Henderson Strategic Investment Funds for the Year Ended 31 October 2015

Henderson Strategic InvestmentFunds

ANNUAL October201531 For theyearended REPORT & ACCOUNTS

Who are Henderson Global Investors?

Henderson is an independent global asset manager, specialising in active investment. Named after its first client and founded in 1934, Henderson is a client-focused global business with over 900 employees worldwide and assets under management of £81.5bn† (30 September 2015). Its core areas of investment expertise are European equities, global equities, global fixed income, multi- asset and alternatives.

Whilst the global headquarters are based in London, Henderson offers clients access to all major markets around the globe. Henderson has offices located in Chicago, Boston, Milwaukee, Philadelphia, Edinburgh, Paris, Madrid, Zurich, Luxembourg, Amsterdam, Frankfurt, Milan, Singapore, Beijing, Hong Kong, Tokyo, Melbourne and Sydney. The main Asia/Pacific operations are conducted out of Sydney and Singapore and the US operations out of Chicago. Equity investment professionals are also located in Edinburgh, Singapore, Sydney and Melbourne, and additional fixed income investment professionals are located in Philadelphia, Milwaukee and Melbourne. Distribution is conducted out of the majority of offices world-wide.

Clients are at the heart of everything Henderson does – named after the company’s first client, it reminds each employee every day to put the client first. With investment expertise across a broad range of asset classes, Henderson’s investment managers have unique perspectives and operate unconstrained by a house view. Underpinning the fund management process is a comprehensive risk-control framework ensuring that investment views are translated into portfolios managed in line with investors risk and return requirements.

Corporate strategy Henderson’s strategy focuses on growth and globalisation. The company aims to deliver a sustained period of organic growth, attracting net new client money ahead of industry growth, and supplementing this organic growth with value accretive acquisitions. By 2018, Henderson will have established a truly global footprint, infrastructure and mind-set.

Acquisitions Henderson has a strong history of acquiring businesses which add value to the company over time. Henderson has seen financial benefits from New Star and Gartmore (acquired in 2009 and 2011 respectively) in cost synergies and improved profitability. During 2014, client confidence in the newly integrated businesses manifested itself in increased flows, with over half of flows in the period coming from products or managers who joined Henderson as a result of these acquisitions. In 2014, Henderson acquired Geneva Capital Management, the US growth equity manager. This marked an important strategic milestone in the development of the North American business, adding mid- and small-cap US high quality growth equities to Henderson’s international capabilities and extending the US institutional client base to an existing strong US retail presence. In April 2015, Henderson sold its 40% holding in TIAA Henderson Real Estate (“TH Real Estate”), a joint venture formed in 2014 with the merger of Henderson and Teachers Insurance and Annuity Association – College Retirement Equities Fund’s (“TIAA-CREF”) European and Asian real estate businesses. The sale of the stake gave TH Real Estate the best opportunity to grow their business and rewarded Henderson and its shareholders for the significant contribution made before and after the creation of TH Real Estate. In June 2015, Henderson took full ownership of 90 West Asset Management – the global natural resources equity business – acquiring the stake which Henderson did not already own. In November 2015, the acquisition of two further Australian-based fund management boutiques, Perennial Fixed Interest and Perennial Growth Management, completed. The acquisitions accelerate Henderson’s strategy to grow and globalise its business, extending Henderson’s offering to Australian clients, adding domestic investment management capabilities to Henderson’s globally focused offerings, and providing a broader platform for better growth in the Australian market.

What do we do? At Henderson Global Investors we do one thing and we do it really well – investment management. As a company, we are totally focused on this core activity and it underpins everything we do.

We do this by providing a range of investment products and services including: • Open ended funds – offshore funds, unit trusts, OEICs • Investment trusts • Individual Savings Accounts • Pension fund management • Management of portfolios for UK and international institutional clients

Please remember that past performance is not a guide to future performance. The value of an investment and the income from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

† Source: Henderson Global Investors Contents

Authorised Corporate Director’s (ACD) report Page 1

Market review Page 2

Statement of Authorised Corporate Director’s Responsibilities Page 4

Statement of Depositary’s responsibilities and report of the Depositary to the shareholders Page 4

Independent Auditors’ Report to the shareholders Page 5

Strategic Investment Funds aggregated financial statements Page 7

Certification of financial statements by a Director of the ACD Page 8

Aggregated notes to the financial statements Page 9

Financial statements

Henderson Credit Alpha Fund Page 21

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Page 56

Henderson Institutional European Enhanced Equity Fund Page 87

Henderson Institutional Japan Enhanced Equity Fund Page 120

Henderson Institutional North American Enhanced Equity Fund Page 146

Henderson US Equity Long/Short Fund Page 181 Authorised Corporate Director’s (ACD) report

We are pleased to present the Annual Report and Accounts for the Henderson Strategic Investment Funds for the year ended 31 October 2015.

Authorised status Henderson Strategic Investment Funds is an open ended investment company (OEIC) with variable capital authorised, under regulation 12 (Authorisation) of the OEIC regulations, by the Financial Conduct Authority on 1 April 2004. The company is a UCITS scheme structured as an umbrella company, comprising various sub-funds, the first of which was launched on 1 July 2005. Each sub-fund is operated as a distinct sub-fund with its own portfolio of investments.

The investment objective and policy, investment activities, portfolio statement and risk and reward profile for each sub-fund are given in the relevant section of each sub-fund’s report. These all form part of the Authorised Corporate Director’s Report. Shareholders are not liable for the debts of the company. All sub-funds belong to the category of securities scheme.

Fund liabilities Each sub-fund is treated as a separate entity, and is a segregated portfolio of assets and those assets can only be used to meet the liabilities of, or claims against, that sub-fund.

Other information Henderson Institutional Emerging Market Debt Absolute Return Fund was closed on 23 February 2015 and termination accounts for 30 October have been prepared separately. This fund was included in the 2014 financial statements but not in 2015. Advisers

Name Address Regulator Authorised Corporate Henderson Investment Registered Office: Authorised and regulated by Director (ACD) Funds Limited 201 Bishopsgate, London the Financial Conduct Authority EC2M 3AE. (FCA) Member of the Investment Registered in England Association No 2678531. The Ultimate Holding Company Telephone - 020 7818 1818 is Henderson Group plc. Dealing - 0845 608 8703 Enquiries - 0800 832 832

Investment Manager Henderson Global Investors 201 Bishopsgate, London Authorised and regulated by the Limited EC2M 3AE Financial Conduct Authority The Ultimate Holding Company is Henderson Group plc. Sub-Investment Manager Northern Pines Henderson 470 Atlantic Ave. 12th Floor Registered Investment Advisor (Henderson US Equity Capital LLC Boston, MA 2210, USA. (RIS) with the U.S.Securities and Long/Short Fund) Exchange Commission (SEC)

Shareholder Administrator International Financial IFDS House Authorised and regulated by the Data Services (UK) Limited St Nicholas Lane Financial Conduct Authority Basildon Essex SS15 5FS

Depositary National Westminster Bank 135 Bishopsgate Authorised by the Prudential plc London Regulation Authority and The Ultimate Holding Company EC2M 3UR regulated by the Financial is Royal Bank of Scotland plc Conduct Authority and the Prudential Regulatory Authority Independent Auditor PricewaterhouseCoopers 141 Bothwell Street Institute of Chartered LLP Glasgow Accountants in England and G2 7EQ Wales

Legal Adviser Eversheds LLP One Wood Street The Law Society London EC2V 7WS

Henderson Strategic Investment Funds Aggregated Financial Statements 1 Market review for the year ended 31 October 2015

Overview Global equity markets rose in aggregate during the year under review. Accommodative central bank action spurred returns on the upside, while falling commodity prices affected results to the downside. The end of 2014 saw the first of the dramatic dips, as the price of crude oil halved from its six-months-prior level. Although this damaged sentiment towards companies and economies with close ties to the oil industry and prompted fears about the prospect of deflation, other sectors, such as retail, and countries, such as China (the world’s largest net oil importer), were perceived as beneficiaries. As the review year began, the Bank of Japan (BoJ) unexpectedly introduced an expansion of its stimulus package. The BoJ was not alone in loosening monetary policy. Against a background of deflation in the region, the European Central Bank (ECB) announced in January that it would expand its asset-purchase programme to include government bonds. Central banks in Australia, China and a range of other countries also cut rates during the year. China became a focal point in the summer months of 2015, when a debilitating stock market fall sent global equities reeling. The People’s Bank of China (PBoC) was swift and heavy-handed in its response, enacting further interest-rate cuts and intentionally devaluing the yuan. The third quarter also saw a resolution of the Greek debt crisis, and the Mediterranean country slipped from the headlines after the re-election of Syriza leader Alexis Tsipras. By October, international investors turned their focus to the central banks of developed nations as they awaited interest-rate rises in the US and UK.

UK The UK stock market rose over the year, despite some weakness attributable to the market’s relatively large exposure to falling commodity prices. Though a recovery was evident, there were signs that the UK economy was suffering some drag from the beleaguered eurozone. Inflation also continued along a downward trajectory, prompting Bank of England (BoE) governor Mark Carney to remark early in 2015 that it is “more likely than not” that inflation would soon turn negative. Indeed, headline inflation fell to -0.1% in both April and September, pushing expectations for an interest-rate rise further into the future. By spring, investors were focused on politics, as the outcome of the general election was predicted to be likely to end in a hung parliament. The end result defied polls, however, and the incumbent Conservative Party won a decisive majority. This sent both UK equities and the pound soaring in the aftermath, though the rally proved temporary. Economic news was otherwise quiet in the second half of the review year, with the BoE maintaining its 0.5% interest rate despite one member of its nine-person committee voting in favour of increases. Growth was slow, decreasing from 0.7% in the second quarter to 0.5% in the third, held down by dismal manufacturing production and construction numbers. More positively, joblessness decreased over the year, reaching 5.4% for the three months to the end of August.

Europe European equities performed strongly over the year in review, aided by accommodative central-bank measures and a consequent weakening of the euro. In January, faced with outright deflation, the ECB announced that it would widen its easing programme to include sovereign bonds, with combined asset purchases of €60 billion per month from March 2015 until September 2016. Much of the year was dominated by the ongoing Greek debt crisis, as the recently elected far-left government engaged in fraught negotiations with Greece’s creditors. A four-month bailout extension was eventually granted in return for reform pledges, but fears continued to mount about Greece’s ability to pay its debts. Those fears were realised in June when the nation missed a payment to its creditors, exacerbating worries that Greece would leave the eurozone and prompting Prime Minister Tsipras to hold a referendum asking whether or not the country should accept the latest bailout conditions. Terms were agreed in July, despite the Greek people voting against accepting the International Monetary Fund’s proposal. This led the prime minister to call a snap election, which saw him re-elected in September. In broader news, growth in the eurozone showed improvement, with second-quarter GDP revised upwards to show an expansion of 1.5% from the previous year. Inflation, however, ended the year in negative territory, slipping to -0.1% in the year to September, with early October estimates showing it unlikely to breach zero. Despite speculation to the contrary, the ECB kept its stimulus package unchanged at its most recent meeting, though expectations run high that more easing measures will be enacted, particularly if the US Federal Reserve (Fed) begins to tighten in December.

US In sterling terms, the US stock markets delivered positive returns over the year. The Federal Reserve was ultimately proved right in its assurances that the end of its bond-buying programme in October would not lead to an immediate rise in interest rates, and it became increasingly clear that US monetary policy was diverging from that of many other developed markets. The Bank of Japan and the European Central Bank both expanded their monetary stimulus significantly during the year, while interest rates were cut in a host of other countries, boosting the attractiveness of the US currency. Within the US, strong jobs data increased calls for an earlier hike in interest rates, but falling headline inflation – driven by the collapse in the oil price – had the opposite effect. US equities hit record highs in March, but their strength in sterling terms was largely down to dollar appreciation. Meanwhile, first-quarter growth registered at a disappointing 0.2%, though this was attributed to harsh winter weather. However, a solid recovery remained in evidence, especially when compared with certain other major economies. US markets followed China’s downward path late in August, which in turn led to heightened curiosity as to whether or not the Fed would indeed raise interest rates at its September meeting.

2 Henderson Strategic Investment Funds Aggregated Financial Statements Market review (continued)

Despite the improving labour-market growth Chair Janet Yellen had sought – unemployment fell to 5.1% in August – the central bank held rates steady at both its autumn meetings. Nonetheless, it reiterated that a 2015 rate rise is still possible. Otherwise, broad US growth remained characteristically buoyant: second-quarter GDP increased to 3.9% from the previous three months, though slipped to 1.5% for the third quarter. On a smaller scale, retail increased by 2.4% for the year to September and in the same month, new home sales figures reached their highest number since early 2008.

Japan Japan boasted one of the strongest equity-market performances over the year to end October, despite the Japanese economy having fallen into technical recession during the year. A contraction in second-quarter GDP had been expected following the consumption tax hike of April 2014, but a further fall in the third quarter came as a surprise. This prompted Prime Minister Abe to call a snap general election for December (which he won) and to delay a planned second sales-tax increase. Notwithstanding the faltering economy, Japanese stocks continued to rally in the wake of the Bank of Japan’s monetary easing expansion. The weakening of the yen that followed was seen as a positive for inbound tourism and for Japan’s export sector; in fact, the country recorded a massive trade surplus of ¥229 billion in March. GDP growth for the fourth quarter came in at 0.4%. Though this was below expectations, the number marked an emergence from technical recession after two previous quarters of contraction. However, GDP showed a contraction for the second quarter, settling at -1.2% year over year. Near the end of the year, expectations were raised about the possibility of the central bank adding to its already significant stimulus measures. The BoJ maintained its stimulus at the current level throughout the remainder of the year, though in October, stated that its 2% inflation target date had been pushed out by half a year as a result of still-low commodity prices.

Asia The Chinese economy emerged as a major story over the year as the summer months saw the country’s bull run come to an end in dramatic fashion, with stock market falls that reverberated around the globe. As a result, Asian equities were some of the poorest performers over the year in review.

Early in the year, investors grew increasingly convinced that the Chinese government would intervene to boost the economy, which it duly did. Surprise interest-rate cuts in November and again in February prompted stock-market rallies, but were not enough to stave off the market tumult that was to come. By mid-summer, China’s heavy stock-buying activity ended in earnest, and Monday 24 August saw the biggest one-day drop in the Shanghai Composite Index since 2007. The People’s Bank of China immediately enacted moves that it hoped would downplay the effects of market falls; these included cutting interest rates multiple times, so that they ended the year at 4.35%. The reserve requirement that banks are obliged to hold was also lowered twice in the latter half of the year. Earlier in August, the central bank had devalued the Chinese currency in an attempt to create a more favourable exchange rate for markets. Indeed, easing of policy by central banks in the Asia Pacific region was a notable feature of the year, with Australia, Korea and Singapore among other countries to cut their interest rates. In India, a fourth reduction this year was employed in the final days of September; the Reserve Bank of India subtracted 50 basis points from the benchmark interest rate, finalising it at 6.75%.

Fixed Income and currencies Overall, core government bond markets had a mixed year, effected by both accommodative central-bank policy early in the year, and then later by heightened volatility. Winter saw prices rise, supported by the ECB’s January announcement that it would begin purchasing government bonds in March. The 10-year gilt yield fell, thanks partly to the relative attractiveness of gilt yields compared with eurozone equivalents (yields fall as prices rise). Record-low UK inflation, which declined to negative levels in April and again in September, was another driver. In emerging market sovereign debt, supportive monetary policy from the ECB and the Bank of Japan was offset by geopolitical and economic concerns, notably regarding Russia and the collapsing oil price. In the European high-yield market, new issuance had a record start to 2015, reaching €14.6 billion in the first two months as companies rushed to take advantage of low borrowing costs. By summer, government bonds were calmed by an apparent resolution in the Greek debt crisis; yields on German 10-year bunds fell, as did yields on bonds issued by the beleaguered nation itself. In the US, Treasuries were supported by the belief that global weakness would keep the Fed from raising interest rates at its September meeting, which indeed came to fruition. Lack of movement from the Fed also had a positive effect on gilts, as many investors have speculated that the US and UK rate rises will happen in relatively quick succession.

Sterling fared well against the euro over the year, given the relative robustness of the UK economic recovery and the growing divergence in policy outlook between the Bank of England and the ECB. In contrast, the ECB continued to loosen its monetary policy, spurred by the eurozone’s lacklustre economic performance, which put downward pressure on the euro. The dollar was strong, gaining against all major currencies over the year. Despite the UK economy having outpaced the US in 2014, markets became increasingly confident that the Federal Reserve would raise interest rates first. Uncertainty over the UK general election also weighed on the pound earlier during the first half of 2015, and the eventual relief rally proved only temporary. The Russian rouble was the most notable of emerging market currencies; it dropped dramatically in the second half of 2014 on the back of Western sanctions and the falling oil price, but recovered some of its losses in 2015 as the oil price stabilised somewhat.

Henderson Strategic Investment Funds Aggregated Financial Statements 3 Statement of Authorised Corporate Director’s (ACD) Responsibilities for the year ended 31 October 2015

The Financial Conduct Authority’s Collective Investment Schemes Sourcebook requires the ACD to prepare the financial statements for each annual accounting period which give a true and fair view in accordance with United Kingdom Generally Accepted Accounting Practice of the financial affairs of the Company and of its income/expenditure for the year. In preparing the financial statements the ACD is required to:

• select suitable accounting policies and then apply them consistently;

• comply with the requirements of the Statement of Recommended Practice for Authorised Funds issued by the Investment Management Association (IMA) in October 2010;

• follow generally accepted accounting principles and applicable accounting standards;

• keep proper accounting records which enable it to demonstrate that the financial statements, as prepared, comply with the above requirements;

• make judgements and estimates that are reasonable and prudent; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in operation for the foreseeable future.

The ACD is responsible for the management of the Company in accordance with its Instrument of Incorporation, Prospectus and the Regulations. The ACD is also responsible for taking reasonable steps for the prevention and detection of fraud and other irregularities.

Statement of Depositary’s responsibilities and report of the Depositary to the shareholders of the Henderson Strategic Investment Funds (‘the Company’) for the year ended 31 October 2015

The Depositary is responsible for the safekeeping of all the property of the Company (other than tangible moveable property) which is entrusted to it and for the collection of income that arises from that property.

It is the duty of the Depositary to take reasonable care to ensure that the Company is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Open-Ended Investment Companies Regulations 2001 (SI2001/1228), (the OEIC Regulations), as amended (together “the Regulations”), the Company’s Instrument of Incorporation and Prospectus, in relation to the pricing of, and dealings in, shares in the Company; the application of income of the Company; and the investment and borrowing powers applicable to the Company.

Having carried out such procedures as we consider necessary to discharge our responsibilities as Depositary of the Company, it is our opinion, based on the information available to us and the explanations provided, that in all material respects the Company, acting through the Authorised Corporate Director:

(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Company’s shares and the application of the Company’s income in accordance with the Regulations, the Instrument of Incorporation and Prospectus of the Company, and

(ii) has observed the investment and borrowing powers and restrictions applicable to the Company.

National Westminster Bank Plc London 5 February 2016

4 Henderson Strategic Investment Funds Aggregated Financial Statements Independent Auditors’ Report to the Shareholders of Henderson Strategic Investment Funds (‘the Company’) for the year ended 31 October 2015

Report on the financial statements Our opinion

In our opinion the financial statements, defined below:

• give a true and fair view of the financial position of the Company and each of the sub-funds as at 31 October 2015 and of the net revenue and the net capital gains of the scheme property of the Company and each of the sub-funds for the year then ended; and • have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice, the Statement of Recommended Practice for Authorised Funds, the Collective Investment Schemes sourcebook and the Instrument of Incorporation.

This opinion is to be read in the context of what we say in the remainder of this report.

What we have audited The financial statements of Henderson Strategic Investment Funds (‘the Company’), which are prepared by Henderson Investment Funds Limited, (‘the Authorised Corporate Director’), comprise:

• the aggregated balance sheet of the Company as at 31 October 2015; • the aggregated statement of total return of the Company for the year then ended; • the aggregated statement of change in net assets attributable to shareholders of the Company for the year then ended; • the balance sheets as at 31 October 2015 together with the statements of total return and statements of changes in net assets attributable to shareholders of each of the Company’s sub-funds; • the notes to the Company’s financial statements and each of the Company’s sub-funds, which include a summary of significant accounting policies and other explanatory information; and • the distribution tables.

The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice), the Statement of Recommended Practice ‘Financial Statements of Authorised Funds’ issued by the Investment Management Association (‘the Statement of Recommended Practice for Authorised Funds’), the Collective Investment Schemes sourcebook and the Instrument of Incorporation.

In applying the financial reporting framework, the Authorised Corporate Director has made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events.

What an audit of financial statements involves We conducted our audit in accordance with International Standards on Auditing (UK and Ireland) (“ISAs (UK & Ireland)”). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

• whether the accounting policies are appropriate to the Company’s and each of the Company’s sub-funds circumstances and have been consistently applied and adequately disclosed; • the reasonableness of significant accounting estimates made by the Authorised Corporate Director; and • the overall presentation of the financial statements.

In addition, we read all the financial and non-financial information in the Henderson Strategic Investment Funds Annual Report and Accounts (‘the Annual Report’) to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

Henderson Strategic Investment Funds Aggregated Financial Statements 5 Independent Auditors’ Report to the Shareholders of Henderson Strategic Investment Funds (‘the Company’) (continued)

Opinions on matters prescribed by the Collective Investment Schemes sourcebook In our opinion: • we have obtained all the information and explanations we consider necessary for the purposes of the audit; and • the information given in the Authorised Corporate Director’s Report for the financial year for which the financial statements are prepared is consistent with the financial statements.

Other matters on which we are required to report by exception Propriety of accounting records and information and explanations received

Under the Collective Investment Schemes sourcebook we are required to report to you if, in our opinion:

• proper accounting records have not been kept; or • the financial statements are not in agreement with the accounting records and returns.

We have no exceptions to report arising from this responsibility.

Responsibilities for the financial statements and the audit Our responsibilities and those of the Authorised Corporate Director As explained more fully in the Statement of Authorised Corporate Director’s Responsibilities set out on page 4, the Authorised Corporate Director is responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with applicable law and ISAs (UK & Ireland). Those standards require us to comply with the Auditing Practices Board’s Ethical Standards for Auditors.

This report, including the opinions, has been prepared for and only for the Company’s members as a body in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook as required by paragraph 67(2) of the Open-Ended Investment Companies Regulations 2001 and for no other purpose.

We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors Glasgow 5 February 2016

Notes: (a) The maintenance and integrity of the Henderson Global Investors website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website. (b) Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

6 Henderson Strategic Investment Funds Aggregated Financial Statements Aggregated Statement of total return for the year ended 31 October 2015

2015 2014 Notes £000 £000 £000 £000

Income Net capital gains 4 12,738 4,370 Revenue 6 52,806 54,367 Expenses 7 (10,334) (14,886) Finance costs: Interest 9 (164) (369)

Net revenue before taxation 42,308 39,112 Taxation 8 (2,270) (2,412)

Net revenue after taxation 40,038 36,700

Total return before distributions 52,776 41,070

Finance costs: Distributions 9 (40,154) (36,816)

Change in net assets attributable to shareholders from investment activities 12,622 4,254

Aggregated Statement of change in net assets attributable to shareholders for the year ended 31 October 2015

2015 2014 £000 £000 £000 £000

Opening net assets attributable to shareholders 2,193,278 2,155,994

Amounts receivable on issue of shares 398,720 570,676 Amounts payable on cancellation of shares (725,238) (591,225) Amounts payable on termination* (47,550) - Amounts receivable on in specie transfers - 17,369 (374,068) (3,180)

Stamp duty reserve tax - (1)

Change in net assets attributable to shareholders from investment activities (see above) 12,622 4,254

Retained distributions on accumulation shares 38,777 36,095

Notional exchange adjustment 11 0 116

Unclaimed distributions 3 -

Closing net assets attributable to shareholders 1,870,722 2,193,278

*Relates to termination of the Institutional Emerging Market Debt Absolute Return Fund on 30 October 2015

Henderson Strategic Investment Funds Aggregated Financial Statements 7 Aggregated Balance sheet as at 31 October 2015

2015 2014 Notes £000 £000 £000 £000 Assets Investment assets 1,773,530 2,149,335

Debtors 10 46,782 43,708 Cash and bank balances 11 149,477 118,525 Total other assets 196,259 162,233

Total assets 1,969,789 2,311,568

Liabilities Investment liabilities 47,731 50,047

Creditors 12 40,978 54,787 Bank overdrafts 10,358 13,456 Total other liabilities 51,336 68,243

Total liabilities 99,067 118,290

Net assets attributable to shareholders 1,870,722 2,193,278

Certification of financial statements by a Director of the Authorised Corporate Director

In accordance with the requirements of the Collective Investment Schemes Sourcebook as issued and amended by the Financial Conduct Authority, I hereby certify the investment report and financial statements on behalf of the Directors of Henderson Investment Funds Limited.

Martin Skinner (Director)

5 February 2016

8 Henderson Strategic Investment Funds Aggregated Financial Statements Aggregated notes to the financial statements as at 31 October 2015

1 Accounting policies (a) Basis of accounting The financial statements have been prepared under the historical cost basis, as modified by the revaluation of investments, and in accordance with the Statement of Recommended Practice for Authorised Funds (SORP) issued by the Investment Management Association (IMA) in October 2010, UK Generally Accepted Accounting Principles (UK GAAP) on a going concern basis, the Collective Investment Scheme Sourcebook (COLL) and the Company’s Instrument of Incorporation.

(b) Basis of valuation of investments The valuation of listed investments has been at fair value, which is generally deemed to be bid market price, excluding any accrued interest in the case of fixed interest securities, at close of business on the last valuation day of the accounting year in accordance with the provisions of the scheme particulars.

Delisted, illiquid, suspended securities are valued at the ACD’s best estimate of the amount that would be received from an immediate transfer at arm’s length.

Derivatives assets and liabilities are valued at the price to close out the contract at the balance sheet date.

Certificates of deposit are valued by the ACD using a yield curve approach. The yield curve provides a graphic illustration of the relationship between redemption yields and instrument’s maturity dates, and from this an appropriate market yield can be derived for the instrument which can in turn be used to calculate its fair value.

Investments in Collective Investment Schemes (CIS) have been valued at bid prices, adjusted to take account of the discounts (bid/offer spread) available to the Authorised Corporate Director (ACD) from the charges on the underlying portfolio. For those CIS funds that are not dual priced, single prices are used.

Management fee rebates received from management companies are recognised when the entitlement arises, and are recognised as either income or capital in accordance with the treatment of the management fee charged on the underlying collective investment scheme.

(c) Revenue recognition Distributions from collective investment schemes are recognised as revenue and included in the amount available for distribution.

Accumulation of revenue relating to accumulation units or shares held in underlying funds is recognised as revenue and included in the amount available for distribution.

Equalisation received from distributions or accumulations on units or shares in underlying investments is treated as capital and deducted from the cost of investment.

Dividends receivable from quoted equity and non-equity shares are credited to revenue, net of attributable tax credits, when the security is quoted ex-dividend. Dividends on unquoted stocks are credited to revenue when the dividend is announced.

Overseas dividends are grossed up at the appropriate rate of withholding tax and the tax consequences are shown within the tax charge.

Interest from debt securities has been accounted for on an effective yield basis. Effective yield is a calculation that reflects the amount of amortisation of any discount or premium on the purchase price over the remaining life of the security.

Bank interest, interest on margin and revenue earned on derivatives are recognised on an accruals basis.

Revenue earned from stock lending activities is accounted for on an accruals basis.

Income distributions from Real Estate Investment Trusts (UK REITs) is split into two parts, a Property Income Distribution (PID) made up of rental revenue and a non-PID element, consisting of non-rental revenue. The PID element is subject to Corporation Tax as schedule A revenue, while the UK dividend is treated as franked revenue.

Dividends on overseas REITs are credited to revenue when the dividend is announced.

Management fee rebates received from management companies are recognised when the entitlement arises, and are recognised as either income or capital in accordance with the treatment of the management fee charged on the underlying collective investment scheme.

If any revenue receivable at the balance sheet date is not considered recoverable, a provision is made for the relevant amount.

Henderson Strategic Investment Funds Aggregated Financial Statements 9 Notes to the financial statements (continued)

1 Accounting policies (continued) (d) Treatment of expenses (including ACD expenses) All expenses (other than those relating to the purchase and sale of investments and stamp duty reserve tax (up to 30 March 2014) arising on sales and repurchases of shares in the fund) are charged against revenue on an accruals basis. The distribution currently payable reflects this treatment together with any associated tax effect.

The ACD’s periodic charge is calculated and accrued on a daily basis by reference to the Net Asset Value of the fund on the previous dealing day and the amount due for each month is payable on the last working day of the month.

General Administration Charge All fees with the exception of the ACD’s periodic charge, Depositary fee, Safe Custody fees and professional fees are included within a single ad valorem charge, the General Administration Charge (GAC). The ACD believes that the GAC creates more efficiency around the charging process than more traditional methods.

