 0.00 % Mitsui-Soko Holdings Co Ltd 500 7,259 – 0.00 % The accompanying notes form an integral part of these audited financial statements 102 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Air Freight & Logistics (continued) Oesterreichische Post AG 7,290 231,749 – 0.00 % Radiant Logistics Inc 4,974 21,886 – 0.00 % Royal Mail PLC 32,844 68,166 – 0.00 % SG Holdings Co Ltd 2,373 46,699 – 0.00 % United Parcel Service Inc 4,557 412,363 – 0.00 % Total Air Freight & Logistics – 0.00 % Airlines Alaska Air Group Inc 6,721 339,142 – 0.00 % Allegiant Travel Co 3,843 520,880 – 0.00 % ANA Holdings Inc 6,370 171,275 – 0.00 % China Airlines Ltd (7,736) (2,091) – 0.00 % Chorus Aviation Inc 1,210 5,855 – 0.00 % Dart Group PLC 12,430 195,172 – 0.00 % Deutsche Lufthansa AG 12,978 166,884 – 0.00 % easyJet PLC 946 13,301 – 0.00 % Eva Airways Corp 67,120 26,788 – 0.00 % Exchange Income Corp 832 25,329 – 0.00 % Finnair Oyj 10,697 56,198 – 0.00 % Hawaiian Holdings Inc 11,873 247,908 – 0.00 % International Consolidated Airlines Group SA 3,248 19,665 – 0.00 % Japan Airlines Co Ltd 16,500 408,628 – 0.00 % JetBlue Airways Corp 22,348 352,651 – 0.00 % Mesa Air Group Inc 18,895 109,024 – 0.00 % Pegasus Hava Tasimaciligi AS 16,799 145,640 – 0.00 % Ryanair Holdings PLC 1,583 21,340 – 0.00 % Singapore Airlines Ltd 500 2,869 – 0.00 % SkyWest Inc 3,333 151,318 – 0.00 % Southwest Airlines Co 12,436 574,419 – 0.00 % United Airlines Holdings Inc 2,448 150,772 – 0.00 % Total Airlines – 0.00 % Auto Components Cheng Shin Rubber Industry Co (106,264) (139,200) – 0.00 % CIE Automotive SA 3,758 75,483 – 0.00 % Cie Plastic Omnium SA 523 11,483 – 0.00 % Cooper Tire & Rubber Co 5,255 133,950 – 0.00 % Daido Metal Co Ltd 6,200 33,656 – 0.00 % Daikyonishikawa Corp 4,600 25,779 – 0.00 % Delphi Technologies PLC 3,668 51,792 – 0.00 % Dometic Group AB 2,875 24,262 – 0.00 % Eagle Industry Co Ltd 2,000 15,148 – 0.00 % Exedy Corp 2,600 48,497 – 0.00 % FCC Co Ltd 1,300 23,215 – 0.00 % Freni Brembo SpA 5,299 52,693 – 0.00 % The accompanying notes form an integral part of these audited financial statements 103 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Auto Components (continued) Fujikura Composites Inc 5,200 17,889 – 0.00 % Garrett Motion Inc 25,893 179,697 – 0.00 % Gentex Corp 21,882 584,249 – 0.00 % Gestamp Automocion SA 4,309 14,931 – 0.00 % G-Tekt Corp 1,600 19,280 – 0.00 % Hanon Systems (80) (700) – 0.00 % Hyundai Mobis Co Ltd 131 22,831 – 0.00 % Ichikoh Industries Ltd 7,500 45,291 – 0.00 % Kasai Kogyo Co Ltd 2,300 14,038 – 0.00 % Lear Corp 1,016 112,979 – 0.00 % Magna International Inc 127 5,785 – 0.00 % Martinrea International Inc 1,613 13,831 – 0.00 % Musashi Seimitsu Industry Co Ltd 6,400 70,490 – 0.00 % Nexteer Automotive Group Ltd 57,000 41,984 – 0.00 % Nichirin Co Ltd 2,000 29,537 – 0.00 % Nifco Inc/Japan 4,200 101,801 – 0.00 % Nihon Tokushu Toryo Co Ltd 100 927 – 0.00 % Nippon Piston Ring Co Ltd 1,700 20,343 – 0.00 % Nippon Seiki Co Ltd 3,400 44,805 – 0.00 % Nissin Kogyo Co Ltd 8,800 181,884 – 0.00 % Piolax Inc 700 10,040 – 0.00 % Pirelli & C SpA 6,457 30,208 – 0.00 % Press Kogyo Co Ltd 10,500 30,101 – 0.00 % SAF-Holland SA 4,273 25,946 – 0.00 % Shiloh Industries Inc (318) (1,100) – 0.00 % Shoei Co Ltd 300 13,331 – 0.00 % Standard Motor Products Inc 660 29,040 – 0.00 % Stoneridge Inc 4,719 104,290 – 0.00 % Suminoe Textile Co Ltd 600 10,820 – 0.00 % Tokai Rika Co Ltd 300 4,514 – 0.00 % Topre Corp 1,200 15,636 – 0.00 % Toyo Tire Corp (36,700) (487,365) – 0.00 % Toyoda Gosei Co Ltd (100) (2,133) – 0.00 % Toyota Boshoku Corp 2,800 38,607 – 0.00 % TPR Co Ltd 1,700 23,660 – 0.00 % TS Tech Co Ltd 5,600 145,936 – 0.00 % Unipres Corp 8,700 93,811 – 0.00 % Xinyi Glass Holdings Ltd 122,000 150,916 – 0.00 % Total Auto Components – 0.00 % Automobiles BAIC Motor Corp Ltd 45,500 22,303 – 0.00 % Dongfeng Motor Group Co Ltd (18,000) (14,228) – 0.00 % Ferrari SpA 590 91,866 – 0.00 % Fiat Chrysler Automobiles NV 38,161 471,907 – 0.00 % The accompanying notes form an integral part of these audited financial statements 104 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Automobiles (continued) Ford Motor Co 30,639 213,247 – 0.00 % Ford Otomotiv Sanayi AS 23,439 293,519 – 0.00 % General Motors Co 904 27,572 – 0.00 % Great Wall Motor Co Ltd 3,000 2,171 – 0.00 % Harley-Davidson Inc 15,410 469,543 – 0.00 % Kia Motors Corp 1,074 32,311 – 0.00 % Piaggio & C SpA 23,718 56,458 – 0.00 % Trigano SA 143 10,775 – 0.00 % Volkswagen AG 1,023 171,383 – 0.00 % Winnebago Industries Inc (10,199) (529,226) – 0.00 % Total Automobiles – 0.00 % Banks 1st Source Corp 1,235 51,932 – 0.00 % Absa Group Ltd 6,689 56,578 – 0.00 % AIB Group PLC 16,170 37,317 – 0.00 % Allegiance Bancshares Inc 954 31,644 – 0.00 % Arrow Financial Corp 1,603 50,767 – 0.00 % Atlantic Capital Bancshares Inc 6,585 119,386 – 0.00 % Banca Popolare di Sondrio SCPA (1,361) (3,231) – 0.00 % BancFirst Corp 412 21,136 – 0.00 % Banco do Brasil SA 100 1,044 – 0.00 % Bank of America Corp 20,915 596,078 – 0.00 % Bank of Communications Co Ltd 556,000 356,733 – 0.00 % Bank of Hawaii Corp 9,405 699,920 – 0.00 % Bank of Marin Bancorp 2,031 77,442 – 0.00 % Bank of the Ryukyus Ltd 2,700 25,293 – 0.00 % BankFinancial Corp 2,648 30,028 – 0.00 % BankUnited Inc 2,292 68,072 – 0.00 % Banque Cantonale Vaudoise 359 288,002 – 0.00 % BAWAG Group AG 1,573 67,655 – 0.00 % BOK Financial Corp 426 30,842 – 0.00 % BPER Banca 22,058 87,325 – 0.00 % Bridge Bancorp Inc 1,049 28,868 – 0.00 % Bryn Mawr Bank Corp 1,576 52,386 – 0.00 % Byline Bancorp Inc 549 9,608 – 0.00 % Cadence BanCorp 33,376 471,269 – 0.00 % Camden National Corp 2,777 113,885 – 0.00 % Capitec Bank Holdings Ltd 2,857 237,451 – 0.00 % Capstar Financial Holdings Inc 1,547 20,792 – 0.00 % CBTX Inc 1,520 37,924 – 0.00 % Central Pacific Financial Corp 3,939 94,221 – 0.00 % Century Bancorp Inc/MA 598 43,235 – 0.00 % Chiba Kogyo Bank Ltd 1,660 4,344 – 0.00 % China CITIC Bank Corp Ltd 574,000 298,308 – 0.00 % The accompanying notes form an integral part of these audited financial statements 105 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) China Everbright Bank Co Ltd 166,000 66,460 – 0.00 % China Merchants Bank Co Ltd 70,000 330,106 – 0.00 % China Minsheng Banking Corp Ltd 494,000 333,435 – 0.00 % Chukyo Bank Ltd 1,956 38,311 – 0.00 % Citigroup Inc 4,937 313,302 – 0.00 % Citizens Financial Group Inc 184 5,831 – 0.00 % City Holding Co 626 43,770 – 0.00 % Civista Bancshares Inc 2,774 53,094 – 0.00 % Comerica Inc 5,578 293,626 – 0.00 % Commerce Bancshares Inc/MO 8,891 542,707 – 0.00 % Community Trust Bancorp Inc 1,473 56,976 – 0.00 % ConnectOne Bancorp Inc 3,991 83,851 – 0.00 % Credito Emiliano SpA 9,361 48,396 – 0.00 % Credito Valtellinese SpA (1,239,886) (101,609) – 0.00 % Cullen/Frost Bankers Inc 3,711 290,905 – 0.00 % DBS Group Holdings Ltd 78,000 1,348,618 – 0.00 % DNB ASA 3,868 63,802 – 0.00 % Eagle Bancorp Inc 3,826 143,169 – 0.00 % East West Bancorp Inc 1,385 53,655 – 0.00 % Ehime Bank Ltd 3,185 29,925 – 0.00 % Enterprise Financial Services 1,208 46,230 – 0.00 % Erste Group Bank AG 734 25,054 – 0.00 % Farmers National Banc Corp 2,568 38,597 – 0.00 % Financial Institutions Inc 1,328 35,736 – 0.00 % First BanCorp/Puerto Rico 56,945 452,143 – 0.00 % First Bank/Hamilton NJ 2,102 20,495 – 0.00 % First Busey Corp 2,353 51,931 – 0.00 % First Business Financial Services Inc 761 18,264 – 0.00 % First Citizens BancShares Inc 499 226,202 – 0.00 % First Community Bankshares Inc 1,964 51,378 – 0.00 % First Financial Corp/IN 1,676 66,956 – 0.00 % First Financial Holding Co Ltd 395,680 310,599 – 0.00 % First Foundation Inc 255 3,691 – 0.00 % First Hawaiian Inc 5,420 129,809 – 0.00 % First Internet Bancorp 2,687 65,267 – 0.00 % First Mid Bancshares Inc 2,387 67,242 – 0.00 % First of Long Island Corp 3,323 68,819 – 0.00 % Flushing Financial Corp 2,592 47,058 – 0.00 % Fulton Financial Corp 31,920 461,244 – 0.00 % German American Bancorp Inc 738 22,029 – 0.00 % Great Southern Bancorp Inc 1,386 71,116 – 0.00 % Grupo Financiero Banorte SAB de CV 3,500 18,916 – 0.00 % Hanmi Financial Corp 3,493 54,491 – 0.00 % HarborOne Bancorp Inc 13,839 138,321 – 0.00 % Heritage Commerce Corp 5,165 52,993 – 0.00 % The accompanying notes form an integral part of these audited financial statements 106 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) Hiroshima Bank Ltd 3,511 15,260 – 0.00 % HomeTrust Bancshares Inc 3,100 73,656 – 0.00 % Horizon Bancorp Inc 4,139 62,168 – 0.00 % Hua Nan Financial Holdings Co 328,902 234,759 – 0.00 % IBERIABANK Corp 1,781 107,198 – 0.00 % Independent Bank Corp 4,043 79,122 – 0.00 % ING Groep NV (43) (407) – 0.00 % International Bancshares Corp 13,653 465,567 – 0.00 % Intesa Sanpaolo SpA 17,881 43,243 – 0.00 % Japan Post Bank Co Ltd 17,241 153,700 – 0.00 % JPMorgan Chase & Co 1,690 196,226 – 0.00 % Kansai Mirai Financial Group Inc 4,737 22,254 – 0.00 % KBC Group NV 889 58,694 – 0.00 % Keiyo Bank Ltd 1,000 4,707 – 0.00 % Lakeland Bancorp Inc 884 12,734 – 0.00 % Lakeland Financial Corp 2,095 85,623 – 0.00 % Liechtensteinische Landesbank 639 40,297 – 0.00 % Macatawa Bank Corp 3,775 36,391 – 0.00 % Mebuki Financial Group Inc 40,402 78,835 – 0.00 % Mediobanca Banca di Credito Finanziario SpA 13,840 124,685 – 0.00 % Mercantile Bank Corp 1,695 48,630 – 0.00 % Michinoku Bank Ltd 3,374 34,104 – 0.00 % Midland States Bancorp Inc 3,905 93,017 – 0.00 % MidWestOne Financial Group Inc 2,421 69,555 – 0.00 % Miyazaki Bank Ltd 800 15,943 – 0.00 % Nanto Bank Ltd 3,400 67,601 – 0.00 % Nedbank Group Ltd 7,711 87,066 – 0.00 % Nicolet Bankshares Inc 2,172 144,329 – 0.00 % Nishi-Nippon Financial Holding 2,600 14,907 – 0.00 % Nordea Bank Abp (4,436) – – 0.00 % North Pacific Bank Ltd 27,778 52,404 – 0.00 % Northrim BanCorp Inc 1,126 39,354 – 0.00 % Norwegian Finans Holding ASA 3,018 28,132 – 0.00 % Opus Bank 668 15,812 – 0.00 % Origin Bancorp Inc 1,285 38,858 – 0.00 % Oversea-Chinese Banking Corp Ltd 153,900 1,169,881 – 0.00 % PacWest Bancorp 5,865 185,569 – 0.00 % Park National Corp 2,011 175,601 – 0.00 % Peapack Gladstone Financial Corp 3,872 106,286 – 0.00 % Peoples Bancorp Inc/OH 2,804 80,054 – 0.00 % People’s Utah Bancorp 2,238 53,645 – 0.00 % PNC Financial Services Group Inc 1,789 226,130 – 0.00 % Popular Inc 2,100 100,758 – 0.00 % Powszechna Kasa Oszczednosci Bank Polski SA 14,489 115,176 – 0.00 % Preferred Bank/Los Angeles CA 1,293 66,111 – 0.00 % PSBC 605,000 381,961 – 0.00 % The accompanying notes form an integral part of these audited financial statements 107 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) QCR Holdings Inc 1,231 46,852 – 0.00 % Raiffeisen Bank International 68 1,397 – 0.00 % RBB Bancorp 2,329 39,290 – 0.00 % Regions Financial Corp 37,726 510,056 – 0.00 % Republic Bancorp Inc/KY 1,301 46,498 – 0.00 % Republic First Bancorp Inc 2,991 9,063 – 0.00 % Ringkjoebing Landbobank A/S 2,332 153,787 – 0.00 % S&T Bancorp Inc 445 14,627 – 0.00 % Sandy Spring Bancorp Inc 4,689 144,234 – 0.00 % San-In Godo Bank Ltd 10,180 51,401 – 0.00 % SB One Bancorp 1,606 35,204 – 0.00 % Senshu Ikeda Holdings Inc 72,355 111,073 – 0.00 % ServisFirst Bancshares Inc 152 5,252 – 0.00 % Seven Bank Ltd 22,400 58,830 – 0.00 % Shanghai Commercial & Savings 98,358 163,865 – 0.00 % Shiga Bank Ltd 1,414 31,867 – 0.00 % Shikoku Bank Ltd 493 3,843 – 0.00 % Sierra Bancorp 2,643 62,956 – 0.00 % Signature Bank/New York NY 6,288 786,629 – 0.00 % Skandinaviska Enskilda Banken (1,259) – – 0.00 % SmartFinancial Inc 2,039 38,721 – 0.00 % Southern National Bancorp of Virginia Inc 4,762 67,573 – 0.00 % Southside Bancshares Inc 308 9,924 – 0.00 % Spar Nord Bank A/S 6,072 51,126 – 0.00 % SpareBank 1 Nord Norge 18,231 140,425 – 0.00 % SpareBank 1 SMN 19,669 196,661 – 0.00 % SpareBank 1 SR-Bank ASA 15,228 144,201 – 0.00 % St Galler Kantonalbank AG 474 216,591 – 0.00 % Standard Bank Group Ltd 492 4,671 – 0.00 % Stock Yards Bancorp Inc 2,765 96,609 – 0.00 % Svenska Handelsbanken AB (85,681) (904,746) – 0.00 % Sydbank A/S 967 17,793 – 0.00 % Taishin Financial Holding Co Ltd 477,338 224,503 – 0.00 % Taiwan Business Bank 864,789 343,716 – 0.00 % Taiwan Cooperative Financial Holding Co Ltd 471,183 326,950 – 0.00 % Texas Capital Bancshares Inc 2,245 105,695 – 0.00 % Tompkins Financial Corp 699 55,557 – 0.00 % Towa Bank Ltd 1,378 8,869 – 0.00 % TriCo Bancshares 1,283 43,391 – 0.00 % TriState Capital Holdings Inc 2,311 45,920 – 0.00 % Trustmark Corp 3,450 92,805 – 0.00 % UMB Financial Corp 180 10,467 – 0.00 % Unicaja Banco SA 53,666 49,292 – 0.00 % UniCredit SpA (3,497) – – 0.00 % United Overseas Bank Ltd 70,500 1,237,649 – 0.00 % Univest Financial Corp 3,684 86,206 – 0.00 % The accompanying notes form an integral part of these audited financial statements 108 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Banks (continued) US Bancorp 18,980 881,431 – 0.00 % Valiant Holding AG 1,924 189,953 – 0.00 % Washington Trust Bancorp Inc 1,487 63,822 – 0.00 % Wells Fargo & Co 13,622 556,459 – 0.00 % WesBanco Inc 486 14,876 – 0.00 % West Bancorporation Inc 1,112 22,740 – 0.00 % Western Alliance Bancorp 57 2,624 – 0.00 % Total Banks – 0.00 % Beverages AG Barr PLC 3,371 23,041 – 0.00 % Arca Continental SAB de CV (5,300) (29,006) – 0.00 % Asahi Group Holdings Ltd 3,200 122,809 – 0.00 % Boston Beer Co Inc (1,199) (444,577) – 0.00 % Britvic PLC 1,255 13,669 – 0.00 % Brown-Forman Corp 6,967 427,843 – 0.00 % Carlsberg A/S 3,161 413,004 – 0.00 % CHINA RES BEER 38,000 176,031 – 0.00 % Coca-Cola Amatil Ltd 24,384 181,944 – 0.00 % Coca-Cola Co 12,715 680,125 – 0.00 % Coca-Cola Consolidated Inc 911 178,902 – 0.00 % Coca-Cola HBC AG 2,414 76,301 – 0.00 % Coca-Cola Icecek AS 26,288 190,343 – 0.00 % Constellation Brands Inc 1,143 197,030 – 0.00 % Davide Campari-Milano SpA 31,012 257,214 – 0.00 % Diageo PLC 10,614 375,014 – 0.00 % Heineken Holding NV 2,013 176,701 – 0.00 % Heineken NV 1,811 179,727 – 0.00 % Hite Jinro Co Ltd 1,801 39,758 – 0.00 % Kirin Holdings Co Ltd 6,500 124,728 – 0.00 % Lotte Chilsung Beverage Co Ltd 167 15,592 – 0.00 % MGP Ingredients Inc 6,306 181,361 – 0.00 % Monster Beverage Corp 25,352 1,582,218 – 0.00 % National Beverage Corp 10,919 461,765 – 0.00 % Oenon Holdings Inc 12,200 39,149 – 0.00 % PepsiCo Inc 7,014 926,058 – 0.00 % Pernod Ricard SA 1,006 162,006 – 0.00 % Remy Cointreau SA 684 68,657 – 0.00 % Royal Unibrew A/S 19 1,625 – 0.00 % Suntory Beverage & Food Ltd 4,300 163,435 – 0.00 % Treasury Wine Estates Ltd 9,711 69,559 – 0.00 % Tsingtao Brewery Co Ltd 28,000 145,516 – 0.00 % Total Beverages – 0.00 % The accompanying notes form an integral part of these audited financial statements 109 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Biotechnology Abcam PLC 6,551 96,752 – 0.00 % Abeona Therapeutics Inc 10,452 32,192 – 0.00 % ABLBio Inc 36 518 – 0.00 % Acceleron Pharma Inc 1,343 115,404 – 0.00 % Acorda Therapeutics Inc 834 1,201 – 0.00 % Aduro Biotech Inc (33,901) (103,398) – 0.00 % Adverum Biotechnologies Inc 1,944 23,931 – 0.00 % Aeglea BioTherapeutics Inc 525 3,586 – 0.00 % Albireo Pharma Inc 795 18,587 – 0.00 % Alkermes PLC (9,561) (199,251) – 0.00 % Allakos Inc 1,745 108,766 – 0.00 % Alnylam Pharmaceuticals Inc (2,507) (294,974) – 0.00 % AMAG Pharmaceuticals Inc 8,438 65,395 – 0.00 % AnaptysBio Inc (3,082) (46,076) – 0.00 % Anika Therapeutics Inc 5,718 238,784 – 0.00 % Aptevo Therapeutics Inc 6,357 2,734 – 0.00 % Arena Pharmaceuticals Inc 10,873 484,936 – 0.00 % Arrowhead Pharmaceuticals Inc 4,801 169,763 – 0.00 % Athenex Inc 1,283 15,678 – 0.00 % Athersys Inc 6,428 7,714 – 0.00 % AVEO Pharmaceuticals Inc 4,493 19,769 – 0.00 % Avid Bioservices Inc 2,492 15,700 – 0.00 % BioCryst Pharmaceuticals Inc (70,686) (212,058) – 0.00 % BioGaia AB 1,234 55,702 – 0.00 % Biogen Inc (381) (117,497) – 0.00 % BioMarin Pharmaceutical Inc (2,786) (251,771) – 0.00 % BioSpecifics Technologies Corp 1,713 94,540 – 0.00 % Calithera Biosciences Inc 4,319 27,987 – 0.00 % Calyxt Inc (811) (5,117) – 0.00 % CASI Pharmaceuticals Inc 4,776 8,454 – 0.00 % Catabasis Pharmaceuticals Inc 4,390 21,423 – 0.00 % Catalyst Biosciences Inc 2,602 15,014 – 0.00 % Catalyst Pharmaceuticals Inc 3,733 15,716 – 0.00 % ChemoCentryx Inc 4,793 214,487 – 0.00 % Chimerix Inc (2,829) (5,007) – 0.00 % Clinuvel Pharmaceuticals Ltd 2,168 25,018 – 0.00 % Concert Pharmaceuticals Inc 6,895 58,332 – 0.00 % CRISPR Therapeutics AG 6,733 359,879 – 0.00 % CSL Ltd 818 164,377 – 0.00 % Deciphera Pharmaceuticals Inc 2,392 127,350 – 0.00 % Denali Therapeutics Inc 3,021 59,725 – 0.00 % Dicerna Pharmaceuticals Inc 11,398 224,997 – 0.00 % Eagle Pharmaceuticals Inc/DE 11,498 527,758 – 0.00 % Editas Medicine Inc 265 5,878 – 0.00 % Enanta Pharmaceuticals Inc 11,212 570,467 – 0.00 % The accompanying notes form an integral part of these audited financial statements 110 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Biotechnology (continued) Exelixis Inc 47,673 886,241 – 0.00 % Fate Therapeutics Inc (1,174) (34,281) – 0.00 % FibroGen Inc 5,767 241,061 – 0.00 % Forty Seven Inc (1,045) (60,610) – 0.00 % G1 Therapeutics Inc 1,944 34,875 – 0.00 % Galapagos NV 269 55,422 – 0.00 % Genexine Co Ltd (136) (6,727) – 0.00 % Genmab A/S (59) (42,344) – 0.00 % Genus PLC 266 10,732 – 0.00 % Geron Corp 10,525 12,104 – 0.00 % Gilead Sciences Inc (2,011) (139,483) – 0.00 % Global Blood Therapeutics Inc 614 39,271 – 0.00 % Gossamer Bio Inc 1,671 21,940 – 0.00 % Green Cross Cell Corp 535 15,229 – 0.00 % Grifols SA 15,323 488,804 – 0.00 % Halozyme Therapeutics Inc 5,305 103,819 – 0.00 % Hansa Biopharma AB (4,159) (34,389) – 0.00 % Heron Therapeutics Inc 5,363 100,020 – 0.00 % Homology Medicines Inc 3,268 52,288 – 0.00 % Incyte Corp 2,047 154,364 – 0.00 % Inovio Pharmaceuticals Inc (21,828) (93,424) – 0.00 % Insmed Inc 281 6,997 – 0.00 % Intellia Therapeutics Inc (2,219) (29,624) – 0.00 % Invitae Corp (11,030) (224,791) – 0.00 % Ionis Pharmaceuticals Inc 9,238 469,106 – 0.00 % Iovance Biotherapeutics Inc (7,367) (242,448) – 0.00 % Ironwood Pharmaceuticals Inc (4,618) (55,601) – 0.00 % Jounce Therapeutics Inc 2,478 11,201 – 0.00 % KalVista Pharmaceuticals Inc 2,378 31,984 – 0.00 % Kodiak Sciences Inc (620) (39,661) – 0.00 % Lexicon Pharmaceuticals Inc 19,487 54,076 – 0.00 % Ligand Pharmaceuticals Inc 2,436 228,010 – 0.00 % Lineage Cell Therapeutics Inc 18,167 18,349 – 0.00 % Madrigal Pharmaceuticals Inc 572 49,289 – 0.00 % Matinas BioPharma Holdings Inc 14,619 14,619 – 0.00 % Medy-Tox Inc 199 48,473 – 0.00 % MEI Pharma Inc 19,756 38,129 – 0.00 % MeiraGTx Holdings plc 1,399 22,664 – 0.00 % Mersana Therapeutics Inc (6,466) (55,996) – 0.00 % Molecular Templates Inc (278) (4,473) – 0.00 % Momenta Pharmaceuticals Inc 595 16,833 – 0.00 % Myriad Genetics Inc 1,218 21,461 – 0.00 % Natera Inc (5,244) (198,774) – 0.00 % Neurocrine Biosciences Inc 2,861 270,937 – 0.00 % Oncolys BioPharma Inc 9,600 102,805 – 0.00 % The accompanying notes form an integral part of these audited financial statements 111 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Biotechnology (continued) OPKO Health Inc 22,679 34,019 – 0.00 % Palatin Technologies Inc 45,117 23,041 – 0.00 % PDL BioPharma Inc 39,959 135,861 – 0.00 % Pharma Foods International Co 1,000 8,314 – 0.00 % Pharmicell Co Ltd 4,345 27,910 – 0.00 % Pharming Group NV 57,041 70,243 – 0.00 % Principia Biopharma Inc 358 23,112 – 0.00 % Progenics Pharmaceuticals Inc (19,756) (93,248) – 0.00 % Protagonist Therapeutics Inc 6,802 53,056 – 0.00 % Proteostasis Therapeutics Inc 49,060 76,534 – 0.00 % Prothena Corp PLC 729 7,771 – 0.00 % PTC Therapeutics Inc (169) (9,268) – 0.00 % Puma Biotechnology Inc 14,918 160,443 – 0.00 % Radius Health Inc (8,486) (178,715) – 0.00 % REGENXBIO Inc 11,080 443,200 – 0.00 % Repligen Corp (4,674) (573,520) – 0.00 % Retrophin Inc 4,589 71,107 – 0.00 % Rhythm Pharmaceuticals Inc (1,609) (30,700) – 0.00 % Rigel Pharmaceuticals Inc 7,454 15,802 – 0.00 % Rocket Pharmaceuticals Inc 1,991 38,805 – 0.00 % Rubius Therapeutics Inc (646) (5,407) – 0.00 % Sage Therapeutics Inc 1,295 60,865 – 0.00 % Sarepta Therapeutics Inc 2,009 229,970 – 0.00 % Savara Inc 2,789 6,387 – 0.00 % Sierra Oncology Inc 154 1,786 – 0.00 % Solasia Pharma KK 1,799 2,046 – 0.00 % Spectrum Pharmaceuticals Inc (21,063) (60,240) – 0.00 % Swedish Orphan Biovitrum AB 1,557 26,304 – 0.00 % TG Therapeutics Inc (1,076) – – 0.00 % Tocagen Inc (4,444) (6,310) – 0.00 % Trans Genic Inc 11,973 31,999 – 0.00 % Trevena Inc 39,993 28,587 – 0.00 % Twist Bioscience Corp (899) (27,527) – 0.00 % uniQure NV 1,620 83,365 – 0.00 % United Therapeutics Corp (1,299) (133,745) – 0.00 % Vanda Pharmaceuticals Inc 38,647 426,276 – 0.00 % VBI Vaccines Inc 11,484 13,781 – 0.00 % Vericel Corp 4,825 74,498 – 0.00 % Viking Therapeutics Inc 30,024 177,742 – 0.00 % Voyager Therapeutics Inc 3,214 35,033 – 0.00 % XBiotech Inc 1,369 16,784 – 0.00 % Xencor Inc 19,319 627,674 – 0.00 % XOMA Corp 2,179 52,950 – 0.00 % Zafgen Inc 13,229 15,081 – 0.00 % Total Biotechnology – 0.00 % The accompanying notes form an integral part of these audited financial statements 112 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Building Products Advanced Drainage Systems Inc 2,462 103,059 – 0.00 % AGC Inc/Japan 800 22,934 – 0.00 % Allegion PLC 3,629 417,299 – 0.00 % American Woodmark Corp 5,377 450,431 – 0.00 % AO Smith Corp 5,025 198,739 – 0.00 % Armstrong World Industries Inc 910 91,137 – 0.00 % Assa Abloy AB (155) (3,441) – 0.00 % Builders FirstSource Inc 6,721 152,634 – 0.00 % Bunka Shutter Co Ltd 3,200 22,905 – 0.00 % CSW Industrials Inc 2,816 185,405 – 0.00 % DIRTT Environmental Solutions 5,216 9,412 – 0.00 % dormakaba Holding AG 245 145,131 – 0.00 % Geberit AG 522 258,491 – 0.00 % Gibraltar Industries Inc 2,016 102,151 – 0.00 % Inwido AB (1,423) (12,222) – 0.00 % Kingspan Group PLC 2,780 174,459 – 0.00 % Kondotec Inc 2,257 19,891 – 0.00 % Lennox International Inc 1,857 423,637 – 0.00 % Lindab International AB 938 11,045 – 0.00 % Masco Corp 4,511 186,395 – 0.00 % Masonite International Corp 1,733 127,376 – 0.00 % Nichiha Corp 1,500 31,239 – 0.00 % Nihon Flush Co Ltd 200 4,213 – 0.00 % Nippon Hume Corp 1,761 10,390 – 0.00 % Nippon Sheet Glass Co Ltd 5,200 23,323 – 0.00 % Owens Corning 3,188 180,090 – 0.00 % Patrick Industries Inc (6,255) (330,452) – 0.00 % Polypipe Group plc 7,230 49,372 – 0.00 % Quanex Building Products Corp 3,473 58,346 – 0.00 % Rockwool International A/S 133 30,561 – 0.00 % Schweiter Technologies AG 5 5,800 – 0.00 % Sekisui Jushi Corp 400 7,849 – 0.00 % Simpson Manufacturing Co Inc 7,294 579,362 – 0.00 % Sinko Industries Ltd 400 5,600 – 0.00 % Tarkett SA (1,113) (17,875) – 0.00 % Trex Co Inc 479 45,816 – 0.00 % Universal Forest Products Inc (34) – – 0.00 % Total Building Products – 0.00 % Capital Markets 3i Group PLC 964 12,415 – 0.00 % Artisan Partners Asset Management Inc 874 24,979 – 0.00 % Ashmore Group PLC 8,931 52,738 – 0.00 % ASX Ltd 3,937 189,553 – 0.00 % Azimut Holding SpA 1,902 40,170 – 0.00 % B. Riley Financial Inc 1,578 37,335 – 0.00 % The accompanying notes form an integral part of these audited financial statements 113 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Capital Markets (continued) B3 SA - Brasil Bolsa Balcao 200 2,138 – 0.00 % Banca Generali SpA 2,203 67,513 – 0.00 % Bitcoin Group SE 1,119 28,065 – 0.00 % Brewin Dolphin Holdings PLC 10,026 39,017 – 0.00 % Brookfield Asset Management Inc 113 6,763 – 0.00 % Canaccord Genuity Group Inc (14,647) (54,715) – 0.00 % Cboe Global Markets Inc 6,881 784,434 – 0.00 % Charles Schwab Corp 12,666 516,140 – 0.00 % China Cinda Asset Management Co Ltd (69,000) (14,432) – 0.00 % China Everbright Ltd (24,000) (40,036) – 0.00 % China Galaxy Securities Co Ltd (296,000) (163,327) – 0.00 % CITIC Securities Co Ltd (77,000) (164,613) – 0.00 % CME Group Inc 4,758 945,986 – 0.00 % Cohen & Steers Inc 1,937 121,353 – 0.00 % Coronation Fund Managers Ltd 22,291 56,050 – 0.00 % Donnelley Financial Solutions 1,643 14,294 – 0.00 % Euronext NV 2,490 206,110 – 0.00 % Evercore Inc 7,405 493,321 – 0.00 % FactSet Research Systems Inc 216 57,454 – 0.00 % First Brothers Co Ltd 996 8,594 – 0.00 % GAM Holding AG (45,972) (153,509) – 0.00 % GAMCO Investors Inc 673 10,472 – 0.00 % GCA Corp 12,788 82,309 – 0.00 % GF Securities Co Ltd (144,600) (172,935) – 0.00 % Gimv NV 3,110 178,234 – 0.00 % GMO Financial Holdings Inc 13,806 66,773 – 0.00 % Greenhill & Co Inc 866 12,661 – 0.00 % Haitong Securities Co Ltd (108,800) (116,856) – 0.00 % Hamilton Lane Inc 693 43,063 – 0.00 % Houlihan Lokey Inc 3,583 183,521 – 0.00 % Ichiyoshi Securities Co Ltd 900 4,419 – 0.00 % IGM Financial Inc (1,536) (65,888) – 0.00 % IntegraFin Holdings PLC 16,159 98,888 – 0.00 % Intercontinental Exchange Inc 12,171 1,085,897 – 0.00 % INTL. FCStone Inc 285 12,982 – 0.00 % Investec Ltd 21,920 110,529 – 0.00 % IwaiCosmo Holdings Inc 4,700 48,680 – 0.00 % Janus Henderson Group PLC 31,772 673,566 – 0.00 % Jupiter Fund Management PLC 597 2,288 – 0.00 % Legg Mason Inc (4,407) (219,557) – 0.00 % Leonteq AG (739) (33,294) – 0.00 % London Stock Exchange Group PLC 49 4,743 – 0.00 % LPL Financial Holdings Inc 1,402 111,431 – 0.00 % Macquarie Group Ltd 2,602 227,827 – 0.00 % Magellan Financial Group Ltd 683 24,732 – 0.00 % The accompanying notes form an integral part of these audited financial statements 114 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Capital Markets (continued) Matsui Securities Co Ltd 6,305 48,803 – 0.00 % Moelis & Co 5,866 187,477 – 0.00 % Morningstar Inc 1,248 183,331 – 0.00 % Nasdaq Inc 8,492 870,855 – 0.00 % Nomura Holdings Inc (4,800) – – 0.00 % Northern Trust Corp 1,158 101,626 – 0.00 % OAK Capital Corp 10,995 9,456 – 0.00 % Oppenheimer Holdings Inc 1,668 39,582 – 0.00 % Partners Group Holding AG 272 233,673 – 0.00 % Pendal Group Ltd 4,306 20,693 – 0.00 % Platinum Asset Management Ltd 7,902 20,885 – 0.00 % Pzena Investment Management Inc 1,423 9,292 – 0.00 % Quilter PLC 1,453 2,710 – 0.00 % Ratos AB (27,893) (178,761) – 0.00 % Raymond James Financial Inc 1,125 94,084 – 0.00 % S&P Global Inc 738 196,242 – 0.00 % Safeguard Scientifics Inc 4,313 38,084 – 0.00 % Sanne Group PLC 1,490 10,851 – 0.00 % SEI Investments Co 6,619 362,125 – 0.00 % Singapore Exchange Ltd 21,400 130,292 – 0.00 % Sprott Inc 2,695 5,606 – 0.00 % St James’s Place PLC 9,406 122,034 – 0.00 % Swissquote Group Holding SA 612 34,292 – 0.00 % T Rowe Price Group Inc 815 96,178 – 0.00 % Tamburi Investment Partners Sp 18,201 126,333 – 0.00 % TD Ameritrade Holding Corp 9,078 383,364 – 0.00 % TMX Group Ltd 865 72,049 – 0.00 % TP ICAP PLC 14,103 65,622 – 0.00 % Uzabase Inc 600 8,839 – 0.00 % Victory Capital Holdings Inc 1,131 22,360 – 0.00 % Vontobel Holding AG 628 41,129 – 0.00 % Waddell & Reed Financial Inc 37,564 516,881 – 0.00 % Westwood Holdings Group Inc 1,462 37,106 – 0.00 % Yuanta Financial 474,801 301,940 – 0.00 % Total Capital Markets – 0.00 % Chemicals Achilles Corp 500 7,888 – 0.00 % AgroFresh Solutions Inc 4,465 9,778 – 0.00 % Air Products & Chemicals Inc 2,043 448,663 – 0.00 % Arkema SA (3,213) (300,628) – 0.00 % Axalta Coating Systems Ltd 9,775 243,593 – 0.00 % Bio On Spa 1,623 – – 0.00 % Cabot Corp 1,466 54,799 – 0.00 % Celanese Corp 1,658 155,421 – 0.00 % CF Industries Holdings Inc 2,526 93,108 – 0.00 % The accompanying notes form an integral part of these audited financial statements 115 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Chemicals (continued) Chase Corp 1,245 110,544 – 0.00 % Chemours Co (136) (2,021) – 0.00 % China Petrochemical Development Corp (239,773) (64,327) – 0.00 % Chr Hansen Holding A/S 6,895 488,092 – 0.00 % CI Takiron Corp 4,200 24,120 – 0.00 % Dongjin Semichem Co Ltd 4,720 57,779 – 0.00 % Dow Inc 5,344 215,951 – 0.00 % Eastman Chemical Co 3,232 198,800 – 0.00 % Ecolab Inc 381 68,751 – 0.00 % Elkem ASA 28,247 53,796 – 0.00 % Foosung Co Ltd 1,681 9,989 – 0.00 % Fumakilla Ltd 1,500 16,521 – 0.00 % FutureFuel Corp 2,152 21,886 – 0.00 % GCP Applied Technologies Inc 799 15,557 – 0.00 % Grand Pacific Petrochemical 144,253 78,835 – 0.00 % Gurit Holding AG 56 82,787 – 0.00 % Hansol Chemical Co Ltd 1,240 95,500 – 0.00 % Hanwha Chemical Corp (10,165) (150,584) – 0.00 % Hawkins Inc 1,023 36,572 – 0.00 % Huntsman Corp 1,820 34,471 – 0.00 % Hyosung Chemical Corp 115 9,926 – 0.00 % International CSRC Investment 117,012 105,029 – 0.00 % JCU Corp 4,500 104,453 – 0.00 % Kanto Denka Kogyo Co Ltd 3,600 30,695 – 0.00 % Kemira Oyj 17,044 215,044 – 0.00 % KH Neochem Co Ltd 400 7,738 – 0.00 % Kraton Corp 8,877 89,835 – 0.00 % Kureha Corp 800 40,394 – 0.00 % Kuriyama Holdings Corp 4,200 24,547 – 0.00 % Lenzing AG 959 64,138 – 0.00 % Linde plc 993 189,673 – 0.00 % Lintec Corp 1,000 21,362 – 0.00 % Livent Corp 21,889 195,469 – 0.00 % LyondellBasell Industries NV 9,439 674,511 – 0.00 % Mitsubishi Chemical Holdings Corp 3,543 23,797 – 0.00 % Mitsubishi Gas Chemical Co Inc 1,925 29,124 – 0.00 % MORESCO Corp 1,700 17,372 – 0.00 % NewMarket Corp 1,361 528,871 – 0.00 % Nippon Chemical Industrial Co 800 17,171 – 0.00 % Nippon Kayaku Co Ltd 4,000 44,167 – 0.00 % Nitto Denko Corp 500 25,061 – 0.00 % Novozymes A/S 11,020 556,564 – 0.00 % Okamoto Industries Inc 200 6,002 – 0.00 % Olin Corp (10,577) (171,242) – 0.00 % Orica Ltd 5,562 71,517 – 0.00 % The accompanying notes form an integral part of these audited financial statements 116 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Chemicals (continued) Osaka Soda Co Ltd 2,200 51,941 – 0.00 % Petkim Petrokimya Holding AS 153,404 89,648 – 0.00 % PPG Industries Inc 2,029 211,929 – 0.00 % Rasa Industries Ltd 2,300 25,694 – 0.00 % RPM International Inc 11,536 739,573 – 0.00 % Sasa Polyester Sanayi AS 91,959 128,740 – 0.00 % Scapa Group PLC 6,925 14,917 – 0.00 % Sensient Technologies Corp 4,374 215,113 – 0.00 % Showa Denko KK 19,300 416,217 – 0.00 % Sika AG 668 118,366 – 0.00 % SK Materials Co Ltd 812 99,736 – 0.00 % Soda Sanayii AS 395,774 367,899 – 0.00 % Songwon Industrial Co Ltd 212 1,962 – 0.00 % Stepan Co 2,510 220,453 – 0.00 % Taiwan Fertilizer Co Ltd 76,808 122,111 – 0.00 % Tenma Corp 200 2,998 – 0.00 % Tessenderlo Group SA 183 5,495 – 0.00 % Tokai Carbon Co Ltd 39,400 351,607 – 0.00 % Tokuyama Corp 2,800 63,025 – 0.00 % Toyo Gosei Co Ltd 400 13,668 – 0.00 % Trecora Resources 1,710 9,662 – 0.00 % Trinseo SA 14,956 327,237 – 0.00 % Valqua Ltd 900 16,987 – 0.00 % Valvoline Inc 45,857 894,212 – 0.00 % Victrex PLC 1,594 42,685 – 0.00 % Westlake Chemical Corp 786 43,914 – 0.00 % WR Grace & Co 4,211 238,174 – 0.00 % Yara International ASA (9,299) (335,502) – 0.00 % Total Chemicals – 0.00 % Commercial Services & Supplies ACCO Brands Corp 7,037 56,366 – 0.00 % ADT Inc 18,199 116,292 – 0.00 % Aggreko PLC 5,529 47,836 – 0.00 % Asukanet Co Ltd 1,900 19,872 – 0.00 % Babcock International Group PLC 2,577 14,602 – 0.00 % Befesa SA 262 8,487 – 0.00 % Bell System24 Holdings Inc 1,400 16,675 – 0.00 % Brady Corp 11,252 532,670 – 0.00 % Brambles Ltd 4,711 36,590 – 0.00 % Bravida Holding AB 9,859 89,617 – 0.00 % Brink’s Co (7,187) (603,068) – 0.00 % Cintas Corp (936) (249,669) – 0.00 % Copart Inc 7,440 628,531 – 0.00 % Derichebourg SA 6,668 22,239 – 0.00 % The accompanying notes form an integral part of these audited financial statements 117 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Commercial Services & Supplies (continued) Downer EDI Ltd 20,351 75,331 – 0.00 % Ennis Inc 4,758 95,636 – 0.00 % Fila SpA 1,658 20,609 – 0.00 % Heritage-Crystal Clean Inc 99 2,607 – 0.00 % Herman Miller Inc (5,970) (204,413) – 0.00 % HNI Corp 4,707 154,531 – 0.00 % HomeServe PLC 11,990 181,217 – 0.00 % Hudson Technologies Inc 26,125 21,292 – 0.00 % Inaba Seisakusho Co Ltd 1,300 14,330 – 0.00 % IWG PLC 8,687 39,033 – 0.00 % KEPCO Plant Service & Engineering Co Ltd 616 16,998 – 0.00 % Kimball International Inc 2,954 47,796 – 0.00 % Knoll Inc 1,533 27,042 – 0.00 % Koentec Co Ltd 2,468 17,246 – 0.00 % Kosaido Co Ltd 8,100 58,202 – 0.00 % Loomis AB 1,756 60,365 – 0.00 % Matsuda Sangyo Co Ltd 862 11,248 – 0.00 % Matthews International Corp 1,598 47,237 – 0.00 % McGrath RentCorp 3,521 244,533 – 0.00 % Mobile Mini Inc 6,043 235,617 – 0.00 % NAC Co Ltd 1,016 8,249 – 0.00 % Nippon Kanzai Co Ltd 1,620 26,712 – 0.00 % Nippon Parking Development Co 35,315 39,516 – 0.00 % Park24 Co Ltd 4,500 87,516 – 0.00 % Phil Co Inc 901 24,997 – 0.00 % PICO Holdings Inc 2,445 23,203 – 0.00 % Quad/Graphics Inc 7,306 35,069 – 0.00 % Raksul Inc 3,000 78,485 – 0.00 % Relia Inc 400 4,461 – 0.00 % Republic Services Inc 17,065 1,540,287 – 0.00 % Ritchie Bros Auctioneers Inc 2,091 82,991 – 0.00 % S-1 Corp 1,010 68,901 – 0.00 % SmartGroup Corp Ltd 9,977 41,401 – 0.00 % Societe BIC SA 1,269 76,426 – 0.00 % SP Plus Corp 3,014 110,041 – 0.00 % Steelcase Inc 1,939 31,451 – 0.00 % Stericycle Inc 10,607 609,160 – 0.00 % Takara Printing Co Ltd 1,960 27,714 – 0.00 % Tomra Systems ASA (2,092) (65,606) – 0.00 % Toppan Printing Co Ltd 24,400 424,436 – 0.00 % Transcontinental Inc (110) (1,330) – 0.00 % Uchida Yoko Co Ltd 259 11,808 – 0.00 % UniFirst Corp/MA 1,621 301,198 – 0.00 % Waste Management Inc 14,201 1,573,613 – 0.00 % Total Commercial Services & Supplies – 0.00 % The accompanying notes form an integral part of these audited financial statements 118 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Communication Services Adways Inc 13,500 35,705 – 0.00 % Aidma MC 3,300 14,709 – 0.00 % Akatsuki Inc 3,900 148,953 – 0.00 % APG SGA SA 80 21,338 – 0.00 % Arnoldo Mondadori Editore SpA 7,236 12,321 – 0.00 % Asahi Net Inc 900 5,368 – 0.00 % Asia Pacific Telecom Co Ltd 691 169 – 0.00 % Axiata Group Bhd 91,146 90,314 – 0.00 % Broccoli Co Ltd 3,500 52,726 – 0.00 % Carta Holdings Inc 6,000 52,712 – 0.00 % CAVE Interactive Co Ltd 1,500 11,139 – 0.00 % Com2uSCorp 1,548 125,388 – 0.00 % Cross Marketing Group Inc 1,900 6,238 – 0.00 % Designone Japan Inc 3,300 6,531 – 0.00 % DiGi.Com Bhd 151,236 149,139 – 0.00 % Echo Marketing Inc 2,305 49,450 – 0.00 % Frontier Developments PLC 464 6,734 – 0.00 % Frontier International Inc 300 5,329 – 0.00 % GameWith Inc 1,900 9,892 – 0.00 % Hatena Co Ltd 1,300 21,219 – 0.00 % HKT Trust & HKT Ltd 149,000 222,937 – 0.00 % HUTCHTEL HK 296,000 56,975 – 0.00 % Hyve Group PLC 42,624 42,095 – 0.00 % IID Inc 1,400 8,169 – 0.00 % IMAX China Holding Inc 15,600 29,226 – 0.00 % i-mobile Co Ltd 4,700 23,210 – 0.00 % Innocean Worldwide Inc 318 17,867 – 0.00 % Intage Holdings Inc 2,500 18,195 – 0.00 % IPSOS 535 16,390 – 0.00 % ITmedia Inc 4,200 36,588 – 0.00 % IVE Group Ltd 12,316 13,957 – 0.00 % KT Skylife Co Ltd 2,626 16,040 – 0.00 % Kufu Co 2,900 27,489 – 0.00 % Legs Co Ltd 760 7,253 – 0.00 % Leyou Technologies Holdings Limited 50,000 17,323 – 0.00 % LG HelloVision Co Ltd 7,049 25,419 – 0.00 % Liberty Global PLC 2,008 39,196 – 0.00 % Maxis Bhd 94,704 121,902 – 0.00 % Mediaset Espana Comunicacion SA 402 2,021 – 0.00 % Mediaset SpA 28,705 66,719 – 0.00 % Mobile Factory Inc 2,900 39,503 – 0.00 % MTI Ltd 3,900 20,233 – 0.00 % MultiChoice Group 16,588 95,892 – 0.00 % Mynet Inc 4,200 19,265 – 0.00 % Net Marketing Co Ltd 5,200 31,161 – 0.00 % The accompanying notes form an integral part of these audited financial statements 119 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Communication Services (continued) Nintendo Co Ltd 500 167,707 – 0.00 % Orange Polska SA 23,371 36,634 – 0.00 % Oricon Inc 1,500 12,221 – 0.00 % Pearl Abyss Corp 584 85,884 – 0.00 % Pharol SGPS SA 74,284 6,790 – 0.00 % Port Inc 500 3,144 – 0.00 % Promotora de Informaciones SA 9,156 13,657 – 0.00 % RAI Way SpA 9,285 55,561 – 0.00 % Retelit SpA (819) (1,315) – 0.00 % Scout24 AG 2,793 181,880 – 0.00 % Sejong Telecom Inc 64,595 15,118 – 0.00 % SmarTone Telecommunications Holdings Limited 61,500 43,405 – 0.00 % Smartvalue Co Ltd 800 5,460 – 0.00 % Socialwire Co Ltd 1,800 16,929 – 0.00 % Soft-World International Corp 9,551 25,212 – 0.00 % Southern Cross Media Group Ltd 42,254 18,796 – 0.00 % Stillfront Group AB 1,349 58,733 – 0.00 % SUNNY SIDE UP GROUP Inc 1,617 10,393 – 0.00 % Superloop Ltd 4,423 2,212 – 0.00 % Taiwan Mobile Co Ltd 57,268 199,163 – 0.00 % Tele Columbus AG 1,840 5,380 – 0.00 % Telekom Malaysia Bhd 83,753 73,459 – 0.00 % Television Broadcasts Ltd 14,000 19,833 – 0.00 % TIME dotCom Bhd 19,234 42,540 – 0.00 % Tiscali SpA 322,352 3,936 – 0.00 % Toei Co Ltd 1,200 135,719 – 0.00 % Tow Co Ltd 3,700 24,944 – 0.00 % TPG Telecom Ltd 19,127 93,531 – 0.00 % Village Roadshow Ltd 15,731 35,857 – 0.00 % Webzen Inc 1,604 19,302 – 0.00 % Xilam Animation SA 114 4,753 – 0.00 % Total Communication Services – 0.00 % Communications Equipment Accton Technology Corp 27,164 147,102 – 0.00 % ADTRAN Inc 12,896 103,748 – 0.00 % ADVA Optical Networking SE 981 6,464 – 0.00 % Aiphone Co Ltd 1,600 22,520 – 0.00 % Allied Telesis Holdings KK 42,500 25,940 – 0.00 % Arcadyan Technology Corp 22,644 59,025 – 0.00 % Arista Networks Inc 3,708 716,089 – 0.00 % BYD ELECTRONIC 26,500 49,647 – 0.00 % Calix Inc 2,925 26,325 – 0.00 % Ciena Corp 6,845 263,190 – 0.00 % COMBA (230,000) (91,788) – 0.00 % The accompanying notes form an integral part of these audited financial statements 120 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Communications Equipment (continued) Comtech Telecommunications Corp 5,493 153,914 – 0.00 % Digi International Inc 1,833 24,269 – 0.00 % EchoStar Corp 4,595 160,457 – 0.00 % Icom Inc 200 4,287 – 0.00 % Juniper Networks Inc 8,600 182,492 – 0.00 % KMW Co Ltd 1,856 74,937 – 0.00 % NETGEAR Inc 7,736 145,978 – 0.00 % Resonant Inc 4,607 7,924 – 0.00 % Saxa Holdings Inc 800 11,985 – 0.00 % Sercomm Corp 6,255 15,289 – 0.00 % Uniden Holdings Corp 100 1,768 – 0.00 % ViaSat Inc 5,946 341,895 – 0.00 % VTech Holdings Ltd 12,200 106,690 – 0.00 % Wistron NeWeb Corp 13,043 29,808 – 0.00 % ZTE Corp (28,200) (116,702) – 0.00 % Total Communications Equipment – 0.00 % Construction & Engineering AECOM (255) – – 0.00 % Aegion Corp (171) – – 0.00 % Argan Inc 693 28,919 – 0.00 % Asanuma Corp 1,000 41,152 – 0.00 % Badger Daylighting Ltd 844 19,760 – 0.00 % Besterra Co Ltd 1,729 14,470 – 0.00 % CHINA COMM CONS (232,000) (172,967) – 0.00 % China Railway Group Ltd (291,000) (164,302) – 0.00 % China State CON (170,000) (137,650) – 0.00 % Chudenko Corp 383 7,966 – 0.00 % Construction Partners Inc 3,568 60,692 – 0.00 % CRCC (64,500) (73,828) – 0.00 % EMCOR Group Inc 308 23,691 – 0.00 % Fudo Tetra Corp 1,500 20,086 – 0.00 % Great Lakes Dredge & Dock Corp 8,732 84,700 – 0.00 % Grupo Empresarial San Jose SA 3,099 19,397 – 0.00 % HC2 Holdings Inc 3,447 13,168 – 0.00 % Hibiya Engineering Ltd 1,200 19,453 – 0.00 % Ichiken Co Ltd 384 5,451 – 0.00 % IES Holdings Inc 1,994 46,480 – 0.00 % Implenia AG (3,102) (153,609) – 0.00 % John Laing Group PLC 58,681 252,202 – 0.00 % Kandenko Co Ltd 6,300 53,308 – 0.00 % KAWADA TECHNOLOGIES Inc 560 29,001 – 0.00 % Keller Group PLC 1,365 11,318 – 0.00 % Kitano Construction Corp 800 18,066 – 0.00 % Kyowa Exeo Corp 3,000 65,446 – 0.00 % Kyudenko Corp 3,885 103,866 – 0.00 % The accompanying notes form an integral part of these audited financial statements 121 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Construction & Engineering (continued) Maeda Road Construction Co Ltd 7 207 – 0.00 % Maire Tecnimont SpA 1,065 2,716 – 0.00 % MasTec Inc 4,564 224,001 – 0.00 % Mirait Holdings Corp 200 2,621 – 0.00 % Mitsubishi Kakoki Kaisha Ltd 654 10,475 – 0.00 % Miyaji Engineering Group Inc 2,000 31,812 – 0.00 % Nichireki Co Ltd 1,900 22,807 – 0.00 % Nittoc Construction Co Ltd 11,551 81,824 – 0.00 % Northwest Pipe Co 182 5,742 – 0.00 % NRW Holdings Ltd 31,765 49,508 – 0.00 % Okumura Corp 321 7,789 – 0.00 % OSJB Holdings Corp 31,567 72,689 – 0.00 % Per Aarsleff Holding A/S 2,170 63,374 – 0.00 % Primoris Services Corp 2,606 49,462 – 0.00 % PS Mitsubishi Construction Co Ltd 11,067 59,053 – 0.00 % Seikitokyu Kogyo Co Ltd 9,364 70,142 – 0.00 % Shinnihon Corp 1,289 9,024 – 0.00 % SINOPEC SEG 54,000 26,747 – 0.00 % SNC-Lavalin Group Inc (7,041) (163,799) – 0.00 % Sterling Construction Co Inc 2,294 31,336 – 0.00 % Sumitomo Mitsui Construction Co Ltd 5,195 26,327 – 0.00 % Sweco AB 1,700 54,155 – 0.00 % Taeyoung Engineering & Construction Co Ltd 4,196 44,922 – 0.00 % Tekfen Holding AS 51,133 121,907 – 0.00 % Tekken Corp 1,783 39,457 – 0.00 % TOA ROAD CORP 1,200 34,069 – 0.00 % Tobishima Corp 2,468 26,680 – 0.00 % Toenec Corp 952 28,832 – 0.00 % Tokyu Construction Co Ltd 19,205 120,414 – 0.00 % Tomoe Corp 2,157 6,423 – 0.00 % Toyo Construction Co Ltd 8,200 34,200 – 0.00 % Tutor Perini Corp (9,676) (140,302) – 0.00 % United Integrated Services Co 53,686 326,291 – 0.00 % Valmont Industries Inc 2,752 319,837 – 0.00 % Veidekke ASA 5,597 67,746 – 0.00 % Wakachiku Construction Co Ltd 1,700 21,742 – 0.00 % YIT Oyj 17,352 114,905 – 0.00 % Yurtec Corp 1,859 9,748 – 0.00 % Total Construction & Engineering – 0.00 % Construction Materials ASIA CEMENT CH 77,500 102,233 – 0.00 % Asia Cement Corp 108,763 159,765 – 0.00 % Asia Pile Holdings Corp 3,900 16,843 – 0.00 % Brickworks Ltd 7,709 89,712 – 0.00 % CSR Ltd 8,001 21,771 – 0.00 % The accompanying notes form an integral part of these audited financial statements 122 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Construction Materials (continued) Eagle Materials Inc 521 41,123 – 0.00 % Eugene Corp 1,739 5,470 – 0.00 % Forterra PLC 48,785 203,500 – 0.00 % Ibstock PLC 24,966 87,333 – 0.00 % Krosaki Harima Corp 1,800 91,719 – 0.00 % LafargeHolcim Ltd 506 23,388 – 0.00 % Marshalls PLC 19,564 181,713 – 0.00 % POSCO Chemical Co Ltd 1,241 56,543 – 0.00 % Rhi Magnesita NV 1,828 69,830 – 0.00 % Taiheiyo Cement Corp 2,300 56,641 – 0.00 % Taiwan Cement Corp 189,714 265,481 – 0.00 % Vicat SA 1,125 43,808 – 0.00 % Vulcan Materials Co 500 60,130 – 0.00 % Wienerberger AG 3,291 83,552 – 0.00 % Total Construction Materials – 0.00 % Consumer Discretionary AcadeMedia AB 5,854 32,411 – 0.00 % Accell Group NV 3,747 102,630 – 0.00 % Accent Group Ltd 67,594 72,428 – 0.00 % Adairs Ltd 23,007 36,157 – 0.00 % Advtech Ltd 20,550 12,166 – 0.00 % Aeffe SpA (2,947) (4,363) – 0.00 % Ahresty Corp 3,900 15,617 – 0.00 % Ajisen China Holdings Ltd 11,000 2,781 – 0.00 % Aksa Akrilik Kimya Sanayii AS 84,928 107,716 – 0.00 % AKWEL 1,231 19,905 – 0.00 % Alleanza Holdings Co Ltd 500 3,486 – 0.00 % AmTRAN Technology Co Ltd 80,357 24,566 – 0.00 % Aquafil SpA 987 5,483 – 0.00 % Ardent Leisure Group Ltd 13,954 8,156 – 0.00 % Aspire Global PLC 4,104 6,740 – 0.00 % Baby Bunting Group Ltd 23,100 44,853 – 0.00 % Berjaya Sports Toto Bhd 36,344 21,625 – 0.00 % Bermaz Auto Bhd 155,628 65,667 – 0.00 % bet-at-home.com AG 683 29,962 – 0.00 % Bigben Interactive 769 12,452 – 0.00 % Bookoff Group Holdings Ltd 400 2,882 – 0.00 % BRONCO BILLY Co Ltd 400 7,898 – 0.00 % Bulten AB 3,818 26,857 – 0.00 % Cafe de Coral Holdings Ltd 32,000 70,135 – 0.00 % Central Sports Co Ltd 1,000 22,675 – 0.00 % China Animation 102,000 27,617 – 0.00 % China Education Group Holdings (40,000) (56,872) – 0.00 % China Lilang Ltd 32,000 20,737 – 0.00 % The accompanying notes form an integral part of these audited financial statements 123 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Discretionary (continued) China Maple Leaf Educational Systems Ltd 24,000 8,377 – 0.00 % China Motor Corp 34,085 39,739 – 0.00 % CHOW SANG SANG 39,000 45,791 – 0.00 % Cie des Alpes 1,068 27,020 – 0.00 % CITYCHAMP 374,000 78,707 – 0.00 % Clas Ohlson AB 8,181 80,111 – 0.00 % Collins Foods Ltd 32,392 185,111 – 0.00 % Construtora Tenda SA 1,000 7,810 – 0.00 % COWELL FASHION Co Ltd 2,427 9,467 – 0.00 % Cuckoo Homesys Co Ltd (78) (2,453) – 0.00 % Curro Holdings Ltd 14,424 10,522 – 0.00 % Cyrela Brazil Realty SA Empreendimentos e Participacoes 400 2,657 – 0.00 % Daekyo Co Ltd 3,923 16,311 – 0.00 % Dillard’s Inc 5,439 306,161 – 0.00 % DO & CO AG 297 25,842 – 0.00 % DRB-Hicom Bhd 34,957 18,396 – 0.00 % eDreams ODIGEO SA 4,161 17,256 – 0.00 % Enlabs AB 7,641 15,154 – 0.00 % Eslead Corp 1,600 24,414 – 0.00 % Esprit Holdings Ltd 61,000 10,176 – 0.00 % Even Construtora e Incorporado 400 1,277 – 0.00 % Fairwood Holdings Ltd 16,000 39,051 – 0.00 % Far Eastern Department Stores 103,818 83,386 – 0.00 % Fast Retailing Co Ltd 800 395,358 – 0.00 % First-corp Inc 5,100 22,874 – 0.00 % Formosa International Hotels Corp 12,119 59,608 – 0.00 % Formosa Taffeta Co Ltd 65,220 72,366 – 0.00 % F-Tech Inc 4,100 23,091 – 0.00 % Fujibo Holdings Inc 1,000 27,382 – 0.00 % Fujio Food System Co Ltd 500 6,598 – 0.00 % Fulgent Sun International Holding Co Ltd 9,722 34,133 – 0.00 % Furukawa Battery Co Ltd 700 3,929 – 0.00 % Fusheng Precision Co Ltd 10,444 66,935 – 0.00 % Genting Bhd 83,337 97,788 – 0.00 % Genting Malaysia Bhd 177,080 121,314 – 0.00 % Giordano International Ltd 94,000 22,074 – 0.00 % Global Ltd 3,000 10,515 – 0.00 % GoCo Group PLC 47,759 50,095 – 0.00 % Golf Digest Online Inc 800 4,069 – 0.00 % Goodbaby International Holdings Ltd 25,000 4,267 – 0.00 % Gourmet Master Co Ltd 9,070 28,389 – 0.00 % Grand Baoxin Auto Group Ltd 3,000 485 – 0.00 % GSI Creos Corp 2,200 21,566 – 0.00 % GUD Holdings Ltd 743 5,134 – 0.00 % Haier Electronics Group Co Ltd 9,000 25,754 – 0.00 % The accompanying notes form an integral part of these audited financial statements 124 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Discretionary (continued) Halla Holdings Corp 47 1,379 – 0.00 % Hanatour Japan Co Ltd 1,600 8,789 – 0.00 % Handsome Co Ltd 408 8,296 – 0.00 % Hankook Technology Group Co Ltd 1,617 16,439 – 0.00 % Hinokiya Group Co Ltd 1,200 20,064 – 0.00 % HK&S HOTELS 15,000 15,322 – 0.00 % H-One Co Ltd 2,700 15,431 – 0.00 % Hornbach Holding AG & Co KGaA 1,312 73,459 – 0.00 % Hota Industrial Manufacturing 6,618 25,317 – 0.00 % Hyosung TNC Co Ltd 57 6,978 – 0.00 % Imasen Electric Industrial 2,100 14,876 – 0.00 % JNBY Design Ltd 10,500 11,318 – 0.00 % Johnson Health Tech Co Ltd 8,494 19,862 – 0.00 % JVCKenwood Corp 47,600 96,402 – 0.00 % Kenda Rubber Industrial Co Ltd 25,041 23,347 – 0.00 % Kendrion NV 2,099 41,837 – 0.00 % Kinpo Electronics 120,078 52,896 – 0.00 % Kintetsu Department Store Co Ltd 500 11,652 – 0.00 % Kogan.com Ltd 2,965 8,588 – 0.00 % Kontoor Brands Inc 15,427 520,507 – 0.00 % Kordsa Teknik Tekstil AS 46,218 103,363 – 0.00 % Koufu Group Ltd 14,100 7,129 – 0.00 % Kumho Tire Co Inc 185 563 – 0.00 % Lealea Enterprise Co Ltd 73,599 21,501 – 0.00 % LeoVegas AB 23,383 65,938 – 0.00 % LF Corp 529 5,510 – 0.00 % LG Electronics Inc 1,234 61,857 – 0.00 % Litalico Inc 2,300 45,156 – 0.00 % Look Holdings Inc 2,100 16,643 – 0.00 % Lookers PLC 13,016 7,525 – 0.00 % Lovisa Holdings Ltd 3,870 24,152 – 0.00 % LUK FOOK HOLD 20,000 48,762 – 0.00 % Lung Yen Life Service Corp 10,448 21,005 – 0.00 % Magnum Bhd 36,763 21,002 – 0.00 % Mandarin Oriental International Ltd 9,200 15,088 – 0.00 % Mavi Giyim Sanayi Ve Ticaret AS 13,249 113,799 – 0.00 % MegaStudyEdu Co Ltd 415 14,345 – 0.00 % Mercari Inc 100 2,259 – 0.00 % Merida Industry Co Ltd 10,158 49,794 – 0.00 % Mikuni Corp 3,300 8,697 – 0.00 % momo.com Inc 4,345 50,873 – 0.00 % Motus Holdings Ltd 11,479 53,574 – 0.00 % Nan Kang Rubber Tire Co Ltd 59,301 84,163 – 0.00 % New Art Holdings Co Ltd 3,000 20,141 – 0.00 % New Wave Group AB 6,979 37,847 – 0.00 % The accompanying notes form an integral part of these audited financial statements 125 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Discretionary (continued) Nexen Tire Corp 2,406 12,819 – 0.00 % Nick Scali Ltd 12,284 57,037 – 0.00 % Nihon Plast Co Ltd 2,500 13,455 – 0.00 % NS Shopping Co Ltd 1,818 11,090 – 0.00 % On the Beach Group PLC 1,611 6,652 – 0.00 % Padini Holdings Bhd 26,386 18,890 – 0.00 % Paiho Shih Holdings Corp 12,948 17,176 – 0.00 % PChome Online Inc 1,373 4,843 – 0.00 % Photo-Me International PLC 23,560 25,104 – 0.00 % PIA Corp 200 5,382 – 0.00 % POU SHENG INT’L 85,000 21,706 – 0.00 % Poya International Co Ltd 8,485 134,054 – 0.00 % Prosus NV 467 32,707 – 0.00 % QB Net Holdings Co Ltd 900 15,464 – 0.00 % Quang Viet Enterprise Co Ltd 3,171 14,336 – 0.00 % Real Matters Inc 4,857 49,216 – 0.00 % Redbubble Ltd 7,001 4,228 – 0.00 % Ride On Express Holdings Co Ltd 700 9,205 – 0.00 % Roo Hsing Co Ltd 66,387 22,098 – 0.00 % Ryohin Keikaku Co Ltd 8,900 121,646 – 0.00 % S&T Motiv Co Ltd 722 23,519 – 0.00 % Sac’s Bar Holdings Inc 3,100 20,784 – 0.00 % Sanei Architecture Planning Co 1,400 16,792 – 0.00 % Sanyang Motor Co Ltd 35,970 24,423 – 0.00 % Scroll Corp 400 1,113 – 0.00 % Sebang Global Battery Co Ltd 427 11,251 – 0.00 % Seobu T&D 643 3,618 – 0.00 % SFP Holdings Co Ltd 2,200 35,583 – 0.00 % Shinsegae Food Co Ltd 223 10,864 – 0.00 % Shop Apotheke Europe NV 732 35,429 – 0.00 % SkiStar AB 8,081 79,298 – 0.00 % Ssangyong Motor Co 2,101 3,208 – 0.00 % Studio Atao Co Ltd 4,300 17,536 – 0.00 % Sungwoo Hitech Co Ltd 1,564 3,946 – 0.00 % Super Group Ltd/South Africa 27,456 37,406 – 0.00 % T RAD Co Ltd 1,100 16,347 – 0.00 % Tainan Spinning Co Ltd 69,904 23,153 – 0.00 % TCL Electronics Holdings Ltd 45,000 25,061 – 0.00 % Texhong Textile Group Ltd 12,000 12,642 – 0.00 % Texwinca Holdings Ltd 116,000 24,858 – 0.00 % TI Fluid Systems PLC 1,459 3,756 – 0.00 % Tianli Education International Holdings Ltd (8,000) (4,168) – 0.00 % TIANNENG POWER 88,000 65,156 – 0.00 % Tod’s SpA 3,598 122,929 – 0.00 % Tokmanni Group Corp 10,967 145,971 – 0.00 % The accompanying notes form an integral part of these audited financial statements 126 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Discretionary (continued) Tong Yang Industry Co Ltd 39,633 51,130 – 0.00 % Trainline PLC 3,294 19,527 – 0.00 % Treasure Factory Co Ltd 600 3,856 – 0.00 % Trisul SA 3,189 10,255 – 0.00 % Tsogo Sun Gaming Ltd 42,375 24,843 – 0.00 % Twin River Worldwide Holdings 5,539 144,014 – 0.00 % UMW Holdings Bhd 18,351 13,746 – 0.00 % Valuence Holdings Inc 800 12,318 – 0.00 % Vector Inc/Shinjuku-ku 4,400 9,237 – 0.00 % Wealth Management Inc/ Tokyo 600 6,209 – 0.00 % Winix Inc 2,109 40,344 – 0.00 % Yadea Group Holdings Ltd 292,000 79,061 – 0.00 % Total Consumer Discretionary – 0.00 % Consumer Finance American Express Co 3,157 347,049 – 0.00 % Capital One Financial Corp 1,516 133,802 – 0.00 % Cembra Money Bank AG 817 91,472 – 0.00 % Credit Acceptance Corp 926 373,363 – 0.00 % Credit Corp Group Ltd 6,701 143,604 – 0.00 % Credit Saison Co Ltd 1,200 17,400 – 0.00 % Discover Financial Services 8,181 536,510 – 0.00 % Elevate Credit Inc 6,163 20,338 – 0.00 % Encore Capital Group Inc (8,768) (325,819) – 0.00 % Enova International Inc 1,450 27,869 – 0.00 % EZCORP Inc 19,494 93,571 – 0.00 % goeasy Ltd 764 35,666 – 0.00 % Green Dot Corp (2,709) (92,539) – 0.00 % Hitachi Capital Corp 800 20,434 – 0.00 % Jaccs Co Ltd 2,700 54,082 – 0.00 % Medallion Financial Corp 3,171 18,741 – 0.00 % Nelnet Inc 760 40,356 – 0.00 % OneMain Holdings Inc 4,993 183,493 – 0.00 % Orient Corp 28,100 34,561 – 0.00 % PRA Group Inc (9,668) (375,312) – 0.00 % Regional Management Corp 2,060 52,839 – 0.00 % Resurs Holding AB 14,557 78,115 – 0.00 % Samsung Card Co Ltd 1,349 37,729 – 0.00 % Synchrony Financial 29,827 867,966 – 0.00 % World Acceptance Corp 4,541 354,652 – 0.00 % Total Consumer Finance – 0.00 % The accompanying notes form an integral part of these audited financial statements 127 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Staples Aekyung Industrial Co Ltd 1,913 41,278 – 0.00 % Agrana Beteiligungs AG 892 17,230 – 0.00 % Albis Co Ltd 1,000 17,654 – 0.00 % Anadolu Efes Biracilik Ve Malt 19,074 67,186 – 0.00 % Asaleo Care Ltd 20,005 13,641 – 0.00 % Astral Foods Ltd 7,532 90,386 – 0.00 % Australian Agricultural Co Ltd 50,268 35,908 – 0.00 % Belc Co Ltd 600 28,742 – 0.00 % Bell Food Group AG 397 102,195 – 0.00 % Binggrae Co Ltd 771 34,361 – 0.00 % Blackmores Ltd 291 12,157 – 0.00 % Bonduelle SCA 1,565 35,291 – 0.00 % BWX Ltd 11,384 30,015 – 0.00 % Carlsberg Brewery Malaysia Bhd 16,504 124,567 – 0.00 % CH MODERN D 41,000 4,945 – 0.00 % Chlitina Holding Ltd 9,224 56,978 – 0.00 % Dairy Farm International Holdings 22,400 107,520 – 0.00 % Dis-Chem Pharmacies Ltd 39,128 54,084 – 0.00 % Dongsuh Cos Inc 3,194 41,484 – 0.00 % Dongwon F&B Co Ltd 72 12,578 – 0.00 % Dongwon Industries Co Ltd 134 21,797 – 0.00 % Easy Bio Inc 4,183 15,448 – 0.00 % Eurocash SA 7,024 32,334 – 0.00 % First Resources Ltd 76,300 87,000 – 0.00 % ForFarmers NV 10,776 65,195 – 0.00 % Fraser & Neave Holdings Bhd 9,570 69,691 – 0.00 % Freedom Foods Group Ltd 3,319 8,837 – 0.00 % G-7 Holdings Inc 4,500 91,053 – 0.00 % Genting Plantations Bhd 26,630 63,253 – 0.00 % Great Wall Enterprise Co Ltd 89,404 119,336 – 0.00 % HABA Laboratories Inc 500 21,408 – 0.00 % Harim Holdings Co Ltd 2,742 16,066 – 0.00 % Hyundai Bioscience Co Ltd 5,127 46,379 – 0.00 % Hyundai Greenfood Co Ltd 3,805 27,315 – 0.00 % IOI Corp Bhd 96,151 95,046 – 0.00 % Japfa Ltd 53,300 21,405 – 0.00 % Kernel Holding SA 1,100 12,017 – 0.00 % Kewpie Corp 1,300 23,864 – 0.00 % Kolmar BNH Co Ltd 1,654 36,719 – 0.00 % Kolmar Korea Holdings Co Ltd 222 4,007 – 0.00 % Kuala Lumpur Kepong Bhd 31,439 162,766 – 0.00 % KWS Saat SE & Co KGaA 1,012 56,773 – 0.00 % La Doria SpA 79 708 – 0.00 % Lien Hwa Industrial Holdings Corp 101,591 127,864 – 0.00 % Lotte Confectionery Co Ltd 145 16,246 – 0.00 % The accompanying notes form an integral part of these audited financial statements 128 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Consumer Staples (continued) Lotte Food Co Ltd 6 1,651 – 0.00 % Maeil Dairies Co Ltd 980 65,472 – 0.00 % METRO AG 6,720 77,505 – 0.00 % Muhak Co Ltd 507 2,592 – 0.00 % Naked Wines PLC 16,651 44,249 – 0.00 % Namchow Holdings Co Ltd 20,280 32,913 – 0.00 % Namyang Dairy Products Co Ltd 36 11,308 – 0.00 % Natura & Co Holding SA 200 2,027 – 0.00 % Nestle Malaysia Bhd 4,298 145,695 – 0.00 % Nihon Chouzai Co Ltd 1,200 39,673 – 0.00 % Nishimoto Co Ltd 900 23,587 – 0.00 % Oceana Group Ltd 8,618 30,138 – 0.00 % Ottogi Corp 72 29,698 – 0.00 % PPB Group Bhd 28,820 123,656 – 0.00 % Pulmuone Co Ltd 1,824 16,424 – 0.00 % PZ Cussons PLC 10,100 23,356 – 0.00 % QL Resources Bhd 57,105 110,460 – 0.00 % Riken Vitamin Co Ltd 800 28,002 – 0.00 % Samyang Corp 229 7,212 – 0.00 % Scandi Standard AB 6,058 39,423 – 0.00 % Select Harvests Ltd 11,311 46,276 – 0.00 % Sheng Siong Group Ltd 82,200 73,095 – 0.00 % Sime Darby Plantation Bhd 65,280 76,754 – 0.00 % SPC Samlip Co Ltd 7 391 – 0.00 % Standard Foods Corp 28,936 65,075 – 0.00 % Starzen Co Ltd 800 31,109 – 0.00 % Taiwan TEA Corp 35,109 18,373 – 0.00 % Vilmorin & Cie SA 497 21,950 – 0.00 % VINDA INT’L 24,000 61,748 – 0.00 % Yamami Co 200 3,621 – 0.00 % Yamatane Corp 1,300 15,785 – 0.00 % Yamaya Corp 1,000 19,078 – 0.00 % Total Consumer Staples – 0.00 % Containers & Packaging FP Corp 200 11,985 – 0.00 % Huhtamaki Oyj 3,343 137,163 – 0.00 % Myers Industries Inc 2,803 38,037 – 0.00 % Nihon Yamamura Glass Co Ltd 200 1,899 – 0.00 % Orora Ltd 16,964 30,075 – 0.00 % SIG Combibloc Group AG 21,373 315,524 – 0.00 % Total Containers & Packaging – 0.00 % The accompanying notes form an integral part of these audited financial statements 129 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Distributors D’ieteren SA/NV 3,336 193,755 – 0.00 % Doshisha Co Ltd 1,700 21,774 – 0.00 % Goyo Intex Co Ltd 200 479 – 0.00 % Happinet Corp 3,700 39,383 – 0.00 % LKQ Corp (13,878) (448,255) – 0.00 % ONTSU Co Ltd 44,600 9,074 – 0.00 % Pool Corp 4,863 1,025,898 – 0.00 % Total Distributors – 0.00 % Diversified Consumer Services AA PLC 30,881 17,289 – 0.00 % American Public Education Inc 2,870 63,886 – 0.00 % Asante Inc 1,224 19,876 – 0.00 % Bright Horizons Family Solution 1,542 242,325 – 0.00 % Career Education Corp 30,111 449,557 – 0.00 % Carriage Services Inc 6,234 131,849 – 0.00 % Collectors Universe Inc 3,317 76,308 – 0.00 % ESCRIT Inc 2,600 14,066 – 0.00 % Flutter Entertainment plc 1,296 136,829 – 0.00 % frontdoor Inc 3,931 166,674 – 0.00 % FU SHOU YUAN 42,000 35,894 – 0.00 % Graham Holdings Co 930 467,678 – 0.00 % Grand Canyon Education Inc 3,787 305,535 – 0.00 % IBJ Inc 5,300 46,807 – 0.00 % InvoCare Ltd (3,557) (33,494) – 0.00 % Japan Best Rescue System Co Ltd 3,700 25,833 – 0.00 % K12 Inc (3,589) (71,349) – 0.00 % Laureate Education Inc 11,449 214,096 – 0.00 % LIKE Kidsnext Co Ltd 800 5,009 – 0.00 % Meiko Network Japan Co Ltd 3,100 23,221 – 0.00 % Park Lawn Corp 3,200 62,943 – 0.00 % Riso Kyoiku Co Ltd 44,500 125,926 – 0.00 % Select Interior Concepts Inc 2,195 16,397 – 0.00 % Service Corp International/US 7,700 367,983 – 0.00 % Sprix Ltd 2,200 16,927 – 0.00 % Strategic Education Inc (4,953) (729,973) – 0.00 % Studio Alice Co Ltd 2,900 41,568 – 0.00 % Take And Give Needs Co Ltd 5,100 38,155 – 0.00 % Weight Watchers International 1,768 53,040 – 0.00 % Zovio Inc 4,910 7,709 – 0.00 % Total Diversified Consumer Services – 0.00 % The accompanying notes form an integral part of these audited financial statements 130 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Diversified Financial Services Ackermans & van Haaren NV 58 8,262 – 0.00 % Banca Farmafactoring SpA 39,181 238,338 – 0.00 % Banca IFIS SpA 4,125 62,391 – 0.00 % Banca Mediolanum SpA 14,943 120,979 – 0.00 % Berkshire Hathaway Inc 1,292 266,591 – 0.00 % Cannae Holdings Inc 5,021 187,233 – 0.00 % Casa Inc 1,862 21,128 – 0.00 % Cerved Group SpA 15,315 144,290 – 0.00 % Chailease Holding Co Ltd 22,616 86,143 – 0.00 % Eurazeo SE 266 17,732 – 0.00 % Far East Horizon Ltd 121,000 105,738 – 0.00 % Financial Products Group Co Ltd 10,607 83,965 – 0.00 % FirstRand Ltd 8,337 29,379 – 0.00 % Groupe Bruxelles Lambert SA 382 34,406 – 0.00 % Haci Omer Sabanci Holding AS 22,047 30,122 – 0.00 % Hypoport AG 69 22,922 – 0.00 % NEC Capital Solutions Ltd 2,661 52,046 – 0.00 % On Deck Capital Inc 6,826 23,823 – 0.00 % ORIX Corp 15,900 256,141 – 0.00 % Ricoh Leasing Co Ltd 500 17,178 – 0.00 % Sofina SA 982 210,855 – 0.00 % Total Diversified Financial Services – 0.00 % Diversified Telecommunication ARTERIA Networks Corp 5,700 93,774 – 0.00 % BCE Inc 2,862 126,831 – 0.00 % CenturyLink Inc 278 3,355 – 0.00 % Chunghwa Telecom Co Ltd 55,998 200,311 – 0.00 % Cincinnati Bell Inc (14,082) (183,770) – 0.00 % Elisa Oyj 2,022 115,525 – 0.00 % Euskaltel SA 14,177 125,225 – 0.00 % Fibergate Inc/Japan 3,700 33,430 – 0.00 % GCI Liberty Inc 3,666 253,357 – 0.00 % Globalstar Inc 104,239 42,571 – 0.00 % IDT Corp 3,918 30,169 – 0.00 % Infrastrutture Wireless Italiane SpA 24,132 245,543 – 0.00 % Inscobee Inc 5,569 12,779 – 0.00 % Internet Initiative Japan Inc 4,900 134,083 – 0.00 % NTT 110,342 2,581,126 – 0.00 % ORBCOMM Inc 13,936 46,128 – 0.00 % PCCW Ltd 414,000 249,156 – 0.00 % SingTel 17,400 37,434 – 0.00 % Sunrise Communications Group AG 4,225 340,691 – 0.00 % Telecom Italia SpA/Milano (466,577) (275,180) – 0.00 % Telekom Austria AG 17,001 128,103 – 0.00 % The accompanying notes form an integral part of these audited financial statements 131 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Diversified Telecommunication (continued) Telkom SA SOC Ltd 42,036 70,090 – 0.00 % Telstra Corp Ltd 51,953 115,722 – 0.00 % TELUS Corp 54 1,950 – 0.00 % Verizon Communications Inc 9,728 526,868 – 0.00 % Vision Inc/Tokyo Japan 4,000 39,506 – 0.00 % Vocus Group Ltd (41,091) (91,795) – 0.00 % Total Diversified Telecommunication – 0.00 % Electric Utilities ALLETE Inc 3,303 227,874 – 0.00 % Alliant Energy Corp 25,390 1,323,327 – 0.00 % American Electric Power Co Inc 9,866 880,639 – 0.00 % AusNet Services 399,344 439,571 – 0.00 % BKW AG 3,543 304,010 – 0.00 % CK Infrastructure Holdings Ltd 39,000 265,740 – 0.00 % Duke Energy Corp 10,865 996,321 – 0.00 % Edison International 21,504 1,444,854 – 0.00 % EDP - Energias de Portugal SA 6,813 31,626 – 0.00 % EDP - Energias do Brasil SA 400 1,820 – 0.00 % Electricite de France SA (22,944) (317,751) – 0.00 % Eletrobras SA 200 1,538 – 0.00 % Elia System Operator SA/NV 1,922 190,489 – 0.00 % Emera Inc 1,858 78,357 – 0.00 % Endesa SA 61,345 1,567,549 – 0.00 % Enel SpA 129,216 1,076,834 – 0.00 % Enerjisa Enerji AS 162,426 203,140 – 0.00 % Entergy Corp 4,460 521,419 – 0.00 % Equatorial Energia SA 1,100 6,041 – 0.00 % Evergy Inc 33,207 2,170,077 – 0.00 % Eversource Energy 7,860 679,576 – 0.00 % Exelon Corp 19,207 828,014 – 0.00 % FirstEnergy Corp 32,624 1,452,747 – 0.00 % Fortis Inc/Canada 1,727 69,948 – 0.00 % Genie Energy Ltd 1,433 9,916 – 0.00 % Hawaiian Electric Industries Inc 30,255 1,296,124 – 0.00 % IDACORP Inc 12,320 1,190,605 – 0.00 % NextEra Energy Inc 425 107,423 – 0.00 % OGE Energy Corp 24,267 924,573 – 0.00 % Otter Tail Corp 946 45,985 – 0.00 % Pinnacle West Capital Corp 16,842 1,507,191 – 0.00 % PNM Resources Inc 7,085 333,562 – 0.00 % Portland General Electric Co 3,251 176,887 – 0.00 % Power Assets Holdings Ltd 51,000 363,213 – 0.00 % PPL Corp 41,289 1,239,083 – 0.00 % The accompanying notes form an integral part of these audited financial statements 132 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electric Utilities (continued) Red Electrica Corp SA 93,124 1,776,759 – 0.00 % Southern Co 12,401 748,524 – 0.00 % Spark Infrastructure Group 249,645 342,072 – 0.00 % SSE PLC 21,574 421,437 – 0.00 % Terna Rete Elettrica Nazionale 185,374 1,221,429 – 0.00 % Xcel Energy Inc 7,006 436,614 – 0.00 % Total Electric Utilities – 0.00 % Electrical Equipment Acuity Brands Inc 1,065 109,546 – 0.00 % Allied Motion Technologies Inc 307 11,832 – 0.00 % American Superconductor Corp 973 6,665 – 0.00 % AZZ Inc 5,001 184,487 – 0.00 % Ballard Power Systems Inc 1,002 9,010 – 0.00 % CRRC TIMES ELEC (28,100) (98,259) – 0.00 % Encore Wire Corp 1,157 56,658 – 0.00 % Feelux Co Ltd 4,812 20,926 – 0.00 % Furukawa Electric Co Ltd 4,400 96,720 – 0.00 % GOLDWIND 85,400 84,820 – 0.00 % GrafTech International Ltd 36,231 295,645 – 0.00 % GS Yuasa Corp 4,600 81,123 – 0.00 % Huber + Suhner AG 1,135 75,448 – 0.00 % Legrand SA 217 16,475 – 0.00 % LS Industrial Systems Co Ltd 50 1,809 – 0.00 % LSI Industries Inc 2,108 13,997 – 0.00 % Mabuchi Motor Co Ltd 4,700 162,773 – 0.00 % Mersen SA 661 19,268 – 0.00 % Mitsubishi Electric Corp (2,200) – – 0.00 % Nippon Seisen Co Ltd 1,330 38,251 – 0.00 % nVent Electric PLC 29,048 697,442 – 0.00 % Powell Industries Inc 411 13,740 – 0.00 % Rockwell Automation Inc 2,745 503,708 – 0.00 % Sansha Electric Manufacturing 1,254 7,051 – 0.00 % Schneider Electric SE 97 9,656 – 0.00 % SEC Carbon Ltd 1,077 70,714 – 0.00 % Signify NV 4,722 139,205 – 0.00 % Sinfonia Technology Co Ltd 2,050 19,223 – 0.00 % SWCC Showa Holdings Co Ltd 480 4,838 – 0.00 % Teco Electric and Machinery Co 108,104 95,780 – 0.00 % Thermon Group Holdings Inc 59 1,037 – 0.00 % Totoku Electric Co Ltd 700 14,973 – 0.00 % Vestas Wind Systems A/S 1,607 153,618 – 0.00 % Walsin Lihwa Corp 74,851 34,584 – 0.00 % Total Electrical Equipment – 0.00 % The accompanying notes form an integral part of these audited financial statements 133 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electronic Equipment, Instruments & Components A&D Co Ltd 8,100 58,127 – 0.00 % Ai Holdings Corp 6,200 87,437 – 0.00 % Airgain Inc 2,071 16,340 – 0.00 % Alps Alpine Co Ltd 13,047 200,166 – 0.00 % Amano Corp 4,100 100,476 – 0.00 % Amphenol Corp 835 76,553 – 0.00 % Anixter International Inc 1,247 121,595 – 0.00 % Anritsu Corp 3,000 49,216 – 0.00 % Asia Optical Co Inc 16,539 45,850 – 0.00 % Avnet Inc 661 20,279 – 0.00 % Badger Meter Inc 6,421 386,608 – 0.00 % Barco NV 448 95,505 – 0.00 % Benchmark Electronics Inc 6,466 175,746 – 0.00 % BH Co Ltd 5,834 85,941 – 0.00 % Canon Electronics Inc 3,300 56,518 – 0.00 % CDW Corp/DE 3,485 398,057 – 0.00 % CHINA CRSC (60,000) (30,797) – 0.00 % Citizen Watch Co Ltd 35,400 139,786 – 0.00 % Coda Octopus Group Inc 1,682 10,765 – 0.00 % CONEXIO Corp 200 2,489 – 0.00 % Coretronic Corp 45,420 55,511 – 0.00 % CTS Corp 487 12,696 – 0.00 % Daeduck Electronics Co 6,651 51,720 – 0.00 % Daiwabo Holdings Co Ltd 2,200 111,287 – 0.00 % Daktronics Inc 5,027 24,733 – 0.00 % Dexerials Corp 11,500 84,228 – 0.00 % Dolby Laboratories Inc 6,157 404,515 – 0.00 % Electrocomponents PLC 15,290 118,418 – 0.00 % Elematec Corp 2,100 17,867 – 0.00 % Enplas Corp 1,300 30,824 – 0.00 % ePlus Inc 1,782 135,004 – 0.00 % ESPEC Corp 3,800 69,966 – 0.00 % Fabrinet 12,868 709,284 – 0.00 % FARO Technologies Inc (3,006) (172,063) – 0.00 % FLEXium Interconnect Inc 6,680 25,112 – 0.00 % Furuno Electric Co Ltd 4,100 34,769 – 0.00 % Genius Electronic Optical Co Ltd 237 3,964 – 0.00 % Hagiwara Electric Holdings Co 700 14,688 – 0.00 % Hakuto Co Ltd 700 7,101 – 0.00 % Hamamatsu Photonics KK 1,533 59,330 – 0.00 % Hioki EE Corp 900 26,883 – 0.00 % Hirose Electric Co Ltd 797 84,465 – 0.00 % Hitachi Ltd 3,200 107,628 – 0.00 % Hochiki Corp 1,800 19,958 – 0.00 % The accompanying notes form an integral part of these audited financial statements 134 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electronic Equipment, Instruments & Components (continued) Holy Stone Enterprise Co Ltd 7,648 25,585 – 0.00 % Horiba Ltd 1,900 103,491 – 0.00 % Hosiden Corp 19,700 169,791 – 0.00 % Ibiden Co Ltd 1,100 24,302 – 0.00 % Inficon Holding AG 180 125,328 – 0.00 % Ingenico Group SA 304 42,786 – 0.00 % IPG Photonics Corp 9 1,149 – 0.00 % Isra Vision AG (664) (36,557) – 0.00 % Iteris Inc 9,166 44,272 – 0.00 % Jabil Inc 7,943 254,573 – 0.00 % Japan Aviation Electronics Industry Ltd 12,000 192,315 – 0.00 % Japan Cash Machine Co Ltd 4,000 24,081 – 0.00 % Jenoptik AG 2,207 51,759 – 0.00 % KB LAMINATES 68,000 67,800 – 0.00 % KEMET Corp 10,644 277,596 – 0.00 % Keyence Corp 500 159,107 – 0.00 % Keysight Technologies Inc (3,506) (332,229) – 0.00 % Kimball Electronics Inc 989 13,401 – 0.00 % Kingboard Holdings Ltd 3,000 7,930 – 0.00 % Kyocera Corp 3,300 207,396 – 0.00 % L&F Co Ltd 349 6,285 – 0.00 % Landis+Gyr Group AG 2,573 209,873 – 0.00 % Lotes Co Ltd 6,800 66,667 – 0.00 % Maruwa Co Ltd/Aichi 1,200 76,238 – 0.00 % Meiko Electronics Co Ltd 5,700 84,392 – 0.00 % MTS Systems Corp 3,621 145,347 – 0.00 % Murata Manufacturing Co Ltd 1,220 64,545 – 0.00 % Mycronic AB 13,531 189,105 – 0.00 % Napco Security Technologies Inc 5,590 113,701 – 0.00 % National Instruments Corp 11,236 452,586 – 0.00 % NF Corp 2,000 33,403 – 0.00 % Nippon Electric Glass Co Ltd 9,854 166,124 – 0.00 % Nippon Kodoshi Corp 800 8,893 – 0.00 % Nohmi Bosai Ltd 1,800 33,774 – 0.00 % Novanta Inc 113 10,081 – 0.00 % Ohara Inc 1,800 17,678 – 0.00 % Okamoto Glass Co Ltd 4,300 6,959 – 0.00 % Omron Corp 2,309 124,701 – 0.00 % Optex Group Co Ltd 300 3,410 – 0.00 % OSI Systems Inc 765 62,172 – 0.00 % Partron Co Ltd 10,218 75,897 – 0.00 % PC Connection Inc 4,132 168,048 – 0.00 % Plexus Corp 9,210 611,084 – 0.00 % Prosperity Dielectrics Co Ltd 1,000 2,007 – 0.00 % The accompanying notes form an integral part of these audited financial statements 135 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Electronic Equipment, Instruments & Components (continued) RECOMM Co Ltd 33,569 25,456 – 0.00 % Ryoden Corp 2,400 33,292 – 0.00 % Samsung SDI Co Ltd 26 6,365 – 0.00 % Sanmina Corp 4,947 130,057 – 0.00 % SFA Engineering Corp 2,696 82,227 – 0.00 % Shinko Shoji Co Ltd 3,700 23,780 – 0.00 % Sumida Corp 1,400 12,299 – 0.00 % Synnex Technology International Corp 53,205 66,260 – 0.00 % Taiyo Yuden Co Ltd 6,800 189,911 – 0.00 % TDK Corp 200 19,328 – 0.00 % TE Connectivity Ltd 2,736 226,732 – 0.00 % Techno Horizon Holdings Co Ltd 2,000 11,874 – 0.00 % Telcon RF Pharmaceutical Inc 3,544 13,162 – 0.00 % Terilogy Co Ltd 8,700 70,961 – 0.00 % Tokyo Electron Device Ltd 3,600 76,005 – 0.00 % Topcon Corp 6,200 61,751 – 0.00 % Toyo Corp/Chuo-ku 600 5,044 – 0.00 % Tripod Technology Corp 29,654 108,040 – 0.00 % Unitech Printed Circuit Board 34,921 31,692 – 0.00 % V Technology Co Ltd 4,500 157,928 – 0.00 % Venture Corp Ltd 1,800 21,234 – 0.00 % Vishay Intertechnology Inc 7,049 131,816 – 0.00 % Vishay Precision Group Inc 1,001 27,497 – 0.00 % Walsin Technology Corp 13,588 95,861 – 0.00 % WPG Holdings Ltd 61,672 79,255 – 0.00 % Yageo Corp 11,000 149,377 – 0.00 % Yaskawa Electric Corp 1,100 34,434 – 0.00 % Yokogawa Electric Corp 6,547 105,166 – 0.00 % Young Optics Inc 11,929 28,131 – 0.00 % LEM Holding SA 84 109,071 – 0.00 % Total Electronic Equipment, Instruments & Components – 0.00 % Energy Anglo Pacific Group PLC 14,888 24,632 – 0.00 % Anton Oilfield (66,000) (6,267) – 0.00 % China Aviation Oil Singapore Co Ltd 42,400 34,663 – 0.00 % China Suntien 92,000 22,431 – 0.00 % Cooper Energy Ltd 104,770 32,998 – 0.00 % Dialog Group Bhd 229,018 181,325 – 0.00 % E1 Corp 535 18,071 – 0.00 % Etablissements Maurel et Prom 12,718 31,967 – 0.00 % Exmar NV 2,769 14,270 – 0.00 % Hankook Shell Oil Co Ltd 130 28,159 – 0.00 % The accompanying notes form an integral part of these audited financial statements 136 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Energy (continued) Hengyuan Refining Co Bhd 8,049 6,850 – 0.00 % Karoon Energy Ltd 4,606 2,528 – 0.00 % Nippon Coke & Engineering Co Ltd 25,400 15,268 – 0.00 % Odfjell Drilling Ltd 5,119 12,977 – 0.00 % Pharos Energy PLC 17,354 6,784 – 0.00 % Rockrose Energy PLC 1,493 26,800 – 0.00 % Serba Dinamik Holdings Bhd 241,051 125,711 – 0.00 % Sinopec Kantons Holdings Ltd 58,000 23,444 – 0.00 % SK Discovery Co Ltd 141 2,528 – 0.00 % SK Gas Ltd 540 34,777 – 0.00 % Toa Oil Co Ltd 500 9,072 – 0.00 % TORM PLC 1,662 12,575 – 0.00 % VERBIO Vereinigte BioEnergie AG 4,032 42,223 – 0.00 % Yinson Holdings BHD 80,362 136,207 – 0.00 % Total Energy – 0.00 % Energy Equipment & Services Apergy Corp 7,560 140,616 – 0.00 % Baker Hughes a GE Co 10,619 170,860 – 0.00 % BW Offshore Ltd 4,652 17,660 – 0.00 % Cactus Inc 5,937 162,139 – 0.00 % China Oilfield Services Ltd 14,000 17,965 – 0.00 % Core Laboratories NV 12,727 341,593 – 0.00 % DMC Global Inc 9,268 334,204 – 0.00 % Drilling Co of 1972 A/S 1,227 53,896 – 0.00 % Enerflex Ltd 454 2,505 – 0.00 % Era Group Inc 1,567 15,357 – 0.00 % Exterran Corp 3,504 17,870 – 0.00 % Frank’s International NV (1,027) (4,026) – 0.00 % FTS International Inc 15,823 14,636 – 0.00 % Halliburton Co 9,718 164,817 – 0.00 % Helix Energy Solutions Group Inc 16,249 109,031 – 0.00 % Helmerich & Payne Inc 13,568 500,524 – 0.00 % Keane Group Inc 12,101 56,391 – 0.00 % Kvaerner ASA 19,375 17,394 – 0.00 % Liberty Oilfield Services Inc 15,385 102,926 – 0.00 % Mammoth Energy Services Inc 6,811 7,424 – 0.00 % Matrix Service Co 2,283 27,579 – 0.00 % Modec Inc 5,200 86,895 – 0.00 % Natural Gas Services Group Inc 1,432 14,148 – 0.00 % Newpark Resources Inc 15,183 53,292 – 0.00 % North American Construction Group Ltd 7,190 66,638 – 0.00 % Ocean Yield ASA 23,376 94,850 – 0.00 % Patterson-UTI Energy Inc 9,966 57,105 – 0.00 % ProPetro Holding Corp 34,139 299,058 – 0.00 % The accompanying notes form an integral part of these audited financial statements 137 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Energy Equipment & Services (continued) Raiznext Corp 500 5,627 – 0.00 % RPC Inc 72,481 249,335 – 0.00 % SBM Offshore NV 5,854 91,665 – 0.00 % SEACOR Holdings Inc 3,057 114,026 – 0.00 % SEACOR Marine Holdings Inc 412 3,275 – 0.00 % Select Energy Services Inc 16,865 109,623 – 0.00 % Solaris Oilfield Infrastructure Inc 18,104 191,902 – 0.00 % Subsea 7 SA 3,492 30,496 – 0.00 % TechnipFMC PLC 48 712 – 0.00 % TGS NOPEC Geophysical Co ASA 3,632 82,083 – 0.00 % Tidewater Inc 1,154 16,029 – 0.00 % Valaris plc (3,863) (14,254) – 0.00 % Total Energy Equipment & Services – 0.00 % Entertainment AMC Entertainment Holdings Inc 5,453 34,136 – 0.00 % Amuse Inc 2,600 54,075 – 0.00 % Ateam Inc 8,300 59,563 – 0.00 % Avex Inc 8,300 77,830 – 0.00 % Borussia Dortmund GmbH & Co KG 4,756 40,205 – 0.00 % Capcom Co Ltd 5,300 144,000 – 0.00 % CD Projekt SA 1,410 99,761 – 0.00 % Cinemark Holdings Inc 22,952 595,834 – 0.00 % Cineworld Group PLC 34,056 67,506 – 0.00 % CTS Eventim AG & Co KGaA 3,102 163,240 – 0.00 % Cyberstep Inc 400 5,630 – 0.00 % Daiichikosho Co Ltd 2,800 114,191 – 0.00 % DeNA Co Ltd 23,700 304,428 – 0.00 % Electronic Arts Inc 3,048 308,976 – 0.00 % Extreme Co Ltd 1,600 26,693 – 0.00 % Gala Inc 1,500 2,955 – 0.00 % GungHo Online Entertainment Inc 12,700 200,480 – 0.00 % IGG Inc 68,000 49,475 – 0.00 % IMAX Corp 6,099 95,022 – 0.00 % Juventus Football Club SpA 56,029 60,399 – 0.00 % JYP Entertainment Corp 3,317 58,222 – 0.00 % Kinepolis Group NV 1,568 82,445 – 0.00 % KLab Inc 27,900 157,129 – 0.00 % Konami Holdings Corp 5,100 183,701 – 0.00 % Live Nation Entertainment Inc 837 50,864 – 0.00 % Madison Square Garden Co 463 124,001 – 0.00 % Marvelous Inc 11,000 62,357 – 0.00 % Nexon Co Ltd 22,400 355,674 – 0.00 % Nihon Falcom Corp 2,200 20,915 – 0.00 % Reading International Inc 4,395 36,610 – 0.00 % The accompanying notes form an integral part of these audited financial statements 138 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Entertainment (continued) Rovio Entertainment Oyj 6,246 24,349 – 0.00 % SM Entertainment Co Ltd 543 12,821 – 0.00 % Take-Two Interactive Software 601 64,595 – 0.00 % Toei Animation Co Ltd 3,300 134,887 – 0.00 % Ubisoft Entertainment SA 1,753 129,929 – 0.00 % UUUM Inc 600 12,878 – 0.00 % Vivendi SA 12,796 324,020 – 0.00 % WWE 10,244 479,112 – 0.00 % Zynga Inc 11,092 74,427 – 0.00 % Total Entertainment – 0.00 % Equity Real Estate Investment Abacus Property Group 10,352 25,008 – 0.00 % Acadia Realty Trust 36,188 826,534 – 0.00 % Activia Properties Inc 65 308,966 – 0.00 % Advance Residence Investment Corp 79 234,878 – 0.00 % Aedifica SA 2,132 275,326 – 0.00 % AEON REIT Investment Corp 131 158,942 – 0.00 % Agree Realty Corp 5,034 361,542 – 0.00 % Alexander & Baldwin Inc 22,363 420,424 – 0.00 % Alexandria Real Estate Equities Inc 7,146 1,085,334 – 0.00 % Allied Properties Real Estate 4,442 180,409 – 0.00 % Alstria office REIT-AG 25,963 489,792 – 0.00 % American Assets Trust Inc 17,649 731,551 – 0.00 % American Campus Communities Inc 17,781 772,407 – 0.00 % American Homes 4 Rent 916 23,715 – 0.00 % American Tower Corp 6,285 1,425,438 – 0.00 % Apartment Investment & Management Co 27,718 1,326,029 – 0.00 % Apple Hospitality REIT Inc 33,969 443,975 – 0.00 % Ascendas Real Estate Investment Trust 63,100 138,467 – 0.00 % Assura PLC 450,528 424,213 – 0.00 % AvalonBay Communities Inc 6,682 1,340,342 – 0.00 % Befimmo SA 5,366 287,161 – 0.00 % Big Yellow Group PLC 4,997 68,055 – 0.00 % Bluerock Residential Growth RE 7,751 80,533 – 0.00 % Boardwalk Real Estate Investment Trust 2,900 98,472 – 0.00 % Boston Properties Inc 8,858 1,142,151 – 0.00 % Brandywine Realty Trust 27,412 372,255 – 0.00 % Brixmor Property Group Inc 49,430 900,120 – 0.00 % BRT Apartments Corp 2,692 41,995 – 0.00 % BWP Trust 40,813 100,450 – 0.00 % Camden Property Trust 12,496 1,324,326 – 0.00 % Canadian Apartment Properties 5,083 212,734 – 0.00 % CapitaLand Commercial Trust 109,400 145,924 – 0.00 % CapitaLand Mall Trust 77,500 126,161 – 0.00 % The accompanying notes form an integral part of these audited financial statements 139 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Equity Real Estate Investment (continued) CareTrust REIT Inc 6,056 126,389 – 0.00 % CatchMark Timber Trust Inc 170 1,562 – 0.00 % Champion REIT 53,000 30,673 – 0.00 % Charter Hall Group 3,934 31,883 – 0.00 % Charter Hall Retail REIT 8,213 25,174 – 0.00 % Chatham Lodging Trust 8,075 112,566 – 0.00 % Choice Properties Real Estate 16,913 170,498 – 0.00 % City Office REIT Inc 13,419 155,660 – 0.00 % Civitas Social Housing PLC 208,549 254,985 – 0.00 % Cofinimmo SA 2,558 405,750 – 0.00 % Colony Capital Inc 15,635 61,915 – 0.00 % Columbia Property Trust Inc 3,553 67,010 – 0.00 % Comforia Residential REIT Inc 54 165,044 – 0.00 % Cominar Real Estate Investment Trust 12,627 130,304 – 0.00 % CoreCivic Inc 1,342 19,875 – 0.00 % CorEnergy Infrastructure Trust 4,034 140,787 – 0.00 % CoreSite Realty Corp 11,348 1,177,128 – 0.00 % Corporate Office Properties Trust 38,516 975,995 – 0.00 % Covivio 2,718 287,021 – 0.00 % CRE Logistics REIT Inc 153 184,644 – 0.00 % Crombie Real Estate Investment Trust 3,119 33,721 – 0.00 % Cromwell Property Group 112,815 83,519 – 0.00 % Crown Castle International Corp 8,929 1,279,436 – 0.00 % CubeSmart 26,615 805,636 – 0.00 % CyrusOne Inc 4,275 258,980 – 0.00 % Daiwa House Residential Investment Corp 127 316,164 – 0.00 % Daiwa Office Investment Corp 37 285,023 – 0.00 % Dexus 118,695 937,299 – 0.00 % Digital Realty Trust Inc 547 65,700 – 0.00 % Douglas Emmett Inc 24,112 920,596 – 0.00 % Dream Industrial Real Estate Investment Trust 3,782 35,673 – 0.00 % Duke Realty Corp 25,766 836,622 – 0.00 % Easterly Government Properties 59,257 1,408,539 – 0.00 % EastGroup Properties Inc 9,210 1,157,973 – 0.00 % Empire State Realty Trust Inc 19,622 229,577 – 0.00 % Empiric Student Property PLC 141,491 165,946 – 0.00 % EPR Properties 17,509 1,037,233 – 0.00 % Equity Commonwealth 20,576 647,321 – 0.00 % Equity LifeStyle Properties Inc 3,425 234,030 – 0.00 % Equity Residential 16,191 1,215,944 – 0.00 % Essential Properties Realty Trust Inc 1,633 37,412 – 0.00 % Essex Property Trust Inc 984 278,826 – 0.00 % Extra Space Storage Inc 10,177 1,021,364 – 0.00 % Federal Realty Investment Trust 8,860 1,030,772 – 0.00 % Fibra Uno Administracion SA de CV 15,400 23,094 – 0.00 % The accompanying notes form an integral part of these audited financial statements 140 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Equity Real Estate Investment (continued) First Industrial Realty Trust 25,805 993,493 – 0.00 % Fortress REIT Ltd 279,349 288,432 – 0.00 % Four Corners Property Trust Inc 248 7,115 – 0.00 % Frasers Centrepoint Trust 34,000 68,027 – 0.00 % Frasers Logistics & Industrial 103,100 91,681 – 0.00 % Front Yard Residential Corp (1,231) (15,609) – 0.00 % Frontier Real Estate Investment Corp 104 386,628 – 0.00 % Fukuoka REIT Corp 143 222,034 – 0.00 % Gaming and Leisure Properties 7,383 329,799 – 0.00 % GCP Student Living PLC 237,310 574,237 – 0.00 % Gecina SA 1,826 322,782 – 0.00 % Getty Realty Corp 3,586 101,627 – 0.00 % Gladstone Commercial Corp 5,145 97,086 – 0.00 % Global Medical REIT Inc 7,658 106,982 – 0.00 % Global Net Lease Inc 42,831 790,232 – 0.00 % Global One Real Estate Investment Corp 61 72,827 – 0.00 % GLP J-Reit 100 126,509 – 0.00 % GPT Group 256,685 963,475 – 0.00 % Granite Real Estate Investment 4,216 214,863 – 0.00 % Growthpoint Properties Ltd 83,378 93,819 – 0.00 % H&R Real Estate Investment Trust 9,294 134,509 – 0.00 % Hamborner REIT AG 20,043 207,355 – 0.00 % Hankyu Hanshin REIT Inc 119 175,636 – 0.00 % Hannon Armstrong Sustainable Infrastructure Capital Inc 2,401 81,514 – 0.00 % HCP Inc 13,447 425,463 – 0.00 % Health Care & Medical Investment Corp 163 184,503 – 0.00 % Healthcare Realty Trust Inc 29,911 1,025,947 – 0.00 % Healthcare Trust of America Inc 3,000 93,420 – 0.00 % Heiwa Real Estate REIT Inc 94 115,789 – 0.00 % Hibernia REIT plc 239,991 321,012 – 0.00 % Highwoods Properties Inc 17,440 782,707 – 0.00 % Hoshino Resorts REIT Inc 49 210,709 – 0.00 % Hudson Pacific Properties Inc 1,195 38,575 – 0.00 % Hulic Reit Inc 81 136,404 – 0.00 % ICADE 652 64,727 – 0.00 % Ichigo Hotel REIT Investment Corp 234 210,986 – 0.00 % Ichigo Office REIT Investment 136 132,309 – 0.00 % Immobiliare Grande Distribuzione 3,827 22,901 – 0.00 % Industrial & Infrastructure Fund Investment 206 323,283 – 0.00 % Inmobiliaria Colonial Socimi SA 8,889 112,641 – 0.00 % InterRent Real Estate Investment Trust 4,890 60,489 – 0.00 % Invesco Office J-Reit Inc 438 89,030 – 0.00 % Invincible Investment Corp 309 125,589 – 0.00 % Irish Residential Properties REIT 168,544 261,412 – 0.00 % Itochu Advance Logistics Investment Corp 59 63,673 – 0.00 % The accompanying notes form an integral part of these audited financial statements 141 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Equity Real Estate Investment (continued) Japan Excellent Inc 141 235,228 – 0.00 % Japan Hotel REIT Investment Corp 607 339,047 – 0.00 % Japan Logistics Fund Inc 111 275,511 – 0.00 % Japan Prime Realty Investment Corp 45 197,670 – 0.00 % Japan Real Estate Investment Corp 16 108,901 – 0.00 % Japan Rental Housing Investments Inc 365 329,440 – 0.00 % Japan Retail Fund Investment Corp 175 331,923 – 0.00 % JBG SMITH Properties 20,844 764,558 – 0.00 % Jernigan Capital Inc 15,930 285,466 – 0.00 % Kenedix Office Investment Corp 44 327,960 – 0.00 % Kenedix Residential Next Investment Corp 117 200,275 – 0.00 % Kenedix Retail REIT Corp 54 119,700 – 0.00 % Kilroy Realty Corp 9,379 681,760 – 0.00 % Kimco Realty Corp 28,544 495,238 – 0.00 % Kite Realty Group Trust 28,638 462,504 – 0.00 % Klepierre SA 2,965 88,126 – 0.00 % Lar Espana Real Estate Socimi SA 22,121 157,192 – 0.00 % LaSalle Logiport REIT 98 143,191 – 0.00 % Lexington Realty Trust 90,175 935,115 – 0.00 % Life Storage Inc 15,885 1,714,150 – 0.00 % Link REIT 18,500 171,399 – 0.00 % LondonMetric Property PLC 35,702 94,510 – 0.00 % LTC Properties Inc 22,571 1,011,858 – 0.00 % LXI REIT plc 235,621 383,511 – 0.00 % Macerich Co 13,432 274,281 – 0.00 % Mack-Cali Realty Corp 12,469 236,662 – 0.00 % Mapletree Commercial Trust 112,900 170,024 – 0.00 % Mapletree Industrial Trust 95,000 182,581 – 0.00 % Mapletree North Asia Commercial Trust 93,500 73,757 – 0.00 % Marimo Regional Revitalization 87 90,995 – 0.00 % MCUBS MidCity Investment Corp 253 263,447 – 0.00 % Merlin Properties Socimi SA 9,013 115,502 – 0.00 % MGM Growth Properties LLC 1,703 48,876 – 0.00 % Mirai Corp 379 175,244 – 0.00 % Mirvac Group 400,815 791,279 – 0.00 % Mitsubishi Estate Logistics RE 78 275,544 – 0.00 % Mitsui Fudosan Logistics Park 39 174,019 – 0.00 % Monmouth Real Estate Investment Corp 1,017 14,441 – 0.00 % Montea C.V.A 2,069 193,679 – 0.00 % Mori Hills REIT Investment Corp 190 298,349 – 0.00 % Mori Trust Hotel Reit Inc 145 170,565 – 0.00 % Mori Trust Sogo Reit Inc 240 406,825 – 0.00 % National Health Investors Inc 6,021 492,096 – 0.00 % National Retail Properties Inc 21,095 1,072,681 – 0.00 % National Storage Affiliates Tru 24,043 811,211 – 0.00 % The accompanying notes form an integral part of these