For further details please refer to the Prospectus.

Allocation of revenue and expenses to multiple share classes With the exception of the ACD’s periodic charge and the GAC, which are directly attributable to individual share classes, all revenue and expenses are allocated to share classes pro rata to the value of the net assets of the relevant share class on the day that the revenue or expense is incurred.

Performance fees on Henderson Credit Alpha Fund and US Equit Long/Short Fund This is a performance related management fee, payable in arrears for each three month quarter of the fund’s accounting period. The performance fee will only be charged when, over a three month period, the fund outperforms the benchmark and the High water mark and, when payable, the fee will equal 20% of the appreciation in value of shares over the benchmark return for those shares over the relevant quarter.

For further details please refer to the Prospectus.

(e) Treatment of stock dividends Dividends received as shares (scrip/stock dividends), to the extent that the value of such dividends is equal to the cash dividends, are treated as revenue. This revenue forms part of any distribution.

In the case of enhanced scrip dividends, the amount by which such dividends exceed the cash dividends is treated as capital and does not form part of the distribution.

(f) Special dividends These are recognised as either revenue or capital depending on the nature and circumstances of the dividend receivable.

(g) Stock lending activities The sub-funds carry out stock lending activities. The income earned, the value of stock on loan and the value of the collateral held is given in the notes to the financial statements of each sub-fund.

(h) Exchange rates Assets and liabilities denominated in foreign currencies are translated into sterling at the exchange rates prevailing at close of business on the last business day of the accounting period.

Revenue and expenditure transactions are translated at the rates of exchange ruling on the dates of the transaction s.

Exchange differences on such transactions follow the same treatment as the principal amounts.

(i) Taxation Provision for corporation tax is based, as appropriate, on the excess of taxable revenue over allowable expenses.

Deferred tax is provided for at the rate which taxation is likely to become payable in respect of all timing differences that have originated but not reversed at the balance sheet date other than those regarded as permanent. Any liability to deferred tax is provided at the average rate of tax expected to apply. Deferred tax assets are recognised to the extent that they are regarded as recoverable.

Stamp Duty Reserve Tax (SDRT), if any, suffered on surrender of shares is deducted from capital. Please note that since 30 March 2014 part 2 Schedule 19 SDRT has been abolished.

10 Henderson Strategic Investment Funds Aggregated Financial Statements Notes to the financial statements (continued)

1 Accounting policies (continued) (j) Aggregation The aggregated accounts represent the sum of the individual sub-funds within the umbrella company. Further analysis of the distribution and the net asset position can be found within the financial statements of the individual sub-funds.

Foreign currency translation Functional and presentation currency; items included in the financial statements are measured using the primary economic environment in which it operates (the “functional currency”). The functional currencies of each sub-fund are as follows: Henderson Credit Alpha Fund, Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund, Henderson Institutional Emerging Market Debt Absolute Return Fund, Henderson Institutional European Enhanced Equity Fund, Henderson Institutional Japan Enhanced Equity Fund and Henderson Institutional North American Enhanced Equity Fund – Sterling, and Henderson US Equity Long/ Short Fund – US dollars.

Notional exchange adjustment The fund has adopted Sterling as the presentation currency for the fund as a whole. The results and financial position are translated from the respective sub-funds’ functional currency to the fund’s presentation currency, as follows: i) assets and liabilities, including net assets attributable to unitholders, are translated at the closing rate at each balance sheet date; ii) proceeds from subscriptions and amounts paid on redemption of units are translated at average rates, which approximate the rates prevailing at the dates of the transactions; and iii) income and expenses are translated at the average exchange rates.

In accordance with FRS 23: The Effects of Changes in Foreign Exchange Rates (“FRS 23”) an average rate of exchange for the year has been applied to the Statement of Total Return and Statement of Changes in Net Asset Attributable to Shareholders in arriving at the Sterling value in the financial statements.

To properly reflect the Sterling values in the financial statements of the fund, currency translation adjustments need to be made to the total Sterling value. The adjustment “Notional Exchange Adjustment” is recorded on the Statement of Change in Net Asset Attributable to Shareholders. This arises due to the difference between the average Sterling to US dollar exchange rate for the year compared to the year-end Sterling to US dollar exchange rate.

(k) Cash flow statement The funds are not required to produce cash flow statements as they meet the exemption criteria set out in Financial Reporting Standard (FRS)1.

(l) Treatment of derivatives In pursuing its investment objectives, each of the funds may hold a number of financial instruments.

Forward currency contracts Open forward currency contracts which are all covered are shown in the Portfolio Statement at fair value and the net gains/(losses) are reflected in net capital gains/(losses) on investments.

Futures contracts Open futures contracts are shown in the Portfolio Statement at fair value and the net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.

Credit default swaps Open credit default swaps (CDS) are shown in the Portfolio Statement at fair value and the net capital gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments. Premiums receivable or payable on CDSs are included in the revenue account on an accruals basis.

Credit default swaps index Open credit default swaps (CDS) index are shown in the Portfolio Statement at fair value and the net capital gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments. Premiums receivable or payable on CDS index are included in the revenue account on an accruals basis.

Interest rate swaps Net capital gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.

Interest receivable or payable on interest rate swaps is included in the revenue account on an accruals basis.

Inflation index swaps Net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.

Henderson Strategic Investment Funds Aggregated Financial Statements 11 Notes to the financial statements (continued)

1 Accounting policies (continued) (l) Treatment of derivatives (continued) Interest rate swaps (continued) Premiums receivable or payable on inflation index swaps is included in the revenue account on an accruals basis.

Options contracts Options contracts are shown in the Portfolio Statement at fair value and the net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.

Contracts for difference Contracts for difference are shown in the Portfolio Statement at fair value and the net gains/(losses) are reflected within Derivative Contracts in net capital gains/(losses) on investments.

Total return swaps Total return swaps are shown in the Portfolio Statement at fair value and the net gains/(losses) are reflected within Derivative Contracts in net capital gains/(losses) on investments.

Cash held at brokers as margin is reflected separately within cash and bank balances.

Derivative transactions are accounted for on a trade date basis. Where such transactions are used to protect or enhance revenue, the revenue and expenses derived therefrom are included in ‘Revenue’ in the Statement of total return on an accruals basis. Where such transactions are used to protect or enhance capital, the gains and losses derived there from are included in ‘Net capital gains/(losses)’ in the Statement of total return.

(m) Hedged share classes on Henderson Credit Alpha Fund Hedging transactions may be entered into if the Euro or US dollar (as appropriate) is declining or increasing in value relative to Sterling.

Where such hedging is undertaken it may substantially protect investors in the relevant class against a decrease in the value of Sterling relative to the US dollar or Euro but it may also preclude investors from benefiting from an increase in the value of Sterling.

The full value of a share class will be hedged, containing both capital & revenue elements. The gains or losses from the hedge are calculated on a daily basis, and are allocated to both the capital and revenue of the share class based upon the relationship of the prior day capital/revenue split, with the revenue element impacting upon that class’s potential distributable revenue.

2 Distribution Policy The distribution policy of each fund is to accumulate all available revenue, after deduction of expenses properly chargeable against revenue, subject to any of the ACD’s periodic charge or other expense which may currently be transferred to capital.

All the funds pay dividend distributions except for Henderson Credit Alpha Fund which pay interest distributions.

Revenue attributed to accumulation shareholders is retained at the end of each distribution period and represents a reinvestment of income.

For the purpose of calculating the distribution, revenue on debt securities is computed on an effective yield basis, the same basis on which it is reflected in the financial statements as modified by the revaluation of investments.

Gains and losses on investments and currencies, whether realised or unrealised, are taken to capital and are not available for distribution.

When the revenue from investments exceeds the expenses, a distribution will be made. Should expenses exceed revenue there will be no distribution and the shortfall will be transferred from capital at the year end.

The policy of each sub-fund is to make annual (paid date being 31 December) and interim (paid date being 30 June) distributions to shareholders.

All distributions unclaimed for a period of six years after having become due for payment shall be forfeited and shall revert to the sub- funds.

12 Henderson Strategic Investment Funds Aggregated Financial Statements Notes to the financial statements (continued)

2 Distribution Policy (continued) Equalisation Income equalisation currently applies to all sub-funds.

Income equalisation ensures that part of the price on purchase of a share reflects the relevant share of accrued income received or to be received by the fund. This capital sum is returned to a shareholder (or where accumulation shares are held, it will be accumulated) with the first allocation of income in respect of a share issued during an accounting period. The amount representing the income equalisation in the share’s price is a return of capital, and is not itself taxable in the hands of shareholders but must be deducted by them from the price of the shares for the purpose of calculating any liability to capital gains tax.

3 Risk In pursuing its investment objective each sub-fund holds a number of financial instruments. These financial instruments comprise securities and other investments, cash balances, debtors and creditors that arise directly from the funds’ operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for redemptions and debtors for accrued revenue. The sub-funds may also enter into derivative transactions. The purpose of these financial instruments is efficient portfolio management and for meeting the funds’ investment objectives. The main risks arising from financial instruments are market, liquidity and credit risk. These policies have remained unchanged since the beginning of the year to which those financial statements relate (no change for 2014).

(a) Market risk Market risk is the risk that the value of the funds’ investments or the benefits arising thereon will fluctuate because of changes in market prices. Market risk comprises three types of risk: foreign currency risk, interest rate risk, and other price risk.

The Manager employs a risk management process that identifies the risks to which the sub-funds and the Company taken as a whole are or might be exposed and how such risks are assessed, monitored and managed, ensuring compliance with relevant regulation. This enables it to monitor and measure at any time the risk of the portfolio positions and their contribution to the overall risk profile of the relevant sub-fund, thereby ensuring that the global exposure of the underlying assets, including derivative instruments, shall not exceed the total net value of the relevant sub-fund.

The global exposure of a sub-fund is calculated by using either the commitment approach or Value-at-Risk (‘‘VaR’’) approach by reference to its risk profile. The commitment approach means that financial derivative instruments are converted into the market value of the equivalent position in the underlying asset(s). VaR is a mathematical-statistical concept and is commonly used as a standard measure of risk in the financial sector. The VaR approach is used, in general, for funds using derivative instruments or techniques within their investment strategies to generate additional leverage or market risk exposure.

For such funds, the maximum potential loss that a sub-fund could suffer in normal market conditions within a given time horizon and a certain degree of confidence is estimated. In these calculations all positions in the relevant portfolio are taken into consideration including those undertaken for efficient portfolio management purposes. For the purpose of calculating global exposure by VaR either a relative VaR approach or absolute VaR approach can be used; the selection of relative or absolute VaR methodology is determined by the availability of a reference portfolio appropriate for a sub-fund in meeting its investment objective.

The ACD uses the Risk Manager application from Risk Metrics. VaR has been calculated using a Monte Carlo simulation approach. As a control mechanism, Monte Carlo results are compared to the parametric model for validation purposes within the daily monitoring process. The VaR is calculated daily on a 99% confidence level using a one month forward looking time horizon. The model uses 2 years of weekly data which is equally weighted. If the sub-fund has a suitable reference portfolio, the regulatory limit is that the VaR of the total portfolio’s positions shall not be greater than twice the VaR of the portfolio’s reference portfolio. If the sub-fund is unable or for which it is not appropriate to determine a reference portfolio (e.g. absolute return type funds) an absolute VaR is calculated on all of the portfolio’s positions.

The global exposure for each applicable sub-fund has been determined according to the commitment approach during the reporting year from 1 November 2014 to 31 October 2015. For such funds, each sub-fund’s total commitment to derivatives is limited to 100% of the relevant funds’ total net value, being quantified as the sum as an absolute value of the individual commitments, after consideration of the possible effects of appropriate netting and hedging arrangements.

Henderson Strategic Investment Funds Aggregated Financial Statements 13 Notes to the financial statements (continued)

3 Risk (continued) (a) Market risk (continued) Foreign currency risk Foreign currency risk is the risk that the value of the sub-funds’ investments will fluctuate as a result of changes in foreign currency exchange rates.

Where a proportion of the net assets of the sub-funds are denominated in currencies other than sterling, the balance sheet can be affected by movements in exchange rates. The ACD may seek to manage exposure to currency movements by using forward exchange contracts or by hedging the sterling value of investments that are priced in other currencies.

Hedged share classes exist in the Credit Alpha Fund. These hedged share classes allow the Investment Fund Manager to use currency hedging transactions to seek to minimise the effect of exchange rate fluctuations between the base currency and the portfolio currency of the sub-fund.

The performance of a hedged share class may differ from other share classes of the sub-fund because the return on unhedged share classes is based on both the performance of the sub-funds’ investments and the performance of the portfolio currency relative to sterling whereas the return on a hedged share class should only be based on the performance of the sub-funds’ investments. However, there is no guarantee that the hedging strategy applied in hedged share classes will entirely eliminate the adverse effects of changes in exchange rates between the base currency and the portfolio currency.

Where undertaken, the effect of hedging is reflected in the net asset value and therefore, in the performance of the relevant hedged share class. Any benefits or losses of the hedging transactions should accrue to shareholders in that hedged share class only. However, the hedge may not always be 100% effective and any unrealised gains or losses resulting from the hedged share class may be allocated across all share classes. The Investment Fund Manager will review the relevant hedging positions on a regular basis and, if considered appropriate, make adjustments to correct the allocations across share classes.

While the ACD may attempt to hedge currency risks, there can be no guarantee that it will be successful in doing so and it will result in mismatches between the currency position of the relevant sub-fund and the relevant hedged share class.

The currency risk profile for the individual sub-funds is included in the notes to their financial statements

Interest rate risk Certain funds invest in debt securities. The revenue of the sub-funds may be affected by changes to interest rates relevant to particular securities or as a result of the ACD being unable to secure similar returns on the expiry of contracts or sale of securities. The value of debt securities may be affected by interest rate movements or the expectation of such movements in the future. Certain funds can invest in interest rate swaps and credit default swaps to adjust the interest rate risk profile of the sub-funds across the entire yield curve quickly and efficiently.

Bond yields (and, as a consequence bond prices) are determined mainly by market perception as to the appropriate level of yields given the economic background. Key determinants include economic growth prospects, inflation, the government’s fiscal position, short-term interest rates and international market comparisons.

Returns from bonds are fixed at the time of purchase the fixed coupon payment is known as the final redemption proceeds. This means that if a bond is held until its redemption date, the total return achieved is unaltered from its purchase date. However, over the life of a bond, the yield (and hence market price) at any given time will depend on the market environment at that time. Therefore, a bond sold before its redemption date is likely to have a different price to its purchase level and a profit or loss may be incurred.

The interest rate profile for the sub-funds is shown in their notes to the financial statements.

Other price risk Other price risk is the risk that the value of the sub-funds’ investment will fluctuate as a result of changes in market prices caused by factors other than interest rate or foreign currency movement. Other price risk arises mainly from uncertainty about future prices of financial instruments the sub-funds might hold. It represents the potential loss the sub-funds might suffer through holding market positions in the face of price movements.

The sub-funds’ investment portfolios are exposed to market price fluctuations, which are monitored by the ACD in pursuance of their investment objectives and policies as set out in the Prospectus. The ACD has the responsibility for monitoring the existing portfolio selection in accordance with the sub-funds’ investment objectives and seeks to ensure that individual securities meet an acceptable risk reward profile.

14 Henderson Strategic Investment Funds Aggregated Financial Statements Notes to the financial statements (continued)

3 Risk (continued) (b) Liquidity risk Liquidity risk is the risk that the sub-funds cannot raise sufficient cash to meet their liabilities when due. One of the key factors influencing this will be the ability to sell investments at, or close to, the fair value without a significant loss being realised.

Under normal circumstances, the sub-funds will remain close to fully invested. However, where circumstances require, for example because of illiquid securities markets or high levels of redemptions in the sub-funds, the funds may hold cash and/or more liquid assets. Temporary higher liquidity levels may also arise during the carrying out of a change in asset allocation policy, or following a large issue of shares.

The ACD manages the sub-funds’ cash to ensure they can meet their liabilities. The ACD receives daily reports of subscriptions and redemptions enabling the ACD to raise cash from the sub-funds’ portfolio in order to meet redemption requests. In addition the ACD monitors market liquidity of all securities, with particular focus on the FRN market, where relevant, seeking to ensure the sub-funds maintain sufficient liquidity to meet known and potential redemption activity. The sub-funds’ cash balances are monitored daily by the ACD and Administrator. Where investments cannot be realised in time to meet any potential liability, the sub-funds may borrow up to 10% of their value to ensure settlement. All of the sub-funds’ financial liabilities are payable on demand or in less than one year.

(c) Credit risk Credit risk arises from three main sources. Firstly, the possibility that an issuer of a security will be unable to pay interest and principal in a timely manner. Secondly, for asset backed investments (including FRNs) there is the possibility of default of the issuer and default in the underlying assets meaning the funds may not receive back the full principal originally invested. Thirdly, there is counterparty risk, which is the risk that the counterparty will not deliver the investment for a purchase, or cash for a sale after the sub-funds have fulfilled their responsibilities, which could result in the sub-funds suffering a loss.

In order to manage credit risk the funds are subject to investment limits for issuers of securities. Issuer credit ratings are evaluated periodically and an approved issuer list is maintained and monitored. In addition the sub-funds will only buy and sell investments through brokers which have been approved by the ACD as an acceptable counterparty and limits are set and monitored to cover the exposure to any individual broker. Changes in brokers’ financial ratings are periodically reviewed by the Henderson Credit Risk Committee along with set limits and new counterparty approval.

The sub-funds’ assets held with banks and with the Depositary are also exposed to credit risk. Assets held with the Depositary are ring-fenced. The banks used by the sub-funds and the ACD are subject to regular reviews.

Only counterparties that have been approved by Henderson’s Credit Risk Committee are used for derivatives transactions. The continuing credit worthiness of other counterparties is monitored on a daily basis.

Some sub-funds will invest in what are considered riskier bonds (below investment grade). This brings the potential for increased risk of default and could affect both the revenue and the capital value of the sub-fund. Further details can be found in the relevant sub-funds’ portfolio statements.

Adherence to investment guidelines and to investment and borrowing powers set out in the Instrument of Incorporation, the Prospectus and in the Financial Conduct Authority’s Collective Investment Schemes Sourcebook mitigates the risk of excessive exposure to any particular type of security or issuer.

Henderson Strategic Investment Funds Aggregated Financial Statements 15 Notes to the financial statements (continued)

4 Net capital gains Net capital gains/(losses) on investments during the year comprise: 2015 2014 £000 £000

Derivative contracts 631 (26,210) Forward currency contracts 23,272 19,460 Forward currency contracts on hedged share classes (13,495) (25,806) Non-derivative securities 7, 316 40,970 Other currency losses (4,908) (3,941) Transaction costs (78) (103) Net capital gains 12,738 4,370

3 Portfolio transaction costs 2015 2014 £000 £000

Purchases in year before transaction costs 1,605,557 3,124,339

Commissions 124 124 Other costs 29 1 Taxes 7 8 Total purchase transaction costs* 160 133

Purchases including transaction costs 1,605,717 3,124,472

Sales in year before transaction costs 1,926,469 3,095,043

Commissions (139) (148) Other costs (22) (2) Taxes (35) (57) Total sale transaction costs* (196) (207)

Sales net of transaction costs 1,926,273 3,094,836

Transaction handling charges* 78 103

* These amounts have been deducted in determining net capital gains.

16 Henderson Strategic Investment Funds Aggregated Financial Statements Notes to the financial statements (continued)

6 Revenue 2015 2014 £000 £000

Bank interest 648 288 Distributions from regulated collective investment schemes: Unfranked investment revenue - 13 Interest distributions - 340 Derivative revenue (6,717) (4,417) Interest on debt securities 28,940 28,569 Interest on margin (2) 10 Management fee rebate - 11 Overseas dividends 26,600 26,658 Overseas REIT revenue 805 697 Revenue on hedged share classes (62) (22) Securities lending 239 169 Stock dividends 1,762 2,002 UK dividends 593 49

Total revenue 52,806 54,367

7 Expenses 2015 2014 £000 £000 Payable to the Authorised Corporate Director (ACD), associates of the ACD and agents of either of them: ACD's periodic charge 8,424 11,222 GAC* 768 914 Performance fees 709 2,219 9,901 14,355

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fees 224 250 Safe custody fees 173 190 397 440

Other expenses: Professional fees 36 91 36 91

Total expenses 10,334 14,886

Irrecoverable VAT is included in the above expenses where relevant. *The current year audit fee which is levied through the GAC charge is £55,136 (2014: £55,980).

Henderson Strategic Investment Funds Aggregated Financial Statements 17 Notes to the financial statements (continued)

8 Taxation (a) Analysis of charge in year The tax charge comprises: 2015 2014 £000 £000

UK corporation tax 350 152 Double tax relief (76) (41) Overseas withholding tax 2,015 2,297 Capital tax - 27 Adjustments in respect of prior years (9) (16) Total current tax (note 8b) 2,280 2,419

Deferred tax (note 8c) (10) (7) Total taxation 2,270 2,412

(b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of authorised open ended investment companies (OEICs) 2015 2014 £000 £000

Net revenue before taxation 42,308 39,112

Corporation tax at 20% (2014: 20%) 8,462 7,854

Effects of: Adjustments in respect of prior years (9) (16) Revenue being paid as interest distributions (2,559) (2,083) Irrecoverable overseas tax 1,929 2,250 Movement in taxable accrued income (4) 7 Non-taxable overseas dividends ** (5,193) (5,325) Capital taxation adjustments 2 27 Stock dividends* (353) (400) UK dividends* (118) (10) Unused management expenses 123 115 Current tax charge for the year (note 8a) 2,280 2,419

* As an OEIC this item is not subject to corporation tax. ** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009.

OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above.

(c) Deferred tax Provision at start of year 11 18 Deferred tax credit for year (note 8a) (10) (7) Provision at end of year 1 11

(d) Factors that may affect future tax charges At the year end, after claiming relief against revenue taxable on receipt, there is a potential deferred tax asset of £551,985 (2014: £424,114) in relation to surplus management expenses. It is unlikely that the fund will generate sufficient taxable profits in the future to utilise these amounts and therefore no deferred tax asset has been recognised in the current or prior year.

18 Henderson Strategic Investment Funds Aggregated Financial Statements Notes to the financial statements (continued)

9 Finance costs Distributions and interest The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise: 2015 2014 £000 £000

Interim accumulation 21,394 16,703 Final accumulation 17,383 19,392 Tax withheld on interest distributions 14 0 278 38,917 36,373

Amounts deducted on cancellation of shares 2,724 2,093 Amounts received on issue of shares (1,487) (1,650)

Finance costs: Distributions 40,154 36,816

Finance costs: Interest 164 369

Total finance cost 40,318 37,185

Net revenue after taxation 40,038 36,700 Capital tax charge 1 26 Equalisation on conversions 13 4 Revenue shortfall 102 86 Finance cost: Distributions 40,154 36,816

10 Debtors 2015 2014 £000 £000

Accrued revenue 9,447 14,257 Amounts receivable for issue of shares 970 2,554 Corporation tax recoverable 17 59 Currency transactions awaiting settlement 5,186 19,559 Derivative interest 12 - Other debtors 647 - Overseas withholding tax reclaimable 1,286 2,044 Sales awaiting settlement 28,966 4,993 Lehman's compensation 2 51 242

Total debtors 46,782 43,708

11 Cash and bank balances 2015 2014 £000 £000

Amounts held at futures clearing houses and brokers 10,114 29,647 Cash and bank balances 83,763 41,778 Deposit accounts 55,600 47,100

Total cash and bank balances 149,477 118,525

Henderson Strategic Investment Funds Aggregated Financial Statements 19 Notes to the financial statements (continued)

12 Creditors 2015 2014 £000 £000

Accrued ACD's periodic charge 6 11 907 Accrued Depositary's fees 17 23 Accrued other expenses 155 14 0 Amounts payable for cancellation of shares 21,596 12,086 Corporation tax payable 117 96 Currency transactions awaiting settlement 5,193 19,627 Deferred taxation 1 11 Derivative interest payable 1,527 2,054 Income tax payable 35 196 Provision for corporation tax payable 540 - Purchases awaiting settlement 11,186 19,647

Total creditors 40,978 54,787

13 Contingent liabilities and commitments The contingent liabilities and commitment outstanding at the Balance sheet date is as follows: 2015 2014 £000 £000

Banco Santander (Rights) 56 - Mirae Asset Security (Rights) 31 -

Total contingent liabilities and commitments 87 -

The contingent liabilities recognised reflect the expected cash settlement value based upon the actual cash liability when settled or the market strike price when still outstanding.

14 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the fund and any related parties. Under the FRS the ACD is deemed to be related party. All transactions and balances associated with the ACD and are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 7 and 8 and notes 7, 10 and 12 on pages 17 to 20 including all creations and cancellations where the ACD acted as principal.

Details of the material shareholders are set out in the financial statements of each sub-fund.

20 Henderson Strategic Investment Funds Aggregated Financial Statements Authorised Corporate Director’s report

Investment Fund Managers Stephen Thariyan, Thomas Ross and Chris Bullock

Investment objective and policy The fund aims to generate positive returns.

The fund aims to typically deliver absolute (more than zero) returns over a rolling 12 month period. An absolute return performance is not guaranteed over this specific, or any other, time period and consequently capital is in fact at risk.

The fund will seek to achieve its investment objective by taking directional, relative value, structural and tactical positions in corporate bonds, asset backed securities, preference shares, equities, secured loans, credit default swaps, as well as other permitted derivative instruments.

The fund may also invest the property in transferable securities, money market instruments, derivatives and forward transactions, deposits and units in collective investment schemes.

Performance summary 31 Oct 14 - 31 Oct 13 - 31 Oct 12 - 31 Oct 11 - 31 Oct 10 - 31 Oct 15 31 Oct 14 31 Oct 13 31 Oct 12 31 Oct 11 % % % % %

Henderson Credit Alpha Fund 0.7 0.8 4.8 5.6 (0.5) 3M Libor 0.6 0.5 0.5 1.1 0.8

Source: Henderson Global Investors & Morningstar. * Fund returns calculated using midday prices on a bid to bid, net of fees basis in GBP, based on performance of class I gross accumulation.

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the year ended 31 October 2015

Largest purchases £000 Largest sales £000

Deutsche Global Liquidity Managed Platinum Deutsche Global Liquidity Managed Platinum 96,500 110,513 Sterling Fund Sterling Fund Rabobank Nederland 0.485% 22/06/2015 - 22/07/15 20,000 Leighton Finance USA 5.95% 13/11/2022 24,756 Toronto Dominion Bank 0.56% 27/10/2014 - 27/05/2015 18,000 Odeon & UCI Finco 9% 01/08/2018 21,328 Frontier Communications 11% 15/09/2025 17,187 Bank of Montreal 0.50% 05/01/2015 20,000 Grupo Isolux Corsan Finance 6.625% 15/04/2021 16,758 Commerzbank 0.58% 19/11/2014 20,000 Schaeffler Finance 3.25% 15/05/2025 15,825 Rabobank Nederland 0.485% 22/06/2015 - 22/07/15 20,000 Albemarle 1.875% 08/12/2021 15,195 Citibank 0.55% 17/11/2014 20,000 WP Carey 2% 20/01/2023 14,693 Nordea Bank 0.56% 02/02/2015 20,000 Santos 8.25% 22/09/2070 14,190 Bank of Nova Scotia 0.5% 20/11/2014 19,000 Atrium European Real Estate 3.625% 17/10/2022 14,017 Wind Acquisition Finance 7% 23/04/2021 18,682

Total purchases 1,411,996 Total sales 1,619,126

Henderson Credit Alpha Fund 21 Authorised Corporate Director’s report (continued)

Investment review On a gross of fees basis, the fund returned 1.3% over the last year, overperforming the cash benchmark by 0.7%. The year started well, with strong performance driven primarily by our overweight exposure to lower rated and higher yielding securities and positioning in the sterling credit market.

As we moved through the year, we decreased overall corporate bond exposure, first in investment grade and subsequently in high yield. Despite this, the second half of the year saw performance wane due to a combination of global growth concerns, high levels of issuance (particularly in the US) and idiosyncratic (issuer specific) risks. The weakness in the commodities market and, by extension, emerging markets more broadly was also a drag for sectors exposed to these areas.

In tactical strategies, positive contributions came from higher yielding positions including real estate related bonds from issuers Grand City Properties and building services firm Keepmoat. However, these were partially offset by weakness from our holdings in longer dated instruments including 100-year bonds from Mexico and utility GDF, which did not keep pace with long-dated government bonds. The weakness in commodities and emerging markets was negative for our holdings in commodity trading company Trafigura. A long position in Spanish construction company Isolux also detracted, with the sale of the issuers’ Brazilian assets thrown into doubt as a corruption scandal engulfed the country.