audited financial statements 142 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Equity Real Estate Investment (continued) National Storage REIT 59,232 85,778 – 0.00 % Nippon Accommodations Fund Inc 27 165,044 – 0.00 % Nippon Building Fund Inc 33 246,886 – 0.00 % Nippon Prologis REIT Inc 86 232,785 – 0.00 % NIPPON REIT Investment Corp 35 150,830 – 0.00 % Nomura Real Estate Master Fund 25 39,603 – 0.00 % NorthWest Healthcare Properties REIT 1,877 16,711 – 0.00 % NSI NV 3,079 154,951 – 0.00 % One Liberty Properties Inc 1,293 31,161 – 0.00 % One REIT Inc 69 209,294 – 0.00 % Ooedo Onsen Reit Investment Corp 185 134,642 – 0.00 % Orix JREIT Inc 120 227,493 – 0.00 % Park Hotels & Resorts Inc 26,213 478,649 – 0.00 % Picton Property Income Ltd 59,104 74,001 – 0.00 % Piedmont Office Realty Trust Inc 7,896 170,475 – 0.00 % PotlatchDeltic Corp 627 23,036 – 0.00 % Preferred Apartment Communities Inc 5,211 49,713 – 0.00 % Premier Investment Corp 177 242,253 – 0.00 % Primary Health Properties PLC 292,004 540,197 – 0.00 % PS Business Parks Inc 7,130 1,059,162 – 0.00 % Public Storage 8,538 1,785,467 – 0.00 % QTS Realty Trust Inc 11,449 643,090 – 0.00 % Rayonier Inc 16,487 437,400 – 0.00 % Realty Income Corp 7,886 570,868 – 0.00 % Resilient REIT Ltd 32,355 118,962 – 0.00 % Retail Estates NV 1,712 135,025 – 0.00 % Retail Opportunity Investments 60,350 905,250 – 0.00 % Retail Properties of America Inc 19,868 208,018 – 0.00 % Retail Value Inc 4,134 114,884 – 0.00 % RioCan REIT 7,474 139,711 – 0.00 % RPT Realty 30,981 401,514 – 0.00 % Safehold Inc (1,440) (78,653) – 0.00 % Safestore Holdings PLC 6,854 69,309 – 0.00 % Sakura Sogo REIT Investment Co 164 125,880 – 0.00 % Samty Residential Investment Corp 177 155,336 – 0.00 % Saul Centers Inc 1,280 55,053 – 0.00 % Scentre Group 356,270 800,512 – 0.00 % Segro PLC 3,997 41,935 – 0.00 % Sekisui House Reit Inc 143 112,803 – 0.00 % Senior Housing Properties Trust 5,105 32,110 – 0.00 % Shopping Centres Australasia Property Group 15,814 30,912 – 0.00 % Simon Property Group Inc 7,376 907,838 – 0.00 % SITE Centers Corp 28,950 333,215 – 0.00 % SL Green Realty Corp 7,870 617,323 – 0.00 % SmartCentres Real Estate Investment Trust 8,156 175,021 – 0.00 % The accompanying notes form an integral part of these audited financial statements 143 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Equity Real Estate Investment (continued) Sotherly Hotels Inc 2,945 15,108 – 0.00 % Spirit Realty Capital Inc 25,030 1,138,865 – 0.00 % STAG Industrial Inc 2,295 64,214 – 0.00 % Star Asia Investment Corp 232 215,834 – 0.00 % Starts Proceed Investment Corp 95 171,665 – 0.00 % Stockland 252,571 772,532 – 0.00 % STORE Capital Corp 5,522 181,453 – 0.00 % Summit Industrial Income REIT 4,732 44,810 – 0.00 % Sun Communities Inc 1,136 173,672 – 0.00 % Suntec REIT 41,000 49,984 – 0.00 % Takara Leben Real Estate Investment Corp 245 244,014 – 0.00 % Tanger Factory Outlet Centers 55,668 666,903 – 0.00 % Terreno Realty Corp 1,905 104,527 – 0.00 % Tokyu REIT Inc 134 239,660 – 0.00 % Tosei Reit Investment Corp 222 246,359 – 0.00 % Tritax Big Box REIT PLC 135,195 224,543 – 0.00 % UDR Inc 25,721 1,156,931 – 0.00 % United Urban Investment Corp 206 328,808 – 0.00 % Uniti Group Inc (15,253) (148,869) – 0.00 % Urban Edge Properties 38,182 618,548 – 0.00 % Urstadt Biddle Properties Inc 3,175 65,437 – 0.00 % Vastned Retail NV 1,597 40,141 – 0.00 % Ventas Inc 3,467 186,421 – 0.00 % VEREIT Inc 11,589 100,361 – 0.00 % VICI Properties Inc 3,143 78,764 – 0.00 % Vicinity Centres 526,867 739,038 – 0.00 % Viva Energy REIT 52,735 93,149 – 0.00 % Vornado Realty Trust 18,404 986,086 – 0.00 % Warehouses De Pauw CVA 402 10,701 – 0.00 % Washington Prime Group Inc 82,496 226,864 – 0.00 % Washington Real Estate Investment Trust 26,273 705,430 – 0.00 % Weingarten Realty Investors 40,853 1,100,171 – 0.00 % Weyerhaeuser Co (490) – – 0.00 % Whitestone REIT 3,403 41,823 – 0.00 % Workspace Group PLC 394 5,698 – 0.00 % WP Carey Inc 2,777 214,968 – 0.00 % XYMAX REIT Investment Corp 136 152,180 – 0.00 % Total Equity Real Estate Investment – 0.00 % Financials ABC arbitrage 2,496 17,901 – 0.00 % AEON Credit Service M Bhd 9,512 31,117 – 0.00 % Akita Bank Ltd 200 3,102 – 0.00 % Aktia Bank Oyj 6,214 69,994 – 0.00 % Alliance Bank Malaysia Bhd 104,668 57,315 – 0.00 % AMMB Holdings Bhd 120,194 105,421 – 0.00 % The accompanying notes form an integral part of these audited financial statements 144 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Financials (continued) Arrow Global Group PLC 11,944 36,165 – 0.00 % Australian Finance Group Ltd 1,132 1,897 – 0.00 % Banca Sistema SpA 21,533 40,740 – 0.00 % Bank Millennium SA 8,125 9,962 – 0.00 % Bank of Commerce Holdings 1,943 20,314 – 0.00 % Bank of Saga Ltd 1,000 12,669 – 0.00 % Bank Polska Kasa Opieki SA 10,683 238,941 – 0.00 % BCB Bancorp Inc 1,940 22,000 – 0.00 % BOC Hong Kong Holdings Ltd (9,500) (32,610) – 0.00 % Bursa Malaysia Bhd 57,067 74,538 – 0.00 % Capital Securities Corp 126,814 41,372 – 0.00 % Central Valley Community Banco 2,128 36,602 – 0.00 % China Bills Finance Corp 41,780 21,103 – 0.00 % CIMB Group Holdings Bhd 159,689 182,458 – 0.00 % CMC Markets PLC 9,785 18,752 – 0.00 % Collector AB 4,070 11,267 – 0.00 % Corp Financiera Alba SA 1,735 77,294 – 0.00 % CQRC BANK 105,000 47,427 – 0.00 % DAH SING 14,800 52,037 – 0.00 % Dah Sing Banking Group Ltd 35,600 44,266 – 0.00 % Daishin Securities Co Ltd 3,714 28,974 – 0.00 % Daou Technology Inc 817 10,849 – 0.00 % DeA Capital SpA 10,226 15,568 – 0.00 % doValue SpA 2,221 27,656 – 0.00 % Far Eastern International Bank 161,732 63,210 – 0.00 % FFP 293 29,071 – 0.00 % FIDEA Holdings Co Ltd 18,300 18,616 – 0.00 % First National Financial Corp 2,589 66,310 – 0.00 % First Pacific Co Ltd 154,000 43,278 – 0.00 % FlexiGroup Ltd/Australia 3,511 3,500 – 0.00 % Genworth Mortgage Insurance Australia 35,679 74,607 – 0.00 % Gruppo MutuiOnline SpA 1,131 25,504 – 0.00 % Guaranty Bancshares Inc/TX 506 13,971 – 0.00 % Guotai Junan Securities Co Ltd 11,200 18,712 – 0.00 % Hanwha General Insurance Co Ltd 6,555 11,995 – 0.00 % Hong Leong Bank Bhd 44,149 160,123 – 0.00 % Hong Leong Financial Group Bhd 16,865 61,167 – 0.00 % Hyakujushi Bank Ltd 200 3,375 – 0.00 % IBF Financial Holdings Co Ltd 204,713 76,957 – 0.00 % International Personal Finance 3,419 6,360 – 0.00 % Investment AB Oresund 1,588 21,455 – 0.00 % JB Financial Group Co Ltd 19,752 82,127 – 0.00 % Jih Sun Financial Holdings Co 123,697 40,888 – 0.00 % Jimoto Holdings Inc 16,600 14,430 – 0.00 % JSE Ltd 8,043 51,421 – 0.00 % The accompanying notes form an integral part of these audited financial statements 145 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Financials (continued) KBC Ancora 707 30,175 – 0.00 % Korean Reinsurance Co 10,954 74,091 – 0.00 % KRUK SA 153 5,364 – 0.00 % Kyobo Securities Co Ltd 848 5,335 – 0.00 % Liberty Holdings Ltd 12,152 72,804 – 0.00 % Lotte Non-Life Insurance Co Ltd 9,726 12,067 – 0.00 % M&G PLC 4,519 11,478 – 0.00 % Malayan Banking Bhd 127,359 254,205 – 0.00 % Malaysia Building Society Bhd 137,787 25,150 – 0.00 % Mercuries & Associates Holding 53,746 38,718 – 0.00 % Mercuries Life Insurance Co Ltd 96,503 37,237 – 0.00 % Mirae Asset Life Insurance Co 6,483 21,468 – 0.00 % MLP SE 6,534 35,075 – 0.00 % Mortgage Service Japan Ltd 1,400 22,903 – 0.00 % Mutares SE & Co KGaA 2,510 29,156 – 0.00 % Navigator Global Investments Ltd 348 678 – 0.00 % NICE Holdings Co Ltd 2,126 36,347 – 0.00 % OFX Group Ltd 40,865 34,234 – 0.00 % Omni Bridgeway Ltd 14,559 40,560 – 0.00 % President Securities Corp 73,523 33,606 – 0.00 % Public Bank Bhd 49,217 199,505 – 0.00 % RHB Bank Bhd 141,597 186,290 – 0.00 % Sabre Insurance Group PLC 27,168 97,361 – 0.00 % Sbanken ASA 15,376 104,118 – 0.00 % Shimizu Bank Ltd 400 6,429 – 0.00 % Shinkong Insurance Co Ltd 11,537 14,750 – 0.00 % Summit Financial Group Inc 504 11,048 – 0.00 % Sun Hung Kai & Co Ltd 28,000 12,504 – 0.00 % Tochigi Bank Ltd 4,200 6,447 – 0.00 % Tongyang Life Insurance Co Ltd 4,180 11,136 – 0.00 % Union Bank Of Taiwan 42,663 15,544 – 0.00 % VP Bank AG 120 19,328 – 0.00 % VZ Holding AG 196 67,170 – 0.00 % Warsaw Stock Exchange 3,425 33,064 – 0.00 % Woori Investment Bank Co Ltd 57,652 26,985 – 0.00 % Wuestenrot & Wuerttembergische 2,377 44,659 – 0.00 % Yulon Finance Corp 13,668 48,439 – 0.00 % Zeder Investments Ltd 50,070 13,573 – 0.00 % Total Financials – 0.00 % Food & Staples Retailing Arcs Co Ltd 1,700 27,166 – 0.00 % Axfood AB 10,121 187,186 – 0.00 % Axial Retailing Inc 300 9,530 – 0.00 % Bid Corp Ltd 3,530 62,769 – 0.00 % The accompanying notes form an integral part of these audited financial statements 146 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food & Staples Retailing (continued) Carrefour SA (30,382) (522,859) – 0.00 % Cawachi Ltd 300 5,571 – 0.00 % Coles Group Ltd 19,276 177,878 – 0.00 % Cosmos Pharmaceutical Corp 800 173,339 – 0.00 % Costco Wholesale Corp 2,955 830,769 – 0.00 % Create SD Holdings Co Ltd 800 18,081 – 0.00 % Daikokutenbussan Co Ltd 1,200 33,791 – 0.00 % Dino Polska SA 3,608 129,975 – 0.00 % Eco’s Co Ltd/Japan 1,200 15,747 – 0.00 % Empire Co Ltd 27,084 605,636 – 0.00 % FamilyMart Co Ltd 300 6,620 – 0.00 % George Weston Ltd 6,992 526,818 – 0.00 % GS Retail Co Ltd 1,359 39,870 – 0.00 % Heiwado Co Ltd 3,100 48,019 – 0.00 % ICA Gruppen AB 6,213 230,907 – 0.00 % Ingles Markets Inc 800 28,616 – 0.00 % Japan Meat Co Ltd 2,600 51,021 – 0.00 % Jeronimo Martins SGPS SA (3,130) (54,761) – 0.00 % Kesko Oyj 3,153 212,746 – 0.00 % Kirindo Holdings Co Ltd 500 7,065 – 0.00 % Kroger Co 10,974 308,699 – 0.00 % Kusuri no Aoki Holdings Co Ltd 1,800 109,863 – 0.00 % Lawson Inc 1,000 52,989 – 0.00 % Loblaw Cos Ltd 11,926 591,343 – 0.00 % MARR SpA 1,139 21,049 – 0.00 % Matsumotokiyoshi Holdings Co Ltd 600 19,614 – 0.00 % Medical System Network Co Ltd 1,997 7,775 – 0.00 % Metcash Ltd 27,018 43,337 – 0.00 % Metro Inc/CN 15,579 607,292 – 0.00 % Mitsubishi Shokuhin Co Ltd 1,200 29,108 – 0.00 % Natural Grocers by Vitamin Cottage 1,174 8,101 – 0.00 % Okuwa Co Ltd 3,100 38,100 – 0.00 % Pick n Pay Stores Ltd 25,005 88,309 – 0.00 % President Chain Store Corp 21,092 207,134 – 0.00 % PriceSmart Inc 5,161 287,416 – 0.00 % Qol Holdings Co Ltd 4,200 48,240 – 0.00 % Seven & i Holdings Co Ltd 4,600 157,226 – 0.00 % SpartanNash Co 3,258 40,497 – 0.00 % Sugi Holdings Co Ltd 1,400 66,158 – 0.00 % Sysco Corp 10,068 671,032 – 0.00 % Tsuruha Holdings Inc 400 46,349 – 0.00 % US Foods Holding Corp 7,246 243,755 – 0.00 % Valor Holdings Co Ltd 1,800 27,216 – 0.00 % Village Super Market Inc 1,805 37,093 – 0.00 % Walmart Inc 6,732 724,902 – 0.00 % The accompanying notes form an integral part of these audited financial statements 147 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food & Staples Retailing (continued) Watahan & Co Ltd 800 11,874 – 0.00 % Welcia Holdings Co Ltd (1,800) (108,198) – 0.00 % Woolworths Group Ltd 7,684 193,612 – 0.00 % Yokohama Reito Co Ltd 5,700 44,963 – 0.00 % Total Food & Staples Retailing – 0.00 % Food Products Associated British Foods PLC 369 10,631 – 0.00 % Austevoll Seafood ASA 1,221 10,697 – 0.00 % AVI Ltd 47,454 221,473 – 0.00 % Bakkafrost P/F 3,034 189,878 – 0.00 % Barry Callebaut AG 28 57,401 – 0.00 % Bubs Australia Ltd 101,547 43,194 – 0.00 % Calavo Growers Inc 6,648 481,648 – 0.00 % Charoen Pokphand Enterprise 39,640 81,664 – 0.00 % China Mengniu Dairy Co Ltd 23,000 82,491 – 0.00 % Chocoladefabriken Lindt & Spruengli AG 44 342,520 – 0.00 % Cloetta AB 2,035 6,235 – 0.00 % Costa Group Holdings Ltd (71,826) (138,066) – 0.00 % Cranswick PLC 2,662 113,252 – 0.00 % Daesang Corp 308 5,010 – 0.00 % Dali Foods Group Co Ltd 304,000 200,900 – 0.00 % DyDo Group Holdings Inc 300 9,752 – 0.00 % Ebro Foods SA 6,449 121,306 – 0.00 % Elders Ltd 14,946 75,124 – 0.00 % Emmi AG 173 149,517 – 0.00 % Feed One Co Ltd 11,500 16,484 – 0.00 % Flowers Foods Inc 1,637 35,245 – 0.00 % Fujicco Co Ltd 700 11,296 – 0.00 % Fujiya Co Ltd 1,000 17,719 – 0.00 % Glanbia PLC 1,919 22,270 – 0.00 % Greencore Group PLC 13,407 35,851 – 0.00 % Grieg Seafood ASA 7,072 89,565 – 0.00 % Hershey Co 509 73,291 – 0.00 % Hokuto Corp 8,700 147,876 – 0.00 % Hormel Foods Corp 8,295 345,072 – 0.00 % Hostess Brands Inc 23,965 304,595 – 0.00 % Imuraya Group Co Ltd 700 10,176 – 0.00 % Inghams Group Ltd 46,233 103,882 – 0.00 % Ingredion Inc 2,675 222,828 – 0.00 % Itoham Yonekyu Holdings Inc 200 1,102 – 0.00 % J&J Snack Foods Corp 3,586 576,701 – 0.00 % JBS SA 400 2,022 – 0.00 % JM Smucker Co 342 35,223 – 0.00 % John B Sanfilippo & Son Inc 3,087 216,677 – 0.00 % The accompanying notes form an integral part of these audited financial statements 148 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food Products (continued) J-Oil Mills Inc 1,400 52,111 – 0.00 % Kellogg Co 7,288 440,705 – 0.00 % Key Coffee Inc 1,400 26,386 – 0.00 % Kraft Heinz Co 17,731 439,197 – 0.00 % Kyokuyo Co Ltd 2,600 62,010 – 0.00 % Lamb Weston Holdings Inc 14,368 1,248,436 – 0.00 % Lancaster Colony Corp 786 113,538 – 0.00 % Landec Corp 1,894 19,432 – 0.00 % Limoneira Co 574 9,586 – 0.00 % MEIJI Holdings Co Ltd 1,500 89,333 – 0.00 % Mitsui Sugar Co Ltd 3,000 52,684 – 0.00 % Mondelez International Inc 11,462 605,194 – 0.00 % Mowi ASA 11,299 236,646 – 0.00 % Nagatanien Holdings Co Ltd 1,100 20,498 – 0.00 % Naturecell Co Ltd 6,579 39,640 – 0.00 % Nestle SA 4,780 488,476 – 0.00 % Nichirei Corp (4,300) (109,473) – 0.00 % Nippon Beet Sugar 1,500 23,859 – 0.00 % Nippon Flour Mills Co Ltd 1,600 23,733 – 0.00 % Nippon Suisan Kaisha Ltd 800 3,780 – 0.00 % Nisshin Oillio Group Ltd 2,100 64,766 – 0.00 % Nissin Sugar Co Ltd 800 14,160 – 0.00 % NongShim Co Ltd (112) (24,539) – 0.00 % Norway Royal Salmon ASA 465 10,558 – 0.00 % Orior AG 2,240 206,563 – 0.00 % Orkla ASA 9,114 76,392 – 0.00 % Prima Meat Packers Ltd 3,000 61,645 – 0.00 % Rock Field Co Ltd 3,200 37,405 – 0.00 % Rogers Sugar Inc (20,667) (76,125) – 0.00 % Salmar ASA 4,224 187,974 – 0.00 % Samyang Foods Co Ltd 1,229 87,207 – 0.00 % Sanderson Farms Inc 4,216 520,929 – 0.00 % Sao Martinho SA (800) (4,719) – 0.00 % Saputo Inc 18,447 513,872 – 0.00 % Seaboard Corp 37 126,355 – 0.00 % Showa Sangyo Co Ltd 2,100 57,173 – 0.00 % Tassal Group Ltd 15,595 38,990 – 0.00 % Tate & Lyle PLC 14,503 130,741 – 0.00 % Tiger Brands Ltd 4,038 39,088 – 0.00 % Tootsie Roll Industries Inc 2,755 88,380 – 0.00 % Ulker Biskuvi Sanayi AS 13,883 45,647 – 0.00 % Uni-President Enterprises Corp 72,471 175,705 – 0.00 % U-PRESID CHINA 155,000 159,914 – 0.00 % Village Farms International Inc 2,355 9,482 – 0.00 % Viscofan SA (2,555) (135,747) – 0.00 % The accompanying notes form an integral part of these audited financial statements 149 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Food Products (continued) VITASOY INT’L 24,000 86,078 – 0.00 % Want Want China Holdings Ltd 165,000 127,461 – 0.00 % Wei Chuan Foods Corp 75,466 53,990 – 0.00 % WH Group Ltd 59,500 60,470 – 0.00 % Wilmar International Ltd 30,600 87,118 – 0.00 % YIHAI INTL (3,000) (20,076) – 0.00 % Total Food Products – 0.00 % Gas Utilities AltaGas Ltd 83,133 1,244,066 – 0.00 % APA Group 36,976 257,891 – 0.00 % Ascopiave SpA 19,250 83,218 – 0.00 % Atmos Energy Corp 11,634 1,201,211 – 0.00 % BEIJING ENT 50,500 213,199 – 0.00 % China Gas Holdings Ltd 84,000 307,201 – 0.00 % China Resources Gas Group Ltd 74,000 369,385 – 0.00 % Enagas SA 58,705 1,511,067 – 0.00 % ENN Energy Holdings Ltd 32,700 362,333 – 0.00 % Infraestructura Energetica Nova SAB de CV 2,100 9,112 – 0.00 % Italgas SpA 5,797 35,276 – 0.00 % Korea Gas Corp 542 12,640 – 0.00 % Kunlun Energy Co Ltd 356,000 248,512 – 0.00 % National Fuel Gas Co 25,839 945,966 – 0.00 % Naturgy Energy Group SA 66,957 1,548,916 – 0.00 % Northwest Natural Holding Co 13,713 901,904 – 0.00 % ONE Gas Inc 9,417 773,512 – 0.00 % Shizuoka Gas Co Ltd 600 4,800 – 0.00 % Snam SpA 227,314 1,117,953 – 0.00 % South Jersey Industries Inc 21,383 578,410 – 0.00 % Total Gas Utilities – 0.00 % Health Care Adcock Ingram Holdings Ltd 18,643 47,831 – 0.00 % Adocia 799 7,866 – 0.00 % Advanced Medical Solutions Group plc 25,163 81,657 – 0.00 % Advantage Risk Management Co Ltd 1,841 12,309 – 0.00 % Australian Pharmaceutical Industries Ltd 33,262 25,812 – 0.00 % Avita Medical Ltd 50,323 19,608 – 0.00 % Bastide le Confort Medical 533 20,403 – 0.00 % Binex Co Ltd 1,290 7,505 – 0.00 % BioArctic AB 400 2,975 – 0.00 % Boiron SA 423 15,122 – 0.00 % Boryung Pharmaceutical Co Ltd 7,331 72,401 – 0.00 % CE Holdings Co Ltd 1,583 6,353 – 0.00 % Celltrion Healthcare Co Ltd (2,491) (133,963) – 0.00 % The accompanying notes form an integral part of these audited financial statements 150 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care (continued) Charm Care Corp KK 9,260 65,253 – 0.00 % China Grand Pharmaceutical and Healthcare Holdings Limited 32,000 20,285 – 0.00 % Chong Kun Dang Pharmaceutical 104 7,457 – 0.00 % Coltene Holding AG 409 36,997 – 0.00 % CONSUN PHARMA 36,000 17,601 – 0.00 % COSMO Pharmaceuticals NV 2 150 – 0.00 % CR MEDICAL 62,500 32,401 – 0.00 % Dae Hwa Pharmaceutical Co Ltd 1,818 14,816 – 0.00 % Daewon Pharmaceutical Co Ltd 1,610 18,706 – 0.00 % Daewoong Co Ltd 1,507 12,694 – 0.00 % Dentium Co Ltd 894 31,088 – 0.00 % Dermapharm Holding SE (1,110) (46,337) – 0.00 % Dong-A Socio Holdings Co Ltd 108 7,672 – 0.00 % Dong-A ST Co Ltd 37 2,736 – 0.00 % DongKook Pharmaceutical Co Ltd 816 56,615 – 0.00 % Essex Bio-technology Ltd 3,000 2,117 – 0.00 % Estia Health Ltd 26,216 32,687 – 0.00 % FINDEX Inc 6,322 41,334 – 0.00 % Fulgent Genetics Inc 189 2,805 – 0.00 % Genocea Biosciences Inc 983 1,720 – 0.00 % Ginko International Co Ltd 7,814 45,551 – 0.00 % Guerbet 453 16,818 – 0.00 % Handok Inc 625 11,385 – 0.00 % HAOHAI BIOTEC 1,800 9,181 – 0.00 % Hapvida Participacoes e Investimentos SA 200 2,458 – 0.00 % Hartalega Holdings Bhd 124,156 182,474 – 0.00 % HEALIOS KK 8,724 134,650 – 0.00 % Hoya Corp 700 62,203 – 0.00 % Hugel Inc 208 64,716 – 0.00 % Humana AB 3,650 18,191 – 0.00 % Huons Global Co Ltd 146 3,405 – 0.00 % IHH Healthcare Bhd 132,845 179,499 – 0.00 % Il Dong Pharmaceutical Co Ltd 2,374 26,795 – 0.00 % Ilyang Pharmaceutical Co Ltd 56 957 – 0.00 % Immunicum AB 1,442 1,192 – 0.00 % Immunovia AB 402 6,478 – 0.00 % Infant Bacterial Therapeutics 408 5,260 – 0.00 % Innovent Biologics Inc (500) (2,284) – 0.00 % Integral Diagnostics Ltd 401 1,029 – 0.00 % Iwaki & Co Ltd 11,224 46,501 – 0.00 % Japara Healthcare Ltd 33,349 19,491 – 0.00 % Jeil Pharmaceutical Co Ltd 365 8,421 – 0.00 % JW Holdings Corp 1,072 4,457 – 0.00 % Kanamic Network Co Ltd 4,445 23,636 – 0.00 % Karo Pharma AB 10,827 45,160 – 0.00 % The accompanying notes form an integral part of these audited financial statements 151 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care (continued) Korea United Pharm Inc 1,596 20,928 – 0.00 % Kossan Rubber Industries 78,273 89,063 – 0.00 % KPJ Healthcare Bhd 148,953 34,250 – 0.00 % Kubota Pharmaceutical Holdings 22,368 41,991 – 0.00 % Kwang Dong Pharmaceutical Co Ltd 3,870 18,275 – 0.00 % LNA Sante SA 877 44,087 – 0.00 % Lotus Pharmaceutical Co Ltd 6,350 18,298 – 0.00 % Med & Bio Lab 800 24,636 – 0.00 % Medartis Holding AG 265 11,095 – 0.00 % MediPharm Labs Corp 2,817 5,272 – 0.00 % Mithra Pharmaceuticals SA 905 22,060 – 0.00 % MLP Saglik Hizmetleri AS 12,626 30,183 – 0.00 % Molecular Medicine SPA 118,573 47,216 – 0.00 % Monash IVF Group Ltd 12,254 7,242 – 0.00 % N Field Co Ltd 3,200 13,613 – 0.00 % Nagaileben Co Ltd 1,303 26,594 – 0.00 % NNIT A/S 3,173 48,482 – 0.00 % OBI Pharma Inc 1,235 4,663 – 0.00 % Organigram Holdings Inc 1,743 3,873 – 0.00 % PeptiDream Inc 1,300 51,695 – 0.00 % PharmaEngine Inc 11,801 23,921 – 0.00 % PharmaEssentia Corp 11,015 36,848 – 0.00 % Pharmally International Holding Co Ltd 18,484 127,341 – 0.00 % Ping An Healthcare and Technology Co Ltd 400 3,909 – 0.00 % PolyNovo Ltd 10,812 16,079 – 0.00 % Raffles Medical Group Ltd 98,900 70,569 – 0.00 % Regis Healthcare Ltd 15,622 17,957 – 0.00 % Rion Co Ltd 3,284 75,407 – 0.00 % RTI Surgical Holdings Inc 2,100 7,770 – 0.00 % Samjin Pharmaceutical Co Ltd 1,994 37,565 – 0.00 % Samsung Biologics Co Ltd 12 4,616 – 0.00 % Santhera Pharmaceuticals Holding AG 213 1,942 – 0.00 % Selcuk Ecza 56,130 59,206 – 0.00 % SELLAS Life Sciences Group Inc 1,911 3,975 – 0.00 % SHINEWAY PHARM 27,000 23,560 – 0.00 % Ship Healthcare Holdings Inc 1,562 63,269 – 0.00 % SIGA Technologies Inc 4,541 22,682 – 0.00 % Sigma Co Ltd 47,349 17,065 – 0.00 % Software Service Inc 300 24,941 – 0.00 % Spire Healthcare Group PLC 22,527 33,270 – 0.00 % ST Pharm Co Ltd 233 5,588 – 0.00 % St Shine Optical Co Ltd 6,751 88,323 – 0.00 % Starpharma Holdings Ltd 12,706 8,458 – 0.00 % STRATEC SE 1,125 80,190 – 0.00 % Suheung Co Ltd 851 26,202 – 0.00 % The accompanying notes form an integral part of these audited financial statements 152 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care (continued) Supermax Corp Bhd 135,589 51,105 – 0.00 % Tanvex BioPharma Inc (2,980) (4,387) – 0.00 % TCR2 Therapeutics Inc 42 499 – 0.00 % tella Inc 1,592 1,796 – 0.00 % Tilray Inc 15,515 223,881 – 0.00 % TONGRENTANGCM 41,000 68,921 – 0.00 % Top Glove Corp Bhd 150,766 201,569 – 0.00 % Towa Pharmaceutical Co Ltd 5,817 115,334 – 0.00 % TTY Biopharm Co Ltd 29,240 75,734 – 0.00 % Value Added Technology Co Ltd 507 10,772 – 0.00 % Value HR Co Ltd 300 7,790 – 0.00 % Vieworks Co Ltd 1,836 45,864 – 0.00 % Virtus Health Ltd 8,690 23,420 – 0.00 % WEIGAO GROUP 84,000 108,221 – 0.00 % Whanin Pharmaceutical Co Ltd 1,205 13,401 – 0.00 % WIN-Partners Co Ltd 1,058 9,363 – 0.00 % Ypsomed Holding AG 399 56,428 – 0.00 % Total Health Care – 0.00 % Health Care Equipment & Supplies ABIOMED Inc 3,908 587,216 – 0.00 % Alcon Inc 4,051 246,921 – 0.00 % Align Technology Inc 2,022 441,504 – 0.00 % Ambu A/S (3,856) (86,901) – 0.00 % AngioDynamics Inc 7,402 85,049 – 0.00 % Ansell Ltd 4,619 88,788 – 0.00 % Apyx Medical Corp 302 1,827 – 0.00 % Arjo AB 15,739 78,979 – 0.00 % Asahi Intecc Co Ltd 700 16,740 – 0.00 % AtriCure Inc 2,156 82,834 – 0.00 % Axonics Modulation Technologies Inc (2,083) (73,832) – 0.00 % Baxter International Inc 3,449 287,888 – 0.00 % Carl Zeiss Meditec AG 2,872 299,334 – 0.00 % Cerus Corp (25,819) (132,710) – 0.00 % Cochlear Ltd 383 51,632 – 0.00 % ConvaTec Group PLC 41,142 107,754 – 0.00 % Cutera Inc 1,113 27,580 – 0.00 % CytoSorbents Corp (4,015) (24,210) – 0.00 % Daiken Medical Co Ltd 7,991 42,492 – 0.00 % Danaher Corp 475 68,676 – 0.00 % Demant A/S 9,543 290,080 – 0.00 % DENTSPLY SIRONA Inc 1,960 96,510 – 0.00 % Eckert & Ziegler Strahlen- und Medizintechnik AG 392 65,887 – 0.00 % Edwards Lifesciences Corp 989 202,587 – 0.00 % Eiken Chemical Co Ltd 4,400 77,189 – 0.00 % The accompanying notes form an integral part of these audited financial statements 153 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Equipment & Supplies (continued) Ekso Bionics Holdings Inc 16,686 4,982 – 0.00 % Elekta AB 37,594 392,984 – 0.00 % Endologix Inc (4,846) (6,058) – 0.00 % FONAR Corp 1,034 20,659 – 0.00 % Getinge AB 9,012 149,035 – 0.00 % Globus Medical Inc 5,303 239,855 – 0.00 % Heska Corp 1,976 188,649 – 0.00 % Hogy Medical Co Ltd 6,200 176,881 – 0.00 % IDEXX Laboratories Inc 2,198 559,413 – 0.00 % InBody Co Ltd 1,199 19,354 – 0.00 % Inogen Inc (465) (21,288) – 0.00 % Insulet Corp 278 52,812 – 0.00 % Integer Holdings Corp (2,516) (226,868) – 0.00 % IntriCon Corp 4,895 72,838 – 0.00 % Intuitive Surgical Inc 829 442,653 – 0.00 % Invacare Corp 8,488 64,339 – 0.00 % iRadimed Corp 2,023 48,026 – 0.00 % Koninklijke Philips NV 37 1,576 – 0.00 % Lantheus Holdings Inc 23,489 365,254 – 0.00 % LeMaitre Vascular Inc 3,662 104,367 – 0.00 % LivaNova PLC (2,163) (150,804) – 0.00 % Medtronic PLC 1,774 178,589 – 0.00 % Meridian Bioscience Inc 11,688 93,387 – 0.00 % Mizuho Medy Co Ltd 2,183 39,043 – 0.00 % Nakanishi Inc 10,939 164,588 – 0.00 % Natus Medical Inc 1,607 43,196 – 0.00 % Neogen Corp 2,153 130,795 – 0.00 % Nevro Corp 104 13,536 – 0.00 % Nihon Kohden Corp 1,200 35,622 – 0.00 % Nikkiso Co Ltd 6,340 56,520 – 0.00 % Nipro Corp 14,963 159,129 – 0.00 % Nissui Pharmaceutical Co Ltd 2,290 27,869 – 0.00 % NuVasive Inc 1,902 125,171 – 0.00 % OraSure Technologies Inc 16,783 101,201 – 0.00 % Osstem Implant Co Ltd 321 8,658 – 0.00 % Oxford Immunotec Global PLC 5,065 66,757 – 0.00 % Paramount Bed Holdings Co Ltd 2,748 106,352 – 0.00 % Penumbra Inc 2,196 364,229 – 0.00 % Quidel Corp 2,283 176,339 – 0.00 % Sartorius AG 1,572 357,944 – 0.00 % SeaSpine Holdings Corp 2,390 33,771 – 0.00 % Seed Co Ltd/Tokyo 453 3,381 – 0.00 % Senseonics Holdings Inc (2,819) (3,947) – 0.00 % SI-BONE Inc 583 11,258 – 0.00 % Siemens Healthineers AG 1,351 54,473 – 0.00 % The accompanying notes form an integral part of these audited financial statements 154 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Equipment & Supplies (continued) Smith & Nephew PLC 24,697 548,705 – 0.00 % Sonova Holding AG 2,372 563,512 – 0.00 % Straumann Holding AG 303 282,232 – 0.00 % Sysmex Corp 600 38,391 – 0.00 % Tactile Systems Technology Inc 9,488 478,290 – 0.00 % Teleflex Inc 148 49,583 – 0.00 % Terumo Corp 1,900 61,111 – 0.00 % Varian Medical Systems Inc 65 7,993 – 0.00 % West Pharmaceutical Services Inc 5,941 894,477 – 0.00 % Zimmer Biomet Holdings Inc 595 81,009 – 0.00 % Total Health Care Equipment & Supplies – 0.00 % Health Care Providers & Services Acadia Healthcare Co Inc 4,301 127,310 – 0.00 % AMN Healthcare Services Inc (3,302) (243,027) – 0.00 % Amplifon SpA 1,463 41,456 – 0.00 % Anthem Inc 2,595 667,149 – 0.00 % Apollo Medical Holdings Inc 3,266 57,057 – 0.00 % As One Corp 1,000 74,999 – 0.00 % BML Inc 3,645 98,056 – 0.00 % Chabiotech Co Ltd 2,096 21,570 – 0.00 % Chartwell Retirement Residence 17,395 169,002 – 0.00 % Chemed Corp 1,136 474,416 – 0.00 % Community Health Systems Inc (64,896) (319,937) – 0.00 % CorVel Corp 1,197 82,521 – 0.00 % Covetrus Inc 20,575 228,588 – 0.00 % CVS Group PLC 6,181 84,180 – 0.00 % DaVita Inc 6,839 530,843 – 0.00 % Encompass Health Corp 1,265 94,673 – 0.00 % Ensign Group Inc 24,651 1,096,970 – 0.00 % Enzo Biochem Inc 2,735 5,826 – 0.00 % Extendicare Inc 1,066 6,160 – 0.00 % Fagron 2,555 53,512 – 0.00 % Fresenius Medical Care AG & Co 2,789 212,667 – 0.00 % Galenica AG 2,057 138,119 – 0.00 % Genesis Healthcare Inc (4,101) (6,767) – 0.00 % Hanger Inc 1,078 24,869 – 0.00 % HCA Healthcare Inc 145 18,416 – 0.00 % Healius Ltd (12,860) (25,388) – 0.00 % HealthEquity Inc (9,425) (669,081) – 0.00 % Henry Schein Inc 10,809 658,700 – 0.00 % Humana Inc 2,294 733,346 – 0.00 % I’rom Group Co Ltd 4,000 42,502 – 0.00 % Japan Lifeline Co Ltd 16,250 197,311 – 0.00 % Japan Medical Dynamic Marketing Inc 2,682 39,882 – 0.00 % The accompanying notes form an integral part of these audited financial statements 155 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Providers & Services (continued) Joint Corp 6,513 96,588 – 0.00 % Korian SA 2,123 96,121 – 0.00 % Life Healthcare Group Holdings 143,206 204,169 – 0.00 % MEDNAX Inc 8,417 143,847 – 0.00 % Molina Healthcare Inc 1,609 197,183 – 0.00 % National HealthCare Corp 2,012 149,311 – 0.00 % Netcare Ltd 98,771 115,559 – 0.00 % NichiiGakkan Co Ltd 9,566 99,256 – 0.00 % Notre Dame Intermedica Participacoes SA 400 5,632 – 0.00 % Option Care Health Inc (6,959) (102,645) – 0.00 % Orpea 2,445 313,327 – 0.00 % Owens & Minor Inc (4,805) (32,818) – 0.00 % PetIQ Inc 13,709 426,350 – 0.00 % Premier Inc 10,207 300,392 – 0.00 % Providence Service Corp 3,208 198,190 – 0.00 % Quest Diagnostics Inc 4,405 467,194 – 0.00 % RadNet Inc 7,697 157,250 – 0.00 % Ramsay Health Care Ltd 842 37,188 – 0.00 % Select Medical Holdings Corp (11,156) (267,075) – 0.00 % SH PHARMA 33,100 60,568 – 0.00 % Sienna Senior Living Inc 2,177 27,774 – 0.00 % Solasto Corp 10,997 99,866 – 0.00 % Sonic Healthcare Ltd 5,355 100,153 – 0.00 % Tenet Healthcare Corp (18,734) – – 0.00 % Tokai Corp/Gifu 1,900 40,904 – 0.00 % Triple-S Management Corp 6,832 102,412 – 0.00 % Tsukui Corp 17,000 77,977 – 0.00 % UNI MEDICAL 88,500 61,552 – 0.00 % UNIMAT Retirement Community Co 1,375 15,043 – 0.00 % UnitedHealth Group Inc 994 253,430 – 0.00 % Universal Health Services Inc 3,844 475,657 – 0.00 % US Physical Therapy Inc 4,685 488,271 – 0.00 % Viemed Healthcare Inc 4,835 24,154 – 0.00 % Vital KSK Holdings Inc 7,008 65,197 – 0.00 % Total Health Care Providers & Services – 0.00 % Health Care Technology ALI HEALTH (76,000) (145,701) – 0.00 % Castlight Health Inc 1,724 1,562 – 0.00 % Cerner Corp 3,515 243,484 – 0.00 % CompuGroup Medical SE 931 57,708 – 0.00 % Computer Programs & Systems Inc 3,357 89,900 – 0.00 % EM Systems Co Ltd 11,000 90,535 – 0.00 % EMIS Group PLC 9,327 135,368 – 0.00 % Evolent Health Inc 6,067 56,059 – 0.00 % HealthStream Inc 3,645 88,646 – 0.00 % The accompanying notes form an integral part of these audited financial statements 156 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Health Care Technology (continued) Icad Inc (1,500) (19,980) – 0.00 % Inovalon Holdings Inc 10,783 210,053 – 0.00 % Inspire Medical Systems Inc (1,245) (106,908) – 0.00 % M3 Inc 7,300 188,078 – 0.00 % NextGen Healthcare Inc 2,308 30,189 – 0.00 % Omnicell Inc 391 31,855 – 0.00 % Pro Medicus Ltd 3,739 48,951 – 0.00 % Simulations Plus Inc 5,512 179,471 – 0.00 % Teladoc Health Inc (1,105) (138,081) – 0.00 % Veeva Systems Inc 2,032 288,483 – 0.00 % Vocera Communications Inc (10,560) (257,558) – 0.00 % Total Health Care Technology – 0.00 % Hotels Restaurants & Leisure 888 Holdings PLC 20,010 29,144 – 0.00 % Amiyaki Tei Co Ltd 700 19,809 – 0.00 % Aramark 4,297 149,278 – 0.00 % Arcland Service Holdings Co Ltd 5,100 78,150 – 0.00 % Aristocrat Leisure Ltd 5,642 121,312 – 0.00 % Atom Corp 17,600 146,321 – 0.00 % Autogrill SpA 2,957 23,745 – 0.00 % Basic-Fit NV 3,927 131,103 – 0.00 % BBX Capital Corp 9,086 31,619 – 0.00 % Betsson AB 33,221 167,047 – 0.00 % Biglari Holdings Inc 661 69,709 – 0.00 % BJ’s Restaurants Inc 9,256 304,985 – 0.00 % Bloomin’ Brands Inc 19,306 347,315 – 0.00 % Boyd Gaming Corp (9,055) – – 0.00 % Brinker International Inc 3,420 117,477 – 0.00 % Carnival PLC 4,505 140,149 – 0.00 % Century Casinos Inc 5,472 38,195 – 0.00 % Cheesecake Factory Inc 13,854 493,618 – 0.00 % Chipotle Mexican Grill Inc 1,088 841,655 – 0.00 % Compass Group PLC 8,824 192,834 – 0.00 % Cracker Barrel Old Country Store Inc 2,021 289,670 – 0.00 % Crown Resorts Ltd 5,825 38,433 – 0.00 % Dalata Hotel Group PLC 9,346 42,767 – 0.00 % Darden Restaurants Inc 1,615 157,463 – 0.00 % Dave & Buster’s Entertainment 18,557 612,567 – 0.00 % Del Taco Restaurants Inc 14,232 91,085 – 0.00 % Denny’s Corp 8,511 148,177 – 0.00 % Dine Brands Global Inc 3,360 275,016 – 0.00 % Domino’s Pizza Enterprises Ltd 6,584 237,641 – 0.00 % Domino’s Pizza Group PLC 21,933 82,944 – 0.00 % DoubleUGames Co Ltd 1,817 61,977 – 0.00 % Dunkin’ Brands Group Inc 10,513 699,325 – 0.00 % The accompanying notes form an integral part of these audited financial statements 157 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Hotels Restaurants & Leisure (continued) Elior Group SA 839 10,493 – 0.00 % Flight Centre Travel Group Ltd 2,362 50,035 – 0.00 % Galaxy Entertainment Group Ltd 18,000 118,838 – 0.00 % Genki Sushi Co Ltd 2,000 42,835 – 0.00 % Gift Inc 400 10,095 – 0.00 % Grand Korea Leisure Co Ltd 1,173 16,355 – 0.00 % Great Canadian Gaming Corp 1,823 53,461 – 0.00 % Greens Co Ltd 4,900 32,399 – 0.00 % Greggs PLC 1,192 31,829 – 0.00 % Hiday Hidaka Corp 1,000 15,083 – 0.00 % Hilton Grand Vacations Inc 10,056 268,093 – 0.00 % Hilton Worldwide Holdings Inc 2,133 207,328 – 0.00 % Hiramatsu Inc 5,700 10,332 – 0.00 % HIS Co Ltd 1,600 31,516 – 0.00 % Ichibanya Co Ltd 400 16,276 – 0.00 % J Alexander’s Holdings Inc 4,590 37,684 – 0.00 % J D Wetherspoon PLC 7,372 126,584 – 0.00 % Jack in the Box Inc 12,809 882,028 – 0.00 % Jumbo Interactive Ltd 12,122 86,986 – 0.00 % Kambi Group PLC 4,034 57,211 – 0.00 % Kangwon Land Inc 1,306 24,712 – 0.00 % Kappa Create Co Ltd 1,800 21,257 – 0.00 % KeyHolder Inc 76,500 43,862 – 0.00 % Kisoji Co Ltd 200 4,639 – 0.00 % KOMEDA Holdings Co Ltd 12,100 204,548 – 0.00 % Kourakuen Holdings Corp 200 2,787 – 0.00 % Kura Sushi Inc 1,800 74,990 – 0.00 % Kushikatsu Tanaka Holdings Co 2,600 37,461 – 0.00 % Lindblad Expeditions Holdings 8,893 105,827 – 0.00 % Marriott Vacations Worldwide Corp (5,032) – – 0.00 % Marston’s PLC 27,881 32,076 – 0.00 % Matsuyafoods Holdings Co Ltd 1,400 49,262 – 0.00 % McDonald’s Corp 4,007 778,039 – 0.00 % McDonald’s Japan 7,700 322,569 – 0.00 % MELCO INT’L DEV 47,000 96,136 – 0.00 % MGM China Holdings Ltd 87,600 118,030 – 0.00 % Mitchells & Butlers PLC 12,582 53,850 – 0.00 % Modetour Network Inc 1,477 17,345 – 0.00 % Monarch Casino & Resort Inc 954 45,105 – 0.00 % Monogatari Corp 800 50,381 – 0.00 % MTY Food Group Inc 901 34,450 – 0.00 % NetEnt AB 12,375 31,062 – 0.00 % Norwegian Cruise Line Holdings 423 15,761 – 0.00 % Ohsho Food Service Corp 1,000 52,804 – 0.00 % Pandox AB 6,526 119,720 – 0.00 % Papa John’s International Inc 5,856 337,364 – 0.00 % The accompanying notes form an integral part of these audited financial statements 158 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Hotels Restaurants & Leisure (continued) Penn National Gaming Inc (22,187) (743,272) – 0.00 % Planet Fitness Inc 1,560 105,284 – 0.00 % Playa Hotels & Resorts NV 18,952 100,446 – 0.00 % PlayAGS Inc 2,593 25,126 – 0.00 % RCI Hospitality Holdings Inc 2,933 59,100 – 0.00 % Renaissance Inc 3,100 39,132 – 0.00 % Restaurant Brands International Inc 611 36,041 – 0.00 % Ringer Hut Co Ltd 1,000 19,337 – 0.00 % Round One Corp 9,800 73,046 – 0.00 % Ruth’s Hospitality Group Inc 9,229 176,551 – 0.00 % Sagami Holdings Corp 2,200 23,580 – 0.00 % Sands China Ltd 37,200 173,041 – 0.00 % Scandic Hotels Group AB 9,398 87,077 – 0.00 % Scientific Games Corp 2,670 48,701 – 0.00 % SeaWorld Entertainment Inc 8,469 230,441 – 0.00 % Shake Shack Inc 3,871 230,092 – 0.00 % Six Flags Entertainment Corp 16,157 408,449 – 0.00 % Skylark Holdings Co Ltd 8,700 130,176 – 0.00 % Sodexo SA 1,915 182,718 – 0.00 % SRS Holdings Co Ltd 3,300 27,893 – 0.00 % SSP Group Plc 14,358 93,003 – 0.00 % St Marc Holdings Co Ltd 4,600 82,016 – 0.00 % Starbucks Corp 2,533 198,663 – 0.00 % Sushiro Global Holdings Ltd 2,100 149,535 – 0.00 % Tabcorp Holdings Ltd 23,071 56,783 – 0.00 % Texas Roadhouse Inc 14,305 804,227 – 0.00 % Tokyo Dome Corp 7,500 57,151 – 0.00 % Town Sports International Holdings Inc 1,795 2,549 – 0.00 % TUI AG 3,188 24,438 – 0.00 % Vail Resorts Inc 1,543 328,057 – 0.00 % VIA Holdings Inc 2,100 10,681 – 0.00 % WATAMI Co Ltd 1,200 10,687 – 0.00 % Wendy’s Co 19,206 362,609 – 0.00 % Whitbread PLC 1,430 71,142 – 0.00 % Wingstop Inc 6,835 577,216 – 0.00 % Wynn Macau Ltd 77,200 155,530 – 0.00 % Yomiuri Land Co Ltd 800 26,005 – 0.00 % Yossix Co Ltd 1,300 26,016 – 0.00 % Yum! Brands Inc 10,630 948,728 – 0.00 % Total Hotels Restaurants & Leisure – 0.00 % The accompanying notes form an integral part of these audited financial statements 159 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Household Durables Barratt Developments PLC 39,287 380,062 – 0.00 % Bassett Furniture Industries Inc 1,847 18,230 – 0.00 % Bellway PLC 10,146 482,595 – 0.00 % Berkeley Group Holdings PLC 6,694 406,574 – 0.00 % Bonava AB 2,867 22,507 – 0.00 % Bovis Homes Group PLC 2,726 44,544 – 0.00 % Breville Group Ltd 5,199 65,668 – 0.00 % Cavco Industries Inc 399 80,486 – 0.00 % Century Communities Inc (13,047) (434,857) – 0.00 % Countryside Properties PLC 9,594 57,634 – 0.00 % Crest Nicholson Holdings plc 2,593 14,974 – 0.00 % DR Horton Inc 6,433 342,686 – 0.00 % ES-Con Japan Ltd 3,500 22,430 – 0.00 % Ethan Allen Interiors Inc 8,699 114,827 – 0.00 % Ez Tec Empreendimentos e Participacoes SA 400 4,142 – 0.00 % FJ Next Co Ltd 7,992 68,808 – 0.00 % Flexsteel Industries Inc 1,698 23,331 – 0.00 % Forbo Holding AG 26 38,141 – 0.00 % France Bed Holdings Co Ltd 4,400 34,953 – 0.00 % Fuji Corp Ltd 4,300 22,944 – 0.00 % Garmin Ltd 13,266 1,172,582 – 0.00 % Glenveagh Properties PLC 162,967 134,986 – 0.00 % Haseko Corp 5,000 64,272 – 0.00 % Hooker Furniture Corp 2,226 41,871 – 0.00 % Hoosiers Holdings 9,700 55,795 – 0.00 % Husqvarna AB 2,944 19,529 – 0.00 % Iida Group Holdings Co Ltd 600 8,095 – 0.00 % Kaufman & Broad SA 3,592 143,271 – 0.00 % KB Home 21,746 708,702 – 0.00 % Ki-Star Real Estate Co Ltd 1,600 20,670 – 0.00 % Leggett & Platt Inc (815) – – 0.00 % M/I Homes Inc 15,895 591,771 – 0.00 % Man Wah Holdings Ltd 56,400 40,746 – 0.00 % McCarthy & Stone PLC 36,193 61,962 – 0.00 % MDC Holdings Inc 24,515 964,420 – 0.00 % Meiwa Estate Co Ltd 2,552 13,192 – 0.00 % Meritage Homes Corp 10,444 662,776 – 0.00 % Neinor Homes SA 2,753 31,161 – 0.00 % Nihon House Holdings Co Ltd 500 1,813 – 0.00 % Nikon Corp 21,700 222,549 – 0.00 % Nobia AB 1,265 8,127 – 0.00 % NVR Inc 441 1,617,226 – 0.00 % Panasonic Corp 10,100 96,251 – 0.00 % Persimmon PLC 13,729 497,965 – 0.00 % Pressance Corp 9,900 104,370 – 0.00 % PulteGroup Inc 20,569 826,874 – 0.00 % The accompanying notes form an integral part of these audited financial statements 160 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Household Durables (continued) Q Technology Group Co Ltd 14,000 19,690 – 0.00 % Redrow PLC 11,685 111,369 – 0.00 % Rinnai Corp 500 34,078 – 0.00 % Sangetsu Corp 900 13,741 – 0.00 % SEB SA (90) (11,801) – 0.00 % Sekisui House Ltd 33,400 653,884 – 0.00 % Shin-Nihon Tatemono Co Ltd 14,700 49,075 – 0.00 % Sonos Inc 10,659 123,005 – 0.00 % Sony Corp 1,200 73,364 – 0.00 % Tama Home Co Ltd 8,500 99,514 – 0.00 % Tamron Co Ltd 2,900 63,908 – 0.00 % Taylor Wimpey PLC 144,210 372,539 – 0.00 % Token Corp 1,400 96,842 – 0.00 % Toll Brothers Inc 14,212 526,270 – 0.00 % TRI Pointe Group Inc 14,816 227,129 – 0.00 % Tupperware Brands Corp 24,605 70,124 – 0.00 % Vestel Elektronik Sanayi ve Ticaret SA 41,676 93,673 – 0.00 % VOXX International Corp 1,775 6,585 – 0.00 % Whirlpool Corp 2,092 267,483 – 0.00 % Woongjin Coway Co Ltd 164 9,378 – 0.00 % Zojirushi Corp 1,900 29,343 – 0.00 % Total Household Durables – 0.00 % Household Products Church & Dwight Co Inc 26,543 1,845,269 – 0.00 % Colgate-Palmolive Co 22,540 1,523,028 – 0.00 % Essity AB 6,350 188,642 – 0.00 % Henkel AG & Co KGaA 3,917 360,552 – 0.00 % Kimberly-Clark Corp 17,584 2,306,845 – 0.00 % Kimberly-Clark de Mexico SAB de CV 15,087 28,497 – 0.00 % Lion Corp 1,200 19,820 – 0.00 % Pigeon Corp 6,200 209,849 – 0.00 % Procter & Gamble Co 15,206 1,721,775 – 0.00 % Reckitt Benckiser Group PLC 5,671 414,502 – 0.00 % Transaction Co Ltd 1,400 10,888 – 0.00 % Unicharm Corp 4,400 142,333 – 0.00 % WD-40 Co 4,294 740,672 – 0.00 % Total Household Products – 0.00 % Independent Power and Renewable Electricity Producers AES Corp/VA 39,137 654,762 – 0.00 % Capital Power Corp 3,378 84,504 – 0.00 % CHINA LONGYUAN 230,000 120,417 – 0.00 % Clearway Energy Inc 6,439 135,477 – 0.00 % The accompanying notes form an integral part of these audited financial statements 161 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Independent Power and Renewable Electricity Producers (continued) Engie Brasil Energia SA 400 4,234 – 0.00 % ERG SpA 2,832 65,731 – 0.00 % NextEra Energy Partners LP 7,649 441,118 – 0.00 % NRG Energy Inc 11,236 373,148 – 0.00 % Pattern Energy Group Inc 8,246 223,054 – 0.00 % TerraForm Power Inc 18,449 346,657 – 0.00 % TransAlta Renewables Inc 4,799 58,719 – 0.00 % Vistra Energy Corp 45,155 868,331 – 0.00 % West Holdings Corp 13,000 143,903 – 0.00 % Total Independent Power and Renewable Electricity Producers – 0.00 % Industrial Conglomerates Bidvest Group Ltd 1,638 18,850 – 0.00 % CK Hutchison Holdings Ltd 24,000 208,958 – 0.00 % Dogan Sirketler Grubu Holding 475,366 131,268 – 0.00 % Far Eastern New Century Corp 145,544 136,182 – 0.00 % Honeywell International Inc 1,897 307,636 – 0.00 % Keihan Holdings Co Ltd 1,000 40,505 – 0.00 % KOC Holding AS 29,376 81,119 – 0.00 % LG Corp 392 21,960 – 0.00 % NWS Holdings Ltd 8,000 9,783 – 0.00 % Rheinmetall AG 307 27,799 – 0.00 % SHANGHAI IND H 56,000 98,879 – 0.00 % SK Holdings Co Ltd 76 12,110 – 0.00 % Smiths Group PLC 12,619 247,151 – 0.00 % TOKAI Holdings Corp 2,300 18,781 – 0.00 % Total Industrial Conglomerates – 0.00 % Industrials Abist Co Ltd 850 16,837 – 0.00 % AcBel Polytech Inc 37,496 28,999 – 0.00 % ACS Actividades de Construccion y Servicios (1,155) (506) – 0.00 % Adapteo Oyj 413 4,421 – 0.00 % Aichi Corp 2,972 17,095 – 0.00 % Air Canada 2,506 63,998 – 0.00 % Air China Ltd 10,000 8,046 – 0.00 % AirAsia Group Bhd 201,265 47,710 – 0.00 % Alexco Resource Corp 5,223 7,828 – 0.00 % AMA Group Ltd 59,196 19,990 – 0.00 % Amadeus Fire AG 1,167 161,746 – 0.00 % Anhui Expressway Co Ltd 44,000 24,730 – 0.00 % Asiana Airlines Inc 13,069 44,090 – 0.00 % Austal Ltd 20,311 45,901 – 0.00 % The accompanying notes form an integral part of these audited financial statements 162 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Avio SpA 5,845 88,984 – 0.00 % Bando Chemical Industries Ltd 1,800 11,619 – 0.00 % BayWa AG 1,005 26,643 – 0.00 % Beijer Ref AB 1,944 52,088 – 0.00 % Belimo Holding AG 18 117,234 – 0.00 % Berjaya Corp Bhd 158,723 8,089 – 0.00 % BES Engineering Corp 169,984 39,917 – 0.00 % BGF Co Ltd 2,845 10,660 – 0.00 % Biffa PLC 39,252 130,887 – 0.00 % Bizlink Holding Inc 7,873 49,936 – 0.00 % Br Holdings Corp 1,700 7,515 – 0.00 % BRC Asia Ltd 14,100 16,583 – 0.00 % Burkhalter Holding AG 476 35,726 – 0.00 % C TRANSMISSION 47,000 29,854 – 0.00 % CALC 37,000 35,752 – 0.00 % CAR Inc 43,000 26,982 – 0.00 % Career Design Center Co Ltd 1,500 13,816 – 0.00 % Chicony Power Technology Co Ltd 30,851 60,186 – 0.00 % Chiyoda Integre Co Ltd 1,233 20,559 – 0.00 % Chodai Co Ltd 3,600 31,228 – 0.00 % Cimpress PLC 275 32,013 – 0.00 % CIR SpA-Compagnie Industriali Riunite 8,592 4,830 – 0.00 % Continental Holdings Corp 26,779 10,954 – 0.00 % Costain Group PLC 39,869 84,453 – 0.00 % CS Wind Corp 1 30 – 0.00 % CSBC Corp Taiwan 24,154 18,480 – 0.00 % CTCI Corp 106,497 130,511 – 0.00 % CTS Co Ltd 2,900 15,581 – 0.00 % Daetwyler Holding AG 70 11,130 – 0.00 % Dai Nippon Printing Co Ltd 18,600 446,359 – 0.00 % Daiichi Jitsugyo Co Ltd 1,150 35,467 – 0.00 % Danieli & C Officine Meccanich 546 8,108 – 0.00 % Ebara Jitsugyo Co Ltd 1,400 24,107 – 0.00 % ECOVE Environment Corp 2,592 18,973 – 0.00 % Eolus Vind AB 355 5,075 – 0.00 % Estic Corp 298 11,478 – 0.00 % FCC 6,435 75,882 – 0.00 % Feintool International Holding 39 1,901 – 0.00 % FIGEAC-AERO 3,988 31,848 – 0.00 % Fullshare Holdings Ltd 300,000 4,889 – 0.00 % Gamuda Bhd 119,789 93,991 – 0.00 % Gecoss Corp 2,366 19,517 – 0.00 % gremz Inc 1,000 16,831 – 0.00 % GWA Group Ltd 4,407 9,358 – 0.00 % HAITIAN INT’L 16,000 31,372 – 0.00 % The accompanying notes form an integral part of these audited financial statements 163 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Haldex AB 10,357 48,570 – 0.00 % HAP Seng Consolidated Bhd 21,510 45,687 – 0.00 % Harbin Electric Co Ltd 74,000 19,941 – 0.00 % Haulotte Group SA 2,444 10,754 – 0.00 % HC Group Inc 3,000 812 – 0.00 % Helios Techno Holding Co Ltd 4,200 12,701 – 0.00 % Hexatronic Group AB 1,861 10,284 – 0.00 % Hirakawa Hewtech Corp 1,000 10,505 – 0.00 % Hirano Tecseed Co Ltd/Kinzoku 1,117 12,385 – 0.00 % Hoshizaki Corp 800 67,619 – 0.00 % HyAS&Co Inc 1,000 1,859 – 0.00 % Hy-Lok Corp 870 10,253 – 0.00 % IAA Inc 4,429 189,207 – 0.00 % ID Logistics Group 303 53,528 – 0.00 % IJM Corp Bhd 50,420 23,187 – 0.00 % Intrum AB 2,153 52,596 – 0.00 % IS Dongseo Co Ltd 1,124 25,000 – 0.00 % Isolite Insulat 5,681 25,533 – 0.00 % ITM Power PLC 7,397 9,413 – 0.00 % Jacquet Metal Service SA 711 9,933 – 0.00 % Jalux Inc 163 2,917 – 0.00 % Jardine Matheson Holdings Ltd 3,300 179,520 – 0.00 % Jardine Strategic Holdings Ltd 5,400 155,034 – 0.00 % Jejuair Co Ltd 2,136 35,631 – 0.00 % Jin Air Co Ltd 2,781 28,042 – 0.00 % John Menzies PLC 19,487 72,200 – 0.00 % Johnson Electric Holdings Ltd 30,500 70,292 – 0.00 % JOST Werke AG 1,167 39,281 – 0.00 % KAP Industrial Holdings Ltd 262,807 49,062 – 0.00 % Kerry Logistics Network Ltd 45,500 65,042 – 0.00 % Kitagawa Corp 1,100 17,578 – 0.00 % Kolon Corp 275 3,229 – 0.00 % Korea Electric Terminal Co Ltd 190 5,085 – 0.00 % Korea Line Corp 2,097 29,412 – 0.00 % Krones AG 1,860 115,804 – 0.00 % Kuehne + Nagel International AG 796 115,660 – 0.00 % Kumho Industrial Co Ltd 3,770 24,311 – 0.00 % Kung Long Batteries Industrial 8,801 43,288 – 0.00 % Kyokuto Boeki Kaisha Ltd 700 10,221 – 0.00 % Latecoere SACA 3,092 10,510 – 0.00 % Lehto Group Oyj 14,796 31,737 – 0.00 % LG Hausys Ltd 48 1,821 – 0.00 % LIG Nex1 Co Ltd 720 15,566 – 0.00 % Like Co Ltd 700 9,522 – 0.00 % LISI 1,073 33,166 – 0.00 % The accompanying notes form an integral part of these audited financial statements 164 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Luceco PLC 1,273 1,789 – 0.00 % Malaysia Airports Holdings Bhd 85,147 133,014 – 0.00 % Malaysian Resources Corp Bhd 70,087 9,470 – 0.00 % Matsui Construction Co Ltd 200 1,160 – 0.00 % MBB SE 164 10,427 – 0.00 % MCC 74,000 14,339 – 0.00 % Meisei Industrial Co Ltd 3,300 21,789 – 0.00 % Meiwa Corp 460 2,131 – 0.00 % Minesto AB 1,323 1,891 – 0.00 % MISC Bhd 90,434 162,710 – 0.00 % Mitsuboshi Belting Ltd 1,450 19,819 – 0.00 % Mitsui Matsushima Holdings Co 3,429 31,710 – 0.00 % Morgan Sindall Group PLC 3,415 76,527 – 0.00 % Movida Participacoes SA 500 2,004 – 0.00 % Nakamura Choukou Co Ltd 42 246 – 0.00 % Nippon Carbon Co Ltd 6,935 229,916 – 0.00 % NRC Group ASA 4,324 12,627 – 0.00 % NS Tool Co Ltd 500 11,809 – 0.00 % Ohba Co Ltd 3,200 17,460 – 0.00 % Okamoto Machine Tool Works Ltd 700 13,756 – 0.00 % Onoken Co Ltd 1,200 12,928 – 0.00 % Origin Co Ltd 500 6,261 – 0.00 % OSRAM Licht AG 16,788 861,476 – 0.00 % Otokar Otomotiv Ve Savunma Sanayi AS 3,921 95,055 – 0.00 % Palfinger AG 112 2,778 – 0.00 % Pegasus Sewing Machine Manufacturing Co Ltd 2,709 9,870 – 0.00 % PKP Cargo SA 3,880 12,459 – 0.00 % PNE AG 16,813 77,861 – 0.00 % Porr Ag 3,153 55,770 – 0.00 % Pos Malaysia BHD 40,445 10,930 – 0.00 % Qantas Airways Ltd 3,161 11,352 – 0.00 % Quick Co Ltd 2,600 29,454 – 0.00 % Rechi Precision Co Ltd 19,645 13,436 – 0.00 % Redde Northgate PLC 19,248 60,740 – 0.00 % Renewi PLC 34,535 15,884 – 0.00 % Reunert Ltd 18,045 63,959 – 0.00 % RPS Group PLC 6,488 10,212 – 0.00 % Sakai Heavy Industries Ltd 600 13,394 – 0.00 % Sanix Inc (16,315) (56,428) – 0.00 % Sanki Service Corp 1,300 10,832 – 0.00 % Sanoyas Holdings Corp 8,053 11,320 – 0.00 % Santos Brasil Participacoes SA 1,600 2,113 – 0.00 % Senshu Electric Co Ltd 200 4,868 – 0.00 % Service Stream Ltd 90,525 123,453 – 0.00 % SG Fleet Group Ltd 8,543 11,650 – 0.00 % The accompanying notes form an integral part of these audited financial statements 165 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Shanghai Electric Group Co Ltd 24,000 6,775 – 0.00 % Shenzhen Expressway Co Ltd 68,000 82,285 – 0.00 % Shikigaku Co Ltd 1,477 12,402 – 0.00 % Shin Maint Holdings Co Ltd 600 5,809 – 0.00 % Shin Zu Shing Co Ltd 7,667 35,298 – 0.00 % Shinsho Corp 680 13,715 – 0.00 % Shinwa Co Ltd/Gifu 2,843 25,082 – 0.00 % Shun Tak Holdings Ltd 96,000 40,652 – 0.00 % SIA Engineering Co Ltd 33,000 57,743 – 0.00 % SIF Holding NV 3,889 56,212 – 0.00 % Sime Darby Bhd 159,834 75,778 – 0.00 % Sincere Navigation Corp 63,174 28,038 – 0.00 % Singapore Post Ltd 131,600 74,084 – 0.00 % SITC International Holdings Co 109,000 125,883 – 0.00 % SKP Resources Bhd 106,180 33,476 – 0.00 % SolTech Energy Sweden AB 1,101 1,740 – 0.00 % Stadler Rail AG 471 22,282 – 0.00 % Stolt-Nielsen Ltd 3,952 43,152 – 0.00 % Sugimoto & Co Ltd 300 4,725 – 0.00 % Sunny Friend Environmental Technology Co Ltd 9,474 78,291 – 0.00 % Taiwan Glass Industry Corp 14,106 4,742 – 0.00 % Taiwan Secom Co Ltd 9,664 28,263 – 0.00 % Techno Smart Corp 1,408 9,284 – 0.00 % Tonami Holdings Co Ltd 300 12,276 – 0.00 % Totech Corp 842 16,453 – 0.00 % Toyo Machinery & Metal Co Ltd 3,700 15,329 – 0.00 % Toyota Tsusho Corp 100 3,019 – 0.00 % Trakya Cam Sanayii AS 173,720 93,153 – 0.00 % Trancom Co Ltd 500 31,812 – 0.00 % Troax Group AB 919 11,619 – 0.00 % U-Ming Marine Transport Corp 37,512 36,404 – 0.00 % US Ecology Inc 407 17,118 – 0.00 % Voltronic Power Technology Corp 4,592 106,922 – 0.00 % Vossloh AG 797 31,386 – 0.00 % Waida Manufacturing Co Ltd 1,453 15,318 – 0.00 % Wallenius Wilhelmsen ASA 3,417 6,215 – 0.00 % Wan Hai Lines Ltd 71,360 41,007 – 0.00 % Washtec AG 351 18,649 – 0.00 % WCT Holdings Bhd 103,912 16,011 – 0.00 % Westports Holdings Bhd 107,793 87,900 – 0.00 % Wisdom Marine Lines Co Ltd 97,626 88,275 – 0.00 % Xxentria Technology Materials 12,163 25,058 – 0.00 % Y G-1 Co Ltd 1,108 5,058 – 0.00 % YAMADA Consulting Group Co Ltd 1,458 17,542 – 0.00 % Yamashina Corp (6,037) (3,573) – 0.00 % The accompanying notes form an integral part of these audited financial statements 166 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Industrials (continued) Yuexiu Transport Infrastructure Limited 188,000 145,952 – 0.00 % Zehnder Group AG 689 32,053 – 0.00 % Zhejiang Expressway Co Ltd 14,000 10,581 – 0.00 % Total Industrials – 0.00 % Information Technology Advanced Ceramic X Corp 1,383 13,559 – 0.00 % Advanced Process Systems Corp 1,094 24,242 – 0.00 % Advanced Wireless Semiconductor Co 2,000 5,962 – 0.00 % Advantech Co Ltd 12,737 124,240 – 0.00 % Amper SA 40,979 11,089 – 0.00 % Ardentec Corp 50,687 44,321 – 0.00 % ArtSpark Holdings Inc 3,700 20,838 – 0.00 % Asgent Inc 400 5,734 – 0.00 % ASMedia Technology Inc 3,033 78,256 – 0.00 % Asseco Poland SA 4,173 64,351 – 0.00 % AstroNova Inc 1,244 13,510 – 0.00 % Aten International Co Ltd 4,849 13,571 – 0.00 % Aubay 1,074 33,375 – 0.00 % Audinate Group Ltd 709 2,956 – 0.00 % AURAS Technology Co Ltd 7,000 37,328 – 0.00 % Autonomous Control Systems Laboratory Ltd 2,200 58,736 – 0.00 % Aval Data Corp 2,800 55,412 – 0.00 % Axell Corp 800 5,097 – 0.00 % BPLATS Inc 500 4,832 – 0.00 % Cadence Design Systems Inc 8,626 570,524 – 0.00 % Capital Asset Planning Inc 1,500 14,024 – 0.00 % Carel Industries SpA 2,335 28,562 – 0.00 % Chin-Poon Industrial Co Ltd 21,798 21,623 – 0.00 % Chipbond Technology Corp 37,461 72,584 – 0.00 % ChipMOS Technologies Inc 54,221 52,888 – 0.00 % CIJ 2,700 18,402 – 0.00 % Citadel Group Ltd 6,624 18,368 – 0.00 % Class Ltd 22,515 22,736 – 0.00 % Clevo Co 24,536 24,908 – 0.00 % Creo Co Ltd 1,400 16,015 – 0.00 % CRI Middleware Co Ltd 100 1,310 – 0.00 % CSE Global Ltd 17,800 6,638 – 0.00 % Cube System Inc 1,500 8,434 – 0.00 % Cybernet Systems Co Ltd 800 4,824 – 0.00 % Daiko Denshi Tsushin Ltd 3,700 26,689 – 0.00 % Daitron Co Ltd 1,900 28,851 – 0.00 % DASAN Zhone Solutions Inc 234 1,785 – 0.00 % Datagroup SE 474 28,781 – 0.00 % DataTec Ltd 13,983 27,356 – 0.00 % The accompanying notes form an integral part of these audited financial statements 167 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Information Technology (continued) DB HiTek Co Ltd 4,133 81,635 – 0.00 % Devoteam SA 11 976 – 0.00 % Dicker Data Ltd 1,243 4,787 – 0.00 % Digital Arts Inc 1,600 75,609 – 0.00 % Digital China Holdings Ltd 63,000 31,609 – 0.00 % Digital Hearts Holdings Co Ltd 6,500 48,629 – 0.00 % DKK-Toa Corp 1,000 7,777 – 0.00 % Ebase Co Ltd 1,800 25,252 – 0.00 % Ecomott Inc 900 8,980 – 0.00 % Egis Technology Inc 16,125 114,828 – 0.00 % Elmos Semiconductor AG 56 1,315 – 0.00 % eMemory Technology Inc 3,629 37,982 – 0.00 % EML Payments Ltd 9,611 22,594 – 0.00 % Enomoto Co Ltd 2,500 22,310 – 0.00 % Esprinet SpA (8,536) (46,009) – 0.00 % Everlight Electronics Co Ltd 57,222 59,891 – 0.00 % EVS Broadcast Equipment SA 913 18,077 – 0.00 % Firich Enterprises Co Ltd 633 654 – 0.00 % Flytech Technology Co Ltd 13,183 32,268 – 0.00 % Focus Systems Corp 3,200 23,230 – 0.00 % Formosa Advanced Technologies 39,648 52,265 – 0.00 % F-Secure Oyj 4,439 14,307 – 0.00 % Gefran SpA 124 764 – 0.00 % General Interface Solution Holding Ltd 3,534 11,494 – 0.00 % Getac Technology Corp 58,765 94,983 – 0.00 % Gigabyte Technology Co Ltd 38,106 65,757 – 0.00 % Global Dominion Access SA 15,326 58,837 – 0.00 % Global Unichip Corp 2,000 14,838 – 0.00 % GlobalSCAPE Inc 3,430 30,081 – 0.00 % Globalwafers Co Ltd 2,125 28,822 – 0.00 % Globetronics Technology BHD 100,977 49,788 – 0.00 % Greatek Electronics Inc 37,699 58,936 – 0.00 % Hancom Inc 1,388 11,519 – 0.00 % Hanmi Semiconductor Co Ltd 2,766 19,879 – 0.00 % Hannstar Board Corp 43,859 52,296 – 0.00 % Hansen Technologies Ltd 27,482 56,753 – 0.00 % HIQ International AB 7,265 34,632 – 0.00 % Holtek Semiconductor Inc 20,842 45,285 – 0.00 % Honda Tsushin Kogyo Co Ltd 3,800 15,357 – 0.00 % HTC Corp (29,802) (34,548) – 0.00 % Inari Amertron Bhd 139,512 46,631 – 0.00 % Infocom Corp 2,600 65,376 – 0.00 % Innotech Corp 3,600 31,261 – 0.00 % Inspur International Ltd 12,000 4,928 – 0.00 % Integrated Research Ltd 11,471 20,858 – 0.00 % The accompanying notes form an integral part of these audited financial statements 168 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Information Technology (continued) Internetworking and Broadband 100 826 – 0.00 % Inventec Corp 150,583 114,463 – 0.00 % I-O Data Device Inc 2,200 16,724 – 0.00 % iomart Group PLC 5,435 24,164 – 0.00 % ISI-Dentsu 1,200 50,992 – 0.00 % IX Knowledge Inc 1,100 5,493 – 0.00 % Japan System Techniques Co Ltd 1,200 11,463 – 0.00 % Japan Third Party Co Ltd 1,000 7,787 – 0.00 % Jorudan Co Ltd 1,000 9,803 – 0.00 % Kainos Group PLC 1,893 18,042 – 0.00 % Kanematsu Electronics Ltd 1,000 28,483 – 0.00 % Kginicis Co Ltd 4,894 80,826 – 0.00 % King Slide Works Co Ltd 8,929 103,066 – 0.00 % KNOW IT AB 1,895 34,177 – 0.00 % Korea Information & Communications Co Ltd 2,261 13,041 – 0.00 % Kyoden Co Ltd 7,100 19,829 – 0.00 % Kyosan Electric Manufacturing 2,200 9,399 – 0.00 % LEENO Industrial Inc 1,107 74,232 – 0.00 % Legend Holdings Corp 10,000 17,195 – 0.00 % Lotte Data Communication Co 436 11,579 – 0.00 % Mcnex Co Ltd 1,492 40,366 – 0.00 % Merry Electronics Co Ltd 15,820 73,619 – 0.00 % MIMAKI ENGINEERING CO LTD 1,300 4,977 – 0.00 % Morpho Inc 300 6,145 – 0.00 % Nagano Keiki Co Ltd 3,300 24,902 – 0.00 % Nan Ya Printed Circuit Board Corp (23,000) (40,375) – 0.00 % Nanya Technology Corp 25,593 65,525 – 0.00 % NEOJAPAN Inc 400 3,984 – 0.00 % Nippon Antenna Co Ltd 1,500 12,346 – 0.00 % Novatek Microelectronics Corp 2,500 16,188 – 0.00 % NPC Inc/Japan 13,600 45,906 – 0.00 % NTT Data Intramart Corp 400 9,943 – 0.00 % Ohizumi Mfg. Co Ltd 3,300 17,639 – 0.00 % On-Bright Electronics Inc 8,417 61,890 – 0.00 % Optoelectronics Co Ltd 700 2,958 – 0.00 % Ordina NV 21,091 54,172 – 0.00 % Osaki Electric Co Ltd 800 4,047 – 0.00 % Pan Jit International Inc 4,014 3,231 – 0.00 % Parade Technologies Ltd 4,753 105,160 – 0.00 % PAX Global Technology Ltd 74,000 36,749 – 0.00 % PCA Corp 700 22,981 – 0.00 % Phison Electronics Corp (3,000) (33,138) – 0.00 % Pricer AB 39,929 93,006 – 0.00 % Rhipe Ltd 2,247 2,524 – 0.00 % Ricksoft Co Ltd 200 9,618 – 0.00 % The accompanying notes form an integral part of these audited financial statements 169 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Information Technology (continued) Roland DG Corp 2,700 40,524 – 0.00 % RS Technologies Co Ltd 1,300 28,384 – 0.00 % SAES Getters SpA 2,376 65,601 – 0.00 % SDI Corp 7,735 15,141 – 0.00 % Segue Group Co Ltd 2,800 18,928 – 0.00 % Seikoh Giken Co Ltd 400 8,016 – 0.00 % SEMITEC Corp 100 2,319 – 0.00 % Sensirion Holding AG 135 4,899 – 0.00 % Seojin System Co Ltd 1,341 28,491 – 0.00 % SERAKU Co Ltd 2,800 26,075 – 0.00 % Sesa SpA 286 15,038 – 0.00 % SFA Semicon Co Ltd 4,197 19,436 – 0.00 % Shibaura Mechatronics Corp 1,500 38,771 – 0.00 % Sigurd Microelectronics Corp 37,656 42,530 – 0.00 % Simplo Technology Co Ltd 7,552 70,913 – 0.00 % Sinbon Electronics Co Ltd 36,402 157,945 – 0.00 % Sindoh Co Ltd 497 12,395 – 0.00 % Sitronix Technology Corp 2,074 9,892 – 0.00 % SMN Corp 2,200 12,939 – 0.00 % Softbrain Co Ltd 8,100 31,760 – 0.00 % SRA Holdings 1,100 23,071 – 0.00 % Strix Group PLC 20,583 44,442 – 0.00 % SUNeVision Holdings Ltd 12,000 7,730 – 0.00 % Sun-Wa Technos Corp 800 6,422 – 0.00 % Supreme Electronics Co Ltd 107,239 110,642 – 0.00 % Suzuden Corp 900 10,104 – 0.00 % Syncmold Enterprise Corp 32,856 92,935 – 0.00 % System Integrator Corp 2,000 12,873 – 0.00 % System Research Co Ltd 1,900 28,675 – 0.00 % Systex Corp 35,737 93,982 – 0.00 % Tachibana Eletech Co Ltd 300 4,300 – 0.00 % Tazmo Co Ltd 1,100 10,691 – 0.00 % TDC Soft Inc 2,000 15,000 – 0.00 % Telit Communications PLC 6,034 10,561 – 0.00 % TES Co Ltd/Korea 680 11,964 – 0.00 % Test Research Inc 26,236 44,318 – 0.00 % Thinking Electronic Industrial 13,235 36,691 – 0.00 % Tong Hsing Electronic Industries Ltd 5,060 25,391 – 0.00 % Topco Scientific Co Ltd 19,550 67,342 – 0.00 % Transcend Information Inc 43,481 112,476 – 0.00 % ULS Group Inc 1,600 39,077 – 0.00 % UMS Holdings Ltd 73,900 47,696 – 0.00 % Vanguard International Semiconductor Corp 15,524 38,152 – 0.00 % Verimatrix SA 6,303 11,384 – 0.00 % VS Industry Bhd 123,189 37,379 – 0.00 % The accompanying notes form an integral part of these audited financial statements 170 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Information Technology (continued) VSTECS Holdings Ltd 32,000 15,193 – 0.00 % Wah Lee Industrial Corp 14,566 26,438 – 0.00 % WiSoL Co Ltd 994 10,188 – 0.00 % WT Microelectronics Co Ltd 133,879 169,389 – 0.00 % YAC Holdings Co Ltd 1,100 4,923 – 0.00 % Zhen Ding Technology Holding Ltd 12,000 45,906 – 0.00 % Total Information Technology – 0.00 % Insurance Admiral Group PLC 14,080 379,919 – 0.00 % Aegon NV 1,881 6,354 – 0.00 % Aflac Inc 15,883 680,587 – 0.00 % Ageas 21,212 977,194 – 0.00 % Alleghany Corp 696 467,886 – 0.00 % Allianz SE 392 83,998 – 0.00 % Allstate Corp 3,498 368,165 – 0.00 % Alm Brand A/S 10,075 83,274 – 0.00 % American Equity Investment Life Insurance Co 7,165 181,131 – 0.00 % American Financial Group Inc 7,018 648,604 – 0.00 % American National Insurance Co 1,570 154,425 – 0.00 % AMERISAFE Inc 2,666 173,743 – 0.00 % Aon PLC 359 74,672 – 0.00 % Arch Capital Group Ltd 13,434 543,137 – 0.00 % Argo Group International Holdings Ltd 164 9,227 – 0.00 % ASR Nederland NV 2,244 74,348 – 0.00 % Assicurazioni Generali SpA 10,525 188,250 – 0.00 % Assured Guaranty Ltd 1,105 45,095 – 0.00 % Athene Holding Ltd 6,207 256,039 – 0.00 % Aviva PLC 38,038 170,479 – 0.00 % AXA SA 37,915 873,960 – 0.00 % Axis Capital Holdings Ltd 9,750 547,170 – 0.00 % Baloise Holding AG 5,957 953,933 – 0.00 % Brighthouse Financial Inc 3,656 131,031 – 0.00 % Cathay Financial Holding Co Ltd 49,129 65,170 – 0.00 % China Development Financial Holding Corp 357,566 108,483 – 0.00 % China Life Insurance Co Ltd 86,130 68,894 – 0.00 % Chubb Ltd 588 85,278 – 0.00 % Cincinnati Financial Corp 12,514 1,166,805 – 0.00 % Coface SA 9,144 99,930 – 0.00 % DB Insurance Co Ltd (3,172) (113,987) – 0.00 % Direct Line Insurance Group PLC 61,642 241,774 – 0.00 % Donegal Group Inc 870 12,415 – 0.00 % Employers Holdings Inc 5,401 208,155 – 0.00 % Enstar Group Ltd 1,861 331,984 – 0.00 % Everest Re Group Ltd 4,955 1,228,245 – 0.00 % The accompanying notes form an integral part of these audited financial statements 171 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Insurance (continued) FBL Financial Group Inc 883 42,172 – 0.00 % Fidelity National Financial In 1,827 70,815 – 0.00 % First American Financial Corp 18,511 1,056,978 – 0.00 % Fubon Financial Holding Co Ltd 81,159 119,486 – 0.00 % Genworth Financial Inc 95,258 371,506 – 0.00 % Gjensidige Forsikring ASA 9,431 188,592 – 0.00 % Globe Life Inc 12,829 1,188,735 – 0.00 % Great-West Lifeco Inc 50,656 1,192,417 – 0.00 % Grupo Catalana Occidente SA 1,287 40,135 – 0.00 % Hallmark Financial Services Inc 809 11,472 – 0.00 % Hannover Rueck SE 475 84,123 – 0.00 % Hanover Insurance Group Inc 10,064 1,192,987 – 0.00 % Helvetia Holding AG 1,056 139,628 – 0.00 % Heritage Insurance Holdings Inc 951 10,613 – 0.00 % Hiscox Ltd 3,278 51,345 – 0.00 % Hyundai Marine & Fire Insurance Co Ltd (8,337) (156,370) – 0.00 % iA Financial Corp Inc (101) – – 0.00 % IRB Brasil Resseguros S/A 400 2,962 – 0.00 % IRRC Corp 993 10,808 – 0.00 % James River Group Holdings Ltd 20,290 819,919 – 0.00 % Japan Post Holdings Co Ltd 28,837 250,862 – 0.00 % Kingstone Cos Inc 1,789 12,568 – 0.00 % Kinsale Capital Group Inc 196 23,808 – 0.00 % Lancashire Holdings Ltd 12,754 118,054 – 0.00 % Legal & General Group PLC 36,721 121,978 – 0.00 % Lifenet Insurance Co 1,521 9,691 – 0.00 % Manulife Financial Corp 66,969 1,126,511 – 0.00 % Mercury General Corp 13,725 594,430 – 0.00 % Meritz Fire & Marine Insurance 6,549 79,896 – 0.00 % MetLife Inc 14,557 621,875 – 0.00 % Munich Re 399 101,254 – 0.00 % National General Holdings Corp 4,513 87,868 – 0.00 % nib holdings Ltd/Australia 6,565 19,739 – 0.00 % NN Group NV 82 2,782 – 0.00 % Old Republic International Corp 56,938 1,122,817 – 0.00 % Phoenix Group Holdings PLC 26,099 230,474 – 0.00 % PICC P&C 56,000 57,991 – 0.00 % PING AN 14,000 155,666 – 0.00 % Porto Seguro SA 200 2,716 – 0.00 % Poste Italiane SpA 13,292 140,568 – 0.00 % Power Corp of Canada 52,532 1,162,155 – 0.00 % Primerica Inc 3,871 430,997 – 0.00 % Principal Financial Group Inc 241 10,698 – 0.00 % ProAssurance Corp 3,940 106,971 – 0.00 % Progressive Corp 12,871 941,642 – 0.00 % Protective Insurance Corp 734 10,467 – 0.00 % The accompanying notes form an integral part of these audited financial statements 172 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Insurance (continued) PZU 21,622 190,883 – 0.00 % Reinsurance Group of America Inc 6,752 823,947 – 0.00 % RLI Corp 5,972 480,029 – 0.00 % RSA Insurance Group PLC 14,030 92,993 – 0.00 % Safety Insurance Group Inc 1,554 122,362 – 0.00 % Sampo Oyj 28,047 1,137,811 – 0.00 % SCOR SE 22,981 821,571 – 0.00 % Selective Insurance Group Inc 7,501 418,406 – 0.00 % Shin Kong Financial Holding Co 152,674 46,573 – 0.00 % Societa Cattolica di Assicuraz 3,965 28,830 – 0.00 % State Auto Financial Corp 1,340 33,473 – 0.00 % Steadfast Group Ltd 17,537 42,707 – 0.00 % Sun Life Financial Inc 29,094 1,257,996 – 0.00 % Swiss Life Holding AG 2,270 1,029,279 – 0.00 % Swiss Re AG 10,409 986,127 – 0.00 % Third Point Reinsurance Ltd 46,992 419,169 – 0.00 % Topdanmark A/S 5,109 220,652 – 0.00 % Travelers Cos Inc 6,920 829,085 – 0.00 % Tryg A/S 6,189 170,545 – 0.00 % UNIQA Insurance Group AG 21,209 189,905 – 0.00 % United Fire Group Inc 962 36,883 – 0.00 % Universal Insurance Holdings Inc 20,913 432,690 – 0.00 % Unum Group 32,131 748,974 – 0.00 % Vienna Insurance 3,381 81,820 – 0.00 % White Mountains Insurance Group 484 479,208 – 0.00 % WR Berkley Corp 23,858 1,601,826 – 0.00 % Zurich Insurance Group AG 2,818 1,080,530 – 0.00 % Total Insurance – 0.00 % Interactive Media & Services AfreecaTV Co Ltd 2,064 93,356 – 0.00 % Alphabet Inc 709 949,528 – 0.00 % ANGI Homeservices Inc 46,592 332,201 – 0.00 % Bengo4.com Inc 200 7,250 – 0.00 % CareerIndex Inc 4,600 10,252 – 0.00 % Cargurus Inc 5,287 134,766 – 0.00 % Cars.com Inc 10,373 94,187 – 0.00 % carsales.com Ltd 6,989 73,526 – 0.00 % COOKPAD Inc 1,400 3,547 – 0.00 % DHI Group Inc 4,150 9,462 – 0.00 % Dip Corp 9,500 229,560 – 0.00 % Domain Holdings Australia Ltd 2,612 5,411 – 0.00 % Facebook Inc 4,337 834,742 – 0.00 % Gree Inc 28,500 115,966 – 0.00 % Gurunavi Inc 18,100 121,520 – 0.00 % The accompanying notes form an integral part of these audited financial statements 173 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Interactive Media & Services (continued) Itokuro Inc 2,600 32,892 – 0.00 % Kakaku.com Inc 9,800 209,349 – 0.00 % LIFULL Co Ltd 5,600 21,440 – 0.00 % Linkbal Inc 3,200 7,073 – 0.00 % MarkLines Co Ltd 2,900 44,679 – 0.00 % MDC Partners Inc (4,453) (11,177) – 0.00 % Meet Group Inc 25,701 131,075 – 0.00 % Mixi Inc 25,700 407,122 – 0.00 % QuinStreet Inc 10,369 133,553 – 0.00 % REA Group Ltd 2,162 138,042 – 0.00 % Rightmove PLC 53,179 420,558 – 0.00 % Travelzoo 1,165 9,530 – 0.00 % TripAdvisor Inc 15,639 366,735 – 0.00 % TrueCar Inc 4,895 12,874 – 0.00 % Twitter Inc 10,276 341,163 – 0.00 % Yahoo Japan Corp 64,900 235,869 – 0.00 % Yelp Inc 12,610 394,315 – 0.00 % ZIGExN Co Ltd 12,200 42,872 – 0.00 % Zillow Group Inc (5,141) (286,919) – 0.00 % Total Interactive Media & Services – 0.00 % Internet & Direct Marketing Retail Amazon.com Inc 20 37,675 – 0.00 % Aucfan Co Ltd 1,800 11,652 – 0.00 % B2W Cia Digital 100 1,384 – 0.00 % boohoo Group PLC 14,242 52,949 – 0.00 % Booking Holdings Inc 272 461,220 – 0.00 % CJ ENM Co Ltd 364 38,003 – 0.00 % CROOZ Inc 2,300 24,290 – 0.00 % Dustin Group AB 11,600 75,367 – 0.00 % eBay Inc 6,286 217,747 – 0.00 % Etsy Inc (943) (54,515) – 0.00 % Groupon Inc (6,583) (8,821) – 0.00 % GS Home Shopping Inc 648 66,685 – 0.00 % Hamee Corp 4,300 55,751 – 0.00 % Hyundai Home Shopping Network 523 32,206 – 0.00 % Leaf Group Ltd 3,023 7,950 – 0.00 % Liquidity Services Inc 1,105 4,332 – 0.00 % Moneysupermarket.com Group PLC 36,871 146,265 – 0.00 % Oisix ra daichi Inc 3,500 34,859 – 0.00 % Open Door Inc 600 5,687 – 0.00 % PAPYLESS Co Ltd 1,000 17,802 – 0.00 % PetMed Express Inc 13,317 351,569 – 0.00 % Quotient Technology Inc 1,655 14,812 – 0.00 % Rakuten Inc 20,700 172,859 – 0.00 % Rocket Internet SE 5,483 119,359 – 0.00 % The accompanying notes form an integral part of these audited financial statements 174 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Internet & Direct Marketing Retail (continued) Shutterstock Inc 7,484 288,433 – 0.00 % Syuppin Co Ltd 1,000 7,380 – 0.00 % Takkt AG 4,508 56,828 – 0.00 % Temairazu Inc 300 13,289 – 0.00 % Yume No Machi Souzou Iinkai Co (9,400) (86,059) – 0.00 % ZOZO Inc 17,751 248,532 – 0.00 % Total Internet & Direct Marketing Retail – 0.00 % IT Services Ad-sol Nissin Corp 200 3,999 – 0.00 % Adyen NV (9) (7,892) – 0.00 % Akamai Technologies Inc 1,427 123,450 – 0.00 % Alliance Data Systems Corp 3,605 309,597 – 0.00 % Alten SA 1,158 127,762 – 0.00 % Amadeus IT Group SA 3,865 269,970 – 0.00 % Amdocs Ltd 6,679 425,786 – 0.00 % Atea ASA 8,283 92,370 – 0.00 % Atos SE 201 14,880 – 0.00 % Automatic Data Processing Inc 4,198 649,599 – 0.00 % Avant Corp 700 5,425 – 0.00 % Bechtle AG 142 18,572 – 0.00 % Black Knight Inc 3,278 218,675 – 0.00 % Booz Allen Hamilton Holding Co 1,588 113,224 – 0.00 % BrainPad Inc 700 27,253 – 0.00 % Brightcove Inc 4,105 31,937 – 0.00 % Broadridge Financial Solutions 2,557 266,849 – 0.00 % CAC Holdings Corp 5,800 57,820 – 0.00 % CANCOM SE 116 5,637 – 0.00 % Capgemini SE (7) (764) – 0.00 % Cardtronics PLC 11,314 410,359 – 0.00 % Cass Information Systems Inc 1,865 87,562 – 0.00 % CGI Inc 5,668 398,575 – 0.00 % Change Inc 3,400 106,275 – 0.00 % Cognizant Technology Solutions 6,003 365,763 – 0.00 % Computacenter PLC 4,195 88,593 – 0.00 % Computershare Ltd 2,213 22,017 – 0.00 % Digital Information Technologies 1,300 17,035 – 0.00 % DTS Corp 4,300 78,496 – 0.00 % E-Guardian Inc 4,500 67,749 – 0.00 % EPAM Systems Inc 201 44,863 – 0.00 % Euronet Worldwide Inc 2,186 271,151 – 0.00 % EVERTEC Inc 14,407 427,600 – 0.00 % Evo Payments Inc 1,467 37,086 – 0.00 % ExlService Holdings Inc (5,289) (394,824) – 0.00 % FleetCor Technologies Inc 135 35,882 – 0.00 % Fujitsu Ltd 1,300 134,767 – 0.00 % The accompanying notes form an integral part of these audited financial statements 175 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets IT Services (continued) Future Corp 4,700 69,108 – 0.00 % Genpact Ltd 11,208 431,060 – 0.00 % GMO Cloud KK 2,900 55,165 – 0.00 % GMO Pepabo Inc 600 8,933 – 0.00 % GoDaddy Inc 2,356 164,873 – 0.00 % Hackett Group Inc 4,485 69,069 – 0.00 % I3 Verticals Inc 1,318 38,196 – 0.00 % ID Holdings Corp 1,200 16,202 – 0.00 % Indra Sistemas SA (7,150) – – 0.00 % Ines Corp 2,400 32,715 – 0.00 % International Money Express Inc 9,092 85,647 – 0.00 % Itochu Techno-Solutions Corp 3,800 105,213 – 0.00 % Jack Henry & Associates Inc 6,068 920,758 – 0.00 % KBR Inc (15,335) (398,097) – 0.00 % Keywords Studios PLC (6,203) (121,490) – 0.00 % LAC Co Ltd 3,700 29,871 – 0.00 % Leidos Holdings Inc (6,717) (689,500) – 0.00 % LiveRamp Holdings Inc 1,794 63,579 – 0.00 % Mastercard Inc 1,940 563,085 – 0.00 % Mitsubishi Research Institute 1,700 59,269 – 0.00 % NCC Group PLC 23,760 62,988 – 0.00 % Net 1 UEPS Technologies Inc 8,811 30,222 – 0.00 % NEXTDC Ltd (20,535) (105,217) – 0.00 % NIC Inc 9,330 170,646 – 0.00 % Nihon Unisys Ltd 10,200 307,033 – 0.00 % Nomura Research Institute Ltd 7,400 161,160 – 0.00 % NS Solutions Corp 7,600 210,285 – 0.00 % NSD Co Ltd 400 6,381 – 0.00 % Obic Co Ltd 1,500 184,353 – 0.00 % Okta Inc 3,694 473,054 – 0.00 % Paychex Inc 834 64,618 – 0.00 % Paysign Inc 3,729 29,944 – 0.00 % PCI Holdings Inc/JP 300 5,407 – 0.00 % Poletowin Pitcrew Holdings Inc 4,900 37,746 – 0.00 % Reply SpA 348 26,145 – 0.00 % Samsung SDS Co Ltd 16 2,211 – 0.00 % SCSK Corp 5,900 303,907 – 0.00 % Softbank Technology Corp 200 3,766 – 0.00 % Softcat PLC 3,516 47,436 – 0.00 % Solutions 30 SE 2,012 22,198 – 0.00 % Sopra Steria Group 148 23,720 – 0.00 % Square Inc 623 51,915 – 0.00 % StarTek Inc 2,537 15,806 – 0.00 % Switch Inc 8,943 128,243 – 0.00 % Sykes Enterprises Inc 1,856 58,798 – 0.00 % Tecnos Japan Inc 1,000 3,616 – 0.00 % The accompanying notes form an integral part of these audited financial statements 176 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets IT Services (continued) Tieto Oyj 3,837 108,219 – 0.00 % TIS Inc 4,100 242,280 – 0.00 % TKC Corp 400 18,089 – 0.00 % TravelSky Technology Ltd 23,000 44,979 – 0.00 % TTEC Holdings Inc 3,832 143,432 – 0.00 % Ubicom Holdings Inc 1,300 13,176 – 0.00 % VeriSign Inc 4,278 811,751 – 0.00 % Verra Mobility Corp 11,792 178,590 – 0.00 % Virtusa Corp (8,059) (355,482) – 0.00 % Visa Inc 1,932 351,160 – 0.00 % Wellnet Corp 5,200 27,170 – 0.00 % Western Union Co 25,292 566,288 – 0.00 % Wirecard AG 1,763 222,923 – 0.00 % Zuken Inc 600 11,819 – 0.00 % Total IT Services – 0.00 % Leisure Products Acushnet Holdings Corp 6,625 168,606 – 0.00 % American Outdoor Brands Corp (235) (2,341) – 0.00 % Bandai Namco Holdings Inc 900 44,694 – 0.00 % BRP Inc 735 30,158 – 0.00 % Brunswick Corp/DE (6,942) – – 0.00 % Clarus Corp 3,978 45,986 – 0.00 % Daikoku Denki Co Ltd 800 9,255 – 0.00 % Furyu Corp 9,200 86,525 – 0.00 % Games Workshop Group PLC 2,344 188,666 – 0.00 % Heiwa Corp 7,100 132,237 – 0.00 % Johnson Outdoors Inc 756 47,182 – 0.00 % Kawai Musical Instruments Manufacturing Co Ltd 100 2,430 – 0.00 % Malibu Boats Inc 1,811 79,575 – 0.00 % Marine Products Corp 666 8,378 – 0.00 % Mars Group Holdings Corp 1,100 18,005 – 0.00 % MasterCraft Boat Holdings Inc 5,030 81,335 – 0.00 % MIPS AB 28 625 – 0.00 % Nautilus Inc (7,704) (24,807) – 0.00 % Sankyo Co Ltd 2,700 88,514 – 0.00 % Spin Master Corp 71 1,584 – 0.00 % Sturm Ruger & Co Inc 17,359 833,926 – 0.00 % Technogym SpA 3,407 35,397 – 0.00 % Thule Group AB 1,641 35,325 – 0.00 % Tomy Co Ltd 17,700 156,318 – 0.00 % Universal Entertainment Corp 5,800 156,565 – 0.00 % YETI Holdings Inc 456 13,794 – 0.00 % Yonex Co Ltd 3,800 19,257 – 0.00 % Total Leisure Products – 0.00 % The accompanying notes form an integral part of these audited financial statements 177 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Life Sciences Tools & Services Bachem Holding AG 374 63,719 – 0.00 % Bio-Rad Laboratories Inc 3,074 1,082,109 – 0.00 % Bio-Techne Corp 1,459 275,591 – 0.00 % Bruker Corp 14,615 636,629 – 0.00 % Chemometec A/S 1,773 62,768 – 0.00 % Clinigen Group Plc 4,538 41,628 – 0.00 % CMIC Holdings Co Ltd 2,748 34,841 – 0.00 % EPS Holdings Inc 2,325 24,189 – 0.00 % Eurofins Scientific SE 613 306,672 – 0.00 % Fluidigm Corp 1,518 5,040 – 0.00 % Illumina Inc 2,939 780,804 – 0.00 % IQVIA Holdings Inc 1,515 211,327 – 0.00 % Lonza Group AG 1,340 529,738 – 0.00 % Luminex Corp (12,617) (312,397) – 0.00 % Mettler-Toledo International Inc 981 688,368 – 0.00 % Quanterix Corp 9,544 217,699 – 0.00 % Shin Nippon Biomedical Laboratories Ltd 8,865 45,007 – 0.00 % Siegfried Holding AG 176 76,146 – 0.00 % Syneos Health Inc (9,442) (598,151) – 0.00 % Tecan Group AG 448 124,679 – 0.00 % Thermo Fisher Scientific Inc 443 128,824 – 0.00 % Waters Corp 5,125 998,811 – 0.00 % Total Life Sciences Tools & Services – 0.00 % Machinery Aalberts NV 289 10,729 – 0.00 % Ag Growth International Inc 417 12,024 – 0.00 % Alamo Group Inc (3,549) (840,744) – 0.00 % Albany International Corp 1,729 110,777 – 0.00 % Alfa Laval AB 2,009 44,845 – 0.00 % Alinco Inc 2,942 26,336 – 0.00 % Allison Transmission Holdings 3,506 142,344 – 0.00 % Alstom SA 2,582 126,360 – 0.00 % Altra Industrial Motion Corp (417) – – 0.00 % Amada Holdings Co Ltd 4,450 41,481 – 0.00 % ANDRITZ AG 371 13,027 – 0.00 % ATS Automation Tooling Systems 2,856 38,182 – 0.00 % Biesse SpA 3,303 44,508 – 0.00 % Blue Bird Corp 564 10,084 – 0.00 % Bodycote PLC 11,691 114,114 – 0.00 % Bucher Industries AG 44 13,601 – 0.00 % Caterpillar Inc 794 98,647 – 0.00 % Columbus McKinnon Corp/NY 1,579 49,091 – 0.00 % Construcciones y Auxiliar de Ferrocarriles 2,735 118,084 – 0.00 % Conzzeta AG 73 73,958 – 0.00 % The accompanying notes form an integral part of these audited financial statements 178 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Machinery (continued) DMG Mori Co Ltd 15,800 199,153 – 0.00 % Donaldson Co Inc 1,174 52,924 – 0.00 % Doosan Bobcat Inc 822 19,374 – 0.00 % Douglas Dynamics Inc 1,857 80,835 – 0.00 % Duerr AG 60 1,858 – 0.00 % Fincantieri SpA 3,410 2,689 – 0.00 % Fluidra SA 1,044 14,332 – 0.00 % Franklin Electric Co Inc 2,771 143,233 – 0.00 % Fuji Corp/Aichi (100) (1,604) – 0.00 % Fujitec Co Ltd 1,300 18,045 – 0.00 % Gardner Denver Holdings Inc 2,759 90,468 – 0.00 % Gates Industrial Corp PLC 13,990 146,335 – 0.00 % Georg Fischer AG 92 78,085 – 0.00 % Gorman-Rupp Co 652 20,857 – 0.00 % Graco Inc 6,155 303,565 – 0.00 % Hirata Corp 1,400 64,993 – 0.00 % Hitachi Zosen Corp 6,700 23,235 – 0.00 % Hokuetsu Industries Co Ltd 1,900 19,539 – 0.00 % Hosokawa Micron Corp 900 41,074 – 0.00 % Howa Machinery Ltd 1,124 6,923 – 0.00 % Hyundai Elevator Co Ltd 63 2,813 – 0.00 % IDEX Corp (1,211) (358,456) – 0.00 % Illinois Tool Works Inc 956 160,398 – 0.00 % IMA SpA 747 46,056 – 0.00 % IMI PLC 5,259 67,592 – 0.00 % Interroll Holding AG 1 1,780 – 0.00 % Iwaki Co Ltd 3,083 27,000 – 0.00 % Juki Corp 7,700 48,991 – 0.00 % Kadant Inc 1,688 153,304 – 0.00 % Kardex AG 346 53,655 – 0.00 % Kato Works Co Ltd 2,700 32,559 – 0.00 % Kito Corp 1,500 19,184 – 0.00 % Kitz Corp 2,386 14,210 – 0.00 % Knorr-Bremse AG 1,501 151,885 – 0.00 % Komatsu Ltd 1,800 36,330 – 0.00 % Komax Holding AG 10 1,896 – 0.00 % Kone Oyj 5,196 291,496 – 0.00 % Lincoln Electric Holdings Inc 4,176 341,973 – 0.00 % Lindsay Corp 654 64,766 – 0.00 % Lonking Holdings Ltd 3,000 835 – 0.00 % Meritor Inc (14,371) (326,078) – 0.00 % METAWATER Co Ltd 561 19,766 – 0.00 % Middleby Corp 1,810 202,376 – 0.00 % Miller Industries Inc/TN 1,814 53,894 – 0.00 % Mitsubishi Heavy Industries Ltd 4,700 148,604 – 0.00 % The accompanying notes form an integral part of these audited financial statements 179 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Machinery (continued) Morgan Advanced Materials PLC 1,088 3,864 – 0.00 % Mueller Water Products Inc 1,676 18,352 – 0.00 % NFI Group Inc 254 5,576 – 0.00 % Nissei Plastic Industrial Co Ltd 1,800 15,114 – 0.00 % Nitto Kohki Co Ltd 1,596 30,301 – 0.00 % Noritake Co Ltd/Nagoya Japan 600 21,085 – 0.00 % Norma Group SE 968 31,625 – 0.00 % NSK Ltd 4,133 31,609 – 0.00 % Obara Group Inc 1,180 31,537 – 0.00 % Organo Corp 108 6,352 – 0.00 % OSG Corp 100 1,497 – 0.00 % Oshkosh Corp 5,651 407,720 – 0.00 % PACCAR Inc 7,918 529,714 – 0.00 % Park-Ohio Holdings Corp 756 18,537 – 0.00 % Pfeiffer Vacuum Technology AG 870 130,248 – 0.00 % Punch Industry Co Ltd 2,136 6,914 – 0.00 % Rational AG 261 174,413 – 0.00 % Rexnord Corp (313) – – 0.00 % Rotork PLC 7,551 27,166 – 0.00 % Ryobi Ltd 4,301 55,843 – 0.00 % Sansei Technologies Inc 2,801 19,790 – 0.00 % Savaria Corp 3,891 33,625 – 0.00 % Schindler Holding AG 1,143 253,462 – 0.00 % Shima Seiki Manufacturing Ltd 620 9,707 – 0.00 % Shinmaywa Industries Ltd 10,765 121,254 – 0.00 % Shinwa Co Ltd/Nagoya 350 6,176 – 0.00 % SKF AB 721 12,512 – 0.00 % Snap-on Inc 1,665 241,009 – 0.00 % Sodick Co Ltd 14,717 98,671 – 0.00 % Spirax-Sarco Engineering PLC 3,091 331,524 – 0.00 % SPX FLOW Inc 5,052 185,813 – 0.00 % Stabilus SA 2,156 114,975 – 0.00 % Star Micronics Co Ltd 9,700 108,809 – 0.00 % Sumitomo Heavy Industries Ltd 500 10,875 – 0.00 % Takeuchi Manufacturing Co Ltd 9,414 144,081 – 0.00 % Talgo SA 17,329 100,075 – 0.00 % Terex Corp 239 5,260 – 0.00 % Tocalo Co Ltd 9,340 82,400 – 0.00 % Tokyo Keiki Inc 56 408 – 0.00 % Trelleborg AB (1,729) – – 0.00 % TriMas Corp 2,752 69,763 – 0.00 % Tsubaki Nakashima Co Ltd 11,717 111,173 – 0.00 % Tsubakimoto Chain Co 900 24,494 – 0.00 % Valmet Oyj 5,900 138,626 – 0.00 % Vesuvius PLC 3,622 19,556 – 0.00 % The accompanying notes form an integral part of these audited financial statements 180 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Machinery (continued) Wabash National Corp 11,224 123,240 – 0.00 % Watts Water Technologies Inc 753 70,714 – 0.00 % Yangzijiang Shipbuilding Holdings Ltd 158,500 107,413 – 0.00 % Zardoya Otis SA 7,320 54,552 – 0.00 % Total Machinery – 0.00 % Marine Dfds A/S 161 5,546 – 0.00 % Eagle Bulk Shipping Inc (3,625) (12,035) – 0.00 % NS United Kaiun Kaisha Ltd 898 14,201 – 0.00 % Total Marine – 0.00 % Materials AK Holdings Inc 401 8,004 – 0.00 % Alkane Resources Ltd 16,852 8,536 – 0.00 % Amcor PLC 13,665 127,358 – 0.00 % Americas Gold & Silver Corp 1,092 2,565 – 0.00 % Anadolu Cam Sanayii AS 71,797 43,456 – 0.00 % Asia Cement Co Ltd 10 519 – 0.00 % Borregaard ASA 6,628 69,882 – 0.00 % Cahya Mata Sarawak Bhd 82,983 37,572 – 0.00 % Central Asia Metals PLC 8,830 20,870 – 0.00 % China BlueChemical Ltd 108,000 20,511 – 0.00 % China Man-Made Fiber Corp 123,485 29,734 – 0.00 % China Zhongwang Holdings Ltd 82,000 27,569 – 0.00 % Chunbo Co Ltd 97 5,329 – 0.00 % Ciech SA 3,815 33,922 – 0.00 % Corteva Inc 6,976 189,747 – 0.00 % Corticeira Amorim SGPS SA 9,089 99,579 – 0.00 % CPMC Holdings Ltd 48,000 18,355 – 0.00 % Fufeng Group Ltd 92,000 35,653 – 0.00 % Goldsun Building Materials Co 180,612 77,468 – 0.00 % Groupe Guillin 725 11,133 – 0.00 % Grupa Azoty SA 1,213 6,268 – 0.00 % H+H International A/S 1,195 21,355 – 0.00 % Hanil Cement Co Ltd/New 89 5,362 – 0.00 % Hansol Paper Co Ltd 3,607 38,467 – 0.00 % Hsin Kuang Steel Co Ltd 20,542 19,901 – 0.00 % Huchems Fine Chemical Corp 1,939 29,609 – 0.00 % Ishizuka Glass Co Ltd 500 9,729 – 0.00 % KISWIRE Ltd 158 2,229 – 0.00 % Kuk-il Paper Manufacturing Co 16,224 66,448 – 0.00 % Kurimoto Ltd 900 15,156 – 0.00 % Longchen Paper & Packaging Co (21,812) (13,148) – 0.00 % Lundin Gold Inc 2,831 21,932 – 0.00 % The accompanying notes form an integral part of these audited financial statements 181 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Materials (continued) MACA Ltd 27,044 15,806 – 0.00 % Miquel y Costas & Miquel SA 1,946 28,855 – 0.00 % Moorim P&P Co Ltd 5,904 17,566 – 0.00 % Moriroku Holdings Co Ltd 600 10,559 – 0.00 % Nampak Ltd 44,040 9,291 – 0.00 % Namsun Aluminum Co Ltd 15,104 47,195 – 0.00 % Nantex Industry Co Ltd 36,114 35,884 – 0.00 % Nippon Carbide Industries Co Inc 1,200 12,684 – 0.00 % Nippon Kinzoku Co Ltd 1,600 10,668 – 0.00 % Nippon Pillar Packing Co Ltd 1,300 15,268 – 0.00 % Nittetsu Mining Co Ltd 600 21,334 – 0.00 % Okura Industrial Co Ltd 700 9,645 – 0.00 % Omnia Holdings Ltd 13,680 21,874 – 0.00 % Osaka Organic Chemical Industry Ltd 600 8,323 – 0.00 % Perseus Mining Ltd 87,684 58,935 – 0.00 % Petronas Chemicals Group Bhd 130,811 167,448 – 0.00 % Plastivaloire 142 879 – 0.00 % PPC Ltd 59,996 5,677 – 0.00 % Press Metal Aluminium Holdings 75,916 83,861 – 0.00 % Ramelius Resources Ltd 120,516 90,003 – 0.00 % Recticel SA 4,122 30,470 – 0.00 % Rottneros AB 12,206 12,230 – 0.00 % Scientex BHD 16,914 36,085 – 0.00 % Semapa-Sociedade de Investimento e Gestao 2,627 32,654 – 0.00 % Shinagawa Refractories Co Ltd 200 4,825 – 0.00 % Shinkong Synthetic Fibers Corp 131,315 53,279 – 0.00 % SHOUGANG RES 72,000 13,951 – 0.00 % Silver Lake Resources Ltd 88,414 92,153 – 0.00 % SilverCrest Metals Inc 3,197 20,524 – 0.00 % SolGold PLC 175,487 38,249 – 0.00 % Soulbrain Co Ltd 1,059 76,023 – 0.00 % Taekwang Industrial Co Ltd 13 8,696 – 0.00 % Taiwan Hon Chuan Enterprise Co 39,617 77,549 – 0.00 % Taiwan Styrene Monomer 102,725 62,944 – 0.00 % Takemoto Yohki Co Ltd 1,500 10,057 – 0.00 % Taoka Chemical Co Ltd 200 10,616 – 0.00 % Tiangong International Co Ltd 134,000 47,802 – 0.00 % Tokyo Rope Manufacturing Co Ltd 1,200 8,944 – 0.00 % Ton Yi Industrial Corp 36,997 13,112 – 0.00 % Tsaker Chemical Group Ltd 66,000 14,313 – 0.00 % TSRC Corp 40,007 28,423 – 0.00 % Tubacex SA 11,425 27,146 – 0.00 % Tung Ho Steel Enterprise Corp 69,964 52,139 – 0.00 % Unid Co Ltd 347 11,202 – 0.00 % UPC Technology Corp 57,384 18,930 – 0.00 % The accompanying notes form an integral part of these audited financial statements 182 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Materials (continued) USI Corp 63,891 25,288 – 0.00 % Vetropack Holding AG 27 71,317 – 0.00 % Wagners Holding Co Ltd 4,805 4,337 – 0.00 % Wallbridge Mining Co Ltd 29,337 15,312 – 0.00 % Wavelock Holdings Co Ltd 3,800 21,155 – 0.00 % West China Cement Ltd 162,000 26,193 – 0.00 % Westgold Resources Ltd 14,382 18,960 – 0.00 % Wonik Materials Co Ltd 540 10,240 – 0.00 % Yieh Phui Enterprise Co Ltd 48,304 14,511 – 0.00 % Yotai Refractories Co Ltd 4,400 25,675 – 0.00 % Youlchon Chemical Co Ltd 2,381 24,206 – 0.00 % Zignago Vetro SpA 6,548 89,027 – 0.00 % Total Materials – 0.00 % Media AlphaPolis Co Ltd 100 1,891 – 0.00 % Altice USA Inc 6,515 168,478 – 0.00 % AMC Networks Inc 4,372 135,532 – 0.00 % Boston Omaha Corp 1,663 32,362 – 0.00 % Brangista Inc 800 3,921 – 0.00 % Cable One Inc (220) (346,064) – 0.00 % Ceres Inc/Japan 1,100 10,539 – 0.00 % Cheil Worldwide Inc 4,265 68,491 – 0.00 % Cogeco Inc 391 26,863 – 0.00 % comScore Inc (2,267) (7,935) – 0.00 % Cyfrowy Polsat SA 21,977 140,697 – 0.00 % Dentsu Inc 6,100 158,628 – 0.00 % Emerald Expositions Events Inc 5,401 37,051 – 0.00 % Entravision Communications Corp 3,371 6,776 – 0.00 % Euromoney Institutional Investor PLC 3,622 49,977 – 0.00 % Eutelsat Communications SA 8,734 117,595 – 0.00 % Fox Corp 31,482 967,757 – 0.00 % Gakken Holdings Co Ltd 200 12,299 – 0.00 % Hemisphere Media Group Inc 2,485 31,386 – 0.00 % Lee Enterprises Inc 8,273 12,410 – 0.00 % Liberty Broadband Corp 590 74,275 – 0.00 % Loral Space & Communications Inc 3,349 104,020 – 0.00 % Macromill Inc 18,800 146,735 – 0.00 % Members Co Ltd 400 4,927 – 0.00 % Metropole Television SA 8,656 126,732 – 0.00 % MSG Networks Inc 7,961 100,627 – 0.00 % National CineMedia Inc 10,737 82,568 – 0.00 % Nine Entertainment Co Holdings 93,959 96,712 – 0.00 % Nordic Entertainment Group AB 5,226 156,222 – 0.00 % NOS SGPS SA 31,623 124,184 – 0.00 % The accompanying notes form an integral part of these audited financial statements 183 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Media (continued) oOh!media Ltd 4,472 8,132 – 0.00 % Pearson PLC 7,320 52,147 – 0.00 % Proto Corp 7,100 71,174 – 0.00 % Quebecor Inc 13,784 322,310 – 0.00 % Sanoma Oyj 5,349 60,486 – 0.00 % Schibsted ASA 196 4,683 – 0.00 % Scholastic Corp 5,636 180,859 – 0.00 % Shaw Communications Inc 13,458 233,105 – 0.00 % Sinclair Broadcast Group Inc 4,799 111,385 – 0.00 % SoldOut Inc 3,100 50,226 – 0.00 % Stroeer SE & Co KGaA 611 44,997 – 0.00 % TechTarget Inc 4,896 113,244 – 0.00 % Television Francaise 1 4,272 32,542 – 0.00 % ValueCommerce Co Ltd 6,400 121,744 – 0.00 % WideOpenWest Inc 1,392 8,756 – 0.00 % Wowow Inc 1,600 35,822 – 0.00 % Zenrin Co Ltd 400 4,665 – 0.00 % Total Media – 0.00 % Metals & Mining Acerinox SA 11,794 108,484 – 0.00 % African Rainbow Minerals Ltd 25,027 218,391 – 0.00 % Agnico Eagle Mines Limited 619 29,421 – 0.00 % Agnico Eagle Mines Ltd 332 15,766 – 0.00 % Alacer Gold Corp 3,168 14,338 – 0.00 % Alumina Ltd 23,982 30,213 – 0.00 % Angang Steel Co Ltd 230,000 76,736 – 0.00 % Anglo American Platinum Ltd 2,945 197,196 – 0.00 % Anglo American PLC 5,962 136,482 – 0.00 % AngloGold Ashanti Ltd 8,410 149,350 – 0.00 % APERAM SA 4,806 142,421 – 0.00 % Asahi Holdings Inc 2,985 67,714 – 0.00 % Aurubis AG 1,363 64,080 – 0.00 % Ausdrill Ltd 34,381 30,141 – 0.00 % B2Gold Corp 2,926 11,694 – 0.00 % Bekaert SA 3,725 79,860 – 0.00 % BHP Group Ltd 6,183 134,912 – 0.00 % BHP Group PLC 7,848 142,217 – 0.00 % Centamin PLC 194,690 320,745 – 0.00 % Centerra Gold Inc 1,000 6,323 – 0.00 % China Oriental Group Co Ltd 84,000 28,672 – 0.00 % China Steel Corp 96,183 73,271 – 0.00 % Chung Hung Steel Corp 95,336 28,608 – 0.00 % Cleveland-Cliffs Inc 42,053 244,328 – 0.00 % Coeur Mining Inc 31,636 131,606 – 0.00 % The accompanying notes form an integral part of these audited financial statements 184 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Metals & Mining (continued) Daiki Aluminium Industry Co Ltd 4,000 21,677 – 0.00 % Dundee Precious Metals Inc 1,032 4,040 – 0.00 % Eldorado Gold Corp (1,049) (9,112) – 0.00 % Endeavour Mining Corp 288 5,089 – 0.00 % Eregli Demir ve Celik Fabrikal 131,167 173,733 – 0.00 % ERO Copper Corp 610 6,545 – 0.00 % Evraz PLC 39,251 163,630 – 0.00 % Ferrexpo PLC 112,850 186,349 – 0.00 % First Majestic Silver Corp 336 2,538 – 0.00 % Fortescue Metals Group Ltd 16,148 105,704 – 0.00 % Franco-Nevada Corp 405 43,515 – 0.00 % Glencore PLC 42,868 105,845 – 0.00 % Gold Fields Ltd 7,985 47,079 – 0.00 % Gold Resource Corp 24,180 97,204 – 0.00 % Granges AB 6,896 54,848 – 0.00 % Grupo Mexico SAB de CV 4,400 10,351 – 0.00 % Guyana Goldfields Inc 10,238 2,863 – 0.00 % Hecla Mining Co 61,055 161,185 – 0.00 % Hill & Smith Holdings PLC 5,221 89,183 – 0.00 % Hochschild Mining PLC 23,139 47,211 – 0.00 % Impala Platinum Holdings Ltd 2,114 16,847 – 0.00 % Kaiser Aluminum Corp 3,278 309,935 – 0.00 % Kirkland Lake Gold Ltd 1,177 37,992 – 0.00 % Korea Zinc Co Ltd 142 48,848 – 0.00 % Koza Altin Isletmeleri AS 31,491 369,073 – 0.00 % Kumba Iron Ore Ltd 12,273 220,227 – 0.00 % Maanshan Iron & Steel Co Ltd 226,000 82,652 – 0.00 % Materion Corp 1,274 57,763 – 0.00 % McEwen Mining Inc 75,841 68,257 – 0.00 % Mount Gibson Iron Ltd 108,658 48,688 – 0.00 % Newcrest Mining Ltd 7,901 134,943 – 0.00 % Nippon Light Metal Holdings Co 118,800 208,739 – 0.00 % Nippon Yakin Kogyo Co Ltd 6,600 104,186 – 0.00 % Novagold Resources Inc 1,312 10,419 – 0.00 % Nucor Corp 3,904 161,430 – 0.00 % Osisko Mining Inc 1,750 3,654 – 0.00 % Pan American Silver Corp 178 3,526 – 0.00 % Pretium Resources Inc 1,052 7,491 – 0.00 % Ramaco Resources Inc 678 1,953 – 0.00 % Regis Resources Ltd 53,233 139,315 – 0.00 % Reliance Steel & Aluminum Co 5,945 608,114 – 0.00 % Resolute Mining Ltd 20,065 13,291 – 0.00 % Rio Tinto Ltd 3,198 181,241 – 0.00 % Rio Tinto PLC 7,333 338,021 – 0.00 % Royal Gold Inc 9,875 952,641 – 0.00 % The accompanying notes form an integral part of these audited financial statements 185 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Metals & Mining (continued) Salzgitter AG 170 2,793 – 0.00 % Sandfire Resources NL 9,862 27,283 – 0.00 % Sandstorm Gold Ltd 2,121 12,399 – 0.00 % Saracen Mineral Holdings Ltd 23,669 57,947 – 0.00 % Schnitzer Steel Industries Inc 6,639 109,411 – 0.00 % Seabridge Gold Inc 273 2,691 – 0.00 % Silvercorp Metals Inc 977 3,111 – 0.00 % SSAB AB 5,920 17,905 – 0.00 % SSR Mining Inc 889 13,920 – 0.00 % St Barbara Ltd 90,778 138,535 – 0.00 % Steel Dynamics Inc 5,651 150,486 – 0.00 % Teranga Gold Corp 573 2,957 – 0.00 % Toho Titanium Co Ltd 7,500 50,007 – 0.00 % Toho Zinc Co Ltd 2,600 36,595 – 0.00 % Torex Gold Resources Inc 43 570 – 0.00 % Warrior Met Coal Inc 43,477 770,412 – 0.00 % Wesdome Gold Mines Ltd 4,060 25,853 – 0.00 % Wheaton Precious Metals Corp 538 15,312 – 0.00 % Yamana Gold Inc 506 1,973 – 0.00 % Zijin Mining Group Co Ltd 166,000 74,555 – 0.00 % Total Metals & Mining – 0.00 % Mortgage Real Estate Investment AG Mortgage Investment Trust Inc 11,927 178,547 – 0.00 % AGNC Investment Corp 48,795 831,467 – 0.00 % Annaly Capital Management Inc 74,009 655,720 – 0.00 % Anworth Mortgage Asset Corp 43,255 141,444 – 0.00 % Apollo Commercial Real Estate 119,462 1,935,284 – 0.00 % Arbor Realty Trust Inc 32,910 399,527 – 0.00 % Ares Commercial Real Estate Corp 14,800 225,848 – 0.00 % Arlington Asset Investment Corp 22,446 127,044 – 0.00 % ARMOUR Residential REIT Inc 43,854 792,880 – 0.00 % Blackstone Mortgage Trust Inc 12,269 442,420 – 0.00 % Capstead Mortgage Corp 84,545 600,270 – 0.00 % Cherry Hill Mortgage Investment Corp 12,784 182,300 – 0.00 % Chimera Investment Corp 37,839 743,536 – 0.00 % Dynex Capital Inc 15,807 270,300 – 0.00 % Ellington Residential Mortgage 1,783 19,417 – 0.00 % Exantas Capital Corp 10,436 119,597 – 0.00 % Granite Point Mortgage Trust Inc 68,087 1,117,989 – 0.00 % Great Ajax Corp 10,858 153,424 – 0.00 % Invesco Mortgage Capital Inc 111,030 1,785,362 – 0.00 % KKR Real Estate Finance Trust 24,795 486,974 – 0.00 % Ladder Capital Corp 17,396 265,289 – 0.00 % MFA Financial Inc 133,386 964,381 – 0.00 % The accompanying notes form an integral part of these audited financial statements 186 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Mortgage Real Estate Investment (continued) New Residential Investment Corp 5,802 90,279 – 0.00 % New York Mortgage Trust Inc 316,929 1,806,495 – 0.00 % Orchid Island Capital Inc 49,832 285,537 – 0.00 % PennyMac Mortgage Investment Trust 88,047 1,822,573 – 0.00 % Ready Capital Corp 17,922 259,869 – 0.00 % Starwood Property Trust Inc 26,516 588,125 – 0.00 % TPG RE Finance Trust Inc 23,134 444,635 – 0.00 % Two Harbors Investment Corp 59,693 808,840 – 0.00 % Western Asset Mortgage Capital 26,888 269,418 – 0.00 % Total Mortgage Real Estate Investment – 0.00 % Multiline Retail B&M European Value Retail SA 9,066 38,582 – 0.00 % Big Lots Inc 20,061 317,164 – 0.00 % Can Do Co Ltd 3,700 52,180 – 0.00 % Dollar General Corp 8,173 1,228,402 – 0.00 % Dollarama Inc 1,206 35,484 – 0.00 % Europris ASA 43,858 144,965 – 0.00 % Harvey Norman Holdings Ltd 91,872 221,345 – 0.00 % Izumi Co Ltd 1,100 30,141 – 0.00 % Kohl’s Corp 9,292 363,782 – 0.00 % Lifestyle International Holdings Ltd 52,000 47,910 – 0.00 % Lojas Renner SA 400 4,748 – 0.00 % Macy’s Inc 16,890 223,455 – 0.00 % Magazine Luiza SA 1,000 11,250 – 0.00 % Next PLC 1,888 146,704 – 0.00 % Nordstrom Inc 3,018 104,725 – 0.00 % Ollie’s Bargain Outlet Holdings Inc 5,969 303,643 – 0.00 % Pan Pacific International Holdings Corp 8,700 143,854 – 0.00 % Seria Co Ltd 8,500 227,013 – 0.00 % Target Corp 5,440 560,320 – 0.00 % Wesfarmers Ltd 5,887 155,406 – 0.00 % Total Multiline Retail – 0.00 % Multi-Utilities A2A SpA 10,523 18,225 – 0.00 % AGL Energy Ltd 30,751 382,220 – 0.00 % Ameren Corp 25,701 2,030,379 – 0.00 % Atco Ltd/Canada 856 31,964 – 0.00 % Avista Corp 12,668 597,296 – 0.00 % Canadian Utilities Ltd 1,045 30,949 – 0.00 % CenterPoint Energy Inc 2,914 67,080 – 0.00 % Centrica PLC 163,987 151,098 – 0.00 % CMS Energy Corp 21,850 1,320,177 – 0.00 % Consolidated Edison Inc 4,631 365,015 – 0.00 % The accompanying notes form an integral part of these audited financial statements 187 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Multi-Utilities (continued) Dominion Energy Inc (2,108) (164,803) – 0.00 % Hera SpA (5,497) – – 0.00 % Iren SpA 6,593 20,335 – 0.00 % MDU Resources Group Inc 12,922 358,327 – 0.00 % National Grid PLC 31,172 391,404 – 0.00 % NiSource Inc 60,675 1,639,439 – 0.00 % NorthWestern Corp 1,839 129,355 – 0.00 % Public Service Enterprise Group 28,689 1,472,033 – 0.00 % REN - Redes Energeticas Nacionais 50,868 141,006 – 0.00 % Sempra Energy (1,445) (201,982) – 0.00 % Suez (5,704) (135,544) – 0.00 % Telecom Plus PLC 6,355 108,309 – 0.00 % Unitil Corp 1,756 98,933 – 0.00 % Veolia Environnement SA (1,423) (116,716) – 0.00 % WEC Energy Group Inc 6,008 554,719 – 0.00 % Total Multi-Utilities – 0.00 % Oil Gas & Consumable Fuels Abraxas Petroleum Corp 24,070 4,573 – 0.00 % Advantage Oil & Gas Ltd 8,105 12,208 – 0.00 % Aker BP ASA 5,315 124,673 – 0.00 % Amplify Energy Corp 12,035 50,306 – 0.00 % Arch Coal Inc 8,410 423,444 – 0.00 % Baytex Energy Corp 4,253 3,932 – 0.00 % Berry Petroleum Corp 11,143 70,981 – 0.00 % Birchcliff Energy Ltd 6,792 7,647 – 0.00 % Bonanza Creek Energy Inc 5,704 92,918 – 0.00 % BP Castrol KK 3,000 33,514 – 0.00 % BP PLC 25,578 129,456 – 0.00 % BW LPG Ltd 1,182 7,147 – 0.00 % Cabot Oil & Gas Corp 58,663 817,176 – 0.00 % Caltex Australia Ltd 5,782 122,783 – 0.00 % Canadian Natural Resources Ltd 61 1,571 – 0.00 % Cenovus Energy Inc 336 2,473 – 0.00 % Chesapeake Energy Corp 366,183 100,700 – 0.00 % Chevron Corp 7,536 703,410 – 0.00 % China Coal Energy Co Ltd 139,000 44,948 – 0.00 % China Shenhua Energy Co Ltd 80,000 138,792 – 0.00 % ConocoPhillips 12,240 592,661 – 0.00 % CONSOL Energy Inc 16,781 95,484 – 0.00 % Continental Resources Inc 5,916 112,108 – 0.00 % Contura Energy Inc 9,559 54,391 – 0.00 % Cosmo Energy Holdings Co Ltd 2,300 38,328 – 0.00 % Crescent Point Energy Corp 1,729 4,706 – 0.00 % Delek US Holdings Inc 4,922 105,232 – 0.00 % Denbury Resources Inc 60,016 45,156 – 0.00 % The accompanying notes form an integral part of these audited financial statements 188 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Oil Gas & Consumable Fuels (continued) Devon Energy Corp 14,113 229,195 – 0.00 % Diversified Gas & Oil PLC 68,254 69,412 – 0.00 % DNO ASA 47,923 32,745 – 0.00 % Enbridge Inc 34,704 1,292,780 – 0.00 % Enerplus Corp 1,584 6,886 – 0.00 % Eni SpA 4,283 52,569 – 0.00 % EnQuest PLC 110,016 28,111 – 0.00 % EOG Resources Inc 7,549 477,550 – 0.00 % Equinor ASA 3,125 46,703 – 0.00 % Equitrans Midstream Corp 29,133 205,679 – 0.00 % Evolution Petroleum Corp 5,039 23,734 – 0.00 % Extraction Oil & Gas Inc 6,145 4,231 – 0.00 % Exxaro Resources Ltd 23,211 166,202 – 0.00 % Exxon Mobil Corp 5,935 305,296 – 0.00 % Falcon Minerals Corp 7,312 29,211 – 0.00 % Galp Energia SGPS SA 13,579 184,769 – 0.00 % Gaztransport Et Technigaz SA 2,047 180,361 – 0.00 % Gibson Energy Inc 3,373 64,434 – 0.00 % Gran Tierra Energy Inc 58,051 44,525 – 0.00 % Grupa Lotos SA 9,720 146,828 – 0.00 % GS Holdings Corp 239 8,182 – 0.00 % Gulf Keystone Petroleum Ltd 47,591 90,109 – 0.00 % Gulfport Energy Corp 19,437 15,931 – 0.00 % Hallador Energy Co 2,211 2,852 – 0.00 % Hurricane Energy PLC 6,117 1,157 – 0.00 % Inter Pipeline Ltd 84,238 1,247,412 – 0.00 % International Seaways Inc 1,746 34,728 – 0.00 % Itochu Enex Co Ltd 2,900 22,581 – 0.00 % Iwatani Corp 4,218 138,279 – 0.00 % JXTG Holdings Inc 65,100 261,279 – 0.00 % Kelt Exploration Ltd 3,408 8,132 – 0.00 % Keyera Corp 52,311 1,256,728 – 0.00 % Kinder Morgan Inc 4,992 95,697 – 0.00 % Koninklijke Vopak NV 2,649 125,735 – 0.00 % Kosmos Energy Ltd 70,849 216,089 – 0.00 % Lonestar Resources US Inc 1,069 1,475 – 0.00 % Lundin Petroleum AB 4,755 132,221 – 0.00 % Magnolia Oil & Gas Corp 15,373 115,451 – 0.00 % Maha Energy AB 21,729 32,814 – 0.00 % Marathon Oil Corp 8,718 72,185 – 0.00 % Matador Resources Co 5,721 55,150 – 0.00 % Montage Resources Corp 13,405 46,783 – 0.00 % Neste Oyj 2,239 87,827 – 0.00 % New Hope Corp Ltd 36,074 33,851 – 0.00 % Northern Oil and Gas Inc 54,775 79,424 – 0.00 % The accompanying notes form an integral part of these audited financial statements 189 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Oil Gas & Consumable Fuels (continued) NuVista Energy Ltd 4,125 6,090 – 0.00 % OMV AG 5,003 208,300 – 0.00 % ONEOK Inc (8,199) (1,094,075) – 0.00 % Panhandle Oil and Gas Inc 1,463 9,729 – 0.00 % Parex Resources Inc 2,073 28,379 – 0.00 % Parkland Fuel Corp 2,485 78,192 – 0.00 % Parsley Energy Inc 6,737 90,276 – 0.00 % Peabody Energy Corp 29,400 171,696 – 0.00 % Pembina Pipeline Corp 37,191 1,340,778 – 0.00 % Petro Rio SA 564 4,948 – 0.00 % Petroleo Brasileiro SA 200 1,209 – 0.00 % Phillips 66 4,860 363,820 – 0.00 % Pioneer Natural Resources Co 3,759 461,530 – 0.00 % Plains GP Holdings LP 28,016 385,780 – 0.00 % Polski Koncern Naftowy ORLEN SA 10,013 149,168 – 0.00 % Renewable Energy Group Inc (78) (2,063) – 0.00 % REX American Resources Corp 1,854 129,799 – 0.00 % Ring Energy Inc 5,996 8,454 – 0.00 % Royal Dutch Shell PLC 17,812 378,078 – 0.00 % Santos Ltd 8,635 38,300 – 0.00 % Saras SpA 13,989 16,388 – 0.00 % Southwestern Energy Co 73,208 103,955 – 0.00 % Tallgrass Energy LP 47,610 1,050,753 – 0.00 % Talos Energy Inc 6,834 97,043 – 0.00 % Tamarack Valley Energy Ltd 11,224 10,796 – 0.00 % TC Energy Corp 26,338 1,373,900 – 0.00 % Tethys Oil AB 13,514 88,571 – 0.00 % Tullow Oil PLC 62,616 26,959 – 0.00 % Tupras Turkiye Petrol Rafinerileri AS 17,542 285,293 – 0.00 % VAALCO Energy Inc 6,892 13,784 – 0.00 % W&T Offshore Inc 1,703 4,428 – 0.00 % Whitehaven Coal Ltd 45,178 58,677 – 0.00 % Whiting Petroleum Corp 7,814 14,456 – 0.00 % Woodside Petroleum Ltd 1,634 29,626 – 0.00 % WPX Energy Inc 1,658 15,469 – 0.00 % Yanzhou Coal Mining Co Ltd 196,000 148,642 – 0.00 % Total Oil Gas & Consumable Fuels – 0.00 % Paper & Forest Products Altri SGPS SA 24,805 132,662 – 0.00 % Daiken Corp 100 1,531 – 0.00 % Domtar Corp 8,849 254,586 – 0.00 % Duratex SA (300) (1,162) – 0.00 % Holmen AB 4,695 130,747 – 0.00 % Louisiana-Pacific Corp 3,224 91,723 – 0.00 % Mercer International Inc 7,582 67,177 – 0.00 % The accompanying notes form an integral part of these audited financial statements 190 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Paper & Forest Products (continued) Metsa Board Oyj 26,015 147,947 – 0.00 % Mondi PLC 2,041 40,730 – 0.00 % Navigator Co SA 49,443 151,305 – 0.00 % ND PAPER (27,000) (31,875) – 0.00 % Neenah Inc 1,735 100,231 – 0.00 % Sappi Ltd 13,300 24,812 – 0.00 % Stora Enso Oyj 9,696 114,229 – 0.00 % UPM-Kymmene Oyj 7,761 236,734 – 0.00 % Verso Corp 8,778 143,169 – 0.00 % Total Paper & Forest Products – 0.00 % Personal Products Artnature Inc 5,700 33,788 – 0.00 % Beiersdorf AG 2,595 270,892 – 0.00 % Estee Lauder Cos Inc 7,694 1,412,618 – 0.00 % HENGAN INT’L 13,000 96,504 – 0.00 % Inter Parfums Inc 3,860 231,832 – 0.00 % Kao Corp 1,200 87,313 – 0.00 % Kitanotatsujin Corp 1,000 4,818 – 0.00 % LG Household & Health Care Ltd 98 99,306 – 0.00 % Lifevantage Corp 2,889 34,408 – 0.00 % Mandom Corp 1,300 27,723 – 0.00 % Medifast Inc 4,774 396,767 – 0.00 % Milbon Co Ltd 300 14,454 – 0.00 % Neptune Wellness Solutions Inc 4,360 9,070 – 0.00 % Noevir Holdings Co Ltd 700 29,778 – 0.00 % Nu Skin Enterprises Inc 4,945 121,251 – 0.00 % Pola Orbis Holdings Inc 2,200 41,992 – 0.00 % Rohto Pharmaceutical Co Ltd 7,100 201,572 – 0.00 % Sagami Rubber 800 11,245 – 0.00 % TCI Co Ltd 16,769 120,524 – 0.00 % Unilever NV 6,503 340,604 – 0.00 % Unilever PLC 2,519 134,202 – 0.00 % YA-MAN Ltd 10,300 49,721 – 0.00 % Youngevity International Inc 547 602 – 0.00 % Total Personal Products – 0.00 % Pharmaceuticals Acer Therapeutics Inc 1,923 6,307 – 0.00 % Aclaris Therapeutics Inc 14,347 16,356 – 0.00 % Akorn Inc 5,114 5,932 – 0.00 % Allergan PLC (2,178) (415,279) – 0.00 % Amphastar Pharmaceuticals Inc 5,925 91,186 – 0.00 % Aspen Pharmacare Holdings Ltd 1,521 9,724 – 0.00 % Assertio Therapeutics Inc 17,142 18,513 – 0.00 % Astellas Pharma Inc 35,790 562,327 – 0.00 % The accompanying notes form an integral part of these audited financial statements 191 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Pharmaceuticals (continued) AstraZeneca PLC 4,346 377,233 – 0.00 % Axsome Therapeutics Inc 6,433 501,774 – 0.00 % BAIYUNSHAN PH 2,000 6,108 – 0.00 % Bausch Health Cos Inc 275 6,098 – 0.00 % Bayer AG 3,477 249,409 – 0.00 % BioDelivery Sciences International Inc 31,572 153,440 – 0.00 % Catalent Inc (12,018) (619,288) – 0.00 % Celltrion Pharm Inc 767 25,398 – 0.00 % Center Laboratories Inc 45,537 78,127 – 0.00 % Cerecor Inc 528 1,610 – 0.00 % Chiasma Inc 9,402 41,839 – 0.00 % Chinares Pharma 1,000 870 – 0.00 % CMS 61,000 75,145 – 0.00 % Corcept Therapeutics Inc 53,242 671,914 – 0.00 % CSPC Pharmaceutical Group Ltd 4,000 9,116 – 0.00 % Cymabay Therapeutics Inc 14,092 23,393 – 0.00 % Daewoong Pharmaceutical Co Ltd 253 22,047 – 0.00 % Daiichi Sankyo Co Ltd 3,467 211,287 – 0.00 % Daito Pharmaceutical Co Ltd 1,295 34,442 – 0.00 % Dechra Pharmaceuticals PLC 2,665 90,091 – 0.00 % Dongsung Pharmaceutical Co Ltd 8,284 83,532 – 0.00 % Durect Corp 19,879 35,186 – 0.00 % Eisai Co Ltd 6,633 489,554 – 0.00 % Elanco Animal Health Inc 17,558 481,089 – 0.00 % Enzychem Lifesciences Corp (69) (3,264) – 0.00 % Faes Farma SA 25,842 123,654 – 0.00 % Fosun Pharma (9,000) (25,350) – 0.00 % Fuji Pharma Co Ltd 1,400 13,762 – 0.00 % Fuso Pharm Ind 951 15,390 – 0.00 % GlaxoSmithKline PLC 33,348 665,582 – 0.00 % H Lundbeck A/S 14,724 505,004 – 0.00 % Harrow Health Inc 5,078 28,031 – 0.00 % Hikma Pharmaceuticals PLC 23,804 543,766 – 0.00 % Hisamitsu Pharmaceutical Co Inc 6,900 308,517 – 0.00 % Horizon Therapeutics Plc 10,554 361,158 – 0.00 % Huons Co Ltd 910 33,192 – 0.00 % Innoviva Inc 60,057 808,968 – 0.00 % Intersect ENT Inc 2,788 66,522 – 0.00 % Ipsen SA 5,141 331,389 – 0.00 % Jazz Pharmaceuticals PLC 4,092 468,861 – 0.00 % Kaken Pharmaceutical Co Ltd 3,801 184,189 – 0.00 % Komipharm International Co Ltd (1,820) (29,982) – 0.00 % KYORIN Holdings Inc (7,300) (145,953) – 0.00 % Kyowa Kirin Co Ltd 19,075 453,348 – 0.00 % Luye Pharma Group Ltd 84,500 51,505 – 0.00 % Merck KGaA 3,191 382,776 – 0.00 % The accompanying notes form an integral part of these audited financial statements 192 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Pharmaceuticals (continued) Mezzion Pharma Co Ltd 178 20,652 – 0.00 % Mochida Pharmaceutical Co Ltd 1,100 38,605 – 0.00 % MyoKardia Inc 3,256 206,398 – 0.00 % Neos Therapeutics Inc 3,024 4,657 – 0.00 % Nichi-iko Pharmaceutical Co Ltd 16,830 180,852 – 0.00 % Nippon Shinyaku Co Ltd 4,300 317,723 – 0.00 % Novartis AG 4,215 354,046 – 0.00 % Novo Nordisk A/S 8,743 509,388 – 0.00 % Ono Pharmaceutical Co Ltd 19,340 395,260 – 0.00 % Orexo AB 6,470 37,091 – 0.00 % Orion Oyj 9,339 369,311 – 0.00 % Otsuka Holdings Co Ltd 8,900 335,802 – 0.00 % Pacira BioSciences Inc 12,094 524,638 – 0.00 % Paratek Pharmaceuticals Inc (14,356) (68,622) – 0.00 % Phibro Animal Health Corp 5,504 138,976 – 0.00 % Recordati SpA 11,118 473,049 – 0.00 % Roche Holding AG 1,680 537,885 – 0.00 % Sanofi 3,854 355,813 – 0.00 % Santen Pharmaceutical Co Ltd 22,189 355,402 – 0.00 % Sawai Pharmaceutical Co Ltd 10,586 599,124 – 0.00 % Seikagaku Corp 83 778 – 0.00 % Shionogi & Co Ltd 10,533 569,338 – 0.00 % SSY Group Ltd 24,000 20,110 – 0.00 % Sumitomo Dainippon Pharma Co Ltd 29,600 427,296 – 0.00 % Supernus Pharmaceuticals Inc 29,266 526,495 – 0.00 % Taiko Pharmaceutical Co Ltd 2,351 99,141 – 0.00 % Taisho Pharmaceutical Holdings 4,600 284,589 – 0.00 % Takeda Pharmaceutical Co Ltd 9,133 317,820 – 0.00 % Teva Pharmaceutical Industries (20,683) (238,475) – 0.00 % TONG REN TANG 79,000 72,989 – 0.00 % Torii Pharmaceutical Co Ltd 3,776 112,615 – 0.00 % TRAD CHI MED 48,000 25,254 – 0.00 % Tricida Inc 632 20,085 – 0.00 % Tsumura & Co 2,000 46,534 – 0.00 % UCB SA 5,387 495,151 – 0.00 % UNITED LAB 62,000 41,371 – 0.00 % Vectura Group PLC 45,448 50,922 – 0.00 % Vifor Pharma AG 2,277 378,284 – 0.00 % Virbac SA 138 31,195 – 0.00 % WaVe Life Sciences Ltd (5,826) (49,171) – 0.00 % Yuhan Corp 339 60,207 – 0.00 % ZERIA Pharmaceutical Co Ltd 667 10,936 – 0.00 % Zogenix Inc 4,066 101,975 – 0.00 % Total Pharmaceuticals – 0.00 % The accompanying notes form an integral part of these audited financial statements 193 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Professional Services Acacia Research Corp 8,462 19,463 – 0.00 % ALS Ltd 5,623 30,527 – 0.00 % Altech Corp 3,909 58,706 – 0.00 % Benefit One Inc 4,600 70,020 – 0.00 % BG Staffing Inc 1,931 29,776 – 0.00 % Bureau Veritas SA 3,577 86,760 – 0.00 % CBIZ Inc 5,411 140,902 – 0.00 % CRA International Inc 2,296 106,787 – 0.00 % DKSH Holding AG (699) (39,130) – 0.00 % en-japan Inc 2,000 55,042 – 0.00 % Equifax Inc 1,459 207,236 – 0.00 % Forrester Research Inc 538 19,400 – 0.00 % Franklin Covey Co 31 975 – 0.00 % FTI Consulting Inc 5,940 668,785 – 0.00 % Gakujo Co Ltd 2,203 35,550 – 0.00 % GP Strategies Corp 950 10,564 – 0.00 % Heidrick & Struggles International Inc (7) (156) – 0.00 % Huron Consulting Group Inc 852 50,558 – 0.00 % ICF International Inc 1,489 113,134 – 0.00 % InnerWorkings Inc 3,145 9,875 – 0.00 % Insource Co Ltd 700 16,507 – 0.00 % Insperity Inc 3,703 249,101 – 0.00 % Intertek Group PLC 4,019 270,597 – 0.00 % Intertrust NV 11,767 196,874 – 0.00 % Interworks Inc 4,354 18,844 – 0.00 % IPH Ltd 7,947 43,505 – 0.00 % JAC Recruitment Co Ltd 5,113 66,055 – 0.00 % Kforce Inc 915 27,871 – 0.00 % ManpowerGroup Inc 1,357 103,051 – 0.00 % Meitec Corp 1,367 64,472 – 0.00 % Morneau Shepell Inc 4,596 113,568 – 0.00 % Nexyz Group Corp 2,600 30,776 – 0.00 % NICE Information Service Co Ltd 6,113 79,143 – 0.00 % Pagegroup PLC 10,994 57,083 – 0.00 % Persol Holdings Co Ltd 1,200 15,858 – 0.00 % Recruit Holdings Co Ltd 3,200 111,209 – 0.00 % Resources Connection Inc 6,297 78,901 – 0.00 % Robert Half International Inc 12,631 636,729 – 0.00 % RWS Holdings PLC 16,513 110,759 – 0.00 % SEEK Ltd 1,360 18,264 – 0.00 % SGS SA 65 161,139 – 0.00 % Stantec Inc (4,596) (137,419) – 0.00 % Tanseisha Co Ltd 7,738 69,984 – 0.00 % Teleperformance 19 4,594 – 0.00 % Thomson Reuters Corp 1,546 114,940 – 0.00 % Trust Tech Inc 6,622 51,379 – 0.00 % The accompanying notes form an integral part of these audited financial statements 194 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Professional Services (continued) UT Group Co Ltd 1,400 27,836 – 0.00 % Waste Connections Inc 11,967 1,154,696 – 0.00 % Weathernews Inc 1,451 45,891 – 0.00 % Will Group Inc 4,850 36,509 – 0.00 % Wolters Kluwer NV 1,657 120,881 – 0.00 % World Holdings Co Ltd 2,200 33,834 – 0.00 % Yumeshin Holdings Co Ltd 25,095 164,770 – 0.00 % Total Professional Services – 0.00 % Real Estate AD Works Co Ltd 10,808 2,399 – 0.00 % Aliansce Sonae Shopping Center 400 4,068 – 0.00 % Atrium Ljungberg AB 188 3,798 – 0.00 % Attacq Ltd 48,795 28,856 – 0.00 % Aventus Group 49,248 90,508 – 0.00 % Beijing North Star Co Ltd 26,000 7,173 – 0.00 % B-Lot Co Ltd 495 6,386 – 0.00 % C&D INTL GROUP 27,000 37,488 – 0.00 % Carmila SA 1,211 21,740 – 0.00 % Catena AB 1,327 43,863 – 0.00 % Cathay Real Estate Development 40,858 28,757 – 0.00 % Cedar Woods Properties Ltd 710 3,251 – 0.00 % Central China Real Estate Ltd 10,000 5,851 – 0.00 % Centuria Industrial REIT 46,792 109,088 – 0.00 % Charter Hall Long Wale REIT 25,721 92,870 – 0.00 % Charter Hall Social Infrastructure Ltd 30,725 68,638 – 0.00 % Chinese Estates Holdings Ltd 6,500 4,271 – 0.00 % Chong Hong Construction Co Ltd 33,407 90,510 – 0.00 % CNLP 52,000 20,018 – 0.00 % Cosmos Initia Co Ltd 5,700 29,150 – 0.00 % Custodian Reit PLC 55,660 76,516 – 0.00 % Daito Trust Cons 1,100 111,643 – 0.00 % Dongwon Development Co Ltd 3,964 12,468 – 0.00 % EC World Real Estate Investmen 23,000 11,628 – 0.00 % Eco World Development Group BH 6,042 909 – 0.00 % Emira Property Fund Ltd 54,805 41,240 – 0.00 % Equites Property Fund Ltd 39,380 43,480 – 0.00 % ESCON Japan Reit Investment Co 111 117,123 – 0.00 % Farglory Land Development Co Ltd 58,609 73,475 – 0.00 % Fe Consort Intl 74,000 32,286 – 0.00 % GDI Property Group 88,714 85,840 – 0.00 % Grandy House Corp 2,717 9,900 – 0.00 % Greenland HK 28,000 10,887 – 0.00 % Growthpoint Properties Australia 60,918 168,922 – 0.00 % GuocoLand Ltd 16,900 20,361 – 0.00 % Helical PLC 16,523 99,322 – 0.00 % The accompanying notes form an integral part of these audited financial statements 195 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Real Estate (continued) Hongkong Land Holdings Ltd 29,500 144,845 – 0.00 % Hotel Property Investments 29,713 62,325 – 0.00 % Hung Sheng Construction Ltd 86,130 58,909 – 0.00 % Intershop Holding AG 66 44,077 – 0.00 % Intervest Offices & Warehouses 2,362 65,994 – 0.00 % JHSF Participacoes SA 900 1,405 – 0.00 % Jingrui Holdings Ltd 32,000 10,143 – 0.00 % K. WAH INT’L 68,000 32,722 – 0.00 % Kindom Development Co Ltd 50,356 43,698 – 0.00 % Korea Asset In Trust Co Ltd 7,537 15,575 – 0.00 % Korea Real Estate Investment & 28,808 45,904 – 0.00 % Langham Hospitality Investment 69,000 15,849 – 0.00 % Loadstar Capital KK 1,600 11,393 – 0.00 % LVGEM CHINA 62,000 18,537 – 0.00 % Manulife US Real Estate Investment Trust 195,400 189,538 – 0.00 % Morguard North American Residential REIT 847 12,025 – 0.00 % Mugen Estate Co Ltd 6,767 31,477 – 0.00 % Nippon Healthcare Investment Corp 29 52,913 – 0.00 % Nisshin Group Holdings Co Ltd 2,688 11,285 – 0.00 % Plymouth Industrial REIT Inc 2,571 48,258 – 0.00 % Prince Housing & Development Corp 42,570 15,157 – 0.00 % Properst Co Ltd 18,900 27,615 – 0.00 % publity AG 507 18,794 – 0.00 % Radium Life Tech Co Ltd 50,007 16,729 – 0.00 % Redco Properties Group Ltd 52,000 24,022 – 0.00 % Redsun Properties Group Ltd 114,000 35,840 – 0.00 % Regional REIT Ltd 65,396 93,910 – 0.00 % Road King Infrastructure Ltd 26,000 44,373 – 0.00 % Ronshine China Holdings Ltd 8,500 9,413 – 0.00 % Rural Funds Group 61,460 77,030 – 0.00 % SA Corporate Real Estate Ltd 207,390 27,579 – 0.00 % Sagax AB 11,234 40,092 – 0.00 % Samhallsbyggnadsbolaget i Norden AB 2,617 8,812 – 0.00 % Sansei Landic Co Ltd 1,900 12,598 – 0.00 % Selvaag Bolig ASA 9,901 62,121 – 0.00 % Shinoken Group Co Ltd 17,600 166,015 – 0.00 % Sime Darby Property Bhd (3,367) (619) – 0.00 % Sinyi Realty Inc 17,867 17,102 – 0.00 % Sirius Real Estate Ltd 221,907 228,508 – 0.00 % SK D&D Co Ltd 750 17,242 – 0.00 % SP Setia Bhd Group 124,017 37,336 – 0.00 % Standard Life Investment Property Income Trust 85,300 95,902 – 0.00 % Starhill Global REIT 118,400 57,313 – 0.00 % Sunway Bhd 188,335 79,022 – 0.00 % Tenpo Innovation Co Ltd 100 707 – 0.00 % UK Commercial Property REIT Ltd 123,506 125,602 – 0.00 % The accompanying notes form an integral part of these audited financial statements 196 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Real Estate (continued) Urban & Civic PLC 8,917 39,873 – 0.00 % Vukile Property Fund Ltd 158,289 148,357 – 0.00 % Watkin Jones PLC 49,486 161,219 – 0.00 % Wing Tai Holdings Ltd 47,000 65,725 – 0.00 % Yanlord Land Group Ltd 67,800 56,401 – 0.00 % Total Real Estate – 0.00 % Real Estate Management and Development ADLER Real Estate AG 6,822 84,797 – 0.00 % ADO Properties SA 2,917 85,865 – 0.00 % Aedas Homes SAU 3,405 72,663 – 0.00 % Aeon Mall Co Ltd 41,606 589,067 – 0.00 % Allreal Holding AG 1,637 348,622 – 0.00 % Altus Group Ltd/Canada (141) (4,718) – 0.00 % Aoyama Zaisan Networks Co Ltd 850 10,659 – 0.00 % Aroundtown SA 15,564 134,018 – 0.00 % Beijing Capital Land Ltd 170,000 45,811 – 0.00 % CA Immobilien Anlagen AG 9,675 393,773 – 0.00 % CapitaLand Ltd 130,100 329,343 – 0.00 % Castellum AB 8,330 190,157 – 0.00 % CHINA OVS PPT (85,000) (68,716) – 0.00 % China Resources Land Ltd (18,000) (83,037) – 0.00 % China SCE Group Holdings Ltd 179,000 97,620 – 0.00 % China South City Holdings Ltd 266,000 29,355 – 0.00 % City Developments Ltd 30,800 215,795 – 0.00 % Citycon Oyj 12,602 124,205 – 0.00 % Colliers International Group Inc (234) (18,983) – 0.00 % Consolidated-Tomoka Land Co 1,484 85,345 – 0.00 % Corestate Capital Holding SA 2,231 98,900 – 0.00 % CRE Inc/Japan 13 104 – 0.00 % Daiwa House Industry Co Ltd 4,800 132,257 – 0.00 % Dear Life Co Ltd 11,266 49,904 – 0.00 % Deutsche EuroShop AG 710 17,276 – 0.00 % Deutsche Wohnen SE 6,343 254,392 – 0.00 % DIC Asset AG 10,349 180,093 – 0.00 % Entra ASA 19,339 300,784 – 0.00 % Fabege AB 1,554 25,193 – 0.00 % First Capital Realty Inc 11,405 170,248 – 0.00 % Five Point Holdings LLC 2,789 20,890 – 0.00 % Forestar Group Inc 343 6,136 – 0.00 % FUTURE LAND 78,000 80,172 – 0.00 % Goldcrest Co Ltd 1,400 21,440 – 0.00 % Good Com Asset Co Ltd 1,600 22,165 – 0.00 % Grand City Properties SA 4,326 100,882 – 0.00 % Hang Lung Group Ltd (7,000) (17,642) – 0.00 % Hang Lung Properties Ltd (87,000) (190,010) – 0.00 % The accompanying notes form an integral part of these audited financial statements 197 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Real Estate Management and Development (continued) Heiwa Real Estate Co Ltd 1,334 37,071 – 0.00 % HENDERSON LAND (33,000) (151,387) – 0.00 % Highwealth Construction Corp 125,827 186,915 – 0.00 % Howard Hughes Corp 1,031 111,224 – 0.00 % Huaku Development Co Ltd 80,645 230,781 – 0.00 % Hulic Co Ltd 51,732 577,910 – 0.00 % IMMOFINANZ AG 17,087 437,940 – 0.00 % Japan Asset Marketing Co Ltd 77,344 87,261 – 0.00 % Keihanshin Building Co Ltd 2,900 35,373 – 0.00 % Kenedix Inc 20,331 109,425 – 0.00 % Kerry Properties Ltd (63,000) (179,066) – 0.00 % Klovern AB 2,137 4,856 – 0.00 % LAND Co Ltd 622,600 46,061 – 0.00 % LEG Immobilien AG 2,293 272,661 – 0.00 % Marcus & Millichap Inc 19,914 636,451 – 0.00 % Metrovacesa SA 2,997 29,341 – 0.00 % Mitsubishi Estate Co Ltd 33,348 568,675 – 0.00 % Mitsui Fudosan Co Ltd 29,942 686,006 – 0.00 % Mobimo Holding AG 1,500 448,930 – 0.00 % NEPI Rockcastle PLC 15,591 113,633 – 0.00 % New World Development Co Ltd (155,000) (199,296) – 0.00 % Newmark Group Inc 1,589 15,175 – 0.00 % Nexity SA 48 2,202 – 0.00 % Nippon Commercial Development 3,451 48,892 – 0.00 % Nomura Real Estate Holdings Inc 28,675 617,334 – 0.00 % Nyfosa AB 3,592 29,107 – 0.00 % PATRIZIA AG 31 713 – 0.00 % Poly Property Group Co Ltd 136,000 51,133 – 0.00 % PSP Swiss Property AG 2,506 369,436 – 0.00 % R&F PROPERTIES 4,000 6,200 – 0.00 % Raysum Co Ltd 4,692 34,973 – 0.00 % RE/MAX Holdings Inc 3,299 96,166 – 0.00 % Realogy Holdings Corp 18,529 171,764 – 0.00 % RMR Group Inc 1,008 37,558 – 0.00 % S IMMO AG 14,589 385,150 – 0.00 % SAMTY Co Ltd 11,425 162,920 – 0.00 % Savills PLC 3,784 52,309 – 0.00 % Shenzhen Investment Ltd 186,000 62,533 – 0.00 % Shimao Property Holdings Ltd (1,500) (5,370) – 0.00 % Shui On Land Ltd 281,000 55,890 – 0.00 % Sino-Ocean Group Holding Ltd 183,000 66,456 – 0.00 % SOHO China Ltd 182,000 65,860 – 0.00 % St Joe Co 5,564 109,444 – 0.00 % St Modwen Properties PLC 3,859 23,641 – 0.00 % Star Mica Holdings Co Ltd 3,000 35,789 – 0.00 % The accompanying notes form an integral part of these audited financial statements 198 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Real Estate Management and Development (continued) Sumitomo Realty & Development 21,011 655,191 – 0.00 % Sun Frontier Fudousan Co Ltd 2,496 24,629 – 0.00 % Sun Hung Kai Properties Ltd (9,500) (135,071) – 0.00 % Swire Pacific Ltd 1,000 9,008 – 0.00 % Swiss Prime Site AG 1,821 218,377 – 0.00 % TAG Immobilien AG 18,062 435,908 – 0.00 % Takara Leben Co Ltd 26,003 102,439 – 0.00 % Tejon Ranch Co 1,833 27,642 – 0.00 % Tokyo Tatemono Co Ltd 48,429 659,693 – 0.00 % Tokyu Fudosan Holdings Corp 106,611 671,402 – 0.00 % Tosei Corp 5,290 56,845 – 0.00 % Tricon Capital Group Inc (6,064) (51,229) – 0.00 % UOL Group Ltd 50,600 267,433 – 0.00 % Urbanet Corp Co Ltd 10,735 30,378 – 0.00 % Vonovia SE 6,453 344,835 – 0.00 % Wheelock & Co Ltd (28,000) (213,244) – 0.00 % Yuzhou Properties Co Ltd 173,000 84,802 – 0.00 % Total Real Estate Management and Development – 0.00 % Road & Rail AMERCO 805 259,621 – 0.00 % Aurizon Holdings Ltd 37,691 118,222 – 0.00 % Canadian National Railway Co 8,730 741,236 – 0.00 % Canadian Pacific Railway Ltd 3,176 789,917 – 0.00 % Central Japan Railway Co 900 147,982 – 0.00 % Cia de Locacao das Americas 2,396 11,290 – 0.00 % Covenant Transportation Group 2,848 34,461 – 0.00 % CSX Corp 23,628 1,664,593 – 0.00 % Daseke Inc 161 531 – 0.00 % DSV A/S 421 42,252 – 0.00 % East Japan Railway Co 2,600 200,022 – 0.00 % Go-Ahead Group PLC 4,421 110,085 – 0.00 % Hamakyorex Co Ltd 2,046 53,262 – 0.00 % Hankyu Hanshin Holdings Inc 200 6,566 – 0.00 % JB Hunt Transport Services Inc 1,873 180,632 – 0.00 % Kansas City Southern 10,146 1,528,799 – 0.00 % Keisei Electric Railway Co Ltd 800 25,561 – 0.00 % Kintetsu Group Holdings Co Ltd 1,400 60,397 – 0.00 % Knight-Swift Transportation Holdings 926 29,576 – 0.00 % KRS Corp 853 13,781 – 0.00 % Kyushu Railway Co 9,200 276,081 – 0.00 % Landstar System Inc 4,578 462,241 – 0.00 % Localiza Rent a Car SA 530 5,847 – 0.00 % Marten Transport Ltd 3,635 71,028 – 0.00 % The accompanying notes form an integral part of these audited financial statements 199 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Road & Rail (continued) Maruzen Showa Unyu Co Ltd 1,565 34,705 – 0.00 % MTR Corp Ltd 51,500 289,784 – 0.00 % Nagoya Railroad Co Ltd 2,800 72,994 – 0.00 % National Express Group PLC 37,548 203,207 – 0.00 % Nobina AB 15,732 108,795 – 0.00 % Norfolk Southern Corp 8,252 1,504,752 – 0.00 % Old Dominion Freight Line Inc 3,418 662,408 – 0.00 % Sakai Moving Service Co Ltd 50 2,377 – 0.00 % Schneider National Inc 3,606 64,583 – 0.00 % Seibu Holdings Inc 2,956 41,715 – 0.00 % Senko Group Holdings Co Ltd 8,221 60,212 – 0.00 % TFI International Inc 1,479 45,655 – 0.00 % Union Pacific Corp 8,811 1,408,086 – 0.00 % Universal Logistics Holdings Inc 2,005 30,897 – 0.00 % USA Truck Inc 226 1,133 – 0.00 % Werner Enterprises Inc 20,228 679,661 – 0.00 % West Japan Railway Co 2,710 190,917 – 0.00 % Total Road & Rail – 0.00 % Semiconductors & Semiconductor Equipment ACM Research Inc 1,667 58,262 – 0.00 % Adesto Technologies Corp (5,578) (68,386) – 0.00 % Advanced Micro Devices Inc (665) (30,244) – 0.00 % Advantest Corp 8,700 395,436 – 0.00 % AIXTRON SE 11,340 114,162 – 0.00 % Alpha & Omega Semiconductor Ltd 128 1,388 – 0.00 % Amkor Technology Inc 5,421 56,568 – 0.00 % ams AG 6,802 232,124 – 0.00 % Amtech Systems Inc 1,670 8,317 – 0.00 % Applied Materials Inc 14,074 817,981 – 0.00 % ASM International NV 3,635 419,643 – 0.00 % ASM Pacific Technology Ltd 1,900 22,516 – 0.00 % ASML Holding NV 710 193,766 – 0.00 % BE Semiconductor Industries NV 11,045 426,447 – 0.00 % Canadian Solar Inc 443 9,037 – 0.00 % Cirrus Logic Inc 2,173 149,155 – 0.00 % Dialog Semiconductor PLC 9,372 315,565 – 0.00 % Diodes Inc 413 18,176 – 0.00 % DSP Group Inc 5,858 79,727 – 0.00 % Entegris Inc 1,694 90,324 – 0.00 % Everspin Technologies Inc 1,131 4,185 – 0.00 % First Solar Inc (126) (5,767) – 0.00 % Furuya Metal Co Ltd 1,400 67,971 – 0.00 % GSI Technology Inc 2,487 16,563 – 0.00 % Infineon Technologies AG 2,398 49,575 – 0.00 % Inphi Corp (8) (597) – 0.00 % The accompanying notes form an integral part of these audited financial statements 200 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Semiconductors & Semiconductor Equipment (continued) Intel Corp 7,396 410,626 – 0.00 % Inter Action Corp 6,900 143,634 – 0.00 % King Yuan Electronics Co Ltd 60,234 65,337 – 0.00 % Kulicke & Soffa Industries Inc 12,696 289,850 – 0.00 % Lam Research Corp 2,398 703,645 – 0.00 % Machvision Inc 12,490 150,582 – 0.00 % MagnaChip Semiconductor Corp 3,801 43,445 – 0.00 % Marvell Technology Group Ltd 2,271 48,372 – 0.00 % Maxim Integrated Products Inc 12,030 669,109 – 0.00 % Meerecompany Inc 38 807 – 0.00 % Micronics Japan Co Ltd 3,800 33,349 – 0.00 % Monolithic Power Systems Inc 5,986 949,619 – 0.00 % NXP Semiconductors NV 2,901 329,815 – 0.00 % ON Semiconductor Corp 14,537 271,260 – 0.00 % Optorun Co Ltd 2,500 66,237 – 0.00 % PDF Solutions Inc 1,354 19,823 – 0.00 % Photronics Inc 2,750 34,238 – 0.00 % Power Integrations Inc 2,460 214,143 – 0.00 % Powertech Technology Inc 18,878 63,777 – 0.00 % Qorvo Inc 4,209 423,341 – 0.00 % QUALCOMM Inc 4,682 366,601 – 0.00 % Radiant Opto-Electronics Corp 55,699 181,162 – 0.00 % Realtek Semiconductor Corp 5,000 37,262 – 0.00 % Renesas Electronics Corp 12,500 75,253 – 0.00 % RFHIC Corp 2,741 67,675 – 0.00 % Rohm Co Ltd 500 32,829 – 0.00 % Seoul Semiconductor Co Ltd 1,214 15,062 – 0.00 % Shindengen Electric Manufacturing Co Ltd 1,000 27,789 – 0.00 % Silicon Works Co Ltd 914 24,994 – 0.00 % Siltronic AG 1,404 130,008 – 0.00 % Sino-American Silicon Products (3,000) (10,433) – 0.00 % SK Hynix Inc 768 56,025 – 0.00 % SK-Electronics Co Ltd 5,900 63,400 – 0.00 % Skyworks Solutions Inc 4,803 481,165 – 0.00 % SMART Global Holdings Inc 7,199 193,221 – 0.00 % STMicroelectronics 8,557 229,482 – 0.00 % STMicroelectronics NV (97) (2,605) – 0.00 % SUMCO Corp 33,200 503,826 – 0.00 % SunPower Corp 1,148 9,838 – 0.00 % Taiwan Surface Mounting Technology Corp 31,968 98,788 – 0.00 % Texas Instruments Inc 7,212 823,178 – 0.00 % Tokai Carbon Korea Co Ltd 173 9,519 – 0.00 % Tokyo Electron Ltd 2,000 412,910 – 0.00 % Tokyo Seimitsu Co Ltd 5,800 181,292 – 0.00 % Toptec Co Ltd 1,929 15,609 – 0.00 % The accompanying notes form an integral part of these audited financial statements 201 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Semiconductors & Semiconductor Equipment (continued) Torex Semiconductor Ltd 2,900 33,898 – 0.00 % Tri Chemical Laboratories Inc 700 54,635 – 0.00 % TSMC 14,608 439,506 – 0.00 % u-blox Holding AG 216 16,815 – 0.00 % Ulvac Inc 10,400 301,993 – 0.00 % United Microelectronics Corp (71,000) (35,980) – 0.00 % Universal Display Corp 2,379 377,761 – 0.00 % Xilinx Inc 11,323 945,357 – 0.00 % Yamaichi Electronics Co Ltd 11,000 161,946 – 0.00 % Total Semiconductors & Semiconductor Equipment – 0.00 % Software A10 Networks Inc 736 4,939 – 0.00 % Access Co Ltd 600 4,833 – 0.00 % Adobe Inc 1,287 444,169 – 0.00 % Advanced Media Inc 1,200 10,409 – 0.00 % Ahnlab Inc 1,439 64,012 – 0.00 % Altair Engineering Inc 279 9,709 – 0.00 % Altium Ltd 1,463 29,262 – 0.00 % Appfolio Inc 207 25,455 – 0.00 % Aspen Technology Inc 2,135 227,399 – 0.00 % Atled Corp 1,300 14,306 – 0.00 % Autodesk Inc 1,626 310,371 – 0.00 % Avast PLC 33,583 168,962 – 0.00 % Avaya Holdings Corp 7,785 100,894 – 0.00 % AVEVA Group PLC 158 8,858 – 0.00 % Box Inc (9,242) (154,804) – 0.00 % Broadleaf Co Ltd 24,300 99,551 – 0.00 % CDK Global Inc 8,933 411,097 – 0.00 % Ceridian HCM Holding Inc 2,937 207,734 – 0.00 % Citrix Systems Inc 9,990 1,032,866 – 0.00 % Claranova SADIR 3,749 23,597 – 0.00 % CommVault Systems Inc 24,166 1,007,722 – 0.00 % Computer Engineering & Consulting Ltd 700 10,927 – 0.00 % Constellation Software Inc 425 433,328 – 0.00 % Cornerstone OnDemand Inc 5,912 242,569 – 0.00 % Cresco Ltd 400 5,963 – 0.00 % Dassault Systemes SE 1,065 166,353 – 0.00 % Descartes Systems Group Inc 682 28,340 – 0.00 % Douzone Bizon Co Ltd 2,543 181,501 – 0.00 % Enghouse Systems Ltd 173 6,566 – 0.00 % Envestnet Inc 1,868 140,997 – 0.00 % Fair Isaac Corp 1,548 582,094 – 0.00 % FireEye Inc 7,809 103,352 – 0.00 % The accompanying notes form an integral part of these audited financial statements 202 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Software (continued) Five9 Inc (41) (2,994) – 0.00 % Fixstars Corp 2,100 21,751 – 0.00 % ForeScout Technologies Inc (11,486) (373,754) – 0.00 % Fortinet Inc 8,124 829,135 – 0.00 % Fukui Computer Holdings Inc 6,500 161,696 – 0.00 % GB Group PLC 3,306 27,243 – 0.00 % Guidewire Software Inc 6,466 708,738 – 0.00 % Gunosy Inc 7,500 68,179 – 0.00 % HubSpot Inc 2,398 430,321 – 0.00 % Intelligent Systems Corp 1,639 60,102 – 0.00 % Intelligent Wave Inc 1,900 10,753 – 0.00 % Intuit Inc 3,630 965,036 – 0.00 % ISB Corp 1,500 27,105 – 0.00 % Kinaxis Inc (72) (6,058) – 0.00 % LogMeIn Inc 2,273 193,739 – 0.00 % Manhattan Associates Inc 7,019 472,800 – 0.00 % Micro Focus International PLC (2,158) (20,422) – 0.00 % MicroStrategy Inc 6,828 922,872 – 0.00 % Mimecast Ltd 5,403 213,905 – 0.00 % Miroku Jyoho Service Co Ltd 2,100 46,667 – 0.00 % Mitek Systems Inc 16,874 146,973 – 0.00 % Model N Inc 281 8,149 – 0.00 % Netcompany Group A/S (694) (32,629) – 0.00 % New Relic Inc 567 31,899 – 0.00 % Nippon Systemware Co Ltd 1,300 23,070 – 0.00 % Nuance Communications Inc 13,230 286,033 – 0.00 % Open Text Corp 9,194 385,268 – 0.00 % Oracle Corp Japan 3,000 234,152 – 0.00 % Palo Alto Networks Inc 3,503 646,724 – 0.00 % Paycom Software Inc 1,861 526,012 – 0.00 % Pegasystems Inc (4) (362) – 0.00 % Proofpoint Inc 3,659 390,232 – 0.00 % PTC Inc 1,443 109,019 – 0.00 % QAD Inc 1,956 95,942 – 0.00 % Qualys Inc 6,383 511,789 – 0.00 % RIB Software SE (333) (10,615) – 0.00 % Sage Group PLC 20,840 181,531 – 0.00 % SailPoint Technologies Holdings Inc 8,089 204,813 – 0.00 % salesforce.com Inc 322 54,869 – 0.00 % Scala Inc 11,300 63,431 – 0.00 % ServiceNow Inc 2,226 725,876 – 0.00 % ShotSpotter Inc (3,360) (119,616) – 0.00 % SimCorp A/S 1,856 177,038 – 0.00 % sinops Inc 1,100 20,691 – 0.00 % Software AG 3,414 110,784 – 0.00 % Splunk Inc 1,236 182,100 – 0.00 % The accompanying notes form an integral part of these audited financial statements 203 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Software (continued) SPS Commerce Inc 890 46,814 – 0.00 % SS&C Technologies Holdings Inc 11,930 662,115 – 0.00 % SVMK Inc 4,646 84,697 – 0.00 % Symantec Corp 18,390 349,962 – 0.00 % Synopsys Inc 2,891 398,756 – 0.00 % System Information Co Ltd 4,800 31,516 – 0.00 % Technology One Ltd 1,628 8,289 – 0.00 % Telaria Inc (1,483) (18,122) – 0.00 % Temenos AG 493 69,952 – 0.00 % Teradata Corp 11,650 232,301 – 0.00 % TOTVS SA 100 1,581 – 0.00 % Trade Desk Inc 115 33,034 – 0.00 % Trend Micro Inc/Japan 3,000 148,980 – 0.00 % UNITED Inc/Japan 5,800 51,384 – 0.00 % Verint Systems Inc 4,589 251,844 – 0.00 % VMware Inc 6,106 735,895 – 0.00 % Workday Inc 2,267 392,758 – 0.00 % Zendesk Inc 4,978 394,805 – 0.00 % Total Software – 0.00 % Specialty Retail Abercrombie & Fitch Co 3,335 43,789 – 0.00 % Alpen Co Ltd 1,100 16,235 – 0.00 % American Eagle Outfitters Inc 8,473 109,132 – 0.00 % Arcland Sakamoto Co Ltd 2,300 23,269 – 0.00 % Asahi Co Ltd 7,900 78,901 – 0.00 % Asbury Automotive Group Inc 9,141 810,258 – 0.00 % AutoNation Inc 14,603 623,986 – 0.00 % AutoZone Inc 592 611,246 – 0.00 % Best Buy Co Inc 1,283 97,059 – 0.00 % Bilia AB 11,405 109,089 – 0.00 % Buckle Inc 11,836 267,849 – 0.00 % Build-A-Bear Workshop Inc 77 293 – 0.00 % Burlington Stores Inc 1,652 357,262 – 0.00 % CarMax Inc 8,303 724,935 – 0.00 % Cato Corp 6,382 103,197 – 0.00 % Chico’s FAS Inc (36,485) (146,305) – 0.00 % Children’s Place Inc 882 50,803 – 0.00 % Citi Trends Inc 4,016 79,396 – 0.00 % Conn’s Inc 6,513 53,081 – 0.00 % DCM Holdings Co Ltd 5,200 47,271 – 0.00 % Dick’s Sporting Goods Inc 8,976 326,816 – 0.00 % Dunelm Group PLC 13,651 189,753 – 0.00 % Five Below Inc 2,872 278,440 – 0.00 % Foot Locker Inc 11,124 403,245 – 0.00 % Fuji Corp/Miyagi 1,100 18,951 – 0.00 % The accompanying notes form an integral part of these audited financial statements 204 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Specialty Retail (continued) Gap Inc 3,721 53,322 – 0.00 % Geo Holdings Corp 6,900 74,848 – 0.00 % GOME Retail Holdings Ltd (566,000) (58,104) – 0.00 % Group 1 Automotive Inc 5,662 482,572 – 0.00 % Hard Off Corp Co Ltd 3,500 23,013 – 0.00 % Haverty Furniture Cos Inc 3,382 56,885 – 0.00 % Hennes & Mauritz AB 4,440 79,507 – 0.00 % Hibbett Sports Inc 10,807 210,953 – 0.00 % Home Depot Inc 3,498 762,004 – 0.00 % Honeys Holdings Co Ltd 5,300 56,365 – 0.00 % Hotel Shilla Co Ltd 545 36,320 – 0.00 % Industria de Diseno Textil SA 2,315 71,633 – 0.00 % J. Jill Inc 8,530 7,251 – 0.00 % JB Hi-Fi Ltd 11,982 286,267 – 0.00 % JD Sports Fashion PLC 8,327 78,406 – 0.00 % JINS Holdings Inc 1,200 73,575 – 0.00 % Keiyo Co Ltd 9,300 40,508 – 0.00 % Kingfisher PLC 19,963 48,293 – 0.00 % Komehyo Co Ltd 1,300 10,315 – 0.00 % L Brands Inc 400 8,664 – 0.00 % Laox Co Ltd 2,200 3,398 – 0.00 % Lithia Motors Inc 2,103 250,593 – 0.00 % LIXIL VIVA Corp 8,900 166,996 – 0.00 % LOTTE Himart Co Ltd 32 560 – 0.00 % Lowe’s Cos Inc 2,762 294,346 – 0.00 % Lumber Liquidators Holdings Inc (10,449) (102,400) – 0.00 % Matas A/S 6,680 55,065 – 0.00 % Michaels Cos Inc 35,379 151,776 – 0.00 % Mobilezone Holding AG 10,348 112,113 – 0.00 % Monro Inc 5,177 290,533 – 0.00 % Murphy USA Inc 9,873 962,618 – 0.00 % Nitori Holdings Co Ltd 800 110,713 – 0.00 % Nojima Corp 3,300 58,624 – 0.00 % Office Depot Inc (42,995) (101,038) – 0.00 % O’Reilly Automotive Inc 2,080 766,938 – 0.00 % Otsuka Kagu Ltd 29,300 45,250 – 0.00 % PAL GROUP Holdings Co Ltd 1,000 13,400 – 0.00 % PC Depot Corp 10,000 46,331 – 0.00 % Penske Automotive Group Inc 6,827 314,179 – 0.00 % Pets at Home Group Plc 39,368 129,463 – 0.00 % Premier Investments Ltd 3,511 38,442 – 0.00 % RH 2,379 431,551 – 0.00 % Right On Co Ltd 4,700 20,602 – 0.00 % Ross Stores Inc 8,881 966,075 – 0.00 % Sally Beauty Holdings Inc 18,873 234,780 – 0.00 % Shinsegae International Inc 164 24,976 – 0.00 % The accompanying notes form an integral part of these audited financial statements 205 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Specialty Retail (continued) Shoe Carnival Inc 4,560 136,390 – 0.00 % Sleep Number Corp 3,330 146,687 – 0.00 % Sports Direct International PLC 19,919 97,671 – 0.00 % Sportsman’s Warehouse Holdings 18,897 113,382 – 0.00 % Super Retail Group Ltd 41,047 216,180 – 0.00 % T-Gaia Corp 2,900 55,326 – 0.00 % Tiffany & Co 12,482 1,667,470 – 0.00 % Tilly’s Inc 7,877 51,201 – 0.00 % Tractor Supply Co 3,974 351,739 – 0.00 % TravelCenters of America Inc 1,061 12,827 – 0.00 % Truworths International Ltd (74,521) (214,062) – 0.00 % Ulta Beauty Inc 2,934 754,302 – 0.00 % Unieuro SpA 9,962 122,294 – 0.00 % Urban Outfitters Inc 8,240 193,722 – 0.00 % Valora Holding AG 118 29,155 – 0.00 % Visionary Holdings Co Ltd 8,500 33,486 – 0.00 % VT Holdings Co Ltd 9,600 32,138 – 0.00 % WH Smith PLC 2,767 68,122 – 0.00 % Williams-Sonoma Inc 11,033 688,349 – 0.00 % XXL ASA 18,043 20,579 – 0.00 % Yellow Hat Ltd 1,100 14,811 – 0.00 % ZHENGTONGAUTO (165,000) (45,734) – 0.00 % Zumiez Inc 4,694 124,532 – 0.00 % Total Specialty Retail – 0.00 % Technology Hardware Storage & Peripheral Apple Inc 2,837 775,522 – 0.00 % Brother Industries Ltd 12,833 228,213 – 0.00 % Canon Inc 11,567 292,397 – 0.00 % Chicony Electronics Co Ltd 38,955 107,735 – 0.00 % Compal Electronics Inc 67,403 41,189 – 0.00 % Darfon Electronics Corp 29,527 36,919 – 0.00 % Elecom Co Ltd 3,600 120,849 – 0.00 % FUJIFILM Holdings Corp 4,204 205,156 – 0.00 % Immersion Corp 15,228 106,444 – 0.00 % Intevac Inc 3,337 18,687 – 0.00 % Konica Minolta Inc 35,104 190,234 – 0.00 % Lenovo Group Ltd 184,000 113,569 – 0.00 % Lite-On Technology Corp 99,393 144,356 – 0.00 % Logitech International SA 1,639 62,812 – 0.00 % Maxell Holdings Ltd 8,800 104,899 – 0.00 % MCJ Co Ltd 29,700 170,836 – 0.00 % Micro-Star International Co Ltd 36,273 109,088 – 0.00 % NEC Corp 1,250 46,701 – 0.00 % Pixela Corp 4,700 1,043 – 0.00 % Qisda Corp 273,642 169,939 – 0.00 % The accompanying notes form an integral part of these audited financial statements 206 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Technology Hardware Storage & Peripheral (continued) Quanta Computer Inc 16,857 34,616 – 0.00 % Ricoh Co Ltd 11,833 109,975 – 0.00 % Riso Kagaku Corp 100 1,549 – 0.00 % Samsung Electronics Co Ltd 1,562 70,261 – 0.00 % Seagate Technology PLC 4,766 228,530 – 0.00 % Seiko Epson Corp 13,000 183,696 – 0.00 % Sun Corp 3,900 56,299 – 0.00 % Toshiba TEC Corp 4,200 154,585 – 0.00 % Wacom Co Ltd 4,100 12,664 – 0.00 % Wistron Corp 113,012 101,251 – 0.00 % Xerox Holdings Corp 13,429 432,414 – 0.00 % Xiaomi Corp (52,800) (85,098) – 0.00 % Total Technology Hardware Storage & Peripheral – 0.00 % Textiles Apparel & Luxury Goods Adidas AG 1,746 481,206 – 0.00 % ANTA Sports Products Ltd 6,000 48,236 – 0.00 % Aritzia Inc 2,045 33,729 – 0.00 % Atsugi Co Ltd 3,000 19,198 – 0.00 % Baroque Japan Ltd 6,000 44,666 – 0.00 % BOSIDENG 44,000 12,817 – 0.00 % Brunello Cucinelli SpA 1,637 54,021 – 0.00 % Burberry Group PLC 21,279 448,298 – 0.00 % Canada Goose Holdings Inc 594 16,387 – 0.00 % Carter’s Inc 2,157 197,301 – 0.00 % Cie Financiere Richemont SA 6,357 429,802 – 0.00 % Coats Group PLC 87,564 66,452 – 0.00 % Columbia Sportswear Co 864 70,243 – 0.00 % Crocs Inc 16,483 431,360 – 0.00 % Deckers Outdoor Corp 3,256 565,893 – 0.00 % Eclat Textile Co Ltd 8,361 99,694 – 0.00 % EssilorLuxottica SA 992 134,327 – 0.00 % F&F Co Ltd 1,062 83,378 – 0.00 % Feng TAY Enterprise Co Ltd 21,356 120,955 – 0.00 % Fila Korea Ltd 2,213 70,526 – 0.00 % Gildan Activewear Inc 574 13,914 – 0.00 % Goldwin Inc 500 30,425 – 0.00 % Hagihara Industries Inc 3,200 44,271 – 0.00 % Hanesbrands Inc 9,862 130,573 – 0.00 % Hermes International 991 686,763 – 0.00 % HS Industries Co Ltd 1,691 15,297 – 0.00 % Hugo Boss AG 16,264 707,744 – 0.00 % Kering SA 817 454,562 – 0.00 % Li Ning Co Ltd 42,500 111,800 – 0.00 % The accompanying notes form an integral part of these audited financial statements 207 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Textiles Apparel & Luxury Goods (continued) LPP SA 53 92,906 – 0.00 % Lululemon Athletica Inc 360 78,268 – 0.00 % LVMH Moet Hennessy Louis Vuitton 1,791 730,612 – 0.00 % Makalot Industrial Co Ltd 32,088 157,826 – 0.00 % Matsuoka Corp 800 12,540 – 0.00 % Moncler SpA 1,722 66,714 – 0.00 % NIKE Inc 10,603 947,696 – 0.00 % Oxford Industries Inc 612 36,959 – 0.00 % Pandora A/S 5,519 246,728 – 0.00 % Pou Chen Corp 22,075 24,932 – 0.00 % Puma SE 6,445 490,593 – 0.00 % Ralph Lauren Corp 4,675 493,259 – 0.00 % Renown Inc 13,600 10,690 – 0.00 % Rocky Brands Inc 2,119 51,598 – 0.00 % Sakai Ovex Co Ltd 900 14,623 – 0.00 % Salvatore Ferragamo SpA 2,024 31,815 – 0.00 % Seiko Holdings Corp 6,600 127,746 – 0.00 % SHENZHOU INTL 2,900 35,632 – 0.00 % Shikibo Ltd 3,500 36,510 – 0.00 % Skechers U.S.A. Inc (56) (1,852) – 0.00 % Steven Madden Ltd 3,810 124,587 – 0.00 % Taiwan Paiho Ltd 15,697 36,237 – 0.00 % Ted Baker PLC (1,865) (6,924) – 0.00 % Under Armour Inc 10,942 155,267 – 0.00 % Vera Bradley Inc 4,732 39,086 – 0.00 % VF Corp 886 63,792 – 0.00 % Vince Holding Corp 537 5,800 – 0.00 % Wolverine World Wide Inc 10,952 287,928 – 0.00 % Xtep International Holdings Ltd 93,000 37,472 – 0.00 % Youngone Corp (477) (12,470) – 0.00 % YUE YUEN IND 25,000 60,247 – 0.00 % Total Textiles Apparel & Luxury Goods – 0.00 % Thrifts & Mortgage Finance Aareal Bank AG 8,187 223,882 – 0.00 % Aruhi Corp 2,816 41,250 – 0.00 % Bridgewater Bancshares Inc 3,254 40,675 – 0.00 % Capitol Federal Financial Inc 4,879 59,548 – 0.00 % Columbia Financial Inc 12,915 200,441 – 0.00 % Deutsche Pfandbriefbank AG 15,264 213,574 – 0.00 % Equitable Group Inc 625 41,522 – 0.00 % Essent Group Ltd 1,905 83,134 – 0.00 % First Defiance Financial Corp 2,496 59,692 – 0.00 % Flagstar Bancorp Inc 22,363 712,932 – 0.00 % Genworth MI Canada Inc 1,688 65,637 – 0.00 % Home Bancorp Inc 1,115 36,873 – 0.00 % The accompanying notes form an integral part of these audited financial statements 208 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Textiles Apparel & Luxury Goods (continued) HomeStreet Inc 2,492 67,508 – 0.00 % Kearny Financial Corp/MD 9,653 105,314 – 0.00 % Luther Burbank Corp 1,521 15,864 – 0.00 % Meridian Bancorp Inc 4,548 75,087 – 0.00 % MGIC Investment Corp 13,540 162,886 – 0.00 % Mr Cooper Group Inc 1,289 16,538 – 0.00 % New York Community Bancorp Inc 91,521 989,342 – 0.00 % NMI Holdings Inc 13,058 304,774 – 0.00 % Northfield Bancorp Inc 1,656 23,399 – 0.00 % OneSavings Bank PLC 2,143 10,995 – 0.00 % Paragon Banking Group PLC 8,731 50,754 – 0.00 % PCSB Financial Corp 3,596 66,023 – 0.00 % Provident Financial Services Inc 6,003 119,940 – 0.00 % Radian Group Inc 5,558 118,052 – 0.00 % Riverview Bancorp Inc 3,002 19,363 – 0.00 % Sangsangin Co Ltd 8,472 54,491 – 0.00 % Sterling Bancorp Inc 2,422 16,954 – 0.00 % Territorial Bancorp Inc 1,138 28,928 – 0.00 % TFS Financial Corp 10,401 212,596 – 0.00 % TrustCo Bank Corp NY 10,882 74,651 – 0.00 % Walker & Dunlop Inc 1,978 128,273 – 0.00 % Washington Federal Inc 9,658 289,643 – 0.00 % Waterstone Financial Inc 8,133 135,252 – 0.00 % Western New England Bancorp Inc 1,768 15,629 – 0.00 % Total Thrifts & Mortgage Finance – 0.00 % Tobacco Japan Tobacco Inc 17,800 352,922 – 0.00 % KT&G Corp 2,884 202,728 – 0.00 % Scandinavian Tobacco Group A/S 6,041 77,275 – 0.00 % Vector Group Ltd 6,155 71,521 – 0.00 % Total Tobacco – 0.00 % Trading Companies & Distributor Air Lease Corp (236) – – 0.00 % Aircastle Ltd 11,272 359,013 – 0.00 % Ashtead Group PLC 3,844 117,326 – 0.00 % Barloworld Ltd 2,776 14,385 – 0.00 % BMC Stock Holdings Inc 6,931 170,017 – 0.00 % BOC Aviation Ltd 22,600 196,189 – 0.00 % Bunzl PLC 31 741 – 0.00 % Diploma PLC 3,620 86,948 – 0.00 % Fastenal Co 9,113 311,847 – 0.00 % Ferguson PLC 4,946 425,901 – 0.00 % Foundation Building Materials 3,251 50,716 – 0.00 % GATX Corp 8,131 581,610 – 0.00 % The accompanying notes form an integral part of these audited financial statements 209 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Trading Companies & Distributor (continued) Grafton Group PLC 420 4,625 – 0.00 % H&E Equipment Services Inc 1,919 45,595 – 0.00 % HD Supply Holdings Inc 8,270 314,425 – 0.00 % Howden Joinery Group PLC 42,707 347,017 – 0.00 % IMCD NV 34 2,766 – 0.00 % Inabata & Co Ltd 1,200 13,949 – 0.00 % ITOCHU Corp 94,100 2,142,018 – 0.00 % Kamei Corp 296 2,702 – 0.00 % Kanamoto Co Ltd 6,795 150,120 – 0.00 % Kanematsu Corp 5,035 54,571 – 0.00 % Kloeckner & Co SE 1,918 10,498 – 0.00 % Lawson Products Inc 687 27,480 – 0.00 % LG International Corp 26 243 – 0.00 % Marubeni Corp 297,189 1,969,992 – 0.00 % Maruka Corp 711 11,947 – 0.00 % Mitsubishi Corp 88,548 2,202,748 – 0.00 % Mitsui & Co Ltd 118,800 1,959,401 – 0.00 % MonotaRO Co Ltd 1,700 37,731 – 0.00 % MRC Global Inc 2,379 20,697 – 0.00 % MSC Industrial Direct Co Inc 4,858 300,322 – 0.00 % Nippon Steel Trading Corp 1,057 42,814 – 0.00 % Nishio Rent All Co Ltd 3,044 74,710 – 0.00 % NOW Inc 33,272 293,792 – 0.00 % Rexel SA (4,563) (55,714) – 0.00 % Richelieu Hardware Ltd 408 8,357 – 0.00 % Rush Enterprises Inc 2,399 100,566 – 0.00 % Sanyo Trading Co Ltd 2,961 28,122 – 0.00 % SK Networks Co Ltd 1,275 4,582 – 0.00 % Sojitz Corp 90,200 260,252 – 0.00 % Sumiseki Holdings Inc 27,987 30,799 – 0.00 % Sumitomo Corp 145,400 2,076,759 – 0.00 % Systemax Inc 1,245 25,971 – 0.00 % Tomoe Engineering Co Ltd 974 16,862 – 0.00 % Travis Perkins PLC 9,818 183,260 – 0.00 % Triton International Ltd 6,336 217,768 – 0.00 % Trusco Nakayama Corp 1,700 33,832 – 0.00 % Wakita & Co Ltd 1,400 11,290 – 0.00 % Watsco Inc 2,360 370,473 – 0.00 % WW Grainger Inc 1,955 542,591 – 0.00 % Total Trading Companies & Distributor – 0.00 % Transportation Infrastructure Aena SME SA 1,119 178,481 – 0.00 % Aeroports de Paris 1,161 170,876 – 0.00 % ASTM SpA 2,496 61,556 – 0.00 % Atlantia SpA 1,695 36,143 – 0.00 % The accompanying notes form an integral part of these audited financial statements 210 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Transportation Infrastructure (continued) Atlas Arteria Ltd 52,730 274,628 – 0.00 % BEIJING AIRPORT 60,000 46,812 – 0.00 % Enav SpA 65,804 391,600 – 0.00 % Fraport AG Frankfurt Airport Services Worldwide 355 22,235 – 0.00 % Getlink SE 6,092 97,703 – 0.00 % Grupo Aeroportuario del Centro Norte 12,933 84,729 – 0.00 % Grupo Aeroportuario del Pacifico 6,172 66,832 – 0.00 % Grupo Aeroportuario del Sureste 1,985 32,684 – 0.00 % Hamburger Hafen und Logistik AG 4,797 100,996 – 0.00 % Jiangsu Expressway Co Ltd 90,000 104,056 – 0.00 % Macquarie Infrastructure Corp 6,269 246,058 – 0.00 % Nissin Corp 700 9,581 – 0.00 % PINFRA 1,304 12,697 – 0.00 % Qube Holdings Ltd 39,557 75,010 – 0.00 % SATS Ltd 30,100 86,990 – 0.00 % SHENZHEN INT’L 58,500 112,001 – 0.00 % Sydney Airport 63,832 322,086 – 0.00 % Taiwan High Speed Rail Corp 233,544 266,868 – 0.00 % TAV Havalimanlari Holding AS 65,144 212,939 – 0.00 % Transurban Group 26,664 257,137 – 0.00 % Westshore Terminals Investment Corp 310 3,257 – 0.00 % Total Transportation Infrastructure – 0.00 % Utilities Albioma SA 4,529 147,464 – 0.00 % Aygaz AS 35,181 64,390 – 0.00 % BLUE SKY PWR 536,000 13,068 – 0.00 % China Everbright Greentech Ltd 5,000 2,419 – 0.00 % DATANG POWER 106,000 16,594 – 0.00 % EF-ON INC 2,300 11,549 – 0.00 % El Paso Electric Co 21,213 1,439,726 – 0.00 % Encavis AG 11,501 132,584 – 0.00 % Enea SA 30,945 44,025 – 0.00 % Energa SA 26,305 46,913 – 0.00 % Eneva SA 600 5,712 – 0.00 % EVN AG 5,404 90,117 – 0.00 % HKELECTRIC-SS 190,500 191,650 – 0.00 % Infigen Energy 23,168 9,629 – 0.00 % Korea District Heating Corp 517 16,390 – 0.00 % Korea Electric Power Corp 1,592 28,142 – 0.00 % Omega Geracao SA 566 4,884 – 0.00 % Petronas Gas Bhd 32,730 128,949 – 0.00 % Samchully Co Ltd 446 29,019 – 0.00 % Star Group LP 3,024 27,156 – 0.00 % Taiwan Cogeneration Corp 91,758 102,875 – 0.00 % Tenaga Nasional Bhd 56,890 163,179 – 0.00 % The accompanying notes form an integral part of these audited financial statements 211 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in contracts for difference (28 February 2019: 0.00%) (continued) Fair value % of Security Quantity Notional USD Net assets Utilities (continued) TIAN LUN GAS 23,000 18,830 – 0.00 % Towngas China Co Ltd 40,000 23,200 – 0.00 % Uniper SE 3,007 88,448 – 0.00 % YTL Corp Bhd 66,253 13,271 – 0.00 % Total Utilities – 0.00 % Water Utilities American States Water Co 8,847 677,592 – 0.00 % American Water Works Co Inc 2,642 326,710 – 0.00 % BJ ENT WATER (52,000) (24,155) – 0.00 % California Water Service Group 11,902 570,820 – 0.00 % China Water Affairs Group Ltd 72,000 57,375 – 0.00 % Cia de Saneamento Basico do Es 100 1,308 – 0.00 % Consolidated Water Co Ltd 3,126 50,516 – 0.00 % COPASA 200 2,686 – 0.00 % Guangdong Investment Ltd 224,000 420,811 – 0.00 % Pennon Group PLC 21,810 300,379 – 0.00 % Severn Trent PLC 8,584 270,335 – 0.00 % United Utilities Group PLC 18,865 227,570 – 0.00 % York Water Co 44 1,861 – 0.00 % Total Water Utilities – 0.00 % Wireless Telecommunication Services America Movil SAB de CV 16,600 13,057 – 0.00 % Far EasTone Telecommunications 64,382 140,953 – 0.00 % Freenet AG 173 3,366 – 0.00 % KDDI Corp 96,603 2,731,881 – 0.00 % MTN Group Ltd 8,405 39,603 – 0.00 % NTT DOCOMO Inc 105,481 2,855,649 – 0.00 % Orange Belgium SA 2,303 43,573 – 0.00 % PLAY Communications SA 37,303 289,800 – 0.00 % Shenandoah Telecommunications 1,547 68,733 – 0.00 % Softbank Corp 41,200 538,170 – 0.00 % SoftBank Group Corp 6,600 305,968 – 0.00 % Spok Holdings Inc 2,731 27,201 – 0.00 % Telephone & Data Systems Inc 2,967 59,755 – 0.00 % Turkcell Iletisim Hizmetleri A 92,109 204,664 – 0.00 % United States Cellular Corp 4,369 137,230 – 0.00 % Vodacom Group Ltd 3,921 27,492 – 0.00 % Total Wireless Telecommunication Services – 0.00 % Unrealised losses on contracts for differences* – 0.00 % * At the close of business on 29 February 2020, the Fund had entered into a number of CFD trades. These positions were open as at 29 February 2020 but have a fair value of USDNil as the monthly realisation of gains and losses on these positions were crystallised upon the monthly reset of the CFD positions, as outlined in the Note 11. The accompanying notes form an integral part of these audited financial statements 212 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in futures contracts (28 February 2019: (0.81)%) Fair value % of Currency Description Notional USD Net assets AUD 214 of 3 Year Australian T Bonds (Day Session) Mar-20 (138,972) (87,038) (0.01) % AUD 51 of 90 Day Australian Bills (Day Session) Dec-20 (33,119) (14,545) 0.00 % AUD 427 of 90 Day Australian Bills (Day Session) Jun-20 (277,294) (105,460) (0.01) % AUD 28 of 90 Day Australian Bills (Day Session) Mar-21 (18,183) (7,680) 0.00 % AUD 309 of 90 Day Australian Bills (Sfe) Sep-20 (200,665) (89,032) (0.01) % AUD 95 of Share Price Index 200 (Day) Mar-20 9,830,780 (760,269) (0.09) % CAD 125 of Canadian 10 Year Bond Future Jun-20 MON (93,204) (109,048) (0.01) % CAD 111 of Canadian Bankers Acceptances Jun-20 MON (206,912) (88,143) (0.01) % CAD 105 of Canadian Bankers Acceptances Sep-20 MON (195,728) (75,159) (0.01) % CAD 55 of S&P/TSE 60 Index Mar-20 7,965,701 (544,309) (0.06) % CHF 23 of 3 Month Euro/Swiss Franc (Euroswiss) Jun-20 LEU (59,444) (7,443) 0.00 % 13 of 3 Month Euro/Swiss Franc (Euroswiss) Sep-20 CHF LEU (33,599) (3,179) 0.00 % EUR 8 of 3 Month Euribor Dec-11 LIF (22,000) (2,379) 0.00 % EUR 692 of 2 Year German Debt In Euro Schatz Jun-20 (761,200) (1,826) 0.00 % EUR 1088 of 2 Year German Debt In Euro Schatz Mar-20 (1,196,800) (435,534) (0.05) % EUR 207 of 3 Month Euribor Dec-20 (569,250) (69,204) (0.01) % EUR 26 of 3 Month Euribor Dec-22 (71,500) (10,890) 0.00 % EUR 52 of 3 Month Euribor Jun-21 (143,000) (18,439) 0.00 % EUR 5 of 3 Month Euribor Jun-22 (13,750) (1,169) 0.00 % EUR 106 of 3 Month Euribor Mar-21 (291,500) (40,535) 0.00 % EUR 5 of 3 Month Euribor Mar-22 13,750 (55) 0.00 % EUR 72 of 3 Month Euribor Mar-23 (198,000) (24,970) 0.00 % EUR 26 of 3 Month Euribor Sep-21 (71,500) (7,961) 0.00 % EUR 12 of 3 Month Euribor Sep-22 (33,000) (3,603) 0.00 % EUR 49 of Amsterdam EOE Stock Index Mar-20 5,811,390 (959,743) (0.11) % EUR 177 of CAC 40 Stock Index - 10 EUR Mar-20 10,331,756 (1,457,524) (0.17) % EUR 27 of DAX Stock Index Mar-20 8,775,608 (1,132,106) (0.13) % EUR 198 of Dow Jones Euro Stoxx 50 Mar-20 7,217,892 (933,471) (0.11) % EUR 2 of Euro Buxl 30 Year Bond Mar-20 (2,200) (28,622) 0.00 % EUR 16 of Euro-BTP Future Jun-20 17,600 (2,343) 0.00 % EUR 1 of Euro-OAT Future Jun-20 1,100 (187) 0.00 % EUR 39 of FTSE MIB Index Mar-20 4,724,577 (345,516) (0.04) % EUR 108 of German Euro Bobl Jun-20 (118,800) (16,566) 0.00 % EUR 273 of German Euro Bobl Mar-20 (300,300) (463,254) (0.06) % GBP 206 of 3 Month Sterling IR Dec-20 (328,982) (39,997) 0.00 % GBP 13 of 3 Month Sterling IR Dec-21 (20,761) (2,970) 0.00 % GBP 59 of 3 Month Sterling IR Dec-22 (94,223) (23,244) 0.00 % GBP 63 of 3 Month Sterling IR Jun-21 (100,611) (17,096) 0.00 % GBP 42 of 3 Month Sterling IR Jun-22 (67,074) (10,452) 0.00 % GBP 105 of 3 Month Sterling IR Mar-13 (167,685) (22,622) 0.00 % GBP 113 of 3 Month Sterling IR Mar-21 (180,461) (28,938) 0.00 % GBP 28 of 3 Month Sterling IR Mar-22 (44,716) (7,250) 0.00 % GBP 31 of 3 Month Sterling IR Sep-21 (49,507) (8,201) 0.00 % GBP 49 of 3 Month Sterling IR Sep-22 (78,253) (11,610) 0.00 % GBP 35 of FTSE 100 Index Mar-20 2,919,284 (447,524) (0.05) % HKD 28 of Hang Seng China Enterprises Index Mar-20 1,860,990 (28,744) 0.00 % The accompanying notes form an integral part of these audited financial statements 213 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 Financial liabilities at fair value through profit or loss (28 February 2019: (1.08)%) (continued) Investment in futures contracts (28 February 2019: (0.81)%) Fair value % of Currency Description Notional USD Net assets HKD 17 of Hang Seng Index Mar-20 2,854,439 (53,882) (0.01) % 59 of 10 Year Japanese Government Bond (Day JPY Session) Mar-20 (545,614) (1,013,455) (0.12) % JPY 17 of Nikkei 225 Stock Index (Day Session) Mar-20 3,314,006 (372,312) (0.04) % JPY 112 of Tokyo Stock Price Index (Day Session) Mar-20 15,530,957 (2,240,486) (0.27) % KRW 155 of KOSPI 200 Index Future Mar-20 8,613,863 (721,353) (0.09) % NZD 69 of New Zealand Bank Bills Jun-20 (42,997) (29,586) 0.00 % NZD 25 of New Zealand Bank Bills Sep-20 (15,579) (11,576) 0.00 % SEK 576 of OMX 30 Index Future Mar-20 9,943,498 (1,278,014) (0.15) % USD 535 of 2 Year US Treasury Notes Jun-20 (1,070,000) (744,700) (0.09) % USD 333 of 3 Month Eurodollar Future Dec-20 CME (832,500) (493,938) (0.06) % USD 40 of 3 Month Eurodollar Future Dec-22 CME (100,000) (57,350) (0.01) % USD 107 of 3 Month Eurodollar Future Jun-21 CME (267,500) (147,050) (0.02) % USD 22 of 3 Month Eurodollar Future Jun-22 CME (55,000) (25,688) 0.00 % USD 257 of 3 Month Eurodollar Future Mar-21 CME (642,500) (380,463) (0.05) % USD 129 of 3 Month Eurodollar Future Mar-23 CME (322,500) (142,300) (0.02) % USD 34 of 3 Month Eurodollar Future Sep-21 CME (85,000) (41,350) 0.00 % USD 35 of 3 Month Eurodollar Future Sep-22 CME (87,500) (38,950) 0.00 % USD 995 of 5 Year US Treasury Note Jun-20 (995,000) (1,373,375) (0.16) % USD 831 of British Pound Sterling (Day Session) Mar-20 519,375 (1,219,475) (0.14) % USD 704 of Canadian Dollar (Day Session) Mar-20 704,000 (1,416,205) (0.17) % USD 46 of DJIA Mini Mar-20 5,833,720 (698,175) (0.08) % USD 109 of E-Mini NASDAQ 100 Index Mar-20 18,429,720 (494,419) (0.06) % USD 635 of E-Mini S&P 500 Stock Index Mar-20 93,694,250 (8,803,034) (1.12) % USD 33 of E-Mini S&P Midcap 400 Mar-20 5,980,260 (800,780) (0.10) % USD 101 of FTSE/Xinhua China A50 Index [SGX] Mar-20 1,339,260 (42,895) (0.01) % USD 797 of Japanese Yen Future Mar-20 CME (996,250) (1,133,788) (0.13) % USD 1058 of Mexican Peso Mar-20 5,290,000 (355,395) (0.04) % USD 94 of Mini MSCI Emerging Markets Mar-20 4,741,360 (529,580) (0.06) % USD 59 of MSCI Taiwan Index Mar-20 2,484,490 (133,700) (0.02) % USD 50 of New Zealand Dollar Mar-20 50,000 (115,550) (0.01) % USD 92 of SGX CNX Nifty ETS Index Mar-20 2,054,728 (126,758) (0.02) % USD 204 of Swiss Franc Mar-20 (255,000) (357,725) (0.04) % ZAR 54 of FTSE/JSE Top 40 Index Mar-20 1,575,941 (204,792) (0.02) % Unrealised losses on futures contracts (34,093,949) (4.05) % Total derivative liabilities (49,638,635) (5.90) % Total financial liabilities at fair value through profit or loss (49,638,635) (5.90) % The accompanying notes form an integral part of these audited financial statements 214 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Schedule of Investments (continued) Audited Financial Statements For the year ended 29 February 2020 2020 2019 Fair value % of Fair value % of USD Net assets USD Net assets Financial assets less liabilities at fair value through profit or loss Futures contracts (22,683,389) (2.70) % 1,966,942 0.27 % Forward foreign currency exchange contracts (14,932,705) (1.77) % 6,964,427 0.95 % Debt securities 614,411,955 73.03 % 496,566,278 67.70 % Total financial assets less liabilities at fair value through profit or loss 576,795,861 68.56 % 505,497,647 68.92 % Cash and cash equivalents 144,049,779 17.12 % 61,836,508 8.43 % Other net assets 120,483,475 14.32 % 166,166,853 22.65 % Net assets attributable to holders of redeemable participating shares 841,329,115 100.00 % 733,501,008 100.00 % % of Total assets Analysis of total assets (unaudited) Transferable securities listed on an official stock exchange 10.41 % Transferable securities dealt on another regulated market 57.99 % Exchange traded financial derivative instruments 1.27 % Over the counter financial derivative instruments 0.07 % Other current assets 30.26 % 100.00 % The accompanying notes form an integral part of these audited financial statements 215 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements For the year ended 29 February 2020 1. Incorporation and background information Winton UCITS Funds ICAV (the “ICAV”) was originally incorporated as an umbrella investment company with segregated liability between sub-funds on 8 July 2010. The ICAV converted from an umbrella investment company to an Irish collective asset-management vehicle pursuant to the Irish Collective Asset-Management Vehicles Act 2015 (the “ICAV Act”) on 26 July 2017. The ICAV is authorised by the Central Bank of Ireland in accordance with the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, (as amended) (the “UCITS Regulations”) and is regulated by the Central Bank of Ireland in accordance with the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations”). The financial statements comply with the UCITS Regulations and with the Central Bank UCITS Regulations. Effective 1 July 2019, the ICAV converted from a self-managed investment vehicle to an externally managed investment vehicle. Winton Fund Management Ireland DAC (the “Manager”) was appointed to manage and administer the affairs of the ICAV. Winton Capital Management Limited (the “Investment Manager” and “Distributor”) remains in place as the Investment Manager and Distributor of the ICAV. As at 29 February 2020, the ICAV has the following sub-funds: Name Launch date Year end date Winton Global Equity Fund (“WGEF”) 1 December 2010 31 December 2019 Winton European Equity Fund (“WEEF”)* 6 May 2014 Not applicable Winton US Equity Fund (“WUSEF”)** 6 May 2014 Not applicable Winton Absolute Return Futures Fund (“WARF”) 3 July 2017 29 February 2020 Winton Diversified Fund (UCITS) (“WDFU”) 3 July 2017 29 February 2020 Winton Trend Fund (UCITS) (“WTFU”) 2 July 2018 29 February 2020 * On 29 November 2019, the Directors resolved to terminate WEEF. Final termination accounts were prepared as at 31 December 2019. ** On 7 May 2019, the Directors resolved to terminate WUSEF. Final termination accounts were prepared as at 31 October 2019. The financial statements relate to WDFU (the “Fund”) only. Separate financial statements are prepared for each of the other sub-funds of the ICAV. Several classes of shares may be issued in respect of WDFU, distinguished, inter alia, by their criteria for subscription, redemption, minimum holding, fee structure, currency and dividend policy. The classes of shares currently available for WDFU are set out in the relevant Supplement to the Prospectus. Further classes of shares may be created in accordance with the requirements of the Central Bank of Ireland. As at 29 February 2020, none of the shares in issue were listed on any exchange and Class CHF I Shares, Class EUR I Shares, Class EUR I-P Shares, Class EUR I-2 Shares, Class GBP I Distribution Shares and Class GBP I-2 Distribution Shares were currency hedged. The ICAV had no employees during the years ended 29 February 2020 and 28 February 2019. The current Prospectus of the ICAV and supplement for the Fund are dated 1 May 2020. Investment objective The Fund is diversified and therefore does not concentrate on any specific industrial sectors in the markets in which it pursues its strategy. The Investment Manager may revise the strategy as it is applied to the Fund, including the signals used, the instruments traded and/or the money management principles applied in accordance with the UCITS Regulations. The trading methods used by the Investment Manager are consistent with the statistical and technical analysis, quantitative models and systematic trading underlying the investment advice provided by the Investment Manager to other funds. Return predictions are derived from fundamental and price-based predictive proprietary signals. 216 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 1. Incorporation and background information (continued) Total expense ratios The Total Expense Ratio (“TER”) per share class for the years ended 29 February 2020 and 28 February 2019 were as follows: 29 February 28 February 2020 2019 Class CHF I 1.01 % 1.26 % Class EUR I 1.01 % 1.26 % Class EUR I-P 1.08 % 1.12 % Class EUR I-2 1.01 % 1.01 % Class GBP I Distribution 1.01 % 1.25 % Class GBP I-2 Distribution 1.01 % 1.01 % Class USD I 1.01 % 1.09 % Class USD I-D1* 1.36 % – % Class USD I-P** 1.08 % – % All expenses are included within the TER with the exception of interest expense and transaction fees, if applicable. Performance fees included in the TER per Share Class for the years ended 29 February 2020 and 28 February 2019 were as follows: 29 February 28 February 2020 2019 Class CHF I 0.00 % 0.25 % Class EUR I 0.00 % 0.25 % Class EUR I-P 0.00 % 0.04 % Class GBP I Distribution 0.00 % 0.24 % Class GBP I-2 Distribution 0.00 % 0.00 % Class USD I 0.00 % 0.08 % Class USD I-D1* 0.00 % 0.00 % Class USD I-P** 0.00 % 0.00 % * Launched on 25 October 2019. ** Launched on 3 December 2019. 2. Significant accounting policies (a) Basis of Preparation The annual report and audited financial statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union (“EU”), the UCITS Regulations, Central Bank UCITS Regulations and the ICAV Act. The financial statements are presented in United States Dollars (“USD”), which is the Fund’s functional currency. The financial statements are prepared on a fair value basis for derivative financial instruments and financial assets and financial liabilities at fair value through profit or loss. Other financial assets and financial liabilities and non-financial assets and non-financial liabilities are stated at amortised cost or redemption amount (participating shares) and their carrying values are a reasonable approximation of fair value. 217 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (b) Judgements in applying accounting policies and key sources of estimation uncertainty The preparation of financial statements requires management to make judgements, estimates and assumptions that affect the application of policies and the reported amounts of assets and liabilities, income and expenses. Actual results may differ from these estimates. The key judgement relates to the selection of the classification of investments and the associated valuation policies. All investments have been classified as financial assets and financial liabilities at fair value through profit or loss in line with Note 2(c) and are measured at fair value. Further information on the risks related to the investments is included in Note 8. Estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to estimates are recognised prospectively. (c) Investment transactions and valuations (i) Classification Financial assets at fair value through profit or loss The Fund classifies its investments based on both the Fund’s business model for managing those financial assets and the contractual cash flow characteristics of the financial assets. The portfolio of financial assets is managed and performance is evaluated on a fair value basis. The Fund is primarily focused on fair value information and uses that information to assess the assets’ performance and to make decisions. The Fund has not taken the option to irrevocably designate any equity securities as fair value through other comprehensive income. The contractual cash flows of the Fund’s debt securities are solely principal and interest, however, these securities are neither held for the purpose of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. The collection of contractual cash flows is only incidental to achieving the Fund’s business model’s objective. Consequently, all investments are measured at fair value through profit or loss. Derivative contracts that have a positive fair value are presented as financial assets at fair value through profit or loss. The Fund has classified investments in debt securities, forward foreign currency exchange contracts, CFDs and futures contracts as financial assets at fair value through profit or loss. These financial instruments are managed and evaluated by the Investment Manager and the Board of Directors on a fair value basis. The fair value of the investments is examined on a regular basis. Financial liabilities at fair value through profit or loss Derivative contracts that have a negative fair value are presented as financial liabilities at fair value through profit or loss. As such, the Fund classifies all of its investment portfolio as financial assets or financial liabilities at fair value through profit or loss. Financial assets at amortised cost The Fund classifies financial assets as financial assets at amortised cost if they are held within the Fund’s business model whose objective is to hold financial assets in order to collect contractual cash flows and its contractual terms give rise on specified dates to cash flows that are solely payments of principal and interest on the principal amount outstanding. Financial assets, not classified as financial assets at fair value through profit or loss, as listed on the Statement of Financial Position are classified at amortised cost. 218 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (c) Investment transactions and valuations (continued) (i) Classification (continued) Financial liabilities at amortised cost Financial liabilities, not classified as financial liabilities at fair value through profit or loss, as listed on the Statement of Financial Position are classified at amortised cost. (ii) Recognition The Fund recognises financial assets and financial liabilities on the date it becomes a party to the contractual provisions of the instrument. Purchases of financial assets are recognised using trade date accounting. From this date, any gains or losses arising from changes in the fair value of the financial assets or financial liabilities are recorded in profit or loss in the Statement of Comprehensive Income. (iii) Measurement and fair value measurement principles Financial instruments are measured initially at fair value (transaction price) plus, in the case of financial assets or financial liabilities not measured at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability. Transaction costs on financial assets or financial liabilities at fair value through profit or loss are expensed immediately, while on other financial instruments they are amortised. Subsequent to initial recognition, financial assets and financial liabilities at fair value through profit or loss are measured at fair value, with changes in their fair value recognised as gains or losses in profit or loss in the Statement of Comprehensive Income in the period in which they arise. Fair value is 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 in the principal or, in its absence, the most advantageous market to which the Fund has access at that date. The fair value of a liability reflects its non-performance risk. Financial assets at amortised cost are subsequently measured at amortised cost using the effective interest method. Financial liabilities that are not at fair value through profit or loss are measured at amortised cost using the effective interest rate method. The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured on initial recognition minus the principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that initial amount and the maturity amount and, for financial assets, adjusted for any loss allowance. Financial liabilities arising from the redeemable participating shares issued by the Fund are carried at the redemption amount representing the investor’s right to a residual interest in the Fund’s assets. 