In the pair trades strategy, a long position in Italian construction firm Astaldi outperformed versus a short to Spanish competitor Abengoa, as concerns grew over Abengoa’s accounting practices. A long position in cinema chain Odeon versus a short to competitor Vue also performed well, on expectations that the issuer will be sold, with currently outstanding bonds likely to be refinanced.

In the thematic strategy, declining oil prices proved negative for our holding in oil rig servicing company Tervita, which we subsequently closed in December 2014. A position in hybrid bonds from Australian oil and gas producer Santos also declined; however, we maintain the position given the issuer’s low cost of production and expectations that the bonds will be called at par next year. The media sector was also weak, with holdings in Time Warner Cable faltering after regulators rejected a proposed merger with Comcast, paving the way for lower rated competitor Charter to acquire the company.

Positive contributions came from Russian logistics company FESCO, which retraced previous losses following strong corporate results and a broader improvement for Russian assets. We subsequently closed the position through participation in a debt tender. A short position in French engineering group Novafives also performed well, given the issuer’s exposure to the weakness in emerging markets and commodities, as well as poor second quarter results.

At the macro level, we are concerned over investor complacency regarding the likelihood and implications of a rate hike from the US Federal Reserve in December. Meanwhile, in Europe, we think that despite promising to do ‘whatever it takes’, European Central Bank (ECB) president Mario Draghi could disappoint markets, especially given the constraints the ECB now faces in terms of assets available for purchase. Looking within fixed income markets, we currently see better opportunities in European high yield versus investment grade and US high yield, given lower levels of issuance, more supportive investor flows and Europe’s less mature credit cycle.

22 Henderson Credit Alpha Fund Comparative tables as at 31 October 2015

Net asset value per share

Net asset Net asset Number of Net asset value value of shares in value per of fund shares issue share Accounting year (£) (£) (pence)

Class A accumulation 31/10/2013 896,185,609 16,217,016 29,230,229 55.48 31/10/2014 965,806,894 12,776,554 22,971,673 55.62 31/10/2015 753,471,789 3,933,148 7,116,594 55.27 Class G accumulation 31/10/20141 965,806,894 634,479 1,259,455 50.38 31/10/2015 753,471,789 1,513 3,000 50.43 Class I accumulation 31/10/2013 896,185,609 3,350,738 2,232,771 150.07 31/10/2014 965,806,894 3,612,620 2,383,871 151.54 31/10/2015 753,471,789 172,044 113,584 151.47 Class Y accumulation 31/10/2013 896,185,609 141,199,252 125,615,953 112.41 31/10/2014 965,806,894 141,786,098 125,287,071 113.17 31/10/2015 753,471,789 21,029,089 18,630,156 112.88 Class Z accumulation 31/10/2013 896,185,609 9,254,695 8,472,828 109.23 31/10/2014 965,806,894 9,693,614 8,718,530 111 . 18 31/10/2015 753,471,789 7,995,842 7,136,182 112.05 Class G gross accumulation 31/10/20141 965,806,894 136,918 271,470 50.44 31/10/2015 753,471,789 2,530 5,000 50.60 Class I gross accumulation 31/10/2013 896,185,609 126,091,509 82,748,038 152.38 31/10/2014 965,806,894 157,668,545 102,242,168 154.21 31/10/2015 753,471,789 156,488,226 101,206,936 154.62 Class Y gross accumulation 31/10/2013 896,185,609 78,055,207 72,054,201 108.33 31/10/2014 965,806,894 93,815,433 85,870,737 109.25 31/10/2015 753,471,789 45,910,684 42,034,916 109.22 Class Z gross accumulation 31/10/2013 896,185,609 154,836,871 95,169,004 162.70 31/10/2014 965,806,894 189,645,382 114,011,223 166.34 31/10/2015 753,471,789 299,254,807 177, 6 07,79 8 168.49 Class A Euro (hedged) accumulation 31/10/2013 896,185,609 114,935,582 25,327,894 453.79 31/10/2014 965,806,894 95,213,678 22,686,297 419.70 31/10/2015 753,471,789 81,761,712 21,564,198 379.15 Class G Euro (hedged) accumulation 31/10/20141 965,806,894 1,969 500 393.80 31/10/2015 753,471,789 1,793 500 358.60 Class Y Euro (hedged) accumulation 31/10/2013 896,185,609 161,947,837 17,586,756 920.85 31/10/2014 965,806,894 175,360,013 20,481,626 856.18 31/10/2015 753,471,789 73,107,867 9,406,354 777.22

Henderson Credit Alpha Fund 23 Comparative tables as at 31 October 2015

Net asset value per share (continued)

Net asset Net asset Number of Net asset value value of shares in value per of fund shares issue share (£) (£) (pence)

Class A USD (hedged) accumulation 31/10/2013 896,185,609 46,094,143 13,775,652 334.61 31/10/2014 965,806,894 41,409,257 12,324,305 336.00 31/10/2015 753,471,789 28,435,062 8,230,145 345.50 Class G USD (hedged) accumulation 31/10/20141 965,806,894 1,572 500 314.40 31/10/2015 753,471,789 1,628 500 325.60 Class Y USD (hedged) accumulation 31/10/20132 896,185,609 44,202,759 6,673,164 662.40 31/10/2014 965,806,894 44,050,762 6,587,733 668.68 31/10/2015 753,471,789 35,375,844 5,120,071 690.92

1 Class G (accumulation, gross accumulation, Euro ((hedged)) accumulation and USD ((hedged)) accumulation) were launched 5 November 2013 2 Class Y USD (hedged) accumulation was launched 12 June 2012.

24 Henderson Credit Alpha Fund Comparative tables as at 31 October 2015

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share) Class A accumulation 20101 0.24 52.05 49.96 2 0 11 0.36 53.20 51.01 2012 0.12 54.36 51.13 2013 0.07 55.91 54.40 2014 0.12 56.48 55.25 2015 0.31* 56.94+ 54.95+ Class G accumulation 2013 6 - 50.32 49.98 2014 0.46 50.99 50.03 2015 0.60* 51.78+ 50.13+ Class I accumulation 2010 1.91 137.60 125.50 2 0 11 2.08 141.00 135.60 2012 1.32 145.90 136.00 2013 1.77 151.50 146.00 2014 1.46 153.60 150.50 2015 1.74* 155.80+ 150.60+ Class Y accumulation 20101 0.34 104.10 99.77 2 0 11 1.18 106.70 102.60 2012 0.65 109.70 102.80 2013 0.60 113.30 109.80 2014 0.74 114.70 112.40 2015 1.07* 116.00+ 112.20+ Class Z accumulation 2 0 11 4 1.20 100.60 97.02 2012 1.78 105.46 97. 4 6 2013 2.15 109.41 105.60 2014 1.95 112.40 110.40 2015 2.22* 114.80+ 111 . 1 0 + Class G gross accumulation 2013 6 - 50.33 49.99 2014 0.56 51.00 50.10 2015 0.75* 51.88+ 50.25+ Class I gross accumulation 2010 2.47 138.50 125.40 2 0 11 2.62 142.20 136.90 2012 1.66 147. 8 0 137.40 2013 2.24 153.90 147. 9 0 2014 1.81 156.20 153.20 2015 2.29* 158.90+ 153.60+ Class Y gross accumulation 2 0 11 3 1.43 102.50 98.71 2012 0.67 105.70 99.01 2013 0.61 109.30 105.70 2014 0.90 110.60 108.50 2015 1.30* 112.10+ 108.50+

Henderson Credit Alpha Fund 25 Comparative tables as at 31 October 2015

Performance record (continued)

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share) Class Z gross accumulation 2010 3.93 143.40 128.70 2 0 11 4.22 148.10 142.50 2012 3.28 156.52 143.97 2013 3.98 164.70 156.50 2014 3.64 168.20 164.60 2015 4.21* 172.30+ 166.40+

Net revenue Highest price Lowest price (Euro cents per share) (Euro cents per share) (Euro cents per share) Class A Euro (hedged) accumulation 2010 2 2.58 507.93 486.69 2 0 11 4.15 517.64 497.44 2012 1.38 527.15 498.10 2013 0.90 540.14 527.46 2014 1.55 545.18 532.68 2015 4.39* 548.09+ 527.33+ Class G Euro (hedged) accumulation 2013 6 - 503.12 499.77 2014 4.45 509.51 499.70 2015 8.23* 515.82+ 498.26+ Class Y Euro (hedged) accumulation 20101 8.60 1,015.97 971.08 2 0 11 14.61 1,037.40 1,000.15 2012 7. 31 1,065.36 1,002.09 2013 7. 12 1,097.07 1,066.03 2014 8.93 1,109.06 1,086.37 2015 14.44* 1,120.04+ 1,080.24+

26 Henderson Credit Alpha Fund Comparative tables as at 31 October 2015

Performance record (continued)

Calendar year Net revenue Highest price Lowest price (USD cents per share) (USD cents per share) (USD cents per share) Class A USD (hedged) accumulation 20102 2.58 509.30 487.46 2 0 11 4.14 518.29 495.92 2012 1.69 527.63 497.02 2013 0.90 541.47 527.96 2014 1.61 546.47 534.22 2015 4.25* 550.25+ 530.53+ Class G USD (hedged) accumulation 2013 6 - 503.09 499.79 2014 4.65 509.15 499.64 2015 7.95* 516.19+ 499.64+ Class Y USD (hedged) accumulation 2012 5 - 1,042.00 1,002.00 2013 5.44 1,072.88 1,040.70 2014 8.85 1,084.61 1,062.91 2015 13.76* 1,097.19+ 1,060.38+

* to 31 December + to 31 October 1 classes Y accumulation and A accumulation were launched 1 March 2010 2 classes A Euro (hedged) accumulation, A USD (hedged) accumulation and Y Euro (hedged) accumulation were launched on 16 April 2010 3 class Y gross accumulation was launched 10 November 2010 4 class Z accumulation was launched 15 April 2011 5 class Y USD (hedged) accumulation was launched 12 June 2012 6 classes G (accumulation, gross accumulation, Euro (hedged) accumulation and USD (hedged) accumulation) were launched 5 November 2013

Henderson Credit Alpha Fund 27 Ongoing charge figure

The annualised ongoing charge figure (OCF) of the fund is calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the year, except for expenses that are explicitly excluded by regulation.

Performance Performance OCF* fees OCF* fees 2015 2015 2014 2014 % % % %

Class A 1.66 0.15 1.65 0.33

Class G 0.74 0.30 0.73 0.01

Class I 1.06 n/a 1.06 n/a

Class Y 1.06 0.28 1.06 0.33

Class Z 0.04 n/a 0.04 n/a

Class G gross 0.74 0.51 0.73 0.05

Class Y gross 1.06 0.28 1.06 0.33

Class A Euro (hedged) 1.66 0.03 1.65 0.28

Class G Euro (hedged) 0.74 0.22 0.73 0.62

Class Y Euro (hedged) 1.06 0.15 1.06 0.36

Class A USD (hedged) 1.66 0.08 1.65 0.28

Class G USD (hedged) 0.74 0.25 0.73 0.61

Class Y USD (hedged) 1.06 0.21 1.06 0.32

The OCF is calculated in accordance with guidelines issued by the European Securities and Markets Authority (ESMA).

* OCF excludes performance fees

28 Henderson Credit Alpha Fund Risk and reward profile

The fund currently has 15 types of share class in issue; they are all accumulation share classes; A, A Euro hedged, A USD hedged, I, I gross, Y, Y gross, Y Euro hedged, Y USD hedged, Z, Z gross, G, G gross, G Euro hedged and G USD hedged. Each type of share class has the same risk and reward profile which is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk

1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5 year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your shares, they may be worth less than you paid for them. The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• As a category, bonds are less volatile than shares

• The fund invests in a broad range of securities and countries and uses a broad range of strategies.

• Fluctuations in exchange rates may cause the value of your investment to rise or fall

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events.

There have been no changes to the risk rating in the year.

The SRRI conforms to the European Securities and Markets Authority (ESMA) guidelines for the calculation of the SRRI.

Henderson Credit Alpha Fund 29 Portfolio statement as at 31 October 2015

Holding Investment Market Percentage value of total £000 net assets % Equities 0.23% (2014: 1.98%) United Kingdom 0.23% (2014: 0.78%) Financials 0.23% (2014: 0.78%) 13,300 Nationwide Building Society Preference 1,699 0.23

United States 0.00% (2014: 1.20%) Financials 0.00% (2014: 1.20%)

Certificates of Deposit 23.16% (2014: 20.19%) Australia 0.66% (2014: 1.09%) GBP 5,000,000 Australia & New Zealand Banking 0.57% 14/12/2015 5,001 0.66

Canada 3.32% (2014: 4.04%) GBP 10,000,000 Bank of Montreal 0.53% 27/11/2015 10,000 1.34 GBP 5,000,000 National Bank of Canada 0.69% 18/02/2016 5,002 0.66 GBP 5,000,000 Toronto-Dominion Bank 0.55% 16/11/2015 5,000 0.66 GBP 5,000,000 Toronto-Dominion Bank 0.60% 03/12/2015 5,001 0.66 25,003 3.32

Denmark 1.33% (2014: 2.54%) GBP 5,000,000 Den Danske Bank Aktieselskab 0.75% 29/03/2016 5,003 0.67 GBP 5,000,000 DNB 0.63% 11/12/2015 5,001 0.66 10,004 1.33

Finland 0.80% (2014: 2.07%) GBP 6,000,000 Nordea Bank 0.655% 07/12/2015 6,001 0.80

France 1.33% (2014: 0.00%) GBP 5,000,000 Société Générale 0.73% 08/12/2015 5,001 0.66 GBP 5,000,000 Société Générale 0.8% 31/12/2015 5,003 0.67 10,004 1.33

Germany 1.99% (2014: 2.69%) GBP 5,000,000 Deutsche Bank 0.68% 05/11/2015 5,000 0.66 GBP 10,000,000 DZ Bank 0.57% 03/12/2015 10,001 1.33 15,001 1.99

Japan 1.99% (2014: 0.00%) GBP 5,000,000 Bank of Tokyo Mitsubishi UFJ 0.5% 05/11/2015 5,000 0.66 GBP 10,000,000 Mitsubishi UFJ Trust & Banking 0.59% 30/11/2015 10,001 1.33 15,001 1.99

Netherlands 2.65% (2014: 1.24%) GBP 10,000,000 ABN Amro Bank 0.6% 12/11/2015 10,001 1.32 GBP 10,000,000 ING Bank 0.58% 02/11/2015 10,000 1.33 20,001 2.65

Sweden 2.65% (2014: 0.93%) GBP 10,000,000 Svenska Handelsbanken 0.54% 19/11/2015 10,001 1.33 GBP 10,000,000 Svenska Handelsbanken 0.54% 23/12/2015 10,001 1.32 20,002 2.65

30 Henderson Credit Alpha Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % United Arab Emirates 1.99% (2014: 0.00%) GBP 10,000,000 National Bank of Abu Dhabi 0.6% 16/11/2015 10,001 1.33 GBP 5,000,000 National Bank of Abu Dhabi 0.67% 21/01/2016 5,002 0.66 15,003 1.99

United Kingdom 2.46% (2014: 1.97%) GBP 8,500,000 Nationwide Building Society 0.60% 21/12/2015 8,502 1.14 GBP 5,000,000 Standard Chartered Bank 0.61% 07/01/2016 5,001 0.66 GBP 5,000,000 Standard Chartered Bank 0.73% 04/12/2015 5,001 0.66 18,504 2.46

United States 1.99% (2014: 3.62%) GBP 8,000,000 Bank of America 0.58% 06/01/2016 8,002 1.06 GBP 7,000,000 Citibank 0.57% 18/11/2015 7,000 0.93 15,002 1.99

Bonds 56.78% (2014: 63.42%) Australia 2.57% (2014: 5.14%) Fixed Rate Bond 1.09% (2014: 4.10%) USD 5,435,000 BHP Billiton Finance 6.25% VAR 19/10/2075 3,603 0.48 USD 7,000,000 BHP Billiton Finance 6.75% VAR 19/10/2075 4,629 0.61 8,232 1.09

Variable Rate Bond 1.48% (2014: 1.04%) EUR 4,565,000 Origin Energy Finance VAR 16/09/2074 2,865 0.38 EUR 11,220,000 Santos 8.25% 22/09/2070 8,259 1.10 11,124 1.48

Brazil 0.85% (2014: 1.47%) Fixed Rate Bond 0.85% (2014: 1.47%) USD 3,500,000 Marfrig 9.5% 04/05/2020 2,267 0.30 USD 3,000,000 Petrobras Global Finance 3.5% 06/02/2017 1,877 0.25 USD 4,250,000 Vale Overseas 6.875% 21/11/2036 2,240 0.30 6,384 0.85

Canada 0.00% (2014: 0.95%) Fixed Rate Bond 0.00% (2014: 0.95%)

China 0.66% (2014: 0.00%) Fixed Rate Bond 0.66% (2014: 0.00%) USD 3,000,000 Country Garden 7.25% 04/04/2021 2,026 0.27 USD 4,500,000 Evergrande Real Estate G 8.75% 30/10/2018 2,947 0.39 4,973 0.66

Croatia 1.64% (2014: 0.97%) Secured Loans 1.64% (2014: 0.97%) EUR 17,300,000 Agrokor 9.5% 04/06/2018 12,335 1.64

Czech Republic 0.00% (2014: 0.50%) Fixed Rate Bond 0.00% (2014: 0.50%)

Henderson Credit Alpha Fund 31 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Europe 6.53% (2014: 1.01%) Floating Rate Note 6.53% (2014: 1.01%) EUR 311,587 Avoca CLO FRN 18/02/2022 IV X B 222 0.03 EUR 3,682,000 Avoca CLO FRN 18/02/2022 IV X C 2,584 0.34 EUR 9,100,000 Avoca CLO FRN 21/01/2028 6,329 0.85 EUR 900,000 Avoca FRN 15/10/2027 625 0.08 EUR 2,885,000 Bacchus FRN 17/08/2022 C 2,022 0.27 EUR 1,023,000 BNPP IP European CLO FRN 15/04/2028 B 725 0.10 EUR 1,640,000 BNPP IP European CLO FRN 15/04/2028 C 1,165 0.15 EUR 3,918,000 Contego FRN 15/11/2026 2,722 0.36 EUR 1,755,000 Cordatus FRN 21/07/2029 'C' 1,243 0.16 EUR 1,610,000 Cordatus FRN 21/07/2029 'D' 1,093 0.14 EUR 1,932,000 GLG European CLO FRN 15/04/2028 B 1,384 0.18 EUR 2,756,000 GLG European CLO FRN 15/04/2028 C 1,976 0.26 EUR 3,500,000 GSC European CDO FRN 25/04/2023 2,450 0.33 EUR 2,500,000 Harvest CLO FRN 15/11/2028 'B' 1,784 0.24 EUR 7,140,000 Harvest CLO FRN 15/11/2028 C 4,847 0.64 EUR 4,608,000 Jubilee CDO FRN 12/07/2028 'B' 3,261 0.43 EUR 1,427,000 Jubilee CDO FRN 12/07/2028 'C' 1,017 0.13 EUR 8,000,000 Jubilee CDO FRN 20/09/2022 5,590 0.74 EUR 5,000,000 Mercator FRN 15/10/2024 3,510 0.47 EUR 4,507,000 Tikehau FRN 04/08/2028 B 3,205 0.43 EUR 2,098,000 Tikehau FRN 04/08/2028 C 1,485 0.20 49,239 6.53

Finland 0.00% (2014: 1.28%) Fixed Rate Bond 0.00% (2014: 1.28%)

France 2.34% (2014: 11.76%) Fixed Rate Bond 2.34% (2014: 6.46%) EUR 10,430,000 GDF Suez 5.95% 16/03/2111 10,962 1.45 EUR 9,200,000 TDF Infrastructure 2.875% 19/10/2022 6,695 0.89 17,657 2.34

Variable Rate Bond 0.00% (2014: 5.30%)

Germany 4.45% (2014: 3.09%) Fixed Rate Bond 1.83% (2014: 1.62%) USD 5,643,000 Dresdner Funding Trust 8.151% 30/06/2031 4,494 0.60 EUR 5,300,000 Kirk Beauty One 8.75% 15/07/2023 3,829 0.51 EUR 7,650,000 Schaeffler Finance 3.25% 15/05/2025 5,444 0.72 13,767 1.83

Variable Rate Bond 2.62% (2014: 1.47%) EUR 14,900,000 Deutsche Annington Finance 4.625% 08/04/2074 10,901 1.44 EUR 13,200,000 Grand City Properties 3.75% Perpetual 8,875 1.18 19,776 2.62

Hong Kong 0.00% (2014: 0.50%) Fixed Rate Bond 0.00% (2014: 0.50%)

32 Henderson Credit Alpha Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Ireland 0.00% (2014: 1.60%) Fixed Rate Bond 0.00% (2014: 1.14%)

Floating Rate Note 0.00% (2014: 0.46%)

Italy 1.98% (2014: 2.98%) Fixed Rate Bond 1.46% (2014: 2.41%) USD 17,850,000 Meccanica Holdings 6.25% 15/01/2040 10,951 1.46

Variable Rate Bond 0.52% (2014: 0.57%) EUR 5,270,000 Assicurazioni Generali 5.5% VAR 27/10/2047 3,933 0.52

Jamaica 1.10% (2014: 0.00%) Asset Backed 0.26% (2014: 0.00%) USD 3,000,000 Jamaica (Government of) 6.75% 28/04/2028 1,967 0.26

Fixed Rate Bond 0.84% (2014: 0.00%) USD 11,000,000 Digicel 8.25% 30/09/2020 6,303 0.84

Japan 1.26% (2014: 0.00%) Fixed Rate Bond 1.26% (2014: 0.00%) EUR 6,090,000 SoftBank 4.75% 30/07/2025 4,329 0.57 EUR 7,260,000 SoftBank 5.25% 30/07/2027 5,141 0.69 9,470 1.26

Kuwait 0.17% (2014: 0.00%) Variable Rate Bond 0.17% (2014: 0.00%) USD 2,000,000 NBK Tier 1 Financing VAR Perpetual 1,310 0.17

Luxembourg 2.19% (2014: 3.12%) Fixed Rate Bond 2.19% (2014: 1.49%) EUR 9,000,000 Geo Debt Finance SCA 7.50% 01/08/2018 6,099 0.81 EUR 7,334,571 Geo Travel Finance 10.375% 01/05/2019 4,512 0.60 USD 15,450,000 Intelsat Luxembourg 7.75% 01/06/2021 5,902 0.78 16,513 2.19

Variable Rate Bond 0.00% (2014: 1.63%)

Mexico 1.75% (2014: 2.02%) Fixed Rate Bond 1.75% (2014: 2.02%) GBP 13,621,000 United Mexican States 5.625% 19/03/2114 13,212 1.75

Netherlands 4.95% (2014: 2.68%) Fixed Rate Bond 3.10% (2014: 0.00%) EUR 18,050,000 Atrium European Real Estate 3.625% 17/10/2022 13,307 1.77 EUR 16,240,000 Trafigura 5% 27/04/2020 10,048 1.33 23,355 3.10

Henderson Credit Alpha Fund 33 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Floating Rate Note 0.00% (2014: 0.95%)

Variable Rate Bond 1.85% (2014: 1.73%) EUR 19,675,000 NN 4.5% Perpetual 13,945 1.85

Philippines 0.25% (2014: 0.00%) Fixed Rate Bond 0.25% (2014: 0.00%) USD 3,000,000 San Miguel 4.875% 26/04/2023 1,855 0.25

Portugal 1.00% (2014: 1.51%) Fixed Rate Bond 0.21% (2014: 1.51%) EUR 2,128,000 EDP Finance 2.625% 18/01/2022 1,545 0.21

Variable Rate Bond 0.79% (2014: 0.00%) EUR 8,400,000 Energias de Portugal VAR 16/09/2075 5,986 0.79

Russian Federation 0.98% (2014: 0.55%) Fixed Rate Bond 0.98% (2014: 0.55%) USD 11,350,000 Gazprom (GAZ Capital) 4.3% 12/11/2015 7,349 0.98

Spain 2.89% (2014: 1.64%) Fixed Rate Bond 2.89% (2014: 1.64%) EUR 5,100,000 Grupo ACS 2.875% 01/04/2020 3,590 0.48 EUR 2,800,000 Grupo Antolin Dutch 5.125% 30/06/2022 2,048 0.27 EUR 16,095,000 Grupo Isolux Corsan Finance 6.625% 15/04/2021 5,123 0.68 EUR 15,300,000 Inmobiliaria Colonial 2.728% 05/06/2023 10,978 1.46 21,739 2.89

Switzerland 0.00% (2014: 0.39%) Variable Rate Bond 0.00% (2014: 0.39%)

United Arab Emirates 0.17% (2014: 0.00%) Variable Rate Bond 0.17% (2014: 0.00%) USD 2,000,000 National Bank of Abu Dhabi 5.25% Perpetual 1,316 0.17

United Kingdom 10.80% (2014: 10.34%) Fixed Rate Bond 4.79% (2014: 7.42%) GBP 3,800,000 Friends Life Holdings 8.25% 21/04/2022 4,512 0.60 GBP 10,990,000 Kennedy Wilson Europe Real Estate 3.95% 30/06/2022 10,709 1.42 GBP 8,660,000 Prudential 5% 20/07/2055 7,941 1.05 USD 9,400,000 Royal Bank of Scotland 6.125% 15/12/2022 6,675 0.89 GBP 6,650,000 TES Finance 6.75% 15/07/2020 6,270 0.83 36,107 4.79

34 Henderson Credit Alpha Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Floating Rate Note 3.03% (2014: 0.39%) GBP 2,934 Annington Finance No 4 FRN 10/01/2023 4 - EUR 1,549,000 Eurosail FRN 10/06/2044 B1A 944 0.13 EUR 8,669,000 Eurosail FRN 10/09/2044 5,341 0.71 GBP 3,163,000 Eurosail FRN 13/03/2045 B1C 2,290 0.30 GBP 6,917,727 Eurosail FRN 15/12/2044 A2C 6,575 0.87 EUR 4,700,000 Leek Finance FRN 21/12/2037 3,304 0.44 GBP 4,532,000 Thrones FRN 18/03/2050 4,401 0.58 22,859 3.03

Stepped Rate Bond 0.54% (2014: 0.00%) GBP 3,800,000 Standard Life 6.546% Perpetual 4,066 0.54

Variable Rate Bond 2.44% (2014: 2.53%) GBP 12,260,000 PGH Capital 5.75% 07/07/2021 13,254 1.76 EUR 7,080,000 Royal Bank of Scotland 4.625% 22/09/2021 5,145 0.68 18,399 2.44

United States 8.25% (2014: 9.92%) Fixed Rate Bond 7.25% (2014: 9.37%) EUR 12,500,000 Albemarle 1.875% 08/12/2021 8,609 1.14 USD 24,911,000 Frontier Communications 11% 15/09/2025 16,905 2.25 USD 6,700,000 HP Enterprise 4.9% 15/10/2025 4,287 0.57 USD 15,750,000 Kinder Morgan Energy Partners 5.5% 01/03/2044 8,552 1.13 EUR 5,350,000 Lehman Brothers 4.625% 14/03/2019~ - - USD 13,350,000 Qualcomm 4.8% 20/05/2045 7,477 0.99 USD 7,325,000 Trinity Industries 4.55% 01/10/2024 4,509 0.60 USD 8,575,000 William Partners 5.1% 15/09/2045 4,272 0.57 54,611 7.25

Floating Rate Note 0.29% (2014: 0.00%) USD 3,455,000 Invitation Homes 2015-SFR2 FRN 17/06/2032 2,214 0.29

Variable Rate Bond 0.71% (2014: 0.55%) USD 9,000,000 ILFC E-Capital Trust I 21/12/2065 5,376 0.71

Collective Investment Schemes 8.77% (2014: 8.28%) 48,009,298 Deutsche Global Liquidity Managed Platinum Sterling Fund 48,009 6.37 15,709,637 Henderson Institutional Cash Fund Class I Gross Accumulation+ 18,076 2.40 66,085 8.77

Derivatives (3.62%) (2014: (0.61%)) Futures (0.07%) (2014: (0.45%)) (239) CBT US Ultra Bond December 2015 186 0.02 (275) CBT US 10 Year Note December 2015 51 0.01 (82) CBT US 5 Year Note December 2015 11 - (407) EUX EURO BOBL December 2015 (265) (0.04) (191) EUX EURO Bund December 2015 (511) (0.06) (304) ICE Long Gilt December 2015 3 - (525) (0.07)

Henderson Credit Alpha Fund 35 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Swaps (3.23%) (2014: 0.00%) Credit Default Index Swaps (0.96%) (2014: (0.97%)) 150,000,000 CDX 1.00% 20/06/2020 iTraxx-Europe Pay EUR (1,699) (0.23) 40,000,000 CDX 5% 20/06/2020 iTraxx-Europe Pay EUR (2,225) (0.30) 17,900,000 CDX 5.00% 20/06/2020 NAHYS24V Pay USD (661) (0.09) 40,000,000 CDX 5.00% 20/12/2020 iTraxx-Crossover Pay EUR (2,650) (0.34) (7,235) (0.96)

Credit Default Swaps (1.68%) (2014: 1.36%) 5,000,000 CDS 1.00% 20/12/2020 Anheuser Busch Pay EUR (27) - 34,750,000 CDS 1.00% 20/12/2020 BAE Systems Pay EUR (414) (0.05) 28,400,000 CDS 1.00% 20/12/2020 Carlsberg Brewery Pay EUR (117) (0.02) 27,400,000 CDS 1.00% 20/12/2020 Carnival Pay USD (472) (0.06) 43,900,000 CDS 1.00% 20/12/2020 Cisco Systems Pay USD (948) (0.13) 5,000,000 CDS 1.00% 20/12/2020 Diageo Pay EUR (79) (0.01) 15,900,000 CDS 1.00% 20/12/2020 Glencore International Receive EUR (2,619) (0.35) 7,000,000 CDS 1.00% 20/12/2020 Grupo Televisa Pay USD 172 0.02 5,150,000 CDS 1.00% 20/12/2020 International Business Systems Pay USD (77) (0.01) 9,900,000 CDS 1.00% 20/12/2020 International Business Systems Pay USD (147) (0.02) 52,000,000 CDS 1.00% 20/12/2020 John Deere Pay USD (680) (0.09) 11,400,000 CDS 1.00% 20/12/2020 Ladbrokes Pay EUR 520 0.07 4,450,000 CDS 1.00% 20/12/2020 Ladbrokes Pay EUR 203 0.03 7,500,000 CDS 1.00% 20/12/2020 Medtronic Receive USD 119 0.02 26,650,000 CDS 1.00% 20/12/2020 Pfizer Pay USD (536) (0.07) 32,000,000 CDS 1.00% 20/12/2020 Potash Corporation of Sakatchewan Pay USD 105 0.01 20,000,000 CDS 1.00% 20/12/2020 SABMiller Pay EUR (368) (0.05) 19,200,000 CDS 1.00% 20/12/2020 Suedzucker Pay EUR (110) (0.01) 25,000,000 CDS 1.00% 20/12/2020 Telefonica Pay EUR 214 0.03 25,800,000 CDS 1.00% 20/12/2020 Tesco Receive EUR (1,219) (0.16) 22,200,000 CDS 1.00% 20/12/2020 Vodafone Pay EUR (36) 0.00 3,000,000 CDS 5.00% 20/06/2016 Abengoa Pay EUR 705 0.09 2,000,000 CDS 5.00% 20/06/2016 Abengoa Pay EUR 470 0.06 4,050,000 CDS 5.00% 20/09/2020 Melià Hotels Pay EUR (561) (0.07) 1,000,000 CDS 5.00% 20/09/2020 Selecta Pay EUR (1) - 3,000,000 CDS 5.00% 20/09/2020 Selecta Pay EUR (2) - 19,200,000 CDS 5.00% 20/12/2020 AES Pay USD (756) (0.10) 21,100,000 CDS 5.00% 20/12/2020 British Airways Pay EUR (2,941) (0.39) 15,350,000 CDS 5.00% 20/12/2020 Calpine Receive USD 247 0.03 3,850,000 CDS 5.00% 20/12/2020 Calpine Receive USD 62 0.01 21,200,000 CDS 5.00% 20/12/2020 Delta Air Lines Receive USD 1,457 0.19 2,000,000 CDS 5.00% 20/12/2020 Dry Mix Solutions Pay EUR (148) (0.02) 2,000,000 CDS 5.00% 20/12/2020 Dry Mix solutions Pay EUR (148) (0.02) 2,000,000 CDS 5.00% 20/12/2020 Dry Mix solutions Pay EUR (148) (0.02) 6,000,000 CDS 5.00% 20/12/2020 Dry Mix solutions Pay EUR (443) (0.06) 3,000,000 CDS 5.00% 20/12/2020 Galapagos Pay EUR 59 0.01 2,500,000 CDS 5.00% 20/12/2020 Galapagos Pay EUR 49 0.01 2,500,000 CDS 5.00% 20/12/2020 Galapagos Pay EUR 49 0.01 2,500,000 CDS 5.00% 20/12/2020 Galapagos Pay EUR 49 0.01 13,300,000 CDS 5.00% 20/12/2020 LA Pacific Pay USD (1,461) (0.19) 3,175,000 CDS 5.00% 20/12/2020 Lock Lower Pay EUR (54) (0.01) 5,125,000 CDS 5.00% 20/12/2020 Novafives Pay EUR 247 0.03

36 Henderson Credit Alpha Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Credit Default Swaps (continued) 27,400,000 CDS 5.00% 20/12/2020 Royal Caribbean Receive USD 3,060 0.40 6,000,000 CDS 5.00% 20/12/2020 R&R Ice cream Pay EUR (894) (0.12) 17,200,000 CDS 5.00% 20/12/2020 Stena Pay EUR (2) - 2,000,000 CDS 5.00% 20/12/2020 Stonegate Pubs Pay EUR (220) (0.03) 4,000,000 CDS 5.00% 20/12/2020 Stonegate Pubs Pay EUR (441) (0.06) 19,700,000 CDS 5.00% 20/12/2020 Stora Enso Pay EUR (2,641) (0.35) 10,500,000 CDS 5.00% 20/12/2020 Sunrise Communications Pay EUR (988) (0.13) 6,000,000 CDS 5.00% 20/12/2020 Trionista Pay EUR (818) (0.11) (12,729) (1.68)

Interest Rate Swaps (0.59%) (2014: (0.39%)) 2,800,000 IRS 1.328% EURIBOR 6 month 0.00% Receive Floating 0.00% EUR 102 0.01 3,100,000 IRS 2.6275% EURIBOR 6 month 0.00% Receive Floating 0.00% EUR (891) (0.12) 3,800,000 IRS 2.819% EURIBOR 6 month 0.00% Receive Floating 0.00% EUR (1,295) (0.17) 6,000,000 IRS 3.28% LIBOR 6 month 0.00% Received Floating 0.00% GBP (2,334) (0.31) (4,418) (0.59)

Forward Foreign Exchange Contracts 0.82% (2014: 0.35%) Buy EUR 103,338 : Sell GBP 74,166 November 2015^ - - Buy EUR 25,192 : Sell GBP 18,096 November 2015^ - - Buy EUR 315,829 : Sell GBP 227,807 November 2015 (2) - Buy EUR 3,246,369 : Sell GBP 2,347,573 November 2015 (25) - Buy EUR 337,500 : Sell GBP 248,046 November 2015 (7) - Buy EUR 3,640,455 : Sell GBP 2,684,354 November 2015 (79) (0.01) Buy EUR 402,900 : Sell GBP 288,346 November 2015^ - - Buy EUR 420,357 : Sell GBP 304,296 November 2015 (4) - Buy EUR 4,553,614 : Sell GBP 3,258,620 November 2015^ - - Buy EUR 54,504 : Sell GBP 39,117 November 2015^ - - Buy EUR 79,524 : Sell GBP 58,381 November 2015 (1) - Buy EUR 801,197 : Sell GBP 578,512 November 2015 (5) - Buy EUR 801,260 : Sell GBP 579,109 November 2015 (6) - Buy EUR 9,483,156 : Sell GBP 6,819,771 November 2015 (34) - Buy GBP 103,021,776 : Sell USD 159,362,094 November 2015 (178) (0.02) Buy GBP 1,255,434 : Sell USD 1,922,063 November 2015 11 - Buy GBP 184,086 : Sell EUR 256,786 November 2015^ - - Buy GBP 197,064 : Sell EUR 272,225 November 2015 2 - Buy GBP 209,628 : Sell EUR 292,400 November 2015^ - - Buy GBP 233,665,247 : Sell EUR 317,690,852 November 2015 6,339 0.83 Buy GBP 289,903 : Sell USD 446,700 November 2015 1 - Buy GBP 3,418,812 : Sell USD 5,249,965 November 2015 19 - Buy GBP 359,284 : Sell EUR 499,600 November 2015 2 - Buy GBP 37,489 : Sell EUR 51,736 November 2015^ - - Buy GBP 38,623 : Sell USD 58,938 November 2015^ - - Buy GBP 3,862,823 : Sell EUR 5,257,299 November 2015 101 0.01 Buy GBP 39,502 : Sell EUR 54,994 November 2015^ - - Buy GBP 410,159 : Sell USD 628,208 November 2015 3 - Buy GBP 459,192 : Sell USD 709,106 November 2015^ - - Buy GBP 635,111 : Sell USD 971,361 November 2015 6 - Buy GBP 656,788 : Sell USD 1,014,236 November 2015^ - - Buy GBP 8,034,877 : Sell USD 12,435,000 November 2015 (18) -

Henderson Credit Alpha Fund 37 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Forward Foreign Exchange Contracts (continued) Buy GBP 861,021 : Sell USD 1,318,780 November 2015 7 - Buy GBP 86,491 : Sell EUR 119,909 November 2015 1 - Buy GBP 8,789,207 : Sell USD 13,496,617 November 2015 49 0.01 Buy GBP 984,111 : Sell USD 1,506,688 November 2015 8 - Buy GBP 993,989 : Sell USD 1,522,479 November 2015 8 - Buy USD 1,072,000 : Sell GBP 694,248 November 2015^ - - Buy USD 110,627 : Sell GBP 72,067 November 2015^ - - Buy USD 1,522,479 : Sell GBP 993,883 November 2015 (8) - Buy USD 2,312,265 : Sell GBP 1,497,427 November 2015^ - - Buy USD 233,738 : Sell GBP 152,421 November 2015 (1) - Buy USD 2,979,774 : Sell GBP 1,925,455 November 2015 4 - Buy USD 392,300 : Sell GBP 253,805 November 2015^ - - Buy USD 466,600 : Sell GBP 301,866 November 2015^ - - Buy USD 5,289,643 : Sell GBP 3,458,854 November 2015 (33) - Buy USD 643,247 : Sell GBP 417,470 November 2015 (1) - Buy USD 97,511 : Sell GBP 63,791 November 2015 (1) - 6,158 0.82

Forward Foreign Exchange Contracts (Hedged share classes) (1.14%) (2014: (0.51%)) Buy EUR 119,872 : Sell GBP 86,491 November 2015 (1) - Buy EUR 120,135,047 : Sell GBP 89,841,313 November 2015 (3,887) (0.52) Buy EUR 136,632,551 : Sell GBP 102,178,740 November 2015 (4,422) (0.59) Buy EUR 17,776 : Sell GBP 12,817 November 2015^ - - Buy EUR 2,305,508 : Sell GBP 1,724,142 November 2015 (75) (0.01) Buy EUR 2,457,596 : Sell GBP 1,837,879 November 2015 (80) (0.01) Buy EUR 2,473 : Sell GBP 1,849 November 2015^ - - Buy EUR 272,145 : Sell GBP 197,064 November 2015 (2) - Buy EUR 290,909 : Sell GBP 217,313 November 2015 (9) - Buy EUR 43 : Sell GBP 32 November 2015^ - - Buy EUR 54,978 : Sell GBP 39,502 November 2015^ - - Buy EUR 882,247 : Sell GBP 648,994 November 2015 (18) - Buy GBP 10,323,692 : Sell EUR 14,038,467 November 2015 279 0.04 Buy GBP 104,527 : Sell EUR 142,929 November 2015 2 - Buy GBP 1,150,809 : Sell EUR 1,596,026 November 2015 9 - Buy GBP 12,695 : Sell EUR 17,359 November 2015^ - - Buy GBP 152,421 : Sell USD 233,715 November 2015 1 - Buy GBP 1,706,096 : Sell EUR 2,322,293 November 2015 45 0.01 Buy GBP 18,096 : Sell EUR 25,185 November 2015^ - - Buy GBP 216,295 : Sell EUR 294,032 November 2015 6 - Buy GBP 221 : Sell USD 342 November 2015^ - - Buy GBP 227,726 : Sell EUR 304,849 November 2015 10 - Buy GBP 227,807 : Sell EUR 315,730 November 2015 2 - Buy GBP 2,554 : Sell USD 3,893 November 2015^ - - Buy GBP 2,679,572 : Sell EUR 3,647,363 November 2015 70 0.01 Buy GBP 287,276 : Sell USD 440,731 November 2015 2 - Buy GBP 29,430 : Sell EUR 40,959 November 2015^ - - Buy GBP 304,296 : Sell EUR 420,234 November 2015 4 - Buy GBP 3,155,075 : Sell EUR 4,316,126 November 2015 67 0.01

38 Henderson Credit Alpha Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Forward Foreign Exchange Contracts (Hedged share classes) (continued) Buy GBP 3,233,198 : Sell EUR 4,352,195 November 2015 119 0.02 Buy GBP 39,117 : Sell EUR 54,490 November 2015^ - - Buy GBP 460,006 : Sell EUR 622,623 November 2015 15 - Buy GBP 548,629 : Sell EUR 763,554 November 2015 2 - Buy GBP 55,722 : Sell USD 86,246 November 2015^ - - Buy GBP 63,791 : Sell USD 97,502 November 2015 1 - Buy GBP 67,374 : Sell USD 103,665 November 2015^ - - Buy GBP 676,288 : Sell EUR 910,348 November 2015 25 - Buy GBP 72,067 : Sell USD 110,617 November 2015^ - - Buy GBP 73,514 : Sell USD 113,592 November 2015^ - - Buy GBP 74,166 : Sell EUR 103,311 November 2015^ - - Buy GBP 7,617,073 : Sell EUR 10,309,796 November 2015 241 0.03 Buy GBP 80,972 : Sell EUR 110,109 November 2015 2 - Buy GBP 837,850 : Sell EUR 1,146,174 November 2015 18 - Buy USD 139,741 : Sell GBP 90,974 November 2015^ - - Buy USD 21,042 : Sell GBP 13,597 November 2015^ - - Buy USD 2,495 : Sell GBP 1,640 November 2015^ - - Buy USD 26,210 : Sell GBP 17,197 November 2015^ - - Buy USD 29 : Sell GBP 19 November 2015^ - - Buy USD 39,277 : Sell GBP 25,354 November 2015^ - - Buy USD 44,260,933 : Sell GBP 29,090,939 November 2015 (429) (0.06) Buy USD 515,041 : Sell GBP 338,516 November 2015 (5) - Buy USD 54,385,825 : Sell GBP 35,745,625 November 2015 (527) (0.07) Buy USD 58,933 : Sell GBP 38,623 November 2015^ - - Buy USD 60,872 : Sell GBP 39,314 November 2015^ - - Buy USD 617,406 : Sell GBP 405,796 November 2015 (6) - (8,541) (1.14)

Investment assets including investment liabilities 642,889 85.32 Other net assets 110,583 14.68 Total net assets 753,472 100.00

~ Suspended, delisted or unquoted securities ^ Due to rounding to nearest £1,000 + Related party to the fund

Henderson Credit Alpha Fund 39 Credit ratings

Investment Market Percentage value of total £000 net assets % Above investment grade (AAA - BBB) (2014: 32.52%) 267,838 35.55 Below investment grade (BB and below) (2014: 19.17%) 142,250 18.88 Unrated (2014: 11.73%) 17,780 2.35 Debt securities 427,868 56.78 Certificates of Deposit 174,527 23.16 Collective Investment Schemes 66,085 8.77 Derivatives (27,290) (3.62) Equities 1,699 0.23 Investment assets including investment liabilities 642,889 85.32 Other net assets 110,583 14.68 Total net assets 753,472 100.00

40 Henderson Credit Alpha Fund Statement of total return for the year ended 31 October 2015

2015 2014 Notes £000 £000 £000 £000

Income Net capital losses 2 (25,796) (26,736) Revenue 4 21,156 22,886 Expenses 5 (7,970) (12,277) Finance costs: Interest 7 (3) (1)

Net revenue before taxation 13,183 10,608 Taxation 6 (42) (74)

Net revenue after taxation 13,141 10,534

Total return before distributions (12,655) (16,202)

Finance costs: Distributions 7 (13,141) (10,534)

Change in net assets attributable to shareholders from investment activities (25,796) (26,736)

Statement of change in net assets attributable to shareholders for the year ended 31 October 2015

2015 2014 £000 £000 £000 £000

Opening net assets attributable to shareholders 965,807 896,186

Amounts receivable on issue of shares 289,446 453,572 Amounts payable on cancellation of shares (488,497) (367,533) (199,051) 86,039

Stamp duty reserve tax - (1) Change in net assets attributable to shareholders from investment activities (see above) (25,796) (26,736)

Retained distribution on accumulation shares 12,509 10,319

Unclaimed distributions 3 -

Closing net assets attributable to shareholders 753,472 965,807

Henderson Credit Alpha Fund 41 Balance sheet as at 31 October 2015

2015 2014 Notes £000 £000 £000 £000 Assets Investment assets 685,802 944,143

Debtors 8 16,707 35,379 Cash and bank balances 9 113,026 81,774 Total other assets 129,733 117,153

Total assets 815,535 1,061,296

Investment liabilities 42,913 43,460

Creditors 10 19,150 49,609 Bank overdrafts - 2,420 Total other liabilities 19,150 52,029

Total liabilities 62,063 95,489

Net assets attributable to shareholders 753,472 965,807

42 Henderson Credit Alpha Fund Notes to the financial statements as at 31 October 2015

1 Accounting policies The accounting policies, distribution policy and potential risks are set out in notes 1 to 3 to the aggregated financial statements on pages 9 to 15.

2 Net capital losses Net capital gains/(losses) on investments during the year comprise: 2015 2014 £000 £000

Derivative contracts (4,638) (29,720) Forward currency contracts 23,814 18,060 Forward currency contracts on hedged share classes (13,495) (25,806) Non-derivative securities (28,908) 13,076 Other currency losses (2,542) (2,314) Transaction costs (27) (32)

Net capital losses on investments (25,796) (26,736)

3 Portfolio transaction costs 2015 2014 £000 £000

Purchases in year before transaction costs 1,411,982 2,716,931

Commissions 14 17 Total purchase transaction costs* 14 17

Purchases including transaction cost 1,411,996 2,716,948

Sales in year before transaction costs 1,619,141 2,632,231

Commissions (15) (15) Total sale transaction costs* (15) (15)

Sales net of transaction costs 1,619,126 2,632,216

Transaction handling charges* 27 32

* These amounts have been deducted in determining net capital losses.

Henderson Credit Alpha Fund 43 Notes to the financial statements (continued)

4 Revenue 2015 2014 £000 £000

Bank interest 350 225 Distributions from regulated collective investment schemes: Interest distribution - 340 Derivative revenue (6,807) (4,152) Interest on debt securities 26,738 26,083 Interest on margin 1 3 Management fee rebates - 11 Overseas dividends 380 398 Revenue on hedged share classes (62) (22) UK dividends 556 -

Total revenue 21,156 22,886

5 Expenses 2015 2014 £000 £000 Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 6,686 9,292 GAC* 467 601 Performance fees 674 2,217 7,827 12,110

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fees 98 120 Safe custody fees 45 47 143 167

Total expenses 7,970 12,277

Irrecoverable VAT is included in the above expenses where relevant. *The current audit fee, which is levied through GAC is £11,371 (2014: £9,900).

44 Henderson Credit Alpha Fund Notes to the financial statements (continued)

6 Taxation (a) Analysis of charge in the year The tax charge comprises: 2015 2014 £000 £000

UK corporation tax - 15 Overseas withholding tax 57 59 Adjustments in respect of prior years (15) - Total current tax (note 6b) 42 74 b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of authorised open ended investment companies (OEICs) of 20%. The differences are explained below: 2015 2014 £000 £000

Net revenue before taxation 13,183 10,608

Income tax at 20% (2014: 20%) 2,637 2,122

Effects of: Adjustments in respect of prior years (15) - Irrecoverable overseas tax 47 59 Non-deductible expenses 2 - Non-taxable overseas dividends** 41 (80) UK dividends* ( 111 ) - Revenue being paid as interest distributions (2,559) (2,027) Current tax charge for the year (note 6a) 42 74

* As an OEIC this item is not subject to corporation tax. ** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009. OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above.

(c) Deferred tax There is no provision required for deferred taxation at the Balance sheet date (2014: nil).

(d) Factors that may affect future tax charges There were no factors that may affect future tax charges at the current or prior accounting year end.

Henderson Credit Alpha Fund 45 Notes to the financial statements (continued)

7 Finance costs Distributions and interest The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise: 2015 2014 £000 £000

Interim accumulation 8,115 4,416 Final accumulation 4,394 5,903 Tax withheld on interest distributions 14 0 278 12,649 10,597

Amount deducted on cancellation of shares 1,299 923 Amount received on issue of shares (807) (986)

Finance costs: Distributions 13,141 10,534

Finance costs: Interest 3 1

Total finance costs 13,144 10,535

Details of the distribution per share are set out in the distribution table on pages 52 to 55.

8 Debtors 2015 2014 £000 £000

Accrued revenue 6,999 11,494 Amounts receivable for issue of shares 358 2,005 Corporation tax recoverable 15 - Currency transactions awaiting settlement 5,186 19,184 Lehman's compensation 251 242 Sales awaiting settlement 3,898 2,454

Total debtors 16,707 35,379

9 Cash and bank balances 2015 2014 £000 £000

Amounts held at futures clearing houses and brokers 3,298 18,376 Cash and bank balances 54,128 18,398 Deposit accounts 55,600 45,000

Total cash and bank balances 113,026 81,774

46 Henderson Credit Alpha Fund Notes to the financial statements (continued)

10 Creditors 2015 2014 £000 £000

Accrued ACD's periodic charge 472 742 Accrued Depositary fee 8 10 Accrued other expenses 103 60 Amounts payable for cancellation of shares 1,027 9,654 Corporation tax payable - 15 Currency transactions awaiting settlement 5,193 19,253 Derivative interest 1,472 1,820 Income tax payable 35 196 Purchases awaiting settlement 10,840 17,859

Total creditors 19,150 49,609

11 Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 41 and 42 and notes 5, 8 and 10 on pages 44 to 47 including all creations and cancellations where the ACD acted as principal. Henderson Investment Funds Limited, as ACD to the fund is a related party. The ultimate controlling party of Henderson Investment Funds Limited is Henderson Group plc. Aggregate value of purchases and sales transactions in Henderson Group plc for the year amounts to £nil (2014: £nil). Revenue receivable from Henderson Group plc for the year amounts to £88,477 (2014: £97,945). The aggregate value of investments held in Henderson Group plc as at 31 October 2015 is £18,075,508 (2014: £17,965,384). Related parties, such as other authorised Funds managed by Henderson Investment Funds Limited, may hold shares in the fund via a nominee company, Harewood Nominees Limited. Harewood Nominees Limited holds shares comprising 38.23% (2014: 18.63%) of the total net assets of the Fund as at 31 October 2015. Nortrust Nominees Limiited and All funds Bank are material shareholders, related parties holding shares comprising 14.43% and 10.10% (2014: 11.35% and 6.35%) of the total net assets of the fund as at 31 October 2015. Material transactions throughout the year such as creations and cancellations for these shareholders are included in the Statement of change in net assets attributable to shareholders.

13 Shareholder funds The fund currently has 5 share classes available; Class A (Retail with front-end charges), Class G (Institutional), Class I (Institutional), Class Y (Retail with exit charges) and Class Z (Institutional). The annual management charge on each share class is as follows:

2015 2014 Class A 1.50% 1.50% Class G 0.675% 0.675% Class I 1.00% 1.00% Class Y 1.00% 1.00% Class Z 0.00%* 0.00%*

* Charges for managing Z class shares are levied outside the fund and are agreed between the ACD and investors. The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 23. The distribution per share class is given in the distribution table on pages 52 to 55. All share classes have the same rights on winding up.

Henderson Credit Alpha Fund 47 Notes to the financial statements (continued)

14 Financial derivatives The fund has used financial derivatives for hedging and meeting the investment objectives including risk reduction and implementation of investment policies. The use of derivatives can create additional counterparty risks. Details of the ACD’s policies for managing counterparty and other risks are set out in note 3 to the financial statements. The types of derivatives held at the year-end were credit default swaps, credit default index swaps, interest rate swaps, forward foreign currency contracts and futures. Details of individual contracts are shown in the portfolio statement on pages 35 to 39, and the total position by counterparty at the year-end is summarised below:

At 31 October 2015 the underlying exposure for each category of derivatives were as follows:

Credit default Index Interest Forward Hedged forward swaps and Credit rate foreign currency foreign currency default swaps swaps contracts contracts Futures Counterparty £000 £000 £000 £000 £000

Barclays 61,256 - - - - BNP Paribas 19,616 - 386,997 - - Citibank 112,261 1,990 - - - Credit Suisse 180,645 - - - - Goldman Sachs 214,227 - - - - JP Morgan 64,527 2,215 - 286,712 - Merill Lynch 27,865 5,975 - - - Societe Generale 20,155 - - - - UBS - 2,707 - - 148,766

At 31 October 2014 the underlying exposure for each category of derivatives were as follows:

Credit default Index Interest Forward Hedged forward swaps and Credit rate foreign currency foreign currency default swaps swaps contracts contracts Futures Counterparty £000 £000 £000 £000 £000

Barclays 132,536 - - - - BNP Paribas 6,000 - 604,767 - - Citibank 119,116 - - - - Credit Suisse 425,870 - - - - Deutsche Bank 81,006 - - - - Goldman Sachs 256,856 - - - - JP Morgan 117,851 3,005 - 414,083 - Merill Lynch 83,533 13,042 - - - Morgan Stanley 18,935 - - - - Societe Generale 46,639 - - - - UBS - 2,964 - - 444,341

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities. At 31 October 2015, collateral of £265,000 had been pledged to counterparties in respect of the above (2014: £8,170,000) and collateral has been pledged to the fund from counterparties consisting of cash of £4,605 (2014: £264,000) and UK and EU government bonds having a total market value of £260,642 (2014: £10,922,000).

48 Henderson Credit Alpha Fund Notes to the financial statements (continued)

15 Risk Risks in respect of financial assets and liabilities are set out in note 3 of the aggregated financial statements on pages 13 to 15.

Currency risk Net currency monetary assets and liabilities consist of:

Investment assets including investment liabilities Net other assets Net assets £000 £000 £000 Currency 2015 Euro 151,676 4,521 156,197 UK sterling 426,252 104,646 530,898 US dollar 64,961 1,416 66,377 Total 642,889 110,583 753,472

Currency 2014 Euro 264,567 8,478 273,045 UK sterling 553,218 50,826 604,044 US dollar 82,898 5,820 88,718 Total 900,683 65,124 965,807

Interest rate risk The interest rate risk profile of the fund’s financial assets and liabilities at the year end is set out in the following table:

Floating rate Fixed rate Financial Total financial financial assets not assets assets carrying interest Currency £000 £000 £000 £000 2015 Euro 132,825 104,823 8,274 245,922 UK sterling 119,523 230,426 79,934 429,883 US dollar 3,212 118,933 9,142 131,287 Total 255,560 454,182 97,350 807,092

Currency 2014 Euro 144,915 233,051 27,899 405,865 UK sterling 98,750 80,527 289,499 468,776 US dollar 12,219 158,006 16,430 186,655 Total 255,884 471,584 333,828 1,061,296

Henderson Credit Alpha Fund 49 Notes to the financial statements (continued)

15 Risk (continued)

Floating rate Fixed rate Financial Total financial financial liabilities liabilities liabilities not carrying interest Currency £000 £000 £000 £000 2015 Euro 2,186 22,013 14,666 38,865 UK sterling 2,334 - 2,860 5,194 US dollar - 5,737 3,824 9,561 Total 4,520 27,75 0 21,350 53,620

Currency 2014 Euro 1,717 16,521 30,282 48,520 UK sterling 4,423 - 25,377 29,800 US dollar - 13,026 4,143 17,169 Total 6,140 29,547 59,802 95,489

Fixed rate Weighted average Weighted average financial assets interest rate period for which rate is fixed (years) Currency % % 2015 Euro 4.16 6.60 UK sterling 5.14 5.91 US dollar 6.82 14.02

Currency 2014 Euro 2.88 6.33 UK sterling 7.11 5.69 US dollar 7.58 10.52

The ‘weighted average interest rate’ is based on the redemption yield of each asset, weighted by their market value. Perpetual bonds have been excluded from the current and prior year calculation.

50 Henderson Credit Alpha Fund Notes to the financial statements (continued)

15 Risk (continued) Value at Risk The VaR policy and risks are set out in notes 3(a) of the aggregated financial statements on page 13.

The actual VaR, limits and utilisation of those limits are summarised in the table below:

VaR results - for the year ended 31 October 2015 Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Absolute VaR n/a 0.77% 1.82% 1.19% 20% 3.87% 9.09% 5.93%

VaR results - for the year ended 31 October 2014 Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Absolute VaR n/a 0.68% 1.46% 1.06% 20% 3.40% 7.32% 5.31%

Leverage The level of leverage arising from the use of derivative instruments is disclosed in the table below as a percentage of the fund’s total Net Asset Value. The calculation is based on the sum of notional exposures of financial derivative instruments in the investment portfolio including those held for risk reduction purposes.