219 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (c) Investment transactions and valuations (continued) (iii) Measurement and fair value measurement principles (continued) The valuation policy, as set out in the ICAV’s prospectus, states that securities quoted, listed or traded on an exchange for which market quotations are readily available shall be valued at the last traded price. Where a security is dealt in or traded on more than one exchange, the relevant exchange or market shall be the principal stock exchange or market on which the security is listed or dealt on or the exchange or market which the Board of Directors determine provides the fairest criteria in determining a value for the relevant investment. In the case of any security which is not quoted, listed or dealt in on a recognised exchange, or which is so quoted, listed or dealt but for which no such quotation or value is available, or the available quotation or value is not representative of the fair market value, the fair value determination shall be the probable realisation value as estimated with care and good faith by (i) the Board of Directors or (ii) a competent person, firm or corporation (including the Manager) selected by the Board of Directors and approved for the purpose by The Bank of New York Mellon SA/NV (Dublin Branch) (the “Depositary” or “BNY Mellon SA/NV”) or (iii) any other means provided that the value is approved by the Depositary. Fair value measurements are based on the last traded market price for both financial assets and financial liabilities where the last traded price falls within the bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, the Board of Directors would determine the point within the bid-ask spread that is most representative of fair value. The Board of Directors may, at their discretion, permit any other method of valuation to be used if they consider that such method of valuation reflects the fair value of any financial asset or financial liability and is in accordance with the Investment Manager’s valuation policy and IFRS. The Board of Directors have delegated to the Investment Manager the power to exercise the discretions described above. The fair value of cash and cash equivalents, balances due from brokers, interest and other receivables will be deemed to be the full amount unless it is unlikely to be paid or received in full. (iv) Derecognition The Fund derecognises a financial asset when the contractual rights to the cash flows from the asset expire, or it transfers the rights to receive the contractual cash flows in a transaction in which substantially all of the risks and rewards of ownership of the financial asset are transferred or in which the Fund neither transfers nor retains substantially all of the risks and rewards of ownership and does not retain control of the financial asset. On derecognition of a financial asset, the difference between the carrying amount of the asset (or the carrying amount allocated to the portion of the asset that is derecognised) and the consideration received (including any new asset obtained less any new liability assumed) is recognised in profit or loss. Any interest in such transferred financial assets that is created or retained by the Fund is recognised as a separate asset or liability. The Fund derecognises a financial liability when its contractual obligations are discharged or cancelled, or expire. On derecognition of a financial liability, the difference between the carrying amount extinguished and the consideration paid (including any non-cash assets transferred or liabilities assumed) is recognised in profit or loss. The Fund uses the first-in, first-out (“FIFO”) method to determine realised gains and losses on derecognition. 220 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (c) Investment transactions and valuations (continued) (v) Impairment Cash and cash equivalents and receivable for securities sold are subsequently measured at amortised cost. Under IFRS 9 Financial Instruments (“IFRS 9”), at each reporting date, the Fund shall measure the loss allowance on financial assets carried at amortised cost including cash and cash equivalents and balances due from broker at an amount equal to the lifetime Expected Credit Losses (“ECL”) if the credit risk has increased significantly since initial recognition. If, at the reporting date, the credit risk has not increased significantly since initial recognition, the Fund shall measure the loss allowance at an amount equal to 12-month ECL. Significant financial difficulties of the broker, probability that the broker will enter bankruptcy or financial reorganisation, and default in payments are all considered indicators that a lifetime loss allowance may be required. If the credit risk increases to the point that it is considered to be credit impaired, interest income will be calculated based on the gross carrying amount adjusted for the loss allowance. A significant increase in credit risk is defined by management as any contractual payment which is more than 30 days past due or a counterparty credit rating which has fallen below BBB/Baa. Any contractual payment which is more than 90 days past due is considered credit impaired. Lifetime ECL is the ECL that results from all possible default events over the expected life of a financial instrument. 12-month ECL is the portion of lifetime ECL that result from default events that are possible within the 12 months after the reporting date (or a shorter period if the expected life of the instrument is less than 12 months). The maximum period considered when estimating ECL is the maximum contractual period over which the Fund is exposed to credit risk. ECL is a probability-weighted estimate of credit losses. Credit losses are measured as the present value of all cash shortfalls. ECL is discounted at the effective interest rate of the financial asset. For the years ended 29 February 2020 and 28 February 2019, impairment losses on financial instruments are regarded as trivial and are booked as USDNil. (vi) Offsetting financial assets and financial liabilities Financial assets and financial liabilities may be offset in accordance with IAS 32 Financial Instruments: Presentation (“IAS 32”) and the net amounts reported in the Statement of Financial Position, when a current legally enforceable right to offset exists and there is intent to realise the asset and settle the liability simultaneously or on a net basis. (d) Interest income and interest expense Interest income and expense are recognised in profit or loss in the Statement of Comprehensive Income as they accrue, using the effective interest rate of the interest-bearing instrument. Interest income includes the amortisation of any discount or premium, transaction costs or other differences between the initial carrying amount of an interest-bearing instrument and its amount at maturity calculated on an effective interest rate basis. Interest income and expense relating to investments at fair value through profit or loss is presented separately as interest income and expense relating to financial assets and liabilities at fair value through profit or loss. Prior year interest income from debt securities and prior year interest expense from CFDs amounting to USD4,298,334 and USD720,953, respectively, were reclassed from net realised and unrealised loss on financial assets and liabilities at fair value through profit or loss to interest income on financial assets and liabilities at fair value through profit or loss and interest expense in the Statement of Comprehensive Income, to be consistent with the current year’s policy. 221 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (e) Dividend income Dividend income is recognised when the right to receive payment is established and is recorded gross of any non- reclaimable withholding taxes incurred on an ex-dividend date basis. Dividend income relating to equity securities is recognised in profit or loss in the Statement of Comprehensive Income on the ex-dividend date. Dividend income is presented gross of withholding taxes, which are disclosed separately in the Statement of Comprehensive Income. (f) Forward currency contracts A 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 not traded on exchanges, rather they are traded over- the-counter (“OTC”). Forward currency contracts will be 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 gains or losses on open forward currency contracts are calculated as the difference between the contract rate and this forward price, and are recognised in profit or loss in the Statement of Comprehensive Income, along with realised gains or losses on settled forward currency contracts. (g) Contracts for difference CFDs are agreements between the Fund and third parties, which allow the Fund to acquire an exposure to the price movement of specific securities without actually purchasing the securities. Upon entering into a CFD, the Fund is required to deposit with a broker an initial margin equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Fund equal to the fluctuation in the value of the underlying securities. The changes in contract values are recorded as unrealised gains or losses and the Fund recognises a realised gain or loss when the contract is closed or when offsetting contracts have been entered into. Realised gains and losses and unrealised gains and losses on CFDs are recognised in profit or loss in the Statement of Comprehensive Income. (h) Futures contracts A futures contract is an agreement between two parties to buy or sell an equity, bond, commodity, index, interest rate or currency at a specific price or rate for delivery at a future date. Futures contracts are exchange-traded, rather than OTC. Upon entering into a futures contract, the Fund is required to deposit with a broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as “initial margin”. Subsequent payments (“variation margin”) are made or received by the Fund each day, depending upon the daily fluctuation in the value of the contract. The daily changes in contract value are recorded as unrealised gains or losses and the Fund recognises a realised gain or loss when the contract is closed. Realised gains or losses and unrealised gains or losses on futures contracts are recognised in profit or loss in the Statement of Comprehensive Income. (i) Foreign currency translation The financial statements of the Fund are presented in USD, which represents its functional currency. Transactions in a currency other than USD are translated at the foreign exchange (“FX”) rate ruling at the date of the transactions. Gains and losses on foreign exchange transactions are recognised in the Statement of Comprehensive Income in determining the result for the financial year. Assets and liabilities denominated in a currency other than USD are translated into USD at the spot exchange rate at the reporting date. (j) Cash and cash equivalents Cash comprises of cash on hand and demand deposits. Cash equivalents are short-term, highly liquid investments with original maturities of three months or less from the date of acquisition that are readily convertible to known amounts of cash and which are subject to insignificant changes in value and are held for the purpose of meeting short-term cash commitments rather than for investment or other purposes. 222 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (k) Taxation Under current law and practice, the Fund qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis it is not chargeable to Irish tax on its income or gains. However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to Shareholders or any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end of each eight year period beginning with the acquisition of such shares. No Irish tax will arise in the Fund in respect of chargeable events in respect of: (a) A Shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997, as amended, are held by the Fund; or the Fund has been authorised by the Irish Revenue to make gross payments in the absence of appropriate declarations; and (b) Certain exempted Irish tax resident Shareholders who have provided the Fund with the necessary signed Annual declarations. In determining the provision for taxes payable on income, the Fund provides for uncertain tax positions that are more likely than not to create a tax obligation assuming inspection by the relevant tax authorities. The amount provided is either the most likely amount payable or the expected value of the payable amount, whichever approach provides a better prediction in the specific circumstances. Dividends, interest and capital gains (if any) received on investments made by the Fund may be subject to withholding taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the Fund or its Shareholders. (l) Expenses All expenses are recognised in the Statement of Comprehensive Income on an accruals basis. (m) Transaction fees Transaction fees are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. For the year ended 29 February 2020, transaction fees amounted to USD807,940 (28 February 2019: USD278,270). (n) Dividends Proposed dividends to holders of redeemable participating shares are recognised in the Statement of Comprehensive Income when they are appropriately authorised and no longer at the discretion of the Fund. (o) Net assets attributable to holders of redeemable participating shares The liability to redeemable participating Shareholders is presented in the Statement of Financial Position as “net assets attributable to holders of redeemable participating shares” and is determined based on the residual assets of the Fund after deducting all other liabilities. The prices at which redeemable participating shares may be issued or redeemed are calculated by reference to Fund’s net asset value calculated daily in accordance with the Prospectus and Instrument of Incorporation. 223 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 2. Significant accounting policies (continued) (p) Redeemable participating shares All redeemable participating shares issued by the Fund provide Shareholders with the right to require redemption in cash or in specie from assets of the relevant Fund at the value proportionate to the Shareholder’s share in the Fund’s net assets at the redemption date. In accordance with IAS 32 Financial Instruments: Presentation (“IAS 32”) such instruments meet the definition of puttable instruments. Redeemable participating shares are redeemable at the Shareholders’ option. These redeemable participating shares are neither in the most subordinated class of instruments in the Fund nor do they have identical features. Accordingly all share classes meet the conditions for puttable instruments and have been classified as financial liability instruments. Financial liabilities arising from the redeemable participating shares issued by the Fund are measured at the present value of the redemption amounts representing the Shareholder’s right to a residual interest in the Fund’s assets. (q) Segregated Liability Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The ICAV has availed of the segregated liability provision of Section 35 of the ICAV Act. The adoption of segregated liability ensures that liability incurred on behalf of a Fund will generally be discharged solely out of the assets of that Fund and there can generally be no recourse to other Funds to satisfy these liabilities. Notwithstanding the foregoing there can be no guarantee that should an action be brought against the ICAV in the court of another jurisdiction that the segregated nature of the Funds would necessarily be upheld. (r) Standards, interpretations and amendments to published standards that are effective and which have been adopted The IFRS Interpretations Committee (“IFRIC”) published a new interpretation IFRIC 23 “Uncertainty over Income Tax Treatments”, specifying how entities should reflect uncertainty in accounting for income taxes, effective for financial periods beginning on or after 1 January 2019. IFRIC 23 addresses the previous lack of guidance in IAS 12 “Income Taxes”, which specifies how to account for current and deferred tax, but not how to reflect the effects of uncertainty. The Board of Directors evaluated the effect of IFRIC 23 and deemed that it did not have an effect on the financial statements, since the majority of the Fund’s financial instruments are, in the opinion of the Board of Directors, not subject to material uncertain tax treatment. (s) New standards, amendments and interpretations that are not yet effective and which have not been early adopted There are no standards, interpretations or amendments to existing standards that are not yet effective that would be expected to have a significant impact on the Fund. 3. Cash and cash equivalents Cash and cash equivalents amounting to USD75,208,228, USD1,741,855 and USD67,099,696 were held at BNY Mellon SA/NV, Citco Bank Nederland, N.V. and State Street Bank and Trust Company, respectively, as at 29 February 2020 (2019: USD61,836,508 held at State Street Bank and Trust Company). Cash equivalents held with State Street Bank and Trust Company as at 29 February 2020 pertain to money market instruments. 224 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 4. Balances due from/to brokers The table below details the amounts held with and the amounts due from/to the Fund’s brokers at the reporting dates. 29 February 2020 28 February 2019 USD USD Margin accounts 114,901,605 124,073,486 Cash collateral for borrowed securities 3,103,322 43,289,633 Balances due from brokers 118,004,927 167,363,119 Purchases awaiting settlement (677,490) – Balances due to brokers (677,490) – Balances due from brokers include margin cash held by Goldman Sachs International, Morgan Stanley & Co. International plc. (“Morgan Stanley”), Societe Generale International Limited (“Societe Generale”) and UBS AG, London Branch (“UBS AG”). Margin accounts represent cash deposited with brokers transferred against open forward foreign currency exchange contracts, CFDs and futures contracts. 5. Investment management, performance and operational expense fees Investment management fee The Investment Manager receives from the Fund an investment management fee (“Investment Management Fee”) equal to: (i) 1/12 of 0.85 per cent per month of the net asset value of Class I Shares and Class I-2 Shares; (ii) 1/12 of 0.92 per cent per month of the net asset value of Class I-P Shares; and (iii) 1/12 of 1.20 per cent per month of the net asset value of Class I-D1 Shares, (after deduction of any accrued Investment Management Fees and before deduction of any accrued performance fees). Such fee is payable monthly and is accrued and calculated as at 11.59 p.m. (Dublin time) on the relevant dealing day (“Valuation Point”). Investment management fees of USD7,111,534 (2019: USD5,245,111) were incurred during the year of which USD619,334 (2019: USD468,861) was outstanding at year end. The amounts incurred in respect of the Investment Management Fee during the financial year are disclosed in the Statement of Comprehensive Income and any amounts outstanding in respect of the Investment Management Fee are disclosed in the Statement of Financial Position. Performance fee The Investment Manager is entitled to receive a performance fee in respect of all Shares. The Performance Fee is calculated in respect of each one year period ending on the last Business Day in June (a “Calculation Period”). However, the first Calculation Period in respect of a Class which are subscribed for during the Initial Offer Period will be the year commencing on the first Business Day immediately following the close of the Initial Offer Period for the relevant Class, and ending on the last Business Day immediately following June. The Initial Offer Price will be taken as the starting price of the first Calculation Period. 225 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 5. Investment management, performance and operational expense fees (continued) Performance fee (continued) The Performance Fee is calculated and accrued as at each Valuation Point. The Performance Fee is normally payable to the Investment Manager in arrears within 14 calendar days of the end of each Calculation Period. However, in the case of Shares redeemed during a Calculation Period, the accrued Performance Fee in respect of those Shares is payable within 14 calendar days after the date of redemption. Performance Fees which are crystallised (i.e. have become payable) but are not yet paid shall remain in the relevant Class (but shall not participate in subsequent gains and losses of that Class) and shall not be used or made available to satisfy redemptions or pay any fees and expenses of the relevant Class. In the event of a partial redemption, Shares will be treated as redeemed on a first in, first out (“fifo”) basis. The Performance Fee is based on the net realised and unrealised gains and losses as at the end of each Calculation Period and, as a result, a Performance Fee may be paid on unrealised gains which may subsequently never be realised. The Performance Fee in respect of each Calculation Period is calculated by reference to the Net Asset Value before deduction for any accrued Performance Fee and after any dividends or income distributed to Shareholders during the relevant Calculation Period in question have been added back. If the Investment Management Agreement is terminated during a Calculation Period, the Performance Fee in respect of the then current Calculation Period will be calculated and paid as though the date of termination were the end of the relevant Calculation Period. For each Calculation Period, the Performance Fee payable in respect of all Shares is equal to 18 per cent of any “New Net Appreciation”. New Net Appreciation shall equal the amount, if any, by which the Net Asset Value of the relevant Class (prior to any deduction for the accrued Performance Fee payable in respect of the period) as of the last Valuation Point of the relevant Calculation Period exceeds the “High Water Mark” (as defined below) for the relevant Class increased by the Total Hurdle Adjustment as at that time. The High Water Mark is calculated as follows: (a) For any Class with respect to which a Performance Fee has previously been paid, the High Water Mark shall be the Net Asset Value of that Class as of the end of the most recent Calculation Period in respect of which a Performance Fee was paid in respect of that Class (after the deduction for the Performance Fee then paid). The Net Asset Value referred to in the previous sentence shall be (i) increased by an amount equal to any Subscriptions made to the Class and (ii) reduced proportionately whenever Redemptions and distributions are made from the Class by being multiplied by the fraction, the numerator of which is the Net Asset Value of the Class immediately after, and the denominator of which is the Net Asset Value of the Class immediately prior to, any such redemption (the Net Asset Value of the Class in each case to be calculated prior to deduction for any accrued Performance Fee); and (b) For any Class in respect of which no Performance Fee has ever been paid then: i) With respect to Class I-Shares, Class I-D1 Shares and Class I-P Shares, the High Water Mark shall equal the initial capital of the relevant Class immediately following the close of the Initial Offer Period. The initial capital referred to in the previous sentence shall be (i) increased by an amount equal to any Subscriptions made to the Class and (ii) reduced proportionately whenever Redemptions and distributions are made from the relevant Type by being multiplied by the fraction, the numerator of which is the Net Asset Value of the relevant Class immediately after, and the denominator of which is the Net Asset value of the relevant Class immediately prior to, any such redemption (the Net Asset of the relevant Class in each case to be calculated prior to deduction for any accrued Performance Fee); and ii) With respect to Class I-2 Shares, the High Water Mark shall be calculated as set out in (i) then multiplied by 1.06. The Fund incurred the performance fees of USD491,115 during the year ended 29 February 2020 (28 February 2019: USD941,742) and the performance fees payable as at 29 February 2020 amounted to USD332,453 (28 February 2019: USD2,534). 226 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 5. Investment management, performance and operational expense fees (continued) Operational expense limit Up until 1 May 2020, the Shareholders in the Fund bore operational expenses of up to 0.36 per cent per annum of the Net Asset Value of the Fund (after deduction of any accrued Investment Management Fees or Value Added Tax, if any, on such a fee and before deduction for any accrued Performance Fees) (“Operational Expense Limit”). Ongoing operational and other general expenses and fees of the ICAV attributable to the Fund, including the fees of the Administrator and the Depositary (but excluding transactional expenses and fees such as expenses and fees described in (a), (b), (e) and (g) in the “General Expenses and Fees” section of the Prospectus) in excess of the Operational Expense Limit, were funded by the Investment Manager from its own resources. Operating expense rebate of USDNil (2019: USD562,461) were recognised during the year of which USD562,461 (2019: USD562,461) remained as receivable at year end. 6. Auditor fees The following is a summary of the fees (excluding VAT and including expenses) charged to the Fund by the Fund’s auditor, KPMG, for the years ended 29 February 2020 and 28 February 2019: Name 29 February 2020 28 February 2019 USD USD Statutory audit services 22,880 21,977 22,880 21,977 Auditor fees of USD22,880 (2019: USD21,977) were incurred during the year of which USD24,411 (2019: USD21,977) was outstanding at year end. No non-audit services were provided to the Fund during the years ended 29 February 2020 and 28 February 2019. 7. Share capital The ICAV has capital requirements externally imposed by the Central Bank of Ireland. As mentioned in Note 1, effective 1 July 2019, the ICAV converted from a self-managed investment vehicle to an externally managed investment vehicle. As at 1 July 2019, the capital relevant to the ICAV is that of the Manager, which was EUR435,494 or equivalent. Prior to 1 July 2019, the ICAV had a minimum capital requirement of EUR300,000 or equivalent. The authorised share capital of the ICAV is 500,000,000,000 participating shares of no par value and 300,002 non- participating shares of no par value issued at EUR1 each. Non-participating shares do not entitle the holders thereof to any dividend and on a winding up entitle the holders thereof to receive the consideration paid up thereon but do not otherwise entitle them to participate in the assets of the ICAV. There are no rights of pre-emption upon the issue of participating shares in the ICAV. Every Shareholder or holder of non-participating shares present in person or by proxy who votes on a show of hands shall be entitled to one vote. The capital of the Fund is represented by the net assets attributable to holders of redeemable participating shares. The net assets attributable to holders of redeemable participating shares can change significantly on a daily basis as the Fund is subject to daily subscriptions and redemptions at the discretion of the Shareholders. The Fund’s objective when managing capital is to safeguard the Fund’s ability to continue as a going concern in order to provide returns for Shareholders and benefits for other stakeholders and to maintain a strong capital base to support the development of the investment activities in the Fund. 227 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 7. Share capital (continued) In order to maintain or adjust the capital structure, the Fund’s policy is to perform the following: • Monitor the level of daily subscriptions and redemptions; • Monitor the assets it expects to be able to liquidate; and • Redeem and issue new shares in accordance with the constitutional documents of the Fund. The Board and the Investment Manager monitor capital on the basis of the value of the net assets attributable to holders of redeemable participating shares. The available share class and the minimum holding, the minimum subscription and the minimum additional subscription for each share class in respect of the Fund is set out in the Supplement to the Prospectus. The limits for minimum subscription, minimum additional subscription and minimum holding for any class of shares may be waived or reduced by the Directors in their absolute discretion, or following a recommendation of the Investment Manager. Further information in relation to subscription restrictions and redemption restrictions is also disclosed in the Supplement. If at the end of a Calculation Period, any I Shares and its Corresponding Class (as set out in the table below) of I-2 Shares have both achieved Net New Appreciation on which a Performance Fee is payable as at the end of that Calculation Period, then such I-2 Shares will be consolidated into the Corresponding Class of I Shares. To effect the consolidation, the relevant I-2 Shares will be redeemed and the redemption proceeds automatically reinvested into the Corresponding Class of I Shares. Any I-2 Shares which have been consolidated in accordance with this paragraph shall cease to exist. Share transactions for the financial year ended 29 February 2020 for the ICAV were as follows: Shares as at Shares as at 28 February Shares Shares 29 February 2019 issued redeemed 2020 Non-participating shares 2 – – 2 Share transactions for the financial year ended 28 February 2019 for the ICAV were as follows: Shares as at Shares as at beginning of Shares Shares 28 February period issued redeemed 2019 Non-participating shares 2 – – 2 228 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 7. Share capital (continued) Share transactions for the financial year ended 29 February 2020 in respect of the Fund were as follows: NAV per Shares as at Shares as at Share Class 28 February Shares Shares 29 February 29 February 2019 issued redeemed 2020 2020 Class CHF I 88,114 3,291 (86,581) 4,824 CHF95.803 Class EUR I 1,737,791 2,186,361 (765,395) 3,158,757 EUR97.254 Class EUR I-P 110,924 108,501 (139,327) 80,098 EUR92.041 Class EUR I-2 610,162 – (343,677) 266,485 EUR98.316 Class GBP I Distribution 1,987,872 1,114,693 (924,771) 2,177,794 GBP99.580 Class GBP I-2 Distribution 784,030 98 (146,338) 637,790 GBP101.131 Class USD I 565,232 784,118 (335,832) 1,013,518 USD103.447 Class USD I-D1 – 400 (290) 110 USD95.112 Class USD I-P – 17,389 – 17,389 USD96.286 Share transactions for the financial year ended 28 February 2019 in respect of the Fund were as follows: NAV per Shares at Shares at Share Class 28 February Shares Shares 28 February 28 February 2018 issued redeemed 2019 2019 Class CHF I 16,890 74,094 (2,870) 88,114 CHF100.442 Class EUR I 334,077 1,538,875 (135,161) 1,737,791 EUR101.524 Class EUR I-P – 346,359 (235,435) 110,924 EUR96.183 Class EUR I-2 915,958 – (305,796) 610,162 EUR102.617 Class GBP I Distribution 174,935 1,996,410 (183,473) 1,987,872 GBP102.833 Class GBP I-2 Distribution 869,607 – (85,577) 784,030 GBP104.398 Class USD I 80,801 640,482 (156,051) 565,232 USD105.277 Class USD I-2 170,665 – (170,665) – – The NAV per Share Class for the financial period ended 28 February 2018 in respect of the Fund were as follows: NAV per Share Class 28 February 2018 Class CHF I CHF103.820 Class EUR I EUR104.469 Class EUR I-2 EUR105.532 Class GBP I Distribution GBP104.762 Class GBP I-2 Distribution GBP106.072 Class USD I USD105.551 Class USD I-2 USD107.058 229 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks The Fund is exposed to market risk, liquidity risk, credit risk and operational risk arising from the financial instruments held by the Fund. A summary of the risk exposures of the Fund are outlined below. The Fund’s strategy on the management of investment risk is driven by the investment objective of the Fund as outlined in Note 1 to the financial statements. Calculation of global exposure Where deemed appropriate, and subject to the UCITS Regulations and the Central Bank UCITS Regulations, the Fund may employ leverage including, without limitation, by entering into derivatives transactions. The Fund has adopted the absolute Value at Risk (“VaR”) approach for the calculation of global exposure. As set out in the UCITS Regulations, funds that follow the absolute VaR approach should limit their VaR of the portfolio to 20% of NAV (calculated using a confidence level of 99% and a holding period of 20 days). Throughout the reporting period the Fund operated at VaR levels below this limit. As at 29 February 2020, the 20 day 99% VaR value was 6.10% (28 February 2019: 3.30%). The Fund employs leverage and monitors its level in accordance with the Central Bank of Ireland ’s requirements. Leverage is calculated both in terms of the commitment method and Winton’s proprietary methodology – the main difference being the treatment of short term interest rate derivative exposures. The commitment method refers to the sum of the notional exposures of derivative instruments in the Fund, whereas the interest rate exposures within Winton’s own method are duration adjusted. As at 29 February 2020, leverage calculated using the UCITS commitment approach was 812% (28 February 2019: 975%). Gross leverage calculated according to Winton's own methodology was 361% (28 February 2019: 276%). Limitations of VaR Although VaR is an important tool for measuring market risk, the assumptions on which the model is based give rise to some limitations, including the following: • There is a 5% probability that losses could exceed the VaR estimate, but no attempt is made to quantify by how much a “worst case” loss may exceed this estimate; • The VaR measure is dependent on the Fund’s positions, correlations and volatility of market prices; • The parameters used within the VaR model and the validity of the associated inputs have a significant impact on the VaR estimate; and • VaR calculation is based on historic data over a defined lookback period. Future market movements may vary significantly from those in the past. (a) Market risk Market risk is the risk that the fair value of financial assets or liabilities will fluctuate because of changes in amongst other things: foreign exchange rates, interest rates and equity prices. These fluctuations have the potential for both losses and gains and includes currency risk, interest rate risk and price risk. Changes in market prices will directly affect net income. (i) Market price risk Market price risk is the risk that the value of a financial instrument will fluctuate as a result of changes in market prices, other than those arising from currency risk or interest rate risk. Price movements are influenced by, among other things, changing supply and demand relationships, monetary and exchange control programs, policies of governments, political and economic events, and policies and emotions of the marketplace. 230 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) Limitations of VaR (continued) (a) Market risk (continued) (i) Market price risk (continued) During the years ended 29 February 2020 and 28 February 2019, the Fund invested primarily in debt securities, forward foreign currency exchange contracts, CFDs and futures contracts which are susceptible to a market price risk arising from uncertainties about future prices of the financial instruments. All security investments present a risk of loss of capital. The Investment Manager seeks to mitigate risk by diversification across sectors, countries and companies, and opportunities from across the market capitalisation spectrum. Exposures are driven by the quantitative computer model designed by the Investment Manager. In addition, market price risk may be hedged using derivative financial instruments such as forward foreign currency exchange contracts, CFDs or futures contracts. Details of the industry sector of the Fund’s net financial assets and liabilities at fair value through profit or loss, as at 29 February 2020 and 28 February 2019 were as follows: Sector 29 February 2020 28 February 2019 USD % USD % Base metals 21,341,447 3.70 22,241,896 4.40 Bonds 11,535,917 2.00 12,131,944 2.40 Crops 48,450,852 8.40 71,275,168 14.10 Currencies 95,171,317 16.50 94,022,562 18.60 Energies 41,529,302 7.20 86,945,595 17.20 Equities 137,277,415 23.80 101,605,028 20.10 Indices 148,813,333 25.80 58,132,229 11.50 Livestock 8,651,938 1.50 9,604,455 1.90 Precious metals 51,911,627 9.00 28,813,366 5.70 Rates 12,112,713 2.10 20,725,404 4.10 Total 576,795,861 100.00 505,497,647 100.00 The Investment Manager manages and monitors positions on a daily basis, and seeks to mitigate market price risk. (ii) Currency risk The Fund may invest in assets denominated in currencies other than its functional currency, which is USD. Consequently, the Fund is exposed to risks that the exchange rate of the functional currency relative to other currencies traded, may change in a manner that has an adverse effect on the reported value of that portion of its assets. The Investment Manager monitors currency risk on a regular basis recognising that it is the strategy of the Fund to have exposure to assets denominated in currencies other than its functional currency. 231 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) (a) Market risk (continued) (ii) Currency risk (continued) As at 29 February 2020 and 28 February 2019, the Fund’s total net exposure to fluctuations in foreign currency exchange rates was as follows: 29 February 2020 28 February 2019 USD USD Assets Australian Dollar 362,233 366,504 Brazilian Real 272 68,373 Canadian Dollar 556,330 328,413 Chilean Peso – 3,726 Danish Krone (237,894) (2,955) Euro 8,247,272 4,328,962 Hong Kong Dollar 1,061,623 134,937 Indian Rupee – 213,829 Indonesian Rupiah – 214,683 Japanese Yen (245,132) 1,040,249 Malaysian Ringgit 1,854 – Mexican Peso 20,183 – New Taiwan Dollar 2,899 365 New Zealand Dollar 38,987 1,490 Norwegian Krone (75,615) 83,897 Philippine Peso – 43,784 Polish Zloty (185,187) 10,984 Pound Sterling 979,804 6,768,940 Russian Ruble – 60,089 Singapore Dollar (108,509) 143,671 South African Rand 165,547 248,532 South Korean Won 1,107,544 105,822 Swedish Krona 1,720,128 157,810 Swiss Franc (862,853) 44,236 Turkish Lira (342,484) 136,083 Yuan Renminbi – 1 Yuan Renminbi Offshore – 270,951 Total foreign currency exposure 12,207,002 14,773,376 US Dollar 886,029,687 754,435,927 Total assets 898,236,689 769,209,303 232 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) (a) Market risk (continued) (ii) Currency risk (continued) 29 February 2020 28 February 2019 USD USD Liabilities Australian Dollar (1,103,257) (73,877) Brazilian Real (217) (97,641) Canadian Dollar (848,126) (102,898) Chilean Peso – (5,000) Danish Krone (744) – Euro (10,018,163) (746,007) Hong Kong Dollar (110,378) (4,293) Indian Rupee – (27,821) Japanese Yen (3,787,148) (1,797) Mexican Peso (438) – New Taiwan Dollar – (9,288) New Zealand Dollar (41,170) (1,515) Norwegian Krone (2,148) (464,911) Polish Zloty (1,040) (26,662) Pound Sterling (11,498,737) (50,969) Russian Ruble – (9,229) Singapore Dollar (12,435) – South African Rand (204,792) (61,927) South Korean Won (876,606) (16,673) Swedish Krona (1,282,735) (201,832) Swiss Franc (112,268) – Turkish Lira (15,119) (559) Yuan Renminbi Offshore – (389,239) Total foreign currency exposure (29,915,521) (2,292,138) US Dollar (26,992,053) (33,416,157) Total liabilities (56,907,574) (35,708,295) (iii) Interest rate risk Interest rate risk arises from the effects of fluctuations in the prevailing levels of market interest rates on the fair value of financial assets and future cash flow. The Fund is also exposed to interest rate risk as a portion of the Fund’s financial assets are interest bearing. As at 29 February 2020, the Fund’s excess cash is invested in securities with a maximum maturity of 24 months. As a result, the Fund is subject to limited exposure to fair value interest rate risk due to fluctuations in the prevailing levels of market interest rates. 233 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) (a) Market risk (continued) (iii) Interest rate risk (continued) Interest income and expense calculated using the effective interest method is as follows: 29 February 2020 28 February 2019 USD USD Interest income calculated using the effective interest method on financial assets carried at amortised cost: Balances due from brokers 4,206,189 2,302,554 Total 4,206,189 2,302,554 29 February 2020 28 February 2019 USD USD Interest income calculated using the effective interest method on financial assets carried at fair value through profit or loss: CFDs 152,347 – Debt securities 12,255,894 4,298,334 Total 12,408,241 4,298,334 29 February 2020 28 February 2019 USD USD Interest expense calculated using the effective interest method on financial liabilities carried at amortised cost: Balances due to brokers 247,563 1,790 Total 247,563 1,790 29 February 2020 28 February 2019 USD USD Interest expense calculated using the effective interest method on financial liabilities carried at fair value through profit or loss: CFDs 6,445,971 720,953 Total 6,445,971 720,953 (iv) Emerging market securities risk The Fund may invest in emerging market securities and CFDs which may involve a greater degree of risk than an investment in securities and CFDs of issuers based in developed countries. Among other things, emerging market securities investments may carry the risks of less publicly available information, more volatile markets, less strict securities market regulation, less favourable tax provisions, and a greater likelihood of severe inflation, unstable or not freely convertible currency, war and expropriation of personal property than investments in securities of issuers based in developed countries. Placing securities with a Depositary (within the Depositary’s custodial network) in an emerging market country may also present considerable risks. In addition, the Fund’s investment opportunities in certain emerging markets may be restricted by legal limits on foreign investment in local securities. 