Please note this level of leverage is explicitly not an investment limit for the fund and will vary over time under differing market conditions to ensure that the fund meets its investment objective.

Leverage - for the year ended 31 October 2015 Minimum Maximum Average 124.89% 388.30% 205.99%

Leverage - for the year ended 31 October 2014 Minimum Maximum Average 170.99% 327.20% 205.23%

Henderson Credit Alpha Fund 51 Distribution tables for the year ended 31 October 2015 (in pence per share)

Interim interest distribution (accounting date 30 April 2015, paid on 30 June 2015) Group 1: shares purchased prior to 1 November 2014 Group 2: shares purchased on or after 1 November 2014

Distribution Distribution Gross Income tax Net revenue Equalisation paid paid revenue 20% 30/06/2015 30/06/2014

Class A accumulation Group 1 0.3264 0.0653 0.2611 - 0.2611 - Group 2 0.1060 0.0212 0.0848 0.1763 0.2611 -

Class G accumulation Group 1 0.4691 0.0938 0.3753 - 0.3753 0.1780 Group 2 0.4691 0.0938 0.3753 - 0.3753 0.1780

Class I accumulation Group 1 1.5108 0.3022 1.2086 - 1.2086 0.7342 Group 2 0.7065 0.1413 0.5652 0.6434 1.2086 0.7342

Class Y accumulation Group 1 0.8634 0.1727 0.6907 - 0.6907 0.2257 Group 2 0.4589 0.0918 0.3671 0.3236 0.6907 0.2257

Class Z accumulation Group 1 1.7483 0.3497 1.3986 - 1.3986 0.9841 Group 2 1.4483 0.2897 1.1586 0.2400 1.3986 0.9841

Class G gross accumulation Group 1 0.4486 - 0.4486 - 0.4486 0.1801 Group 2 0.4273 - 0.4273 0.0213 0.4486 0.1801

Class I gross accumulation Group 1 1.6335 - 1.6335 - 1.6335 0.9302 Group 2 - - - 1.6335 1.6335 0.9302

Class Y gross accumulation Group 1 0.8364 - 0.8364 - 0.8364 0.2768 Group 2 0.2926 - 0.2926 0.5438 0.8364 0.2768

Class Z gross accumulation Group 1 2.6190 - 2.6190 - 2.6190 1.8328 Group 2 0.6270 - 0.6270 1.9920 2.6190 1.8328

52 Henderson Credit Alpha Fund Distribution tables for the year ended 31 October 2015 (in pence per share)

Interim interest distribution (accounting date 30 April 2015, paid on 30 June 2015) (continued) Group 1: shares purchased prior to 1 November 2014 Group 2: shares purchased on or after 1 November 2014

Distribution Distribution Gross Income tax Net revenue Equalisation paid paid revenue 20% 30/06/2015 30/06/2014

Class A Euro hedged accumulation (Euro cents per share) Group 1 3.8558 - 3.8558 - 3.8558 0.1150 Group 2 0.7394 - 0.7394 3.1164 3.8558 0.1150

Class G Euro hedged accumulation (Euro cents per share) Group 1 5.0030 - 5.0030 - 5.0030 0.8041 Group 2 5.0030 - 5.0030 - 5.0030 0.8041

Class Y Euro hedged accumulation (Euro cents per share) Group 1 9.7819 - 9.7819 - 9.7819 2.6857 Group 2 3.0921 - 3.0921 6.6898 9.7819 2.6857

Class A USD hedged accumulation (USD cents per share) Group 1 3.6435 - 3.6435 - 3.6435 0.1658 Group 2 1.6753 - 1.6753 1.9682 3.6435 0.1658

Class G USD hedged accumulation (USD cents per share) Group 1 4.8454 - 4.8454 - 4.8454 1.3703 Group 2 4.8454 - 4.8454 - 4.8454 1.3703

Class Y USD hedged accumulation (USD cents per share) Group 1 9.2203 - 9.2203 - 9.2203 2.7800 Group 2 2.3022 - 2.3022 6.9181 9.2203 2.7800

Henderson Credit Alpha Fund 53 Distribution tables for the year ended 31 October 2015 (in pence per share)

Final interest distribution (accounting date 31 October 2015, paid on 31 December 2015) Group 1: shares purchased prior to 1 May 2015 Group 2: shares purchased on or after 1 May 2015

Distribution Distribution Gross Income tax Net revenue Equalisation paid paid revenue 20% 31/12/2015 31/12/2014

Class A accumulation Group 1 0.0638 0.0128 0.0510 - 0.0510 0.1242 Group 2 0.0601 0.0120 0.0481 0.0029 0.0510 0.1242

Class G accumulation Group 1 0.2766 0.0553 0.2213 - 0.2213 0.2833 Group 2 0.2766 0.0553 0.2213 - 0.2213 0.2833

Class I accumulation Group 1 0.6675 0.1335 0.5340 - 0.5340 0.7212 Group 2 0.3468 0.0694 0.2774 0.2566 0.5340 0.7212

Class Y accumulation Group 1 0.4776 0.0955 0.3821 - 0.3821 0.5160 Group 2 0.3290 0.0658 0.2632 0.1189 0.3821 0.5160

Class Z accumulation Group 1 1.0319 0.2064 0.8255 - 0.8255 0.9689 Group 2 0.7741 0.1548 0.6193 0.2062 0.8255 0.9689

Class G gross accumulation Group 1 0.3005 - 0.3005 - 0.3005 0.3757 Group 2 0.3005 - 0.3005 - 0.3005 0.3757

Class I gross accumulation Group 1 0.6525 - 0.6525 - 0.6525 0.8832 Group 2 0.4461 - 0.4461 0.2064 0.6525 0.8832

Class Y gross accumulation Group 1 0.4627 - 0.4627 - 0.4627 0.6240 Group 2 0.3185 - 0.3185 0.1442 0.4627 0.6240

Class Z gross accumulation Group 1 1.5914 - 1.5914 - 1.5914 1.8109 Group 2 1.4511 - 1.4511 0.1403 1.5914 1.8109

54 Henderson Credit Alpha Fund Distribution tables for the year ended 31 October 2015 (in pence per share)

Final interest distribution (accounting date 31 October 2015, paid on 31 December 2015) (continued) Group 1: shares purchased prior to 1 May 2015 Group 2: shares purchased on or after 1 May 2015

Distribution Distribution Gross Income tax Net revenue Equalisation paid paid revenue 20% 31/12/2015 31/12/2014

Class A Euro hedged accumulation (Euro cents per share) Group 1 0.5335 - 0.5335 - 0.5335 1.4369 Group 2 0.4863 - 0.4863 0.0472 0.5335 1.4369

Class G Euro hedged accumulation (Euro cents per share) Group 1 3.2258 - 3.2258 - 3.2258 3.6447 Group 2 3.2258 - 3.2258 - 3.2258 3.6447

Class Y Euro hedged accumulation (Euro cents per share) Group 1 4.6546 - 4.6546 - 4.6546 6.2485 Group 2 3.4088 - 3.4088 1.2458 4.6546 6.2485

Class A USD hedged accumulation (USD cents per share) Group 1 0.6015 - 0.6015 - 0.6015 1.4424 Group 2 0.4893 - 0.4893 0.1122 0.6015 1.4424

Class G USD hedged accumulation (USD cents per share) Group 1 3.1019 - 3.1019 - 3.1019 3.2832 Group 2 3.1019 - 3.1019 - 3.1019 3.2832

Class Y USD hedged accumulation (USD cents per share) Group 1 4.5404 - 4.5404 - 4.5404 6.0654 Group 2 3.8479 - 3.8479 0.6925 4.5404 6.0654

Henderson Credit Alpha Fund 55 Authorised Corporate Director’s report

Investment Fund Manager Henderson Multi Strategy Equities Team

Investment objective and policy The fund aims to provide consistent capital growth relative to the FTSE World Asia Pacific ex Japan Index (or such other index as may from time to time replace it) through investing primarily in Asia Pacific ex Japan companies. There are no restrictions on the size of the companies in which the fund may invest.

The fund aims to provide an annual return above that of the FTSE World Asia Pacific ex Japan Index, whilst controlling risk. The fund will invest primarily in Asia Pacific ex Japan companies included within the FTSE World Asia Pacific ex Japan Index. Additionally, the fund can invest in companies listed on other exchanges which are associated with FTSE World Asia Pacific ex Japan Index listed shares or other Asia Pacific ex Japan companies.

The fund will not attempt to replicate identically the share composition of the FTSE World Asia Pacific ex Japan Index, and the fund Manager will actively review the shares within the portfolio, and effect adjustments as necessary in order to achieve the investment objective.

The fund may invest the property in transferable securities, money market instruments, derivatives and forward transactions, deposits and units in collective investment schemes.

Performance summary 31 Oct 14 - 31 Oct 13 - 31 Oct 12 - 31 Oct 11 - 31 Oct 10 - 31 Oct 15 31 Oct 14 31 Oct 13 31 Oct 12 31 Oct 11 % % % % %

Henderson Institutional Asia Pacific ex Japan (8.9) 1.6 14.4 7. 6 (1.2) Enhanced Equity Fund* FTSE World Asia ex Japan Index** (8.8) 1.6 14.2 7. 6 (1.2)

Source: Henderson Global Investors & FTSE. * Fund returns calculated using close of business prices on a gross asset value basis in GBP, based on performance of class Z accumulation. ** Customised net dividends reinvested (Market Capitalisation weighted index of Australia, New Zealand, Hong Kong, Singapore, Taiwan and Korea). Figures in brackets are negative.

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the year ended 31 October 2015

Largest purchases £000 Largest sales £000

Samsung Electronics Preference Shares 759 Samsung Electronics 1,962 Samsung Electronics 692 Taiwan Semiconductor Manufacturing 1,656 Samsung 683 Commonwealth Bank of Australia 1,589 National Australia Bank 668 Westpac Banking 1,159 Taiwan Semiconductor Manufacturing 594 BHP Billiton 1,114 Commonwealth Bank of Australia 571 AIA 1,024 Westpac Banking 471 National Australia Bank 1,007 Australia & New Zealand Banking 396 Australia & New Zealand Banking 977 BHP Billiton 380 CSL 628 AIA 336 Wesfarmers 588

Total purchases 19,833 Total sales 40,105

56 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Authorised Corporate Director’s report (continued)

Investment Review The FTSE World Asia Pacific ex Japan Index fell 8.8% in sterling terms over the year to 31 October 2015. China was largely influential in determining the direction of global stock markets, including the Asia Pacific ex Japan region over the year. China and Hong Kong started on a strong footing due to the opening of the Shanghai-Hong Kong Stock Connect in November. But the health of the Chinese economy emerged as a major concern as the year progressed. The summer months saw the country’s bull run come to an end in dramatic fashion, with stock-market falls that reverberated around the globe. The People’s Bank of China quickly enacted moves that it hoped would downplay the effects of market falls; these included cutting interest rates several times and devaluing the yuan.

Indeed, easing of policy by central banks in the Asia Pacific region was a notable feature of the year, with Korea, Australia, and Singapore among the other countries to cut their interest rates. The Bank of Korea slashed rates to a record low of 1.5% in June on fears that an outbreak of Middle East Respiratory Syndrome (MERS) would have a negative effect on the domestic economy, namely the retail and tourism sectors. Similarly, Australia’s benchmark interest rate reached all-time lows when the central bank snipped rates to 2.25% in March and then 2% in May as the country suffered from a slowdown in commodity prices and the mining sector. On a more positive note, however, Australia’s currency received a temporary boost upon the election of Prime Minister Malcolm Turnbull in September; it is hoped that the new leader will prove proactive in revitalising the domestic economy. While recovery did appear to be in evidence in the Pacific region and beyond by October, the effects of earlier turmoil left Asian markets down for the year under review.

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 57 Comparative tables as at 31 October 2015

Net asset value per share

Accounting year Net asset Net asset Number of Net asset value value of shares in value per of fund shares issue share (£) (£) (pence)

Class I accumulation 31/10/2013 208,362,253 13,749,384 6,567,576 209.35 31/10/2014 157,867,041 12,566,065 5,959,224 210.87 31/10/2015 121,166,949 9,994,525 5,241,736 190.67 Class Y accumulation 31/10/2013 208,362,253 17,831,172 8,535,144 208.91 31/10/2014 157,867,041 19,982,046 9,497,211 210.40 31/10/2015 121,166,949 18,113,436 9,520,438 190.26 Class Z accumulation 31/10/2013 208,362,253 176,781,697 57,717,342 306.29 31/10/2014 157,867,041 125,318,930 40,336,029 310.69 31/10/2015 121,166,949 93,058,988 32,876,934 283.05

58 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Comparative tables as at 31 October 2015

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share) Class I accumulation 2010 3.46 195.87 146.36 2 0 11 4.14 199.03 148.47 2012 4.24 194.71 163.92 2013 4.59 220.04 182.88 2014 4.66 222.35 187. 6 8 2015 4.98* 232.67+ 169.11+ Class Y accumulation 2010 3.45 195.40 146.10 2 0 11 4.12 199.03 148.15 2012 4.24 194.31 163.57 2013 4.58 219.57 182.50 2014 4.65 221.86 187.26 2015 4.97* 232.16+ 16 8.74+ Class Z accumulation 2010 6.63 280.40 208.10 2 0 11 7. 91 286.63 213.75 2012 8.06 283.00 237.06 2013 8.97 321.61 266.79 2014 9.11 327.25 275.01 2015 9.66* 343.94+ 250.70 +

* to 31 December + to 31 October

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 59 Ongoing charge figure

The annualised ongoing charge figure (OCF) of the fund, calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the year, except for expenses that are explicitly excluded by regulation.

2015 2014 % %

Class I 0.83 0.83

Class Y 0.83 0.83

Class Z 0.08 0.08

The OCF is calculated in accordance with guidelines issued by the European Securities and Markets Authority (ESMA).

60 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Risk and reward profile

The fund currently has 3 types of share class in issue; I accumulation, Y accumulation and Z accumulation. Each type of share class has the same risk and reward profile which is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk

1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5 year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your shares they may be worth less than you paid for them. The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• The fund focuses on a single region

• As a category, shares are more volatile than either bonds or money market instruments

• The fund invests in a broad range of securities and countries and uses a broad range of strategies

• Fluctuations in exchange rates may cause the value of your investment to rise or fall

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events.

There have been no changes to the risk rating in the year.

The SRRI conforms to the ESMA guidelines for the calculation of the SRRI.

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 61 Portfolio statement as at 31 October 2015

Holding Investment Market Percentage value of total £000 net assets % Equities 98.11% (2014: 98.91%) Australia 31.73% (2014: 36.05%) Basic Materials 3.32% (2014: 4.62%) 171,74 8 Alumina 86 0.07 231,333 BHP Billiton 2,458 2.04 44,067 Bluescope Steel 90 0.07 125,791 Fortescue Metals 121 0.10 164,700 Gunns* - - 29,616 Iluka Resources 87 0.07 110,164 Incitec Pivot 199 0.16 52,355 Newcrest Mining 297 0.25 9,744 Nufarm 38 0.03 29,782 Orica 224 0.18 31,577 Oz Minerals 63 0.05 7,975 Sims Metal Management 36 0.03 425,680 South32 287 0.24 74,398 Whitehaven Coal 35 0.03 4,021 3.32

Consumer Goods 0.31% (2014: 0.33%) 18,089 ALS 42 0.03 46,290 Coca-Cola Amatil 195 0.16 42,788 Treasury Wine Estates 139 0.12 376 0.31

Consumer Services 3.02% (2014: 3.88%) 45,171 Aristocrat Leisure 194 0.16 26,773 Crown 14 0 0.12 66,000 Echo Entertainment 155 0.13 172,546 Fairfax Media 75 0.06 4,319 Flight Centre 76 0.06 29,658 Harvey Norman 54 0.04 99,427 Metcash 54 0.04 73,211 Qantas Airways 133 0.11 75,948 Seven West Media 24 0.02 61,883 Tabcorp Holdings 134 0.11 101,688 Tatts 186 0.15 79,411 Wesfarmers 1,445 1.20 89,158 Woolworths 993 0.82 3,663 3.02

Financials 17.17% (2014: 18.80%) 23 AET&D Holdings* - - 221,249 AMP 585 0.48 206,147 Australia & New Zealand Banking 2,591 2.14 14,921 Australia Stock Exchange 281 0.23 24,172 Bank of Queensland 14 6 0.12 34,280 Bendigo & Adelaide 169 0.14 31,788 Challenger Financial Service 120 0.10 122,355 Commonwealth Bank of Australia 4,329 3.58 75,703 Dexus Property REIT 268 0.22 273,108 Federation Centres 366 0.30 136,065 Goodman 380 0.31

62 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Financials (continued) 141,599 GPT REIT 3 11 0.26 171,922 Insurance Australia 445 0.37 28,779 IOOF Holdings 123 0.10 43,568 Lend Lease 262 0.22 22,589 Macquarie REIT 893 0.74 222,500 Medibank 242 0.20 283,679 Mirvac REIT 236 0.19 187,469 National Australia Bank 2,611 2.15 3,625 Perpetual 74 0.06 11,154 Platinum Asset Management 38 0.03 101,326 QBE Insurance 6 11 0.50 25,278 SCA Property Stapled Security 24 0.02 366,570 Scentre 701 0.58 182,302 Stockland Trust REIT 341 0.28 99,793 Suncorp 604 0.50 132,768 Westfield 620 0.51 228,821 Westpac Banking 3,313 2.74 10,504 Westpac Banking (Placement) 124 0.10 20,808 17.17

Health Care 1.97% (2014: 1.93%) 11,991 Ansell 111 0.09 4,491 Cochlear 181 0.15 33,139 CSL 1,432 1.18 108,703 Healthscope 134 0.11 9,527 Ramsay Health Care 273 0.23 28,987 Sonic Healthcare 258 0.21 2,389 1.97

Industrials 2.91% (2014: 2.93%) 48,773 Adelaide Brighton 94 0.08 85,331 Amcor 537 0.44 67, 976 Asciano 254 0.21 153,255 Aurizon Holdings 360 0.30 68,690 Boral 171 0.14 105,209 Brambles 504 0.42 39,264 Computershare 194 0.16 55,001 CSR (AUD) 70 0.06 32,870 Downer EDI 53 0.04 32,519 Dulux 87 0.07 28,738 Macquarie Atlas 52 0.04 120,868 Orora 130 0.11 22,925 Seek 135 0.11 74,500 Sydney Airport 222 0.18 137,791 Transurban 663 0.55 3,526 2.91

Oil & Gas 1.56% (2014: 1.91%) 75,882 APA 319 0.26 21,599 Caltex Australia 313 0.26 91,492 Oil Search 329 0.27 79,157 Santos 213 0.18 49,442 Woodside Petroleum 674 0.55 14,503 Worleyparsons 44 0.04 1,892 1.56

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 63 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Technology 0.07% (2014: 0.07%) 23,837 Recall Holdings 83 0.07

Telecommunications 0.76% (2014: 0.79%) 323,116 Telstra 806 0.66 23,970 TPG Telecom 121 0.10 927 0.76

Utilities 0.64% (2014: 0.79%) 52,960 AGL Energy 404 0.33 74,761 AusNet Services 50 0.04 126,870 Origin Energy 322 0.27 776 0.64

China 1.76% (2014: 1.70%) Basic Materials 0.02% (2014: 0.03%) 300,000 Shougang Fushan Resources 26 0.02

Consumer Goods 0.64% (2014: 0.68%) 280,000 China Jicheng 44 0.04 210,000 China Mengniu Dairy 263 0.22 162,000 Tingyi (Cayman Islands) 179 0.15 524,000 Want Want China Holdings 284 0.23 770 0.64

Consumer Services 0.53% (2014: 0.67%) 132,000 China Travel International 39 0.03 67,600 MGM China 64 0.05 190,000 Sands China 446 0.37 184,000 Sun Art Retail 98 0.08 647 0.53

Financials 0.11% (2014: 0.03%) 684,000 China Oceanwide 61 0.05 70,000 Haitong International Securities 25 0.02 290,400 Shui On Land 52 0.04 138 0.11

Industrials 0.30% (2014: 0.23%) 55,000 AAC Technologies Holdings 227 0.19 214,300 Cosco Singapore 37 0.03 169,000 Yangzijiang Shipbuilding 97 0.08 361 0.30

Oil & Gas 0.04% (2014: 0.00%) 172,000 Xinyi Solar 44 0.04

Technology 0.12% (2014: 0.06%) 2,362,000 Semiconductor Manufacturing 142 0.12

France 0.02% (2014: 0.02%) Consumer Services 0.02% (2014: 0.02%) 22,500 L'Occitane International 29 0.02

64 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Hong Kong 16.78% (2014: 15.64%) Basic Materials 0.02% (2014: 0.02%) 103,000 Huabao International 28 0.02

Consumer Goods 0.93% (2014: 0.82%) 155,050 First Pacific 69 0.06 480,400 Global Brands 64 0.05 3,460,000 Imperial Pacific International 56 0.05 444,400 Li & Fung 234 0.19 96,000 Samsonite International 184 0.15 93,000 Techtronic Industries 220 0.18 303,500 WH Group 109 0.09 176,000 Xinyi Glass Holdings 59 0.05 54,000 Yue Yuen Industrials 127 0.11 1,122 0.93

Consumer Services 1.12% (2014: 1.61%) 32,000 Café de Coral 70 0.06 58,000 Cathay Pacific Airways 75 0.06 56,800 Chow Tai Fook Jewellery 31 0.03 142,958 Espirit 103 0.09 164,000 Galaxy Entertainment 364 0.29 8,806 Great Eagle 19 0.02 20,000 Lifestyle 19 0.02 78,000 Melco International Development 78 0.06 110,792 MTR 324 0.26 148,000 SA SA International Holdings 31 0.03 65,666 Shangri-La Asia 39 0.03 73,750 Shun Tak 19 0.02 76,000 SJM Holdings 41 0.03 27,000 Television Broadcasts 64 0.05 91,200 Wynn Macau 81 0.07 1,358 1.12

Financials 9.78% (2014: 8.84%) 867,000 AIA 3,298 2.73 71,073 Bank of East Asia 172 0.14 247,000 BOC Hong Kong Holdings 513 0.42 286,000 Champion REIT 97 0.08 209,440 Cheung Kong Property 952 0.79 18,800 Dah Sing Financial 68 0.06 152,000 Goldin Financial Holdings 184 0.15 162,000 Goldin Properties 90 0.07 175,000 Hang Lung Properties 278 0.23 57,300 Hang Seng Bank 681 0.56 81,635 Henderson Land Development 338 0.28 85,202 Hong Kong Exchanges & Clearing 1,446 1.20 86,400 Hongkong Land Holdings 420 0.35 33,000 Hopewell Highway Infrastructure 77 0.06 43,162 Hysan Development 124 0.10 40,539 Kerry Properties 78 0.06 171,186 Link REIT 664 0.55

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 65 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Financials (continued) 122,000 New World China Land 52 0.04 396,081 New World Development 275 0.23 227,276 Sino Land 228 0.19 125,189 Sun Hung Kai Properties 1,088 0.90 87,900 Swire Properties 171 0.14 99,721 Wharf Holdings 385 0.32 54,000 Wheelock 163 0.13 11,842 9.78

Industrials 2.89% (2014: 2.41%) 202,440 CK Hutchison Holdings 1,802 1.48 358,000 Hutchinson Port 127 0.11 17,200 Jardine Matheson 603 0.49 17,200 Jardine Strategic 335 0.28 25,750 Johnson Electric Holdings 61 0.05 33,519 Kerry Logistics Network 32 0.03 347,011 Noble 81 0.07 122,346 NWS Holdings 120 0.10 11,000 Orient Overseas 34 0.03 40,000 Swire Pacific 'A' 300 0.25 3,495 2.89

Oil & Gas 0.04% (2014: 0.05%) 234,000 Brightoil Petroleum Holdings 54 0.04

Technology 0.12% (2014: 0.19%) 15,700 ASM Pacific Technology 72 0.06 9,500 Vtech 75 0.06 147 0.12

Telecommunications 0.07% (2014: 0.14%) 254,000 PCCW 89 0.07

Utilities 1.81% (2014: 1.56%) 45,000 Cheung Kong Infrastructure 271 0.22 114,500 CLP Holdings 646 0.54 478,420 Hong Kong & China Gas 630 0.52 92,500 Hong Kong Electric 597 0.49 119,000 Towngas China 52 0.04 2,196 1.81

Ireland 0.21% (2014: 0.13%) Industrials 0.21% (2014: 0.13%) 31,153 James Hardie Industries 258 0.21

Italy 0.07% (2014: 0.13%) Consumer Goods 0.07% (2014: 0.13%) 33,300 Prada 87 0.07

Macau 0.00% (2014: 0.02%) Consumer Services 0.00% (2014: 0.02%)

66 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

New Zealand 1.02% (2014: 0.87%) Consumer Services 0.13% (2014: 0.10%) 37,437 Air New Zealand 47 0.04 26,775 Sky City Entertainment 47 0.04 34,355 Sky Network Television 68 0.05 162 0.13

Financials 0.05% (2014: 0.04%) 110,285 Kiwi Property 65 0.05

Health Care 0.22% (2014: 0.16%) 44,232 Fisher & Paykel Healthcare 150 0.12 33,942 Ryman Healthcare 118 0.10 268 0.22

Industrials 0.22% (2014: 0.29%) 59,918 Auckland International Airport 137 0.12 39,283 Fletcher Building 127 0.10 264 0.22

Technology 0.06% (2014: 0.04%) 10,038 Xero 69 0.06

Telecommunications 0.14% (2014: 0.15%) 119,493 Telecom New Zealand 175 0.14

Utilities 0.20% (2014: 0.09%) 55,843 Contact Energy 125 0.11 55,988 Mighty River Power 69 0.06 28,744 Vector 42 0.03 236 0.20

Russian Federation 0.02% (2014: 0.02%) Basic Materials 0.02% (2014: 0.02%) 94,000 United Rusal 24 0.02

Singapore 6.29% (2014: 6.70%) Consumer Goods 0.29% (2014: 0.34%) 447,300 Golden Agri-Resources 80 0.07 47, 919 Olam International 44 0.04 160,000 Wilmar International 231 0.18 355 0.29

Consumer Services 0.74% (2014: 0.81%) 144,000 Comfortdelgro 202 0.17 422,000 Genting International 159 0.13 8,888 Jardine Cycle & Carriage 134 0.11 32,100 Singapore Airlines 160 0.13 48,000 Singapore MRT 32 0.03 113,700 Singapore Press 210 0.17 897 0.74

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 67 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Financials 3.63% (2014: 3.82%) 121,000 Ascendas REIT 133 0.11 192,000 CapitaCommercial Trust REIT 125 0.10 179,500 CapitaLand Mall Trust REIT 164 0.14 183,100 CapitaLand REIT 262 0.22 50,000 City Developments 184 0.15 127,866 DBS Holdings 1,022 0.85 225,000 Global Logistic Properties REIT 233 0.19 229,379 Oversea-Chinese Banking 958 0.79 57,000 Singapore Exchange 194 0.16 162,000 Suntec REIT 123 0.10 85,995 United Overseas Bank 808 0.67 34,060 UOL 103 0.09 60,820 Wing Tai 49 0.04 61,000 Yanlord Land 29 0.02 4,387 3.63

Industrials 0.34% (2014: 0.34%) 75,500 Neptune Orient Lines 35 0.03 26,000 SIA Engineering 48 0.04 93,000 Singapore Post 81 0.07 111,000 Singapore Technologies Engineering 170 0.14 20,000 Venture 76 0.06 410 0.34

Oil & Gas 0.41% (2014: 0.56%) 100,600 Keppel 329 0.27 65,100 Sembcorp Industries 107 0.09 59,000 Sembcorp Marine 64 0.05 500 0.41

Telecommunications 0.88% (2014: 0.83%) 538,400 Singapore Telecommunications 988 0.81 48,250 Starhub 80 0.07 1,068 0.88

South Korea 22.26% (2014: 19.79%) Basic Materials 1.53% (2014: 1.61%) 4,027 Hanwha Chemical 51 0.04 1,136 Honam Petrochemical 155 0.13 6,363 Hyundai Steel 188 0.16 633 Korea Zinc 170 0.14 1,312 Kumho Petro Chemical 43 0.04 572 LG Chem Preference Shares 70 0.06 3,293 LG Chem 570 0.46 1,719 OCI 80 0.07 4,760 Posco 492 0.41 1,366 Samsung Fine Chemicals 29 0.02 1,848 1.53

68 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Goods 10.44% (2014: 8.27%) 2,345 Amorepacific Corporation 503 0.41 1,910 Amorepacific Group 174 0.14 792 Amorepacific Preference Shares 87 0.07 841 Cheil Jedang 115 0.09 667 CJ Cheiljedang 133 0.11 2,308 Dongsuh 44 0.04 5,883 Hankook Tire 14 6 0.12 759 Hanssem 101 0.08 3,679 Hite Jinro 48 0.04 4,573 Hyundai Mobis 623 0.51 10,633 Hyundai Motor 942 0.78 2,717 Hyundai Motor Preference 2nd Shares 174 0.14 1,718 Hyundai Motor Preference Shares 107 0.09 1,263 Hyundai Wia 96 0.08 17,841 Kia Motors 564 0.47 7,955 KT&G 515 0.43 8,377 LG Electronics 233 0.19 681 LG Household & Heathcare 366 0.30 44 Lotte Chilsung Beverage 56 0.05 62 Lotte Confectionery 70 0.06 733 Mando 62 0.05 1,140 NCSOFT 122 0.10 2,084 NHN Entertainment 66 0.05 134 Nong Shim 28 0.02 257 Orion 14 0 0.12 7,662 Samsung Electronics 5,971 4.94 1,470 Samsung Electronics Preference Shares 998 0.82 3,421 Woongjin Coway 166 0.14 12,650 10.44

Consumer Services 0.85% (2014: 0.69%) 758 BGF Retail 73 0.06 5,295 Cheil Worldwide 60 0.05 1,538 E-Mart 186 0.15 2,253 Hotel Shilla 14 0 0.12 1,361 Hyundai Department Store 97 0.08 7,821 Kangwon Land 189 0.17 928 Korean Airlines 16 0.01 955 Lotte Shopping 126 0.10 6,233 Paradise 76 0.06 503 Shinsegae 66 0.05 1,029 0.85

Financials 3.18% (2014: 3.23%) 16,849 BS Financial 134 0.11 9,229 Daewoo Securities 58 0.05 7,954 DGB Financial 48 0.04 3,485 Dongbu Insurance 135 0.11 22,869 Hana Financial 360 0.30 12,240 Hanwha Life Insurance 59 0.05 6,400 Hyundai Marine & Fire Insurance 122 0.10 13,180 Hyundai Securities 52 0.04 20,110 Industrial Bank of Korea 160 0.13

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 69 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Financials (continued) 29,474 KB Financial 605 0.50 1,966 Korea Investment Holdings 68 0.06 2,861 Mirae Asset Security 42 0.03 2,492 Mirae Asset Security (Rights) 5 - 2,380 Samsung Card 52 0.04 2,622 Samsung Fire & Marine 476 0.39 6,277 Samsung Life Insurance 389 0.32 4,001 Samsung Securities 11 0 0.09 31,600 Shinhan Financial 780 0.65 20,960 Woori Bank 118 0.10 14,856 Woori Investment & Securities 85 0.07 3,858 3.18

Health Care 0.40% (2014: 0.12%) 4,590 Celltrion 201 0.18 468 Hanmi Pharmaceuticals 137 0.11 870 Hanmi Science 65 0.05 487 Yuhan 78 0.06 481 0.40

Industrials 2.52% (2014: 2.40%) 5,356 Cheil Industries 471 0.38 650 CJ Korea Express 72 0.06 1,143 Daelim Industrial 49 0.04 15,750 Daewoo Engineering & Construction 58 0.05 5,020 Daewoo International 57 0.05 8,963 Daewoo Shipbuilding & Marine 35 0.03 822 Doosan 51 0.04 10,320 Doosan Infracore 37 0.03 775 GS Engineering & Construction 10 0.01 11,287 Hanjin Shipping 32 0.03 3,622 Hanwha 77 0.06 2,083 Hyosung 138 0.11 3,716 Hyundai Development 97 0.08 5,856 Hyundai Engineering & Construction 115 0.09 1,629 Hyundai Glovis 182 0.15 3,130 Hyundai Heavy Industries 169 0.14 12,017 Hyundai Merchant Marine 41 0.03 765 Hyundai Mipo Dockyard 31 0.03 1,873 KEPCO Plant Service & Engineering 11 0 0.09 392 Keumkang Korea Chemical 91 0.08 3,314 Korea Aerospace Industries 169 0.14 6,025 LG 226 0.19 359 LG Hausys 35 0.03 1,013 LS 22 0.02 4,345 Samsung Electro Mechanics 161 0.13 2,909 Samsung Engineering 30 0.02 10,862 Samsung Heavy Industries 82 0.07 4,352 Samsung SDI 261 0.22 1,093 Samsung Techwin 23 0.02 11,660 SK Networks 47 0.04 1,205 S1 68 0.06 3,047 2.52

70 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Oil & Gas 0.46% (2014: 0.50%) 5,380 Doosan Heavy Industries 63 0.05 3,265 GS Holdings 93 0.08 4,816 SK Innovation 324 0.26 2,117 S-Oil 82 0.07 562 0.46

Technology 1.99% (2014: 2.01%) 2,820 Daum Communications 182 0.15 17,982 LG Display 221 0.18 1,858 Naver 632 0.52 1,906 Samsung 278 0.23 2,720 SK C&C 412 0.34 39,305 SK Hynix 685 0.57 2,410 1.99

Telecommunications 0.42% (2014: 0.52%) 8,222 KT 138 0.11 18,837 LG Uplus 117 0.10 1,880 SK Telecom 257 0.21 512 0.42

Utilities 0.47% (2014: 0.44%) 17, 879 Korea Electric Power 521 0.43 2,090 Korea Gas 50 0.04 571 0.47

Spain 0.05% (2014: 0.00%) Industrials 0.05% (2014: 0.00%) 4,419 CIMIC 56 0.05

Taiwan 17.20% (2014: 16.87%) Basic Materials 1.73% (2014: 1.65%) 929,688 China Steel 364 0.30 34,910 Feng Hsin Iron And Steel 26 0.02 336,430 Formosa Chemicals & Fibre 500 0.41 331,593 Formosa Plastics 499 0.41 437,593 Nan Ya Plastic 565 0.47 73,304 Oriental Union Chemical 36 0.03 55,000 Taiwan Fertilizer 46 0.04 114,000 Ton Yi Industrial 36 0.03 100,769 YFY 22 0.02 2,094 1.73

Consumer Goods 1.51% (2014: 1.25%) 138,477 Cheng Shin Rubber Industry 163 0.13 15,000 Eclat Textile 143 0.12 299,269 Far Eastern Textile 177 0.15 22,000 Feng Tay Enterprise 82 0.07

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 71 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Goods (continued) 100,000 Formosa Taffeta 64 0.05 16,721 Giant Manufacturing 82 0.07 7,646 Largan Precision 387 0.32 196,571 Pou Chen 180 0.15 152,000 Teco Electric & Machinery 86 0.07 62,348 Uni-President China 33 0.03 354,760 Uni-President Enterprises 388 0.31 69,846 Yulon Motor 48 0.04 1,833 1.51

Consumer Services 0.44% (2014: 0.44%) 237,661 China Airlines 55 0.05 170,372 EVA Airways 65 0.05 33,000 Hotai Motor 2 51 0.20 37,996 President Chain Store 164 0.14 535 0.44

Financials 3.01% (2014: 2.86%) 613,932 Cathay Financial REIT 568 0.46 97,000 Cathay Real Estate Development 27 0.02 285,636 Chang Hwa Commercial Bank 96 0.08 1,094,963 China Development Financial 191 0.16 1,246,313 CTBC Financial 444 0.37 469,301 E.Sun Financial 183 0.15 736,139 First Financial 231 0.19 494,295 Fubon Financial Holdings 520 0.42 604,601 Hua Nan Financial 189 0.16 774,518 Mega Financial 366 0.30 673,320 Shin Kong Financial 104 0.09 729,729 Sinopac 156 0.13 710,806 Taishin Financial 181 0.15 147,622 Taiwan Business Bank 25 0.02 568,986 Taiwan Cooperative Financial 165 0.14 784,439 Yuanta Financial Holdings 200 0.17 3,646 3.01

Industrials 2.79% (2014: 2.84%) 183,872 Asia Cement 124 0.10 55,225 Catcher Technology 352 0.29 136,005 Delta Electronic 450 0.37 170,485 Evergreen Marine 49 0.04 80,638 Foxconn Technology 137 0.11 989,132 Hon Hai Precision Industries 1,709 1.42 184,143 Lite On Technology 124 0.10 269,836 Taiwan Cement 195 0.16 79,607 Taiwan Glass Industry 20 0.02 33,495 Taiwan Secom 65 0.05 31,917 TPK Holdings 52 0.04 172,293 Unimicron Technology 49 0.04 200,000 Walsin Lihwa 31 0.03 106,583 Yang Ming Marine Transport 21 0.02 3,378 2.79

72 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Oil & Gas 0.18% (2014: 0.18%) 141,304 Formosa Petrochemical 223 0.18

Technology 6.75% (2014: 6.93%) 283,229 Acer 78 0.06 422,408 Advanced Semiconductor Engineering 318 0.27 25,072 Advantech 117 0.10 54,001 Asustek Computer 313 0.26 576,034 AU Optronics 11 0 0.09 30,742 Chicony Electronics 48 0.04 335,802 Compal Electronics 136 0.11 75,000 Epistar 44 0.04 248,000 Foxconn International 77 0.06 5,000 Hermes Microvision 125 0.10 57,842 HTC 91 0.07 691,796 Innolux 150 0.12 209,000 Inotera Memories 104 0.09 239,245 Inventec 89 0.07 430,089 Macronix International 41 0.03 99,846 Mediatek 506 0.43 42,000 Nanya Technology 34 0.03 46,473 Novatek Microelectronics 103 0.08 12 7,747 Pegatron 203 0.17 217, 6 87 Quanta Computers 241 0.20 29,440 Realtek Semiconductor 40 0.03 199,917 Siliconware Precision 172 0.14 54,968 Synnex Technology 38 0.03 1,727,954 Taiwan Semiconductor Manufacturing 4,703 3.89 18,000 Transcend Information 32 0.03 739,938 United Microelectronic 176 0.14 20,000 Vanguard International Semiconductor 17 0.01 217,922 Wistron 71 0.06 8,177 6.75

Telecommunications 0.79% (2014: 0.72%) 267,031 Chunghwa Telecom 532 0.44 118,432 Far Eastone Telecommunications 166 0.14 124,356 Taiwan Mobile 254 0.21 952 0.79

United Kingdom 0.61% (2014: 0.81%) Basic Materials 0.61% (2014: 0.81%) 31,420 Rio Tinto 733 0.61

Financials 0.00% (2014: 0.00%) 1,436,104 BGP Holdings* - -

United States 0.08% (2014: 0.16%) Consumer Goods 0.02% (2014: 0.07%) 1,186 Halla Visteon Climate Control 30 0.02

Financials 0.06% (2014: 0.09%) 3,139 REA 69 0.06

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 73 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Derivatives 0.07% (2014: 0.03%) Futures 0.00% (2014: 0.03%) 5 HKG Hang Seng Index November 2015 1 - 7 KFE KOSPI2 Index December 2015 1 - 13 SFE SPI 200 December 2015 4 - 5 SGX MSCI Singapore Index November 2015^ - - 20 SGX MSCI Taiwan Index November 2015 (1) - 5 -

Forward Foreign Exchange Contracts 0.07% (2014: 0.00%) Buy GBP 1,050,000 : Sell HKD 12,418,387 November 2015 12 0.01 Buy GBP 2,000,000 : Sell AUD 4,304,099 November 2015 12 0.01 Buy GBP 2,180,000 : Sell USD 3,326,505 November 2015 26 0.03 Buy GBP 450,000 : Sell SGD 964,817 November 2015 4 - Buy KRW 1,113,352,500 : Sell USD 975,000 November 2015 1 - Buy KRW 313,018,000 : Sell USD 265,000 November 2015 6 - Buy KRW 952,400,000 : Sell USD 800,000 November 2015 22 0.02 Buy TWD 27,112,450 : Sell USD 835,000 November 2015^ - - Buy USD 1,325,000 : Sell KRW 1,521,100,000 November 2015 (5) - Buy USD 150,000 : Sell KRW 169,725,000 November 2015 1 - Buy USD 835,000 : Sell TWD 27,233,525 November 2015 (3) - 76 0.07

Investment asset including investment liabilities 118,949 98.17 Other net assets 2,218 1.83 Total net assets 121,167 100.00

^Due to rounding to nearest £1,000 * Suspended, delisted or unquoted securities

Prior year comparative percentages have been restated for some sectors due to a new sector presentation basis implemented in these financial statements. The classification is based on the country of risk and a relevant industry classification standard.

74 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Statement of total return for the year ended 31 October 2015

2015 2014 Notes £000 £000 £000 £000

Income Net capital losses 2 (17,257) (5,608) Revenue 4 4,773 5,697 Expenses 5 (319) (379) Finance costs: Interest 7 (1) -

Net revenue before taxation 4,453 5,318 Taxation 6 (308) (197)

Net revenue after taxation 4,145 5,121

Total return before distributions (13,112) (487)

Finance costs: Distributions 7 (4,145) (5,121)

Change in net assets attributable to shareholders from investment activities (17,257) (5,608) for the year ended 31 October 2015

Statement of change in net assets attributable to shareholders for the year ended 31 October 2015 2015 2014 £000 £000 £000 £000

Opening net assets attributable to shareholders 157,867 208,362

Amounts receivable on issue of shares 16,557 10,603 Amounts receivable on in specie transfers - 1,650 Amounts payable on cancellation of shares (40,063) (61,845) (23,506) (49,592)

Change in net assets attributable to shareholders from investment activities (see above) (17,257) (5,608)

Retained distribution on accumulation shares 4,063 4,705

Closing net assets attributable to shareholders 121,167 157,867

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 75 Balance sheet as at 31 October 2015

2015 2014 Notes £000 £000 £000 £000 Assets Investment assets 118,958 156,203

Debtors 8 4,913 374 Cash and bank balances 9 5,392 4,078 Total other assets 10,305 4,452

Total assets 129,263 160,655

Liabilities Investment liabilities 9 7

Creditors 10 5,793 190 Bank overdrafts 2,294 2,591 Total other liabilities 8,087 2,781

Total liabilities 8,096 2,788

Net assets attributable to shareholders 121,167 157,867

76 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Notes to the financial statements

1 Accounting policies The accounting policies, distribution policy and potential risks are set out in notes 1 to 3 to the aggregated financial statements on pages 9 to 15.

2 Net capital losses Net capital gains/(losses) on investments during the year comprise: 2015 2014 £000 £000

Derivative contracts 33 (30) Forward currency contracts 67 (10) Non-derivative securities (17,197) (5,474) Other currency losses (144) (76) Transaction costs (16) (18)

Net capital losses on investments (17,257) (5,608)

3 Portfolio transaction costs 2015 2014 £000 £000

Purchases in year before transaction costs 19,821 17,184

Commissions 8 7 Other costs 1 1 Taxes 3 2 Total purchase transaction costs* 12 10

Purchases including transaction cost 19,833 17,194

Sales in year before transaction costs 40,172 61,337

Commissions (12) (13) Other costs (20) (24) Taxes (35) (57) Total sale transaction cost* (67) (94)

Sales net of transaction costs 40,105 61,243

Transaction handling charges* 16 18

* These amounts have been deducted in determining net capital losses.

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 77 Notes to the financial statements (continued)

4 Revenue 2015 2014 £000 £000

Bank interest 10 9 Interest on margin 1 1 Overseas dividends 4,232 5,026 Overseas REIT revenue 306 372 Stock dividends 194 269 Stock lending revenue 30 20

Total revenue 4,773 5,697

5 Expenses 2015 2014 £000 £000 Payable to the ACD, associates of the ACD and agents of either of them: ACD's periodic charge 225 229 GAC* 28 35 253 264

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fees 13 18 Safe custody fees 52 65 65 83

Other expenses: Professional fees 1 32 1 32

Total expenses 319 379

Irrecoverable VAT is included in the above expenses where relevant.

*The current audit fee is, which is levied through GAC is £7,030 (2014: £6,120).

6 Taxation a) Analysis of charge in year The tax charge comprises: 2015 2014 £000 £000

UK corporation tax 4 - Double tax relief (4) - Overseas withholding tax 308 198 Total current tax (note 6b) 308 198 Deferred tax (note 6c) - (1) Total taxation 308 197

78 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Notes to the financial statements (continued)

6 Taxation (continued) b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of authorised open ended investment companies (OEICs) of 20%. The differences are explained below: 2015 2014 £000 £000

Net revenue before taxation 4,453 5,318

Corporation tax at 20% (2014: 20%) 891 1,064

Effects of: Irrecoverable overseas tax 304 192 Movements in taxable accrued revenue - 1 Non-taxable overseas dividends** (846) (1,005) Stock dividends* (39) (54) Unused management expenses (2) - Current tax charge for the year (note 6a) 308 198

* As an OEIC this item is not subject to corporation tax. ** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009. OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above. c) Deferred tax 2015 2014 £000 £000 Provision at start of year - 1 Deferred tax charge for year (note 6a) - (1) Provision at end of year - - d) Factors that may affect future tax charges At the end of the year, after claiming relief against revenue taxable on receipt, there is a potential deferred tax asset of £1,570 (2014:nil) in relation to surplus management expenses. It is unlikely the fund will generate sufficient taxable profits in the future, to utilise these amounts and therefore no deferred tax asset has been recognised in the current or prior year.

7 Finance costs

Distributions and interest The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise:

2015 2014 £000 £000

Interim accumulation 1,814 2,049 Final accumulation 2,249 2,656 4,063 4,705

Amount deducted on cancellation of shares 260 523 Amount received on issue of shares (178) (107)

Finance costs: Distributions 4,145 5,121

Finance costs: Interest 1 -

Total finance costs 4,146 5,121

Details of the distribution per share are set out in the distribution table on page 86.

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 79 Notes to the financial statements (continued)

8 Debtors 2015 2014 £000 £000

Accrued revenue 40 31 Amounts receivable for issue of shares - 204 Overseas withholding tax reclaimable 2 2 Sales awaiting settlement 4,871 137

Total debtors 4,913 374

9 Cash and bank balances 2015 2014 £000 £000

Amount held at futures clearing houses and brokers 344 201 Cash and bank balances 5,048 3,877

Total cash and bank balances 5,392 4,078

10 Creditors 2015 2014 £000 £000

Accrued ACD's periodic charge 18 20 Accrued Depositary's fee 1 2 Accrued other expenses 8 15 Amounts payable for cancellation of shares 5,766 153

Total creditors 5,793 190

11 Contingent liabilities and commitments The contingent liabilities and commitment outstanding at the Balance sheet date is as follows: 2015 2014 £000 £000

Mirae Asset Security (Rights) 31 -

Total contingent liabilities and commitments 31 -

The contingent liabilities recognised reflect the expected cash settlement value based upon the actual cash liability when settled or the market strike price when still outstanding.

80 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Notes to the financial statements (continued)

12 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 75 and 76 and notes 5, 8 and 10 on pages 78 to 80 including all creations and cancellations where the ACD acted as principal.

HSBC Global Custody Nominee (UK) Ltd, as a material shareholder, is a related party holding shares comprising 75.17% (2014: 79.75%) of the total net assets of the fund as at 31 October 2015.

Related parties, such as other authorised Funds managed by Henderson Investment Funds Limited, may hold shares in the fund via a nominee company, Harewood Nominees Limited. Harewood Nominees Limited holds shares comprising 15.59% (2014: 12.40%) of the total net assets of the fund as at 31 October 2015.

Material transactions throughout the year such as creations and cancellations for these shareholders are included in the Statement of change in net assets attributable to shareholders.

13 Shareholder funds The fund currently has 3 share classes available; Class Y (Retail with exit charges), Class I (Institutional) and Class Z (Institutional). The annual management charge on each share class is as follows:

2015 2014 % % Class Y 0.75 0.75 Class I 0.75 0.75 Class Z 0.00* 0.00*

* Charges for managing Z class shares are levied outside the fund and are agreed between the ACD and investors.

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparitive table on page 58. The distribution per share class is given in the distribution table on page 86. All share classes have the same rights on winding up.

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 81 Notes to the financial statements (continued)

14 Financial derivatives The fund may use financial derivatives for the purposes of hedging and meeting the investment objectives including risk reduction and implementation of investment policies.

The use of derivatives can create additional counterparty risks. Details of the ACD’s policies for managing counterparty and other risks are set out in note 3 to the financial statements.

The types of derivatives held at the year end were forward foreign currency contracts and futures. Details of individual contracts are shown in the portfolio statement on page 74, and the total position by counterparty at the year-end is summarised below:

At 31 October 2015 the underlying exposure for each category of derivatives were as follows:

Forward foreign Futures currency contracts £000 £000 Counterparty

JP Morgan 3,429 - UBS 2,264 2,324 Citigroup 1,059 -

At 31 October 2014 the underlying exposure for each category of derivatives were as follows:

Forward foreign Futures currency contracts £000 £000 Counterparty

Barclays 606 - UBS - 1,588

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities.

At 31 October 2015, no collateral was either held by the fund or had been paid out to counterparties in respect of the above (2014: £nil).

82 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Notes to the financial statements (continued)

15 Securities lending The fund and the Investment Manager have entered into a securities lending programme with BNP Paribas Securities Services acting as the Securities Lending Agent in order to generate income.

Securities lending revenue is disclosed under ‘Revenue’ in the Statement of total return. The gross stock lending revenue for the year was £35,658 with expenses of £5,349 deducted to give net stock lending revenue of £30,309 (2014: £19,684).

2015 2014

Aggregate value of securities on loan at the year end 2,426 1,908 Aggregate value of collateral held at the year end 3,426 2,020

All collateral was in the form of equity and government bond securities.

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities. The value of the collateral held at the year end ranges from 105.86% to 253.27% of the value of the securities on loan.

The counterparties at the year end were Barclays Bank, Citigroup, Deutsche Bank, Goldman Sachs, ING Bank, JP Morgan, Morgan Stanley and Societe Generale (2014: Bank of Nova Scotia, Barclays, Citigroup, Credit Suisse, Deutsche Bank, Merrill Lynch, Morgan Stanley and Societe Generale).

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 83 Notes to the financial statements (continued)

16 Risk Risks in respect of financial assets and liabilities are set out in note 3 of the aggregated financial statements on pages 13 to 15.

Currency risk Net currency monetary assets and liabilities consist of:

Investment assets Other net Net assets/ including assets/ (liabilities) investment (liabilities) liabilities £000 £000 £000 Currency 2015 Australian dollar 37,592 2,684 40,276 Hong Kong dollar 19,971 1,496 21,467 Korean won 27,390 1,217 28,607 New Zealand dollar 1,239 44 1,283 Singapore dollar 7,386 7 11 8,097 Taiwan dollar 20,726 1,397 22,123 UK sterling 5,680 (6,010) (330) US dollar (1,035) 679 (356) Total 118,949 2,218 121,167

Currency 2014 Australian dollar 58,550 678 59,228 Hong Kong dollar 25,662 306 25,968 Korean won 31,662 77 31,739 New Zealand dollar 1,379 12 1,391 Singapore dollar 10,921 129 11,050 Taiwan dollar 26,482 254 26,736 UK sterling - 73 73 US dollar 1,540 142 1,682 Total 156,196 1,671 157,867

Interest rate risk The majority of the fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date. Therefore, the fund’s exposure to interest rate risk is considered insignificant. This is consistent with the exposure during the prior year.

84 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Notes to the financial statements (continued)

16 Risk (continued) Value at Risk The VaR policy and risks are set out in notes 3(a) of the aggregated financial statements on page 13.

The actual VaR, limits and utilisation of those limits are summarised in the table below:

VaR results - for the year ended 31 October 2015

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 98.74% 102.57% 100.12% 200% 49.37% 51.29% 50.06% Asia Pacific ex Japan Index

VaR results - for the year ended 31 October 2014

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 96.22% 107.84% 100.23% 200% 48.11% 53.92% 50.12% Asia Pacific ex Japan Index

Leverage The level of leverage arising from the use of derivative instruments is disclosed in the table below as a percentage of the fund’s total Net Asset Value. The calculation is based on the sum of notional exposures of financial derivative instruments in the investment portfolio including those held for risk reduction purposes.

Please note this level of leverage is explicitly not an investment limit for the fund and will vary over time under differing market conditions to ensure that the fund meets its investment objective.

Leverage - for the year ended 31 October 2015

Minimum Maximum Average 0.88% 7.08% 2.74%

Leverage - for the year ended 31 October 2014

Minimum Maximum Average 0.60% 10.93% 2.50%

Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund 85 Distribution tables for the year ended 31 October 2015 (in pence per share)

Interim dividend distribution (accounting date 30 April 2015, paid on 30 June 2015) Group 1: shares purchased prior to 1 November 2014 Group 2: shares purchased on or after 1 November 2014

Net Distribution Distribution revenue Equalisation paid paid 30/06/15 28/06/14

Class I accumulation Group 1 2.0092 - 2.0092 1.7441 Group 2 2.0092 - 2.0092 1.7441

Class Y accumulation Group 1 2.0060 - 2.0060 1.7436 Group 2 0.2168 1.7892 2.0060 1.7436

Class Z accumulation Group 1 4.1498 - 4.1498 3.6379 Group 2 1.2548 2.8950 4.1498 3.6379

Final dividend distribution (accounting date 31 October 2015, paid on 31 December 2015) Group 1: shares purchased prior to 1 May 2015 Group 2: shares purchased on or after 1 May 2015

Net Distribution Distribution revenue Equalisation paid paid 31/12/15 31/12/14

Class I accumulation Group 1 2.9666 - 2.9666 2.9171 Group 2 0.6180 2.3486 2.9666 2.9171

Class Y accumulation Group 1 2.9597 - 2.9597 2.9106 Group 2 2.9597 - 2.9597 2.9106

Class Z accumulation Group 1 5.5108 - 5.5108 5.4687 Group 2 1.3922 4.1186 5.5108 5.4687

86 Henderson Institutional Asia Pacific ex Japan Enhanced Equity Fund Authorised Corporate Director’s report

Investment Fund Manager Henderson Multi Strategy Equities Team

Investment objective and policy The fund aims to provide consistent capital growth relative to the FTSE World Europe ex UK Index (or such other index as may from time to time replace it) through investing primarily in European companies. There are no restrictions on the size of the companies in which the fund may invest.

The fund aims to provide an annual return above that of the FTSE World Europe ex UK Index, whilst controlling risk. The fund will invest primarily in European companies included within the FTSE World Europe ex UK Index. Additionally, the fund can invest in companies listed on other exchanges which are associated with FTSE World Europe ex UK Index listed shares or other European companies.

The fund will not attempt to replicate identically the share composition of the FTSE World Europe ex UK Index, and the Fund Manager will actively review the shares within the portfolio, and effect adjustments as necessary in order to achieve the investment objective.

The fund may invest the property in transferable securities, money market instruments, derivatives and forward transactions, deposits and units in collective investment schemes.

Performance summary 31 Oct 14 - 31 Oct 13 - 31 Oct 12 - 31 Oct 11 - 31 Oct 10 - 31 Oct 15 31 Oct 14 31 Oct 13 31 Oct 12 31 Oct 11 % % % % %

Henderson Institutional European Enhanced 6.1 (0.5) 33.5 6.1 (8.8) Equity Fund* FTSE Custom World Europe Dev ex UK Index** 5.2 (1.2) 32.5 5.2 (9.7)

Source: Henderson Global Investors & FTSE * Fund returns calculated using close of business prices on a gross asset value basis in GBP, based on performance of class Z accumulation. ** Customised net dividends reinvested (Market Capitalisation weighted index of Austria, Belgium/Luxembourg, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden and Switzerland). Figures in brackets are negative

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the year ended 31 October 2015

Largest purchases £000 Largest sales £000

Anheuser-Busch InBev 7,307 EUX DAX Index March 2015 10,691 FCA 7.875% 15/12/2016 5,676 Draegerwerk Preference Shares 7,681 Roche Holdings Genusschein 3,445 Anheuser-Busch InBev 7,530 Dufry 2,774 FCA 7.875% 15/12/2016 6,768 Volkswagen International Finance 5.5% 09/11/2015 2,759 TRS 0.485% 24/02/2015 BP Receive EUR 4,668 Banco Santander 2,434 EUX DAX Index June 2015 4,322 Nokia 5% 26/10/2017 2,394 Novartis 4,263 Hugo Boss 2,060 EUX DAX Index September 2015 3,799 Nestlé 1,973 Nestlé 3,456 Amadeus IT Holdings 1,938 Nokia 3,299

Total purchases 128,316 Total sales 161,237

Henderson Institutional European Enhanced Equity Fund 87 Authorised Corporate Director’s report (continued)

Investment review Market Commentary European equities ended the year positively, but the year was marked by elevated volatility. The first half saw equities push higher on the launch of the European Central Bank’s (ECB) larger than expected quantitative easing (QE) programme and oil’s drop below US$50 due to a strong dollar and OPEC-induced oversupply.

This performance, though, was reversed over the subsequent five months by a number of negatives, including prolonged uncertainty around ‘Grexit’, a deteriorating economic outlook in China, concerns over global growth, and falling commodity and energy prices.