234 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) (b) Liquidity risk Liquidity risk is the risk that the Fund will encounter difficulty in meeting its obligations associated with financial liabilities that are settled by delivering cash or another financial asset. Exposure to liquidity risk arises because of the possibility that the Fund could be required to pay its liabilities or redeem its shares earlier than expected. The Fund is exposed to cash redemptions of its shares on a daily basis. Shares are redeemable at the holder’s option based on the Fund’s net asset value per share at the time of the redemption which is calculated in accordance with the Prospectus and Supplement. In order to facilitate the investment process and maintain liquidity in the Fund, the Directors may defer redemptions at a particular Dealing Day to the next Dealing Day, where the requested redemptions exceed 10% of the Fund’s net asset value. As the Fund is UCITS regulated, it is limited in the types of investments it can acquire. The majority of these investments are restricted to securities listed on recognised exchanges and CFDs based on securities listed on recognised exchanges, with the exception of permitted investments in unlisted securities in accordance with the regulations. All of the Fund’s securities are considered to be readily realisable as they are listed on major stock exchanges or derivatives based on securities that are listed on major stock exchanges. The Investment Manager monitors liquidity on a regular basis and seeks to mitigate this risk by investing in securities it considers to be sufficiently liquid, including debt securities held as part of the cash management portfolio, and reviewing daily liquidity reports. As at 29 February 2020 and 28 February 2019, the Fund’s other non-derivative liabilities are short term in nature and are expected to be settled within six months. (c) Credit risk Credit risk is the risk that the counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund which will cause a financial loss. Financial assets, which potentially expose the Fund to credit risk, consist principally of cash and cash equivalents, balances due from brokers, investments in debt securities, investments in derivative assets and receivables for securities sold. The Fund’s cash balances are primarily with high credit quality, well-established financial institutions. The extent of the Fund’s exposure to credit risk in respect of these financial assets approximates their carrying value as recorded in the Statement of Financial Position. With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement. In accordance with usual banking practice, the Depositary’s liability to the Fund in respect of such cash deposits shall be that of a debtor and the Fund will rank as a general creditor of the Depositary. The non-cash financial assets are held with the Depositary. These assets are held distinct and separately from the proprietary assets of the Depositary. Securities are clearly recorded to ensure they are held on behalf of the Fund. Bankruptcy or insolvency of the Depositary and/or one of its agents or affiliates may cause the Fund’s rights with respect to the securities held by the Depositary to be delayed or limited. 235 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) (c) Credit risk (continued) The main counterparty credit risk as at 29 February 2020 is as follows: Net Credit Cash Balances financial rating and cash due from assets/ Total Counterparty S&P* equivalents brokers liabilities 2020 USD USD USD USD Broker and EMIR Reporting Provider Goldman Sachs International BBB+ – 24,767,394 23,301,772 48,069,166 Depositary BNY Mellon SA/NV A 75,208,228 – 591,129,064 666,337,292 FX Prime Brokers and Clearing Brokers Societe Generale A – 19,751,881 (13,728,653) 6,023,228 UBS AG A- – 71,724,065 (23,884,600) 47,839,465 Payment Bank Citco Bank Nederland N.V. NR 1,741,855 – – 1,741,855 Prime Broker Morgan Stanley BBB+ – 1,761,587 (21,722) 1,739,865 Other State Street Bank and Trust Company** A 67,099,696 – – 67,099,696 Total 144,049,779 118,004,927 576,795,861 838,850,567 * The long-term debt credit ratings disclosed relate to Standard and Poor’s ratings of the ultimate parent of the entities above. ** Money market instruments are held with State Street Bank and Trust Company. 236 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 8. Financial instruments disclosures and associated risks (continued) (c) Credit risk (continued) The main counterparty credit risk as at 28 February 2019 is as follows: Net Credit Cash Balances financial rating and cash due from assets/ Total Counterparty S&P* equivalents brokers liabilities 2019 USD USD USD USD Depositary State Street Bank and Trust Company A 61,836,508 – 505,497,647 567,334,155 FX Prime Brokers and Clearing Brokers Societe Generale A – 93,315,564 – 93,315,564 UBS AG A- – 73,201,087 – 73,201,087 Prime Broker Morgan Stanley BBB+ – 846,468 – 846,468 Total 61,836,508 167,363,119 505,497,647 734,697,274 * The long-term debt credit ratings disclosed relate to Standard and Poor’s ratings of the ultimate parent of the entities above. The Fund’s credit risk is managed on a regular basis by the Investment Manager through monitoring of the counterparty’s creditworthiness, with particular reference to share price changes, credit ratings and credit spreads. (d) Operational risk The Fund is also exposed to operational risks such as custody risk. Custody risk is the risk of loss of securities held in custody occasioned by the insolvency of the Depositary. Although an appropriate legal framework is in place and the assets of the Fund are segregated from the assets of the Depositary and its affiliates, in the event of the insolvency of the Depositary, the ability of the Fund to calculate the net asset values of the Fund (and, therefore, accept subscriptions and redemptions of shares), transfer securities, or fulfil the investment objectives of the Fund might be impaired. The Investment Manager performs due diligence of the Fund’s counterparties before entering into any form of contract and ongoing monitoring of their performance and operational controls. In addition, the Fund’s key counterparties receive a formal due diligence review on a regular basis, consistent with that counterparty’s risk ranking, to verify that each party is carrying out its obligations effectively and in compliance with its contractual obligations and applicable law and regulation. The Fund’s objective is to manage operational risk so as to balance the limiting of financial losses and damage to its reputation with achieving its investment objective of generating returns to Shareholders. (e) Brexit and the United Kingdom’s membership of the European Union The United Kingdom ceased to be a member of the European Union on 31 January 2020. A transition period is expected to remain in place in the short term. The Board of Directors are aware of, and are monitoring on an ongoing basis, the developments. The Board of Directors do not believe that this will present any significant risks to the Fund and, if required, appropriate contingency arrangements will be put in place. 237 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 9. Offsetting financial assets and financial liabilities The Fund is eligible to present net on the Statement of Financial Position, certain financial assets and financial liabilities according to criteria described in Note 2(c)(vi). As at 29 February 2020 and 28 February 2019, the Fund held certain financial assets and financial liabilities that met the eligibility criteria for offsetting and these were presented on the Statement of Financial Position. The columns “Related amounts not offset in the Statement of Financial Position” disclose the amounts with respect to derivative financial instruments which are subject to master netting arrangements but were not offset as they did not meet the net settlement/simultaneous settlement criteria or because the rights to offset are conditional upon the default of the counterparty only. The cash balances and balances due from brokers held with the counterparties are disclosed in Note 3 and Note 4, respectively. The following tables provide information on the potential financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement as at 29 February 2020. Gross amounts of recognised Net amounts Related amounts not offset liabilities of assets in the Statement of Financial Gross offset in the presented in Position amounts of Statement of the Statement Cash recognised Financial of Financial Financial collateral assets Position Position instruments received Net amount USD USD USD USD USD USD Derivative contracts Goldman Sachs International 18,902 – 18,902 (20) – 18,882 Morgan Stanley 987 – 987 (987) – – Societe Generale 996,008 – 996,008 (996,008) – – UBS AG 11,006,644 – 11,006,644 (11,006,644) – – Total 12,022,541 – 12,022,541 (12,003,659) – 18,882 238 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 9. Offsetting financial assets and financial liabilities (continued) Gross amounts of recognised Net amounts Related amounts not offset assets of liabilities in the Statement of Financial Gross offset in the presented in Position amounts of Statement of the Statement Cash recognised Financial of Financial Financial collateral liabilities Position Position instruments pledged Net amount USD USD USD USD USD USD Derivative contracts Goldman Sachs International (20) – (20) 20 – – Morgan Stanley (22,709) – (22,709) 987 21,722 – Societe Generale (14,724,661) – (14,724,661) 996,008 – (13,728,653) UBS AG (34,891,245) – (34,891,245) 11,006,644 – (23,884,601) Total (49,638,635) – (49,638,635) 12,003,659 21,722 (37,613,254) The following tables provide information on the potential financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement as at 28 February 2019. Gross amounts of recognised Net amounts Related amounts not offset liabilities of assets in the Statement of Financial Gross offset in the presented in Position amounts of Statement of the Statement Cash recognised Financial of Financial Financial collateral assets Position Position instruments received Net amount USD USD USD USD USD USD Derivative contracts Societe Generale 3,087,056 – 3,087,056 (181,755) – 2,905,301 UBS AG 13,773,707 – 13,773,707 (7,747,639) (69,794) 5,956,274 Total 16,860,763 – 16,860,763 (7,929,394) (69,794) 8,861,575 Gross amounts of recognised Net amounts Related amounts not offset assets of liabilities in the Statement of Financial Gross offset in the presented in Position amounts of Statement of the Statement Cash recognised Financial of Financial Financial collateral liabilities Position Position instruments pledged Net amount USD USD USD USD USD USD Derivative contracts Societe Generale (181,755) – (181,755) 181,755 – – UBS AG (7,747,639) – (7,747,639) 7,747,639 – – Total (7,929,394) – (7,929,394) 7,929,394 – – 239 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 10. Fair value measurements recognised in the Statement of Financial Position Fair value measurements are categorised into Levels 1 to 3 based on the degree to which the inputs to the fair value measurements are observable and the significance of the inputs to the fair value measurement in its entirety, which are described as follows: • Level 1 fair value measurements are those derived from quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date; • Level 2 fair value measurements are those derived from inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (i.e. as prices) or indirectly (i.e. derived from prices). This category includes instruments valued using; quoted market prices in active markets for similar instruments; quoted prices for identical or similar instruments in markets that are not considered active; or other valuation techniques in which all significant inputs are directly or indirectly observable from market data; and • Level 3 fair value measurements are those derived from valuation techniques that include inputs for the asset or liability that are not based on observable market data (unobservable inputs). Investments Investments whose values may be obtained from quoted prices in active markets and are therefore classified in Level 1 include government bonds and futures contracts. The ICAV does not adjust the quoted price for such instruments. Derivatives Derivative instruments can be exchange-traded or privately negotiated OTC derivatives. Exchange-traded derivatives, such as futures contracts, are typically classified within Level 1 as they are deemed to be actively traded. OTC derivatives, in this case forward foreign currency exchange contracts and CFDs, are valued by the Fund using observable inputs, such as quotations received from the counterparty, dealers or broker, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. OTC derivatives, such as forward foreign currency exchange contracts and CFDs, may have inputs which can generally be corroborated by market data and therefore classified within Level 2. The Fund accounts for the payment and receipt of variation margin for centrally cleared derivatives and futures contracts that are characterised as collateralised-to-market as daily changes in collateral receivable from or payable to the clearing house. Gains or losses from collateralised-to-market contracts are not realised until the contracts expire or are settled. All fair value measurements disclosed are recurring fair value measurements. 240 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 10. Fair value measurements recognised in the Statement of Financial Position (continued) The following tables provide an analysis of financial assets and liabilities at fair value through profit or loss as at 29 February 2020. Level 1 Level 2 Level 3 Total USD USD USD USD Financial assets at fair value through profit or loss Transferable securities Government bonds 520,928,677 – – 520,928,677 Other debt securities – 93,483,278 – 93,483,278 Total transferable securities 520,928,677 93,483,278 – 614,411,955 Derivative instruments Forward foreign currency exchange contracts – 611,981 – 611,981 Futures contracts 11,410,560 – – 11,410,560 Total derivative instruments 11,410,560 611,981 – 12,022,541 Total financial assets at fair value through profit or loss 532,339,237 94,095,259 – 626,434,496 Level 1 Level 2 Level 3 Total USD USD USD USD Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (15,544,686) – (15,544,686) Futures contracts (34,093,949) – – (34,093,949) Total derivative instruments (34,093,949) (15,544,686) – (49,638,635) Total financial liabilities at fair value through profit or loss (34,093,949) (15,544,686) – (49,638,635) 241 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 10. Fair value measurements recognised in the Statement of Financial Position (continued) The following tables provide an analysis of financial assets and liabilities at fair value through profit or loss as at 28 February 2019. Level 1 Level 2 Level 3 Total USD USD USD USD Financial assets at fair value through profit or loss Transferable securities Government bonds 409,041,794 – – 409,041,794 Other debt securities – 87,524,484 – 87,524,484 Total transferable securities 409,041,794 87,524,484 – 496,566,278 Derivative instruments Forward foreign currency exchange contracts – 8,974,427 – 8,974,427 Futures contracts 7,886,336 – – 7,886,336 Total derivative instruments 7,886,336 8,974,427 – 16,860,763 Total financial assets at fair value through profit or loss 416,928,130 96,498,911 – 513,427,041 Level 1 Level 2 Level 3 Total USD USD USD USD Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (2,010,000) – (2,010,000) Futures contracts (5,919,394) – – (5,919,394) Total derivative instruments (5,919,394) (2,010,000) – (7,929,394) Total financial liabilities at fair value through profit or loss (5,919,394) (2,010,000) – (7,929,394) In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. 242 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 10. Fair value measurements recognised in the Statement of Financial Position (continued) There were no transfers between Level 1 and Level 2 during the year or in the prior year. The Fund did not hold Level 3 financial instruments during the years ended 29 February 2020 and 28 February 2019. Assets and liabilities not measured at fair value are carried at amortised cost; their carrying values are a reasonable approximation of fair value. These assets and liabilities have been classified as Level 2. For the assets and liabilities of the Fund which have not been measured at fair value as at 29 February 2020 and 28 February 2019 the amounts presented in the Statement of Financial Position are a reasonable approximation of fair value. The table below provides financial assets and financial liabilities at fair value through profit or loss as a percentage of net assets: 29 February 2020 28 February 2019 Fair value % of Fair value % of USD net assets USD net assets Financial assets at fair value through profit or loss Transferable securities Government bonds 520,928,677 61.92 409,041,794 55.77 Other debt securities 93,483,278 11.11 87,524,484 11.93 Total transferable securities 614,411,955 73.03 496,566,278 67.70 Derivative instruments Forward foreign currency exchange contracts 611,981 0.07 8,974,427 1.22 Futures contracts 11,410,560 1.36 7,886,336 1.08 Total derivative instruments 12,022,541 1.43 16,860,763 2.30 Total financial assets at fair value through profit or loss 626,434,496 74.46 513,427,041 70.00 Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts (15,544,686) (1.85) (2,010,000) (0.27) Futures contracts (34,093,949) (4.05) (5,919,394) (0.81) Total derivative instruments (49,638,635) (5.90) (7,929,394) (1.08) Total financial liabilities at fair value through profit or loss (49,638,635) (5.90) (7,929,394) (1.08) 243 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 10. Fair value measurements recognised in the Statement of Financial Position (continued) The table below provides net realised and change in unrealised loss on financial assets and financial liabilities at fair value through profit or loss: 29 February 2020 28 February 2019 USD USD Net realised and change in unrealised loss on financial assets and financial liabilities at fair value through profit or loss Financial assets and financial liabilities at fair value through profit or loss (50,042,847) (37,831,959) Total net realised and change in unrealised loss on financial assets and financial liabilities at fair value through profit or loss (50,042,847) (37,831,959) The following table shows a breakdown of gains and losses for financial assets and financial liabilities at fair value through profit or loss: 29 February 2020 28 February 2019 USD USD Realised and unrealised gains/(losses) on investments: Net realised gains on investments 15,910,234 337,352 Net realised currency gains/(losses) 1,801,673 (64,894,796) Total net realised gains/(losses) 17,711,907 (64,557,444) Movement in net unrealised (losses)/gains on investments (67,850,690) 16,406,358 Movement in net unrealised currency gains 95,936 10,319,127 Total movement in net unrealised (losses)/gains (67,754,754) 26,725,485 Net losses on financial assets and liabilities at fair value through profit or loss (50,042,847) (37,831,959) 11. Derivative instruments The Fund may engage in transactions in financial derivative instruments where considered appropriate, and/or utilise other techniques and instruments, for investment purposes, for efficient portfolio management, to gain currency exposure and/or to protect against foreign exchange risks, subject to the conditions and within the limits laid down by the Central Bank of Ireland. In general, these financial derivative instruments and other techniques and instruments may include, but are not limited to forward foreign currency exchange contracts, CFDs and futures contracts. Transactions in futures involve the obligation to make, or to take, delivery of the underlying asset of the contract at a future date, or in some cases to settle the position with cash (unless liquidated before expiry). A 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. In forward foreign currency exchange contracts, the contract holders are obligated to buy or sell from another a specified amount of one currency at a specified price (exchange rate) with another currency on a specified future date. Forward foreign currency exchange contracts cannot be transferred but they can be ‘closed out’ by entering into a reverse contract. 244 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 11. Derivative instruments (continued) CFDs or equity swaps are privately negotiated contracts between two parties, buyer and seller, stipulating that the seller will pay to or receive from the buyer the difference between the nominal value of the underlying instrument at the opening of the contract and that instrument’s value at the end of the contract. As at 29 February 2020, CFDs reflect a fair value of USDNil as the monthly realisation of gains and losses on these positions were crystallised upon the monthly reset of the CFD positions. The realised gains and losses on these CFDs are included in the “Net realised and unrealised loss on financial assets and liabilities at fair value through profit or loss” in the Statement of Comprehensive Income. The net realised loss on 29 February 2020 related to the reset was USD22,191,568. In each case the use of such instruments must: (i) be in accordance with the limits and guidelines issued by the Central Bank of Ireland from time to time; (ii) not contravene pertinent EU and Irish legislation; (iii) not result in an exposure to underlying instruments to which the Fund cannot have a direct exposure; and (iv) not cause the Fund to diverge from its investment objective. The realised and unrealised gains arising from financial derivative transactions are included in “Net realised and unrealised loss on financial assets and liabilities at fair value through profit or loss” in the Statement of Comprehensive Income. As at 29 February 2020 and 28 February 2019, the Fund held forward foreign currency exchange contracts, CFDs and futures contracts as presented in the Schedule of Investments. The Fund will gain exposure to commodity futures by investing in structured financial instruments (“SFI”) via the Société Générale SA and Société Générale Issuer SA equity linked notes which invest in the V10COM Offshore Fund SP. See Note 12 for further details. 12. Directors’ fees, related and connected persons transactions 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. The Investment Manager is also the Trading Adviser to V10COM Offshore Fund SP which the Société Générale SA/Société Générale Issuer SA equity linked notes invest into, in which the Fund invests 11.12% of its net assets as at 29 February 2020 (28 February 2019: 11.94%). Directors The listing of the Directors is shown on page 2. All the Directors who held office at the financial year end are non-executive. As at 29 February 2020 and 28 February 2019, Dermot Butler held one non-participating share of the ICAV in trust for the Investment Manager. As at 29 February 2020 and 28 February 2019, the Investment Manager held one redeemable non- participating share of the ICAV. As at 29 February 2020 and 28 February 2019, Rajeev Patel had a holding in Winton Group (“WG”), which owns 100% of the Investment Manager. No other Director has any interest in the shares of the Fund or in any contract of significance with the ICAV or the Fund. 245 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 12. Directors’ fees, related and connected persons transactions (continued) Directors (continued) The ICAV has agreed to remunerate the Directors for services rendered in accordance with the Directors’ Service Agreements. The Directors received an annual fee of EUR20,000 per Director. The ICAV has also agreed to reimburse the Directors for any travel, accommodation, or other expenses properly incurred in attending meetings or in connection with its business. Directors’ fees of USD67,760 (28 February 2019: USD70,606) were charged to the Fund during the financial year of which USD20,595 (28 February 2019: USD16,158) was outstanding at the financial year end. Investment Manager/Manager The amounts accrued during the financial year and outstanding at the financial year end in respect of any investment management fees and performance fees paid to the Investment Manager/Manager are disclosed in the Statement of Comprehensive Income and Statement of Financial Position, respectively. As at 29 February 2020, WG owned 100.00% (28 February 2019: 0.00%) of the Class USD I-D1 Shares, 2.29% (28 February 2019: 1.13%) of the Class CHF I Shares, 0.62% (28 February 2019: 0.45%) of the Class EUR I-P Shares, 0.58% (28 February 2019: 0.00%) of the Class USD I-P Shares, 0.00% (28 February 2019: 0.08%) of the Class USD I Shares and 0.00% (28 February 2019: 0.05%) of the Class GBP I Distribution Shares issued by the Fund. 246 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 13. Exchange rates The following exchange rates were used to translate foreign currency assets and liabilities held by the Fund into USD: As at As at 29 February 28 February 2020 2019 Australian Dollar 1.53988 1.40560 Brazilian Real 4.49060 3.75030 Canadian Dollar 1.34115 1.31700 Chilean Peso N/A 654.82500 Danish Krone 6.79340 – Euro 0.90909 0.87820 Hong Kong Dollar 7.79295 7.84980 Indian Rupee N/A 71.12630 Indonesian Rupiah N/A 14,067.50000 Japanese Yen 108.13500 111.32000 Malaysian Ringgit 4.21850 – Mexican Peso 19.73175 – New Taiwan Dollar 30.19200 30.77650 New Zealand Dollar 1.60475 1.46740 Norwegian Krone 9.45140 8.54640 Philippine Peso N/A 51.72000 Polish Zloty 3.93625 3.77850 Pound Sterling 0.78272 0.75180 Russian Ruble N/A 65.89630 Singapore Dollar 1.39445 1.35120 South African Rand 15.64140 14.06000 South Korean Won 1,204.94000 1,124.70000 Swedish Krona 9.68110 9.23070 Swiss Franc 0.96730 0.99620 Turkish Lira 6.22870 5.33400 Yuan Renminbi Offshore N/A 6.69520 14. Dividends There were no dividends paid nor proposed for the years ended 29 February 2020 or 28 February 2019. 15. Significant events during the financial year On 1 March 2019, Citco Fund Services (Ireland) Limited was appointed as Administrator and Transfer Agent to the ICAV. On 1 March 2019, BNY Mellon SA/NV (BNY Mellon Trust Company (Ireland) Limited then prior to the merger) was appointed as Depositary to the ICAV. On 1 March 2019, the ICAV issued a new Prospectus and supplement for each sub-fund. Class USD I-2 Shares for WDFU were removed from this Prospectus. On 7 May 2019, WUSEF was terminated. On 1 July 2019, an updated Prospectus and supplement for each sub-fund were issued to reflect the conversion of the ICAV from a self-managed investment vehicle, to an externally managed investment vehicle. The Manager was appointed with effect from 1 July 2019, to manage and administer the affairs of the ICAV. 247 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Notes to the Audited Financial Statements (continued) For the year ended 29 February 2020 15. Significant events during the financial year (continued) On 1 July 2019, the Fund changed its NAV liquidity from weekly to daily calculation. On 25 October 2019, Class USD I-D1 Shares were launched. On 29 November 2019, WEEF was terminated. On 3 December 2019, Class USD I-P Shares were launched. There were no other significant events during the financial year. 16. Subsequent events The ICAV issued a new Prospectus and supplement for each sub-fund on 1 May 2020. The supplement pertaining to the Fund provided for the removal of the Operational Expense Limit. The supplement also provided that through the Fund’s investment in SFIs, the Fund will incur certain indirect charges which are reflected in the price of the relevant SFIs. Such indirect charges are not operational expenses of the Fund and the Investment Manager does not expect such charges to exceed 0.04 per cent of the Fund’s net asset value per annum. With respect to the performance fee calculation, the supplement provided for a change in hurdle adjustment which is the product of (i) the net asset value as of the previous Valuation Point, (ii) the cash management portfolio ratio and (iii) the prevailing hurdle rate. The ICAV has also issued class supplements dated 1 May 2020 providing for the initial issuance of Class I-D2 Shares and Class I-N1 Shares. In response to the impact of the coronavirus (COVID-19) outbreak, Winton has successfully tested and implemented business continuity procedures that have included the majority of Winton’s staff working from home, pausing all international travel, asking staff to avoid public transport and introducing other social distancing measures in accordance with relevant government guidance. Winton is also monitoring the BCP effectiveness of key service providers. The pandemic is causing significant financial market and social dislocation and the ultimate extent of the effect of this on the Fund is uncertain. Dermot Butler resigned and was replaced by Julie Kinsella as a Director on 17 June 2020. David Harding, CEO of WG and Winton Capital Management Limited, invested GBP20,000,000 (USD25,269,000) into Class GBP I Distribution share class on 11 June 2020. There were no other material subsequent events identified prior to the approval of these financial statements which would require adjustment or disclosure to the figures and notes included in the audited financial statements. 17. Approval of financial statements The audited financial statements were approved by the Board of Directors on 17 June 2020. 248 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Significant Purchases (Unaudited) Audited Financial Statements For the year ended 29 February 2020 Nominal Cost % of Security shares USD Total purchases United States Treasury Note/Bond 2.13% 30/09/2021 75,000,000 75,957,053 3.82 % United States Treasury Note/Bond 1.75% 30/11/2019 65,000,000 64,963,533 3.27 % Société Générale SA Zero Coupon 04/07/2022 56,696 55,351,331 2.78 % Société Générale Issuer SA Zero Coupon 04/07/2022 56,696 55,351,331 2.78 % United States Treasury Note/Bond 2.50% 31/12/2020 50,000,000 50,967,901 2.56 % United States Treasury Note/Bond 1.50% 31/10/2019 42,500,000 42,511,307 2.14 % United States Treasury Note/Bond 1.63% 31/07/2020 42,000,000 42,083,622 2.12 % United States Treasury Note/Bond 1.63% 30/06/2020 38,000,000 38,200,740 1.92 % United States Treasury Note/Bond 2.25% 31/07/2021 25,000,000 25,488,748 1.28 % United States Treasury Note/Bond 2.00% 31/12/2021 25,000,000 25,314,067 1.27 % United States Treasury Note/Bond 1.38% 31/03/2020 25,000,000 24,938,477 1.25 % United States Treasury Note/Bond 2.13% 31/05/2021 20,000,000 20,328,087 1.02 % United States Treasury Note/Bond 2.63% 15/08/2020 20,000,000 20,264,538 1.02 % United States Treasury Note/Bond 2.25% 31/03/2021 20,000,000 20,206,301 1.02 % United States Treasury Note/Bond 1.75% 31/12/2020 20,000,000 20,160,394 1.01 % United States Treasury Note/Bond 1.63% 30/06/2021 20,000,000 20,127,751 1.01 % United States Treasury Note/Bond 1.88% 31/12/2019 16,500,000 16,579,772 0.83 % United States Treasury Note/Bond 2.50% 28/02/2021 13,000,000 13,098,052 0.66 % Société Générale SA Zero Coupon 04/07/2022 1,131,500 10,949,526 0.55 % Société Générale Issuer SA Zero Coupon 04/07/2022 1,131,500 10,949,526 0.55 % In accordance with the UCITS regulations, this statement presents the aggregate purchases of a security exceeding 1.00% of the total value of purchases for the year or at least the top 20 purchases. 249 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Statement of Significant Sales (Unaudited) Audited Financial Statements For the year ended 29 February 2020 Nominal Proceeds % of Security shares USD Total sales United States Treasury Note/Bond 1.63% 31/07/2020 27,000,000 27,045,050 2.28 % United States Treasury Note/Bond 1.75% 30/11/2019 25,000,000 25,183,108 2.12 % Société Générale SA Zero Coupon 04/07/2022 1,131,500 10,615,733 0.89 % Société Générale Issuer SA Zero Coupon 04/07/2022 1,131,500 10,615,733 0.89 % International Business Machines CFD 52,469 7,189,915 0.61 % Charter Communications Inc Cl A CFD 13,862 6,523,397 0.55 % Cisco Systems CFD 131,567 6,154,891 0.52 % Hewlett Packard Enterprise CFD 371,193 5,712,153 0.48 % Xcel Energy CFD 82,567 5,119,266 0.43 % SAP ADR REP 1 CFD 38,676 5,107,589 0.43 % Oracle CFD 88,224 4,818,964 0.41 % Prologis REIT CFD 51,561 4,626,437 0.39 % Accenture Cl A CFD 22,913 4,612,929 0.39 % Microsoft CFD 29,133 4,487,050 0.38 % Western Union CFD 153,272 4,073,780 0.34 % Walt Disney CFD 27,838 3,997,661 0.34 % ViacomCBS Cl B CFD 95,611 3,758,871 0.32 % Comcast Cl A CFD 80,757 3,577,106 0.30 % Medical Properties REIT CFD 174,142 3,573,209 0.30 % Universal Health Services Cl B CFD 24,402 3,471,949 0.29 % In accordance with the UCITS regulations, this statement presents the aggregate sales of a security exceeding 1.00% of the total value of sales for the year or at least the top 20 sales. 250 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Remuneration Policy (Unaudited) Audited Financial Statements For the year ended 29 February 2020 Regulation 89(3A) of the UCITS Regulations: UCITS V Remuneration Requirements Regulation 89(3A) of the UCITS Regulations (as introduced pursuant to the UCITS V Regulations on 21 March 2016) requires that the annual report contains certain disclosures on remuneration paid by the ICAV to its staff and Directors during the financial year and details of any material changes to the ICAV’s remuneration policy made during the relevant period. The ICAV was a self- managed investment company until 30 June 2019 and, as such, the following points are to be noted up to and including 30 June 2019: • The ICAV has a remuneration policy outlining how it adheres to the remuneration requirements set out in the UCITS Regulations. This policy was reviewed, and no material changes were subsequently made to it, during the financial year. • The ICAV has no employees or staff that it employs and pays directly. The ICAV has a Board of Directors and the directors receive a fixed fee only (for the year ended 31 December 2019 on a pro-rated basis to 30 June 2019: EUR40,000 (in aggregate)) and do not receive variable remuneration. These fees are set at a level that reflects the qualifications and contribution required taking into account the ICAV’s size, internal organisation and the nature, scope and complexity of its activities. With effect from 1 July 2019, the Manager was appointed to manage and administer the affairs of the ICAV. The Manager has in place a remuneration policy which has applied to it since 1 July 2019. In accordance with the UCITS Regulations remuneration requirements, the Manager is committed to ensuring that its remuneration policies and practices are consistent with and promote sound and effective risk management. This remuneration policy is designed to ensure that excessive risk taking is not encouraged within the Manager and to enable the Manager to achieve and maintain a sound capital base. In order to reduce the potential for conflicts of interests, none of the staff of the Manager receive remuneration, either fixed or variable, which depends on the performance of any UCITS sub-fund which it manages. The remuneration policy of the Manager is in line with the business strategy, objectives, values and interests of the Manager, the ICAV and the investors in the ICAV, and includes measures to avoid conflicts of interest. The remuneration policy is adopted by the board of directors of the Manager in its supervisory function, and that body adopts, and reviews at least annually, the general principles of the remuneration policy and is responsible for, and oversees, their implementation. There were no material changes to the policy during the period. Remuneration Policy of the Investment Manager Portfolio management activities for the ICAV have been delegated by the Manager to Winton Capital Management Limited (“WCM”). Winton Group Limited is the holding company of the Winton group (“Winton”) with WCM being a wholly owned subsidiary. The below disclosures are made in respect of the remuneration policies of Winton, as they apply to WCM, in accordance with the equally as effective implementing rules of the EU Alternative Investment Fund Managers Directive. COMPONENTS OF REMUNERATION Remuneration is made up of fixed pay and performance-related components. i) Fixed remuneration All Winton employees receive a fixed salary and entitlement to benefits. ii) Performance-related remuneration Performance-related remuneration is designed to reflect both employees’ individual performance and the performance of Winton as a whole. 251 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Remuneration Policy (Unaudited) (continued) Audited Financial Statements For the year ended 29 February 2020 REMUNERATION COMMITTEE AND POLICY Winton has formed the Remuneration Committee (“RemCo”, a Committee of the Board), which meets to consider remuneration levels and retirement benefits, as governed by Winton’s Remuneration Policy (the “Policy”) which is reviewed at least annually by RemCo. The RemCo is comprised of David Harding, CEO and Co-CIO, and Martin Hunt, Chair. The objective of the Policy is to set remuneration levels which ensure that Winton’s senior management, Identified Staff and employees are fairly and responsibly rewarded in a manner that is appropriately linked to their performance, and the long-term performance of Winton’s business. The Policy is designed to support key business strategies and create a strong, performance orientated environment in a way that is aligned with the strategic goals of Winton and its shareholders without creating any incentive or reward for imprudent risk taking. At the same time, the Policy is designed to attract, motivate and retain talent. No individual decides his or her own remuneration. Performance-related remuneration Most employees are eligible to participate in a quarterly discretionary bonus scheme, which may include a mandatory deferred portion. The quarterly discretionary bonus scheme takes Winton and individual performance into consideration. Individual employee performance, taking into account financial and non-financial performance where relevant, is formally measured annually via a review process. Deferred bonuses may be subject to the performance of Winton titled funds either through indexation or investment in shares or interests of such funds. This form of award aligns the individual’s incentive with the longer term performance and strategy of Winton. Recipients of deferred bonuses are subject to forfeiture and claw back provisions. Quantitative Remuneration Disclosure In 2019, the proportion of total remuneration of the staff that is attributable to WCM for the year ended 31 December 2019 (being the financial year end of WCM) is USD65.0m which relates to 283 beneficiaries. This total remuneration is comprised of fixed remuneration of USD32.7m and variable remuneration of USD32.3m. 252 WINTON UCITS FUNDS ICAV - WINTON DIVERSIFIED FUND (UCITS) Other Information (Unaudited) Audited Financial Statements For the year ended 31 December 2019 Performance Data The percentage total return of one share of each share class for the year ended 29 February 2020, the year ended 28 February 2019 and period from inception is calculated in accordance with the Swiss Funds Association methodology and is detailed below: Year ended Year ended Period 29 February 2020 28 February 2019 since inception Class CHF I (4.62) % (3.25) % (4.20) % Class EUR I (4.21) % (2.82) % (2.75) % Class EUR I-P (4.31) % (3.82) % (7.96) % Class EUR I-2 (4.19) % (2.76) % (1.68) % Class GBP I Distribution (3.16) % (1.84) % (0.42) % Class GBP I-2 Distribution (3.13) % (1.58) % 1.13 % Class USD I (1.74) % (0.26) % 3.45 % Class USD I-D1* (4.89) % N/A (4.89) % Class USD I-P** (3.71) % N/A (3.71) % * Class USD I-D1 Shares were launched on 25 October 2019. ** Class USD I-P Shares were launched on 3 December 2019. The performance data above is historical and not indicative of future performance. The performance data does not take account of any commissions or costs charged when subscribing or redeeming shares. Soft commission and directed brokerage There were no soft commissions paid during the years ended 29 February 2020 or 28 February 2019. There were no directed brokerage services utilised for the years ended 29 February 2020 or 28 February 2019. 253