October saw a sharp rebound in sentiment resulting in a positive end to the year.

Fund performance and activity The fund performed strongly over the year, with positive contributions coming from all four strategies: Fundamental, Event Driven, Liquidity and Relative Value.

Performance in our Fundamental strategy was strong, with the uptick in mergers and acquisitions activity helping our positions in Swedish bathroom ceramic manufacturer Sanitec and French media company Havas, as both received bids. The weakening of the euro through the first half of the year against other major currencies also benefited European equities, particularly our overweight position in US dollar earner Airbus. On the downside, our holding in Delta Lloyd suffered as the Dutch regulator unexpectedly changed the capital requirements for domestic insurers.

Within our Event Driven Strategy, the longstanding position in Ziggo benefited as the EU approved Liberty Global’s acquisition after a lengthy but productive review process. Our position in Swedish Orphan Biovitrum was helped by strong results and positive outcomes on drug approvals and studies towards the end of the year, with the shares bouncing back after merger talks failed to materialise in June.

Activity levels picked up in the Liquidity strategy early in the year, before falling off again over the summer months in the risk-off environment with elevated volatility. The standout individual performer was Spanish airport operator Aena, which came to market after postponing the offer in October 2014. The shares were in high demand, up over 35% since the initial public offering, as low oil prices and the weak euro drove an increase in air traffic at Aena’s European hubs.

The Relative Value strategy contributed a small positive return over the year, although strong returns from our convertible bond and equity capital structure sub-strategies were offset elsewhere. Our holding in Volkswagen mandatory convertible bonds was unable to escape the negative effects of the emissions scandal. Meanwhile, a markdown on our Greek bank warrants, as the situation in Greece worsened, also contributed negatively.

Outlook/strategy The recent heavy falls in the Chinese stock market, coupled with the never-ending eurozone drama, seem to be denting confidence. Economic data is likely to remain mixed, especially in these two areas. That said, valuations (particularly in the larger companies) are starting to look more attractive. Strong balance sheets could boost merger and acquisition activity which, along with increased volatility, should provide good opportunities across all four of our uncorrelated strategies.

88 Henderson Institutional European Enhanced Equity Fund Comparative tables as at 31 October 2015

Net asset value per share

Accounting year Net asset Net asset Number of Net asset value value of shares in value per of fund shares issue share (£) (£) (pence)

Class I accumulation 31/10/2013 425,774,637 15,779,928 13,390,960 117.84 31/10/2014 425,343,298 11,969,499 10,284,671 116.38 31/10/2015 413,871,799 9,162,445 7,466,611 122.71 Class Y accumulation 31/10/2013 425,774,637 32,169,998 19,839,068 162.15 31/10/2014 425,343,298 40,887,001 25,534,280 160.13 31/10/2015 413,871,799 43,107,382 25,534,280 168.82 Class Z accumulation 31/10/2013 425,774,637 377,824,711 225,879,650 167.27 31/10/2014 425,343,298 372,486,798 224,083,048 166.23 31/10/2015 413,871,799 361,601,972 205,076,932 176.33

Henderson Institutional European Enhanced Equity Fund 89 Comparative tables as at 31 October 2015

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share) Class I accumulation 2010 2.16 96.70 77. 9 0 2 0 11 2.54 104.30 72.21 2012 2.40 95.65 75.49 2013 2.44 119.35 94.46 2014 2.69 125.17 107. 0 9 2015 2.90* 134.84+ 114.26+ Class Y accumulation 2010 2.97 133.10 107. 3 0 2 0 11 3.49 143.50 99.37 2012 3.30 131.63 103.80 2013 3.34 164.23 129.99 2014 3.69 172.23 147.32 2015 3.99* 185.50+ 157. 19 + Class Z accumulation 2010 3.73 134.80 108.40 2 0 11 4.33 145.80 101.20 2012 4.08 135.08 106.20 2013 4.35 169.41 133.41 2014 4.84 178.45 152.91 2015 5.23* 193.10+ 164.08+

* to 31 December + to 31 October

90 Henderson Institutional European Enhanced Equity Fund Ongoing charge figure

The annualised ongoing charge figure (OCF) of the fund, calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the year, except for expenses that are explicitly excluded by regulation.

2015 2014 % %

Class I 0.80 0.80

Class Y 0.80 0.80

Class Z 0.05 0.05

The OCF is calculated in accordance with guidelines issued by the European Securities and Markets Authority (ESMA),

Henderson Institutional European Enhanced Equity Fund 91 Risk and reward profile

The fund currently has 3 types of share classes in issue; I accumulation, Y accumulation and Z accumulation. Each type of share has the same risk and reward profile which is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk

1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5 year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your shares, they may be worth less than you paid for them. The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• The fund focuses on a single region

• As a category, shares are more volatile than either bonds or money market instruments

• The fund invests in a broad range of securities and countries and uses a broad range of strategies

• Fluctuations in exchange rates may cause the value of your investment to rise or fall

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events.

There have been no changes in the risk rating in the year.

The SRRI conforms to the E uropean Securities and Markets Authority guidelines for the calculation of the SRRI.

92 Henderson Institutional European Enhanced Equity Fund Portfolio statement as at 31 October 2015

Holding Investment Market Percentage value of total £000 net assets % Equities 94.51% (2014: 89.52%) Austria 0.48% (2014: 0.47%) Basic Materials 0.07% (2014: 0.10%) 12,723 Voestalpine 300 0.07

Financials 0.27% (2014: 0.24%) 31,808 Erste Bank 608 0.15 58,628 Immoeast - - 3,472 Raiffeisen Bank 36 0.01 61,710 Uniqa Insurance 372 0.09 4,714 Vienna Insurance 98 0.02 1,114 0.27

Industrials 0.07% (2014: 0.06%) 9,080 Andritz 295 0.07

Oil & Gas 0.07% (2014: 0.07%) 16,766 OMV 290 0.07

Belgium 3.10% (2014: 2.80%) Basic Materials 0.15% (2014: 0.19%) 5,306 Solvay 390 0.09 9,308 Umicore 257 0.06 647 0.15

Consumer Goods 1.64% (2014: 1.52%) 87,159 Anheuser-Busch InBev 6,777 1.64 64,992 Anheuser-Busch InBev WPR* - - 6,777 1.64

Consumer Services 0.29% (2014: 0.26%) 8,686 Colruyt 280 0.07 11,984 Delhaize 723 0.17 5,722 Telenet 216 0.05 1,219 0.29

Financials 0.67% (2014: 0.56%) 19,936 Ageas 573 0.14 20,490 Groupe Bruxelles Lambert 1,083 0.26 42,986 KBC Ancora 1 , 111 0.27 2,767 0.67

Health Care 0.20% (2014: 0.17%) 14,534 UCB 817 0.20

Industrials 0.05% (2014: 0.00%) 11,873 Bpost 193 0.05

Telecommunications 0.10% (2014: 0.10%) 17,946 Belgacom 404 0.10

Henderson Institutional European Enhanced Equity Fund 93 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Denmark 3.93% (2014: 3.65%) Consumer Goods 0.38% (2014: 0.36%) 12,620 Carlsberg 672 0.16 12,312 Pandora 923 0.22 1,595 0.38

Financials 0.45% (2014: 0.48%) 83,704 Danske Bank 1,498 0.36 8,424 Jyske Bank 267 0.06 10,380 Tryg 121 0.03 1,886 0.45

Health Care 2.25% (2014: 1.99%) 9,736 Chr. Hansen 381 0.09 11,280 Coloplast 526 0.13 5,761 Genmab 370 0.09 5,124 Lundbeck 98 0.02 206,248 Novo Nordisk 'B' 7,127 1.72 21,698 Novozymes 654 0.16 2,872 William Demant 162 0.04 9,318 2.25

Industrials 0.54% (2014: 0.60%) 533 A.P. Moller-Maersk 'A' 497 0.12 901 A.P. Moller-Maersk 'B' 863 0.21 16,133 DSV 425 0.10 20,102 ISS 460 0.11 2,245 0.54

Oil & Gas 0.24% (2014: 0.12%) 26,372 Vestas Wind Systems 1,000 0.24

Telecommunications 0.07% (2014: 0.10%) 86,541 TDC 295 0.07

Finland 1.52% (2014: 2.27%) Basic Materials 0.28% (2014: 0.21%) 66,907 Stora Enso 404 0.10 59,454 UPM-Kymmene 725 0.18 1,129 0.28

Consumer Goods 0.09% (2014: 0.06%) 15,444 Nokian Renkaat 379 0.09

Consumer Services 0.04% (2014: 0.05%) 8,324 Kesko 173 0.04

Financials 0.40% (2014: 0.40%) 51,907 Sampo 1,650 0.40

94 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Health Care 0.00% (2014: 0.06%) 29 Orion 'B' 1 -

Industrials 0.43% (2014: 0.71%) 39,232 Konecranes 1,088 0.26 16,322 Metso 260 0.06 16,943 Wartsila 471 0.11 1,819 0.43

Oil & Gas 0.03% (2014: 0.05%) 7, 10 9 Neste Oil 113 0.03

Technology 0.00% (2014: 0.55%)

Telecommunications 0.14% (2014: 0.00%) 23,497 Elisa 576 0.14

Utilities 0.11% (2014: 0.18%) 48,012 Fortum 469 0.11

France 21.28% (2014: 20.64%) Basic Materials 0.91% (2014: 0.87%) 336 Air Liquide 28 0.01 38,702 Air Liquide Prime de Fidélité 3,262 0.79 334 Air Liquide (Prime de Fidélité 2017) 28 0.01 5,263 Arkema 2 51 0.06 3,270 Imerys 14 6 0.04 3,715 0.91

Consumer Goods 4.14% (2014: 3.52%) 2,972 BIC 308 0.07 6,151 Christian Dior 787 0.19 62,707 Danone 2,843 0.69 6,544 Faurecia 169 0.04 2,847 Hermes International 713 0.17 436 L'Oréal 52 0.01 25,771 L'Oréal (reg) 3,060 0.74 27,626 LV M H 3,348 0.81 20,649 Michelin 1,338 0.32 21,762 Pernod-Ricard 1,668 0.40 48,428 Peugeot 555 0.13 3,756 Remy Cointreau 170 0.04 17,862 Renault 1,095 0.26 2,907 SEB 192 0.05 9,152 Valeo 921 0.22 17, 219 4.14

Henderson Institutional European Enhanced Equity Fund 95 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Services 1.70% (2014: 1.96%) 20,288 Accor 655 0.16 63,063 Carrefour 1,337 0.32 5,546 Casino Guichard Perrachon 208 0.05 17,358 Eutelsat Communications 372 0.09 7,641 JC Decaux International 202 0.05 8,819 Kering 1,063 0.26 12,484 Lagardère 237 0.06 20,696 Publicis Groupe 873 0.21 8,561 TF1 0.00% Television Francaise 72 0.02 126,360 Vivendi 1,979 0.48 6,998 1.70

Financials 3.92% (2014: 3.77%) 212,286 AXA 3,690 0.89 109,763 BNP Paribas 4,339 1.05 26,826 CNP Assurances 249 0.06 3,788 Credit Agricole 31 0.01 107, 8 91 Credit Agricole (Prime Fidélité) 889 0.21 2,086 Euler Hermes 126 0.03 4,037 Foncière des Régions 247 0.06 4,706 Gecina 391 0.09 2,507 Icade 121 0.03 20,045 Klepierre 619 0.15 98,679 Natixis Banques Populare 393 0.09 15,478 SCOR 375 0.09 81,787 Société Générale 2,474 0.60 11,061 Unibail-Rodamco 2,010 0.49 3,916 Wendel Investissement 305 0.07 16,259 3.92

Health Care 2.51% (2014: 2.26%) 1,190 Biomerieux 90 0.02 22,291 Essilor International 1,907 0.46 2,828 Ipsen 116 0.03 126,124 Sanofi 8,279 2.00 10,392 2.51

Industrials 3.73% (2014: 3.90%) 2,644 Aeroports de Paris 216 0.05 60,452 Airbus 2,738 0.66 21,970 Alstom 466 0.11 103,145 Bollore 332 0.08 474 Bollore (New) 2 - 19,032 Bouygues 469 0.11 23,216 Bureau Veritas 341 0.08 48,769 Compagnie de St Gobain 1,332 0.32 25,458 Edenred 305 0.07 3,622 Eiffage 147 0.04 20,521 Elis 226 0.05 5,607 Eurazeo 257 0.06 40,350 Groupe Eurotunnel 368 0.09

96 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Industrials (continued) 28,364 Legrand 1,013 0.24 26,324 Rexel 234 0.06 30,134 Safran 1,488 0.36 60,276 Schneider Electric 2,373 0.57 11,391 Thales 537 0.13 14,358 Vallourec 104 0.03 50,721 Vinci 2,225 0.54 19,277 Zodiac Aerospace 317 0.08 15,490 3.73

Oil & Gas 2.00% (2014: 2.22%) 9,392 Sodexo Provprime de Fidélité 543 0.13 14,128 Technip 480 0.12 228,967 Total 7,227 1.75 8,250 2.00

Technology 0.97% (2014: 0.70%) 3 11 ,7 14 Alcatel-Lucent 825 0.20 8,738 Atos Origin 453 0.11 16,696 Capgemini 967 0.23 13,212 Dassault Systèmes 678 0.16 2,615 Iliad 358 0.09 5,384 Ingenico 413 0.10 76,558 STMicroelectronics 345 0.08 4,039 0.97

Telecommunications 0.56% (2014: 0.51%) 200,608 Orange 2,301 0.56

Utilities 0.84% (2014: 0.93%) 32,633 EDF 395 0.10 155,946 GDF Suez (Prime de Fidélité 2017) 1,779 0.43 45,179 Suez Environnement 559 0.14 46,017 Veolia Environnement 697 0.17 3,430 0.84

Germany 8.98% (2014: 9.85%) Basic Materials 2.08% (2014: 2.24%) 35,825 BASF 1,906 0.46 41,543 Bayer 3,581 0.87 18,960 Brenntag 74 0 0.18 8,278 Evonik 195 0.05 4,212 Fuchs Petrolub 113 0.03 6,435 Fuchs Petrolub Non-Voting Preference Shares 200 0.05 5,850 K & S 96 0.02 9,867 Lanxess 343 0.08 7,789 Linde 875 0.21 12,936 Symrise 553 0.13 8,602 2.08

Henderson Institutional European Enhanced Equity Fund 97 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Goods 1.83% (2014: 2.03%) 11,989 Adidas 698 0.17 3,035 Beiersdorf 187 0.05 14,238 BMW 948 0.23 5,876 BMW Non-Voting Preference Shares 307 0.07 3,998 Continental 624 0.15 27,977 DaimlerChrysler 1,575 0.38 23,413 Henkel 1,405 0.34 6,528 Hugo Boss 435 0.11 10,223 Osram 389 0.09 18,761 Porsche Automobil Holdings 571 0.14 6,949 Suedzucker 84 0.02 3,783 Volkswagen 339 0.08 7,562 1.83

Consumer Services 0.51% (2014: 0.46%) 5,758 Axel Springer 210 0.05 27,593 Deutsche Lufthansa 264 0.06 998 Fielmann 45 0.01 2,588 Kabel Deutschland Holdings 213 0.05 11,285 Metro 225 0.05 25,479 ProSiebenSat.1 Media 892 0.22 12,254 Zalando 278 0.07 2,127 0.51

Financials 1.58% (2014: 1.66%) 19,543 Allianz 2,218 0.54 56,938 Commerzbank 406 0.10 17, 410 Deutsche Annington Immobilien 377 0.09 75,627 Deutsche Bank 1,375 0.33 7, 2 11 Deutsche Boerse 432 0.10 38,081 Deutsche Wohnen 697 0.17 867 Hannover Rueckversicherungs 65 0.02 5,351 Munchener Ruckvers 693 0.17 12,105 Rocket Internet 244 0.06 6,507 1.58

Health Care 0.35% (2014: 0.61%) 13,889 Fresenius 661 0.16 7,093 Fresenius Medical Care 415 0.10 5,882 Merck 372 0.09 1,448 0.35

Industrials 1.44% (2014: 1.54%) 50,200 Deutsche Post 969 0.23 5,000 Fraport 206 0.05 21,696 GEA 565 0.14 7,628 HeidelbergCement 368 0.09 3,099 Hochtief 187 0.05 4,555 Man 308 0.07 6,067 MTU Aero Engines 363 0.09

98 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Industrials (continued) 34,319 Siemens 2,242 0.54 23,476 Thyssenkrupp 307 0.07 13,582 Wirecard 455 0.11 5,970 1.44

Technology 0.61% (2014: 0.59%) 38,721 Infineon Technologies 309 0.07 35,276 SAP 1,807 0.44 12,513 United Internet 421 0.10 2,537 0.61

Telecommunications 0.43% (2014: 0.38%) 125,957 Deutsche Telekom 1,529 0.37 64,914 Telefonica Deutschland 268 0.06 1,797 0.43

Utilities 0.15% (2014: 0.34%) 60,705 E.ON 415 0.10 4,249 RWE 38 0.01 25,692 RWE Non-Voting Preference Shares 183 0.04 636 0.15

Greece 0.10% (2014: 0.30%) Consumer Services 0.03% (2014: 0.04%) 24,899 OPAP 143 0.03

Financials 0.03% (2014: 0.21%) 539,863 Alpha Bank 44 0.01 180,305 National Bank of Greece 87 0.02 382,000 National Bank of Greece (Warrants) 7 - 382,000 Piraeus Bank (Warrants) 2 - 14 0 0.03

Telecommunications 0.04% (2014: 0.05%) 30,126 Hellenic Telecommunication 182 0.04

Ireland 0.37% (2014: 0.27%) Consumer Goods 0.06% (2014: 0.00%) 18,805 Glanbia 237 0.06

Financials 0.19% (2014: 0.19%) 108,059 Anglo Irish Bank~ - - 3,196,827 Bank of Ireland 768 0.19 768 0.19

Industrials 0.12% (2014: 0.08%) 27,138 Smurfit Kappa 505 0.12

Henderson Institutional European Enhanced Equity Fund 99 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Italy 5.24% (2014: 4.87%) Consumer Goods 0.40% (2014: 0.26%) 33,802 Davide Campari 188 0.05 18,823 Luxottica 859 0.21 32,934 Pirelli 352 0.09 12,223 Salvatore Ferragamo 215 0.05 1,614 0.40

Consumer Services 0.06% (2014: 0.06%) 74,306 Mediaset 246 0.06

Financials 2.45% (2014: 2.14%) 152,053 Assicurazioni Generali 1,874 0.45 285,736 Banca Monte dei Paschi Siena 342 0.08 40,894 Banco Popolare 398 0.10 9,649 Exor 3 11 0.08 1,322,692 Intesa Sanpaolo 2,996 0.72 100,532 Intesa Sanpaolo di Risp 208 0.05 53,869 Mediobanca 352 0.09 29,544 Mediolanum 157 0.04 121,619 Poste Italiane 565 0.14 539,648 UniCredit 2,268 0.55 93,275 Unione di Banche Italiane 454 0.11 96,881 UnipolSai Assicurazioni 152 0.04 10,077 2.45

Industrials 0.39% (2014: 0.32%) 49,849 Atlantia 897 0.22 44,488 Finmeccanica 379 0.09 24,952 Prysmian 3 51 0.08 1,627 0.39

Oil & Gas 0.74% (2014: 1.00%) 270,432 ENI 2,874 0.69 30,618 Saipem 187 0.05 3,061 0.74

Telecommunications 0.12% (2014: 0.11%) 684,015 Telecom Italia di Risp 500 0.12

Utilities 1.08% (2014: 0.98%) 37,564 Endesa 544 0.13 751,225 Enel 2,255 0.54 190,103 Enel Green Power 262 0.06 250,652 Snam Rete Gas 844 0.20 189,610 Terna 626 0.15 4,531 1.08

100 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Luxembourg 0.52% (2014: 0.76%) Basic Materials 0.18% (2014: 0.40%) 114,547 ArcelorMittal 416 0.10 42,535 Tenaris 347 0.08 763 0.18

Consumer Services 0.31% (2014: 0.30%) 11,975 Numericable 353 0.09 4,576 RTL 256 0.06 34,777 SES 669 0.16 1,278 0.31

Telecommunications 0.03% (2014: 0.06%) 3,986 Sunrise Communications 141 0.03

Netherlands 5.01% (2014: 4.94%) Basic Materials 0.65% (2014: 0.56%) 29,881 Akzo Nobel 1,376 0.33 21,045 Koninklijke DSM 731 0.18 32,031 OCI 589 0.14 2,696 0.65

Consumer Goods 0.38% (2014: 0.38%) 18,442 Heineken 1,097 0.26 9,882 Heineken Holdings 515 0.12 1,612 0.38

Consumer Services 0.49% (2014: 0.39%) 103,574 Koninklijke Ahold 1,372 0.33 30,414 Wolters Kluwer 669 0.16 2,041 0.49

Financials 1.43% (2014: 1.29%) 224,517 Aegon 899 0.22 82,378 Delta Lloyd 423 0.10 423,170 ING 4,004 0.97 29,385 NN 599 0.14 5,925 1.43

Industrials 1.03% (2014: 0.78%) 10,589 Boskalis Westminster 335 0.08 124,311 Koninklijke Philips 2,186 0.53 10,983 Randstad 426 0.10 212,065 TNT Express 1,160 0.28 6,700 Vopak 175 0.04 4,282 1.03

Oil & Gas 0.00% (2014: 0.07%)

Technology 0.69% (2014: 0.80%) 40,108 ASML Holdings 2,425 0.59 10,623 Gemalto 433 0.10 2,858 0.69

Henderson Institutional European Enhanced Equity Fund 101 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Telecommunications 0.34% (2014: 0.67%) 42,514 Altice 'A' 479 0.12 10,960 Altice 'B' 126 0.03 325,372 Koninklijke KPN 777 0.19 1,382 0.34

Norway 1.47% (2014: 1.78%) Basic Materials 0.23% (2014: 0.26%) 155,141 Norsk Hydro 361 0.09 20,175 Yara International 596 0.14 957 0.23

Consumer Goods 0.19% (2014: 0.17%) 33,972 Marine Harvest 296 0.07 89,903 Orkla 'A' 496 0.12 792 0.19

Consumer Services 0.10% (2014: 0.08%) 10,375 Schibsted 226 0.05 10,375 Schibsted 'B' 210 0.05 436 0.10

Financials 0.40% (2014: 0.46%) 110,807 DNB 917 0.22 24,261 Gjensidige Forsikring 240 0.06 221,240 Storebrand 503 0.12 1,660 0.40

Oil & Gas 0.32% (2014: 0.54%) 40,321 Seadrill 164 0.04 109,639 Statoil 1,143 0.28 1,307 0.32

Technology 0.02% (2014: 0.00%) 24,719 Opera Software 100 0.02

Telecommunications 0.21% (2014: 0.27%) 71,431 Telenor 876 0.21

Portugal 0.31% (2014: 0.42%) Consumer Services 0.07% (2014: 0.04%) 30,000 Jeronimo Martins 274 0.07

Financials 0.04% (2014: 0.07%) 4,422,296 Banco Comercial Portugues 165 0.04 336,000 Banco Espírito Santo~ - - 165 0.04

Oil & Gas 0.08% (2014: 0.08%) 46,029 Galp Energia 324 0.08

102 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Telecommunications 0.00% (2014: 0.01%)

Utilities 0.12% (2014: 0.22%) 8,223 EDP Renovaveis 39 0.01 195,110 Energias de Portugal 470 0.11 509 0.12

Spain 6.32% (2014: 6.89%) Basic Materials 0.03% (2014: 0.00%) 16,678 Acerinox 117 0.03

Consumer Services 0.81% (2014: 0.62%) 82,311 Distribuidora Internacional de Alimentacion 341 0.08 115,632 Inditex 2,821 0.68 25,335 Mediaset Espanamunicacion 200 0.05 3,362 0.81

Financials 3.02% (2014: 3.85%) 701,784 Banco Bilbao Vizcaya Argentaria 3,935 0.95 495,148 Banco de Sabadell 623 0.15 180,502 Banco Popular Espanol 447 0.11 1,589,007 Banco Santander 5,795 1.40 1,589,007 Banco Santander (Rights) 56 0.01 536,376 Bankia 449 0.11 91,535 Bankinter 432 0.10 230,133 Caixabank 575 0.14 114,773 Mapfre 222 0.05 12,534 3.02

Health Care 0.22% (2014: 0.13%) 14,092 Grifols 319 0.08 25,800 Grifols ADR 581 0.14 900 0.22

Industrials 0.90% (2014: 0.79%) 48,678 Abertis Infraestructuras 526 0.13 3,000 Acciona 164 0.04 15,415 ACS Actividades 341 0.08 7, 510 Aena 545 0.13 47,088 Amadeus IT Holdings 1,306 0.32 40,044 Ferrovial 657 0.16 21,208 Zardoya Otis 170 0.04 3,709 0.90

Oil & Gas 0.00% (2014: 0.02%) 320 Repsol 3 -

Telecommunications 0.23% (2014: 0.40%) 110,274 Telefonica 949 0.23

Henderson Institutional European Enhanced Equity Fund 103 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Utilities 1.11% (2014: 1.08%) 23,947 Enagas 472 0.11 35,615 Gas Natural 502 0.13 617,533 Iberdrola 2,870 0.69 12,798 Red Electrica de Espana 734 0.18 4,578 1.11

Sweden 6.48% (2014: 6.82%) Basic Materials 0.10% (2014: 0.12%) 33,496 Boliden 418 0.10

Consumer Goods 0.61% (2014: 0.49%) 3,262 Autoliv SDR 254 0.06 27,522 Electrolux Series 'B' 528 0.13 29,873 Husqvarna 'B' 128 0.03 63,659 Svenska Cellulosa 'B' 1,221 0.29 19,400 Swedish Match 396 0.10 2,527 0.61

Consumer Services 0.62% (2014: 0.67%) 86,671 Hennes & Mauritz 'B' 2,195 0.53 19,814 Modern Times 367 0.09 2,562 0.62

Financials 2.15% (2014: 2.42%) 14,472 Industrivarden 171 0.04 22,777 Industrivarden 'A' 290 0.08 51,528 Investor 'B' 1,246 0.30 26,499 Kinnevik Investment 'B' 550 0.13 341,713 Nordea Bank 2,461 0.59 173,844 Skandinaviska Enskilda Banken 'A' 1,191 0.29 151,522 Svenska Handelsbanken 'A' 1,343 0.32 110,338 Swedbank 'A' 1,645 0.40 8,897 2.15

Health Care 0.25% (2014: 0.18%) 23,996 Getinge 'B' 390 0.09 29,503 Meda 'A' 280 0.07 35,309 Swedish Orphan Biovitrum 350 0.09 1,020 0.25

Industrials 1.73% (2014: 1.79%) 38,389 Alfa Laval 440 0.11 108,429 Assa Abloy 'B' (Post Split) 1,406 0.34 63,784 Atlas Copco 'A' 1,080 0.26 48,063 Atlas Copco 'B' 754 0.18 127,020 Sandvik 773 0.19 33,661 Securitas 'B' 284 0.07 36,857 Skanska 468 0.11 39,653 SKF 'B' 453 0.11 28,687 Trelleborg 'B' 313 0.08 170,302 Volvo 'B' 1,151 0.28 7,122 1.73

104 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Oil & Gas 0.06% (2014: 0.06%) 27,753 Lundin 261 0.06

Technology 0.65% (2014: 0.74%) 317,726 Ericsson 'B' 2,019 0.49 29,531 Hexagon 664 0.16 2,683 0.65

Telecommunications 0.31% (2014: 0.35%) 40,647 Tele2 'B' 264 0.07 303,366 Teliasonera 1,011 0.24 1,275 0.31

Switzerland 20.62% (2014: 20.79%) Basic Materials 0.98% (2014: 1.03%) 34,425 Clariant 412 0.10 765 EMS-Chemie 210 0.05 1,073 Givaudan 1,246 0.30 10,007 Syngenta 2,187 0.53 4,055 0.98

Consumer Goods 5.58% (2014: 5.56%) 9,899 Aryzta 290 0.07 241 Barry Callebaut 188 0.05 64,138 CIE Financiere Richemont 'A' 3,573 0.86 10 Lindt & Spruengli 478 0.12 106 Lindt & Spruengli Ptg Certificate 420 0.10 344,296 Nestlé 17,085 4.13 4,581 Swatch 215 0.05 3,184 Swatch 'I' 809 0.20 23,058 5.58

Consumer Services 0.20% (2014: 0.07%) 5,048 Dufry 384 0.09 470 Galenica 447 0.11 831 0.20

Financials 4.04% (2014: 3.82%) 6,253 Baloise Holdings 487 0.12 401 Banque Cantonale Vaudoise 160 0.04 183,627 Credit Suisse 2,977 0.72 23,470 GAM Holdings 279 0.07 715 Helvetia 243 0.06 26,093 Julius Baer 841 0.20 2,438 Pargesa 101 0.02 1,686 Partners 396 0.10 2,769 PSP Swiss Property 156 0.04 2,890 Swiss Life 448 0.11 5,709 Swiss Prime Site 283 0.07 38,797 Swiss Reinsurance 2,341 0.57 392,199 UBS 5,093 1.23 16,520 Zurich Insurance 2,835 0.69 16,640 4.04

Henderson Institutional European Enhanced Equity Fund 105 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Health Care 7.36% (2014: 7.80%) 11,476 Actelion 1,035 0.25 5,526 Lonza 527 0.13 240,797 Novartis 14,211 3.43 2,932 Roche Holdings 520 0.13 77,344 Roche Holdings Genusschein 13,630 3.29 6,026 Sonova 534 0.13 30,457 7. 3 6

Industrials 2.26% (2014: 2.29%) 244,968 ABB 3,001 0.73 18,375 Adecco 887 0.21 2,896 DKSH Holdings 115 0.03 4,148 Geberit 869 0.21 45,385 Holcim 1,662 0.40 6,543 Kuehne Nagel 589 0.14 2,770 Schindler 293 0.07 5,250 Schindler Participating Certificates 553 0.13 519 SGS 642 0.16 252 Sika 537 0.13 3,076 Sulzer 202 0.05 9,350 2.26

Telecommunications 0.20% (2014: 0.22%) 2,422 Swisscom 8 11 0.20

United Kingdom 1.88% (2014: 1.65%) Consumer Goods 1.45% (2014: 1.24%) 100,160 Fiat Chrysler Automobiles 960 0.23 170,666 Unilever 5,019 1.22 5,979 1.45

Consumer Services 0.30% (2014: 0.23%) 109,928 RELX 1,222 0.30

Industrials 0.11% (2014: 0.12%) 102,405 CNH Industrial 450 0.11

Oil & Gas 0.02% (2014: 0.06%) 18,327 Subsea 7 93 0.02

United States 0.24% (2014: 0.35%) Health Care 0.11% (2014: 0.10%) 27,600 Qiagen 433 0.11

Oil & Gas 0.08% (2014: 0.19%) 31,339 Transocean 3 11 0.08

Technology 0.05% (2014: 0.00%) 9,593 Scout24 210 0.05

106 Henderson Institutional European Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Bonds 6.12% (2014: 6.48%) Austria 0.37% (2014: 0.36%) Fixed Rate Bond 0.37% (2014: 0.36%) EUR 452,096 Immofinanz 4.25% Convertible 08/03/2018 1,514 0.37

Finland 0.54% (2014: 0.00%) Asset Backed 0.54% (2014: 0.00%) EUR 1,100,000 Nokia 5% 26/10/2017 2,227 0.54

France 0.02% (2014: 0.20%) Fixed Rate Bond 0.02% (2014: 0.20%) EUR 100,000 GBL Verwaltung 1.25% 07/02/2017 76 0.02

Germany 1.11% (2014: 1.03%) Fixed Rate Bond 1.11% (2014: 1.03%) EUR 8,500,000 Volkswagen International Finance 5.5% 09/11/2015 4,584 1.11

Italy 2.36% (2014: 1.95%) Fixed Rate Bond 2.36% (2014: 1.95%) EUR 4,500,000 Telecom Italia Finance 6.125% 15/11/2016 5,105 1.23 EUR 4,900,000 Telefonica 6% 24/07/2017 4,679 1.13 9,784 2.36

Spain 1.47% (2014: 2.11%) Fixed Rate Bond 1.47% (2014: 2.11%) EUR 4,200,000 CaixaBank 4.5% 22/11/2016 1,974 0.48 EUR 5,600,000 Telefonica Participacion 4.9% 25/09/2017 4,113 0.99 6,087 1.47

Sweden 0.25% (2014: 0.22%) Fixed Rate Bond 0.25% (2014: 0.22%) SEK 16,000,000 SAS 3.625% 01/04/2019 1,048 0.25

Switzerland 0.00% (2014: 0.61%) Fixed Rate Bond 0.00% (2014: 0.61%)

Derivatives 0.57% (2014: (0.43%)) Contracts for Difference 0.00% (2014: (0.09%)) Cross Currency Contracts for Difference 0.00% (2014: (0.05%)) (89) SGS (21) - 2283 Total (7) - (28) -

Equity Contracts for Difference 0.03% (2014: (0.04%)) 9,609 Arkema 25 0.01 (14,505) Buwog (55) (0.01) (5,054) Capgemini 8 - 9,583 EADS 66 0.02 (4,425) GDF Suez (1) - 6,586 Gecina 4 - (3,265) Imerys (11) - (213,930) Immofinanz Immobilien (25) (0.01)

Henderson Institutional European Enhanced Equity Fund 107 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Equity Contracts for Difference (continued) 16,068 Kerry 'A' 547 0.13 (4,356) LafargeHolcim 10 - (38,003) Nokia (4) - (1,521) Pernod Ricard (22) (0.01) 6,129 Renault 136 0.03 (110,254) Repsol 154 0.04 46,912 Ryanair 267 0.06 9,710 Sanofi-Aventis 108 0.03 (274,432) SAS (20) - (2,808) Suez Environnement (9) - (8,193,022) Telecom Italia (2,432) (0.59) (49,765) Volkswagen 1,133 0.27 (121) (0.03)

Futures 0.60% (2014: (0.30%)) 3 EOE Amsterdam Index November 2015 7 - 19 EOP CAC40 10 Euro November 2015 30 0.01 233 EUX DAX Index December 2015 2,864 0.69 (5) EUX EURO BOBL December 2015 (4) - (56) EUX EURO SCHATZ December 2015 (8) - (298) EUX EURO STOXX 50 Index December 2015 (420) (0.10) (8) EUX Swiss Market Index December 2015 (16) - 3 MFM IBEX 35 Index November 2015 4 - 3 MIL FTSE MIB Index December 2015 7 - 18 SSE OMXS30 Index November 2015 4 - 2,468 0.60

Swaps 0.00% (2014: (0.04%)) Credit Default Swaps 0.00% (2014: 0.01%) 1800000 CDS 5% 20/03/2019 Scandinavian Pay EUR 44 -

Total Return Swaps 0.00% (2014: 0.05%)

Forward Foreign Exchange Contracts 0.00% (2014: 0.00%) Buy DKK 2,864,500 : Sell EUR 384,028 November 2015 - - Buy EUR 1,407,735 : Sell CHF 1,534,500 November 2015 (2) - Buy EUR 2,141,777 : Sell SEK 20,141,000 November 2015 (4) - Buy EUR 348,075 : Sell GBP 250,000 November 2015 (1) - Buy EUR 43,436 : Sell NOK 408,500 November 2015 - - Buy EUR 722,078 : Sell DKK 5,384,500 November 2015 - - Buy EUR 73,264 : Sell NOK 694,000 November 2015 (1) - Buy EUR 919,669 : Sell NOK 8,525,000 November 2015 6 - Buy NOK 1,052,000 : Sell EUR 110,859 November 2015 1 - Buy NOK 614,500 : Sell EUR 66,385 November 2015 - - (1) -

Investment asset including investment liabilities 391,258 94.54 Other net assets 22,614 5.46 Total net assets 413,872 100.00

^ Due to rounding to nearest £1,000. ~ Suspended, delisted or unquoted securities. * Written down 108 Henderson Institutional European Enhanced Equity Fund Statement of total return for the year ended 31 October 2015

2015 2014 Notes £000 £000 £000 £000

Income Net capital gains/(losses) 2 13,316 (15,097) Revenue 4 13,846 13,621 Expenses 5 (611) (577) Finance costs: Interest 7 (133) (305)

Net revenue before taxation 13,102 12,739 Taxation 6 (301) (726)

Net revenue after taxation 12,801 12,013

Total return before distributions 26,117 (3,084)

Finance costs: Distributions 7 (12,801) (12,036)

Change in net assets attributable to shareholders from investment activities 13,316 (15,120)

Statement of change in net assets attributable to shareholders for the year ended 31 October 2015

2015 2014 £000 £000 £000 £000

Opening net assets attributable to shareholders 425,343 425,775

Amounts receivable on issue of shares 48,909 31,914 Amounts receivable on in specie transfers - 9,568 Amounts payable on cancellation of shares (86,122) (38,863) (37,213) 2,619

Change in net assets attributable to shareholders from investment activities (see above) 13,316 (15,120)

Retained distribution on accumulation shares 12,426 12,069

Closing net assets attributable to shareholders 413,872 425,343

Henderson Institutional European Enhanced Equity Fund 109 Balance sheet as at 31 October 2015

2015 2014 Notes £000 £000 £000 £000 Assets Investment assets 394,321 410,300

Debtors 8 4,065 3,164 Cash and bank balances 9 24,801 22,296 Total other assets 28,866 25,460

Total assets 423,187 435,760

Liabilities Investment liabilities 3,063 3,779

Creditors 10 1,208 1,206 Bank overdrafts 5,044 5,432 Total other liabilities 6,252 6,638

Total liabilities 9,315 10,417

Net assets attributable to shareholders 413,872 425,343

11 0 Henderson Institutional European Enhanced Equity Fund Notes to the financial statements as at 31 October 2015

1 Accounting policies The accounting policies, distribution policy and potential risks are set out in notes 1 to 3 to the aggregated financial statements on pages 9 to 15.

2 Net capital gains/(losses) Net capital gains/(losses) on investments during the year comprise: 2015 2014 £000 £000

Derivative contracts 4,216 2,098 Forward currency contracts (960) 63 Non-Derivative securities 11,887 (15,981) Other currency losses (1,811) (1,253) Transaction costs (16) (24)

Net capital gains/(losses) on investments 13,316 (15,097)

3 Portfolio transaction costs 2015 2014 £000 £000

Purchases in year before transaction costs 128,206 155,588

Commissions 78 81 Other costs 28 - Taxes 4 6 Total purchase transaction costs 11 0 87

Purchases including transaction cost 128,316 155,675

Sales in year before transaction costs 161,316 149,482

Commissions (78) (66) Other costs (1) - Total sale transaction costs* (79) (66)

Sales net of transaction costs 161,237 149,416

Transaction handling charges* 16 24

* These amounts have been deducted in determining net capital gains/(losses).

Henderson Institutional European Enhanced Equity Fund 111 Notes to the financial statements (continued)

4 Revenue 2015 2014 £000 £000

Bank interest 285 30 Derivative revenue (168) (108) Interest on debt securities 1,383 1,312 Overseas dividends 10,595 10,575 Stock dividends 1,568 1,676 Stock lending revenue 168 119 UK dividends 15 17

Total revenue 13,846 13,621

5 Expenses 2015 2014 £000 £000 Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 400 376 GAC* 89 86 489 462

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fee 51 51 Safe custody fees 38 38 89 89

Other expenses: Professional fees 33 26 33 26

Total expenses 611 577

Irrecoverable VAT is included in the above expenses where relevant. *The current audit fee is, which is levied through GAC, is £9,167 (2014: £7,980).

6 Taxation a) Analysis of charge in year The tax charge comprises:

2015 2014 £000 £000

UK corporation tax 194 101 Double tax relief (7) (5) Capital tax charge - 23 Overseas withholding tax 109 623 Adjustments in respect of prior years 5 (16)

Total current tax (note 6b) 301 726

112 Henderson Institutional European Enhanced Equity Fund Notes to the financial statements (continued)

6 Taxation (continued) b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of an authorised open ended investment companies (OEICs) of 20%. The differences are explained below:

2015 2014 £000 £000 Net revenue before taxation 13,102 12,739

Corporation tax at 20% (2014: 20%) 2,620 2,548

Effects of: Adjustment in respect of prior years 5 (16) Capital tax charge - 23 Irrecoverable overseas tax 102 618 Non-taxable overseas dividends** (2,109) (2,108) Stock dividends* (314) (335) UK dividends* (3) (4) Current tax charge for the year (note 6a) 301 726

* As an OEIC this item is not subject to corporation tax. ** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009.

OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above.

(c) Deferred tax There is no provision required for deferred taxation at the Balance sheet date (2014: nil).

(d) Factors that may affect future tax charges There were no factors that may affect future tax charges at the current or prior accounting year end.

Henderson Institutional European Enhanced Equity Fund 113 Notes to the financial statements (continued)

7 Finance costs Distributions and interest The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise:

2015 2014 £000 £000

Interim accumulation 6,409 5,653 Final accumulation 6,017 6,416 12,426 12,069

Amount deducted on cancellation of shares 662 243 Amount received on issue of shares (287) (276)

Finance costs: Distributions 12,801 12,036

Finance costs: Interest 133 305

Total finance costs 12,934 12,341

Net revenue after taxation 12,801 12,013 Capital tax charge - 23 Finance cost: Distributions 12,801 12,036

Details of the distribution per share are set out in the distribution table on page 119.

8 Debtors 2015 2014 £000 £000

Accrued revenue 648 574 Amounts receivable for issue of shares 350 202 Currency transactions awaiting settlement - 300 Derivative interest 12 - Other debtors 647 - Overseas withholding tax reclaimable 1,248 2,005 Sales awaiting settlement 1,160 83

Total debtors 4,065 3,164

9 Cash and bank balances 2015 2014 £000 £000

Amounts held at futures clearing houses and brokers 5,456 8,985 Cash and bank balances 19,345 13,311

Total cash and bank balances 24,801 22,296

114 Henderson Institutional European Enhanced Equity Fund Notes to the financial statements (continued)

10 Creditors 2015 2014 £000 £000

Accrued ACD's periodic charge 33 33 Accrued Depositary fee 4 4 Accrued other expenses 20 27 Amounts payable for cancellation of shares 228 477 Corporation tax payable 96 81 Currency transactions awaiting settlement - 299 Derivative interest payable 7 8 Provision for corporation tax payable 540 Purchases awaiting settlement 280 277

Total creditors 1,208 1,206

11 Contingent liabilities and commitments The contingent liabilities and commitment outstanding at the Balance sheet date is as follows: 2015 2014 £000 £000

Banco santander (Rights) 56 - 56 -

The contingent liabilities recognised reflect the expected cash settlement value based upon the actual cash liability when settled or the market strike price when still outstanding.

12 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 109 and 110 and notes 5, 8 and 10 on pages 112 to 115 including all creations and cancellations where the ACD acted as principal.

HSBC Global Custody Nominee (UK) Ltd, as a material shareholder, is a related party holding shares comprising 79.53% (2014: 81.30%) of the total net assets of the fund as at 31 October 2015.

Related parties, such as other authorised Funds managed by Henderson Investment Funds Limited, may hold shares in the fund via a nominee company, Harewood Nominees Limited. Harewood Nominees Limited holds shares comprising 14.34% (2014: 13.05%) of the total net assets of the fund as at 31 October 2015.

Material transactions throughout the year such as creations and cancellations for these shareholders are included in the Statement of change in net assets attributable to shareholders.

13 Shareholder funds The Fund currently has 3 share classes available; Class Y (Retail with exit charges), Class I (Institutional) and Class Z (Institutional). The annual management charge on each share class is as follows:

2015 2014 % % Class I 0.75 0.75 Class Y 0.75 0.75 Class Z 0.00 0.00*

* Charges for managing Z class shares are levied outside the fund and are agreed between the ACD and investors.

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 89. The distribution per share class is given in the distribution table on page 119. All share classes have the same rights on winding up.

Henderson Institutional European Enhanced Equity Fund 115 Notes to the financial statements (continued)

14 Financial derivatives The fund has used financial derivatives for hedging and meeting the investment objectives including risk reduction and implementation of investment policies.

The use of derivatives can create additional counterparty risks. Details of the ACD’s policies for managing counterparty and other risks are set out in note 3 to the financial statements.

The types of derivatives held at the year-end were credit default swaps and forward foreign currency contracts, futures and contracts for difference.

Details of individual contracts are shown in the portfolio statement on pages 107 to 108, and the total position by counterparty at the year-end is summarised below:

At 31 October 2015 the underlying exposure for each category of derivatives were as follows:

Credit default Forward foreign Contracts swaps currency contracts Futures for difference Counterparty £000 £000 £000 £000

UBS - - 33,957 (10,398) Credit Suisse - - - - Deutsche Bank - 95 - - BNP Paribas - 2,344 - - Citigroup 1,287 717 - - Merrill Lynch - 5,086 - - Societe Generale - 160 - -

At 31 October 2014 the underlying exposure for each category of derivatives were as follows:

Credit default Forward foreign Contracts swaps currency contracts Futures for difference Counterparty £000 £000 £000 £000

UBS - - 26,757 16,238 Credit Suisse - 3,859 - - Citigroup 1,800 - - - Royal Bank of Scotland - 5,723 - -

Eligible collateral types are approved by the Investment Manager and may consist of cash, UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities.

At 31 October 2015 no collateral was either held by the fund or had been paid out to counterparties in respect of the above. (2014 nil).

116 Henderson Institutional European Enhanced Equity Fund Notes to the financial statements (continued)

15 Securities lending The fund and the Investment Manager have entered into a securities lending programme with BNP Paribas Securities Services acting as the Securities Lending Agent in order to generate income.

Securities lending revenue is disclosed under ‘Revenue’ in the Statement of total return. The gross stock lending revenue for the year was £197,645 with expenses of £29,647 deducted to give net stock lending revenue of £167,998 (2014: £118,822).

2015 2014 £000 £000

Aggregate value of securities on loan at the year end 53,581 27,297 Aggregate value of collateral held at the year end 61,062 29,091

All collateral was in the form of corporate bonds, equity and government bond securities.

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities. The value of the collateral held at the year end ranges from 103.16% to 254.99% of the value of the securities on loan.

The counterparties at the year end were ABM AMRO, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, JP Morgan, Merrill Lynch, Morgan Stanley, Natixis, Societe Generale and UBS (2014: ABN Amro, Citigroup, Commerzbank, Credit Suisse, Deutsche Bank, Goldman Sachs, Merrill Lynch, Morgan Stanley, Societe Generale and UBS).

16 Risk Risks in respect of financial assets and liabilities are set out in note 3 of the aggregated financial statements on pages 9 to 15.

Currency risk Net currency monetary assets and liabilities consist of: Investment assets Net other including assets/ Net assets investment liabilities (liabilities) /(liabilities) Currency £000 £000 £000 2015 Danish krone 16,097 15 16,112 Euro 258,040 21,460 279,500 Norwegian krone 5,612 118 5,730 South African rand - (1) (1) Swedish krona 26,261 688 26,949 Swiss franc 84,631 1,289 85,920 UK sterling (250) (811) (1,061) US dollar 581 142 723 Total 390,972 22,900 413,872

Currency 2014 Danish krone 15,522 37 15,559 Euro 264,372 16,123 280,495 Norwegian krone 7,520 96 7,616 Polish zloty - 16 16 South African rand - 2 2 Swedish krona 29,310 447 29,757 Swiss franc 89,226 1,925 91,151 UK sterling - 128 128 US dollar 571 48 619 Total 406,521 18,822 425,343

Henderson Institutional European Enhanced Equity Fund 117 Notes to the financial statements (continued)

16 Risk (continued) Interest rate risk The majority of the fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date. Therefore, the fund’s exposure to interest rate risk is considered insignificant. This is consistent with the exposure during the prior year.

Interest rate risk The majority of the fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date. Therefore, the fund’s exposure to interest rate risk is considered insignificant. This is consistent with the exposure during the prior year.

Value at Risk The VaR policy and risks are set out in notes 3(a) of the aggregated financial statements on page 13.

The actual VaR, limits and utilisation of those limits are summarised in the table below:

VaR results - for the year ended 31 October 2015 Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 96.17% 102.84% 100.13% 200% 48.09% 51.42% 50.07% Europe ex UK Index

VaR results - for the year ended 31 October 2014 Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 90.96% 103.25% 99.09% 200% 45.48% 51.62% 49.55% Europe ex UK Index

Leverage The level of leverage arising from the use of derivative instruments is disclosed in the table below as a percentage of the fund’s total Net Asset Value. The calculation is based on the sum of notional exposures of financial derivative instruments in the investment portfolio including those held for risk reduction purposes.

Please note this level of leverage is explicitly not an investment limit for the fund and will vary over time under differing market conditions to ensure that the fund meets its investment objective.

Leverage - for the year ended 31 October 2015 Minimum Maximum Average 19.01% 57.55% 29.68%

Leverage - for the year ended 31 October 2014 Minimum Maximum Average 37.52% 55.24% 42.75%

118 Henderson Institutional European Enhanced Equity Fund Distribution tables for the year ended 31 October 2015 (in pence per share)

Interim dividend distribution (accounting date 30 April 2015, paid on 30 June 2015) Group 1: shares purchased prior to 1 November 2014 Group 2: shares purchased on or after 1 November 2014 Net Equalisation Distribution Distribution revenue paid paid 30/06/15 30/06/14 Class I accumulation Group 1 1.4438 - 1.4438 1.2085 Group 2 1.2881 0.1557 1.4438 1.2085

Class Y accumulation Group 1 1.9875 - 1.9875 1.6627 Group 2 1.9875 - 1.9875 1.6627

Class Z accumulation Group 1 2.5947 - 2.5947 2.2781 Group 2 2.0270 0.5677 2.5947 2.2781

Final dividend distribution (accounting date 31 October 2015, paid on 31 December 2015) Group 1: shares purchased prior to 1 May 2015 Group 2: shares purchased on or after 1 May 2015 Net Equalisation Distribution Distribution revenue paid paid 31/12/15 31/12/14

Class I accumulation Group 1 1.4572 - 1.4572 1.4786 Group 2 1.4572 - 1.4572 1.4786

Class Y accumulation Group 1 2.0047 - 2.0047 2.0255 Group 2 2.0047 - 2.0047 2.0255

Class Z accumulation Group 1 2.6314 - 2.6314 2.5647 Group 2 0.4916 2.1398 2.6314 2.5647

Henderson Institutional European Enhanced Equity Fund 119 Authorised Corporate Director’s report

Investment Fund Manager Henderson Multi Strategy Equities Team

Investment objective and policy The fund aims to provide consistent capital growth relative to the FTSE World Japan Index (or such other index as may from time to time replace it) through investing primarily in Japanese companies. There are no restrictions on the size of the companies in which the fund may invest.

The fund aims to provide an annual return above that of the FTSE World Japan Index, whilst controlling risk. The fund will invest primarily in Japanese companies included within the FTSE World Japan Index. Additionally, the fund can invest in companies listed on other exchanges which are associated with FTSE World Japan Index listed shares or other Japanese companies.

The fund will not attempt to replicate identically the share composition of the FTSE World Japan Index, and the Fund Manager will actively review the shares within the portfolio, and effect adjustments as necessary in order to achieve the investment objective.

The fund may invest the property in transferable securities, money market instruments, derivatives and forward transactions, deposits and units in collective investment schemes.

Performance summary 31 Oct 14 - 31 Oct 13 - 31 Oct 12 - 31 Oct 11 - 31 Oct 10 - 31 Oct 15 31 Oct 14 31 Oct 13 31 Oct 12 31 Oct 11 % % % % %

Henderson Institutional Japan Enhanced 14.5 (0.1) 34.4 (3.3) (2.4) Equity Fund* FTSE Custom All World Dev. Japan Index** 14.4 0.0 34.4 (3.3) (2.5)

Source: Henderson Global Investors & FTSE. * Fund returns calculated using close of business prices on a gross asset value basis in GBP, based on performance of class Z accumulation. ** Customised net dividends reinvested (Market Capitalisation weighted index of Australia, New Zealand, Hong Kong, Singapore, Taiwan and Korea). Figures in brackets are negative.

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the year ended 31 October 2015

Largest purchases £000 Largest sales £000

Toyota Motor 721 Toyota Motor 1,994 Sony 459 Mitsubishi UFJ Financial 1,163 KDDI 454 Sumitomo Mitsui Financial 747 NTT Docomo 447 Honda Motor 684 Mizuho Financial 345 Canon 677 Mitsubishi UFJ Financial 326 Mizuho Financial 587 Honda Motor 273 Softbank 579 Recruit Holdings 239 Nippon Telegraph & Telephone 539 Canon 237 NTT Docomo 518 Nintendo 197 KDDI 502

Total purchases 11,248 Total sales 35,474

120 Henderson Institutional Japan Enhanced Equity Fund Authorised Corporate Director’s report (continued)

Investment review The FTSE Custom All World Dev Japan Index posted a strong sterling total return of 14.4% for the year ending 31 October 2015.

A contraction in second-quarter 2014 GDP had been expected following the consumption tax hike of April 2014, but a further fall in the third quarter came as a surprise, and meant that the nation began the year under review in the midst of a technical recession. This prompted Prime Minister Abe to call a snap general election for December (which he won) and to delay a planned second sales-tax increase. Notwithstanding the faltering economy, Japanese stocks continued to rally in the wake of the Bank of Japan’s (BoJ) monetary easing expansion. The weakening of the yen that followed was seen as a positive for inbound tourism and for Japan’s export sector; in fact, the country recorded a massive trade surplus of ¥229 billion in March.

GDP growth for the fourth quarter came in at 0.4%. Though this was below expectations, the number marked an emergence from technical recession after two previous periods of contraction. However, GDP showed a contraction for the second quarter, settling at -1.2% year over year. Near the end of the year, expectations were raised about the possibility of the central bank adding to its already significant stimulus measures. The BoJ maintained its stimulus at the current level throughout the remainder of the year, though in October, stated that its 2% inflation target date had been pushed out by half a year as a result of still-low commodity prices.

Henderson Institutional Japan Enhanced Equity Fund 121 Comparative tables as at 31 October 2015

Net asset value per share

Accounting year Net asset Net asset Number of Net asset value value of shares in value per of fund shares issue share (£) (£) (pence)

Class A accumulation 31/10/2013 165,362,162 14,664,533 11,241,690 130.45 31/10/2014 164,384,405 10,623,124 8,295,573 128.06 31/10/2015 162,061,334 10,253,676 7,109,768 144.22 Class C accumulation 31/10/2013 165,362,162 1,260,483 864,335 145.83 31/10/2014 164,384,405 1,312,004 905,739 144.85 31/10/2015 162,061,334 1,400,819 848,976 165.00 Class I accumulation 31/10/2013 165,362,162 15,815,793 14,433,232 109.58 31/10/2014 164,384,405 15,988,677 14,722,989 108.60 31/10/2015 162,061,334 15,898,394 12,881,132 123.42 Class Y accumulation 31/10/2013 165,362,162 12,308,273 11,214,836 109.75 31/10/2014 164,384,405 18,968,664 17,439,971 108.77 31/10/2015 162,061,334 21,627,447 17,495,904 123.61 Class Z accumulation 31/10/2013 165,362,162 121,313,080 78,463,621 154.61 31/10/2014 164,384,405 117,491,936 76,112,177 154.37 31/10/2015 162,061,334 112,880,998 63,860,225 176.76

122 Henderson Institutional Japan Enhanced Equity Fund Comparative tables as at 31 October 2015

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share) Class A accumulation 2011** 0.60 107. 9 8 99.56 2012 0.52 112.78 97. 3 0 2013 0.14 142.79 106.02 2014 - 132.72 114.65 2015 -* 157.52+ 129.16+ Class C accumulation 2011** 0.94 117. 8 0 108.42 2012 1.96 123.62 107. 41 2013 1.61 158.77 117.35 2014 1.56 150.20 128.84 2015 1.69* 179.10+ 146.41+ Class I accumulation 2010 0.95 100.70 84.61 2 0 11 1.18 101.30 81.84 2012 1.30 93.21 80.89 2013 0.99 119.41 88.33 2014 0.93 112.59 96.72 2015 0.99* 134.14+ 109.72+ Class Y accumulation 2010 0.99 100.80 84.69 2 0 11 1.20 101.40 81.97 2012 1.29 93.51 81.22 2013 1.00 119.60 88.47 2014 0.93 112 .7 7 96.87 2015 1.00* 134.34+ 109.89+ Class Z accumulation 2010 2.28 139.00 115.90 2 0 11 2.62 140.00 113.58 2012 2.71 129.59 113.50 2013 2.49 167.92 123.85 2014 2.44 160.09 136.92 2015 2.72* 191.31+ 156.17+

* to 31 December + to 31 October ** Class A and Class C accumulation were launched on 12 August 2011

Henderson Institutional Japan Enhanced Equity Fund 123 Ongoing charge figure

The annualised ongoing charge figure (OCF) of the fund is calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the year, except for expenses that are explicitly excluded by regulation.

2015 2014 % %

Class A 1.70 1.71

Class C 0.57 0.58

Class I 0.79 0.80

Class Y 0.79 0.80

Class Z 0.04 0.05

The OCF is calculated in accordance with guidelines issued by the European Securities and Markets Authority (ESMA).

124 Henderson Institutional Japan Enhanced Equity Fund Risk and reward profile

The fund currently has 5 types of share class in issue; A accumulation, C accumulation, I accumulation, Y accumulation and Z accumulation. Each type of share class has the same risk and reward profile which is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk

1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5 year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your shares, they may be worth less than you paid for them. The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• The fund focuses on a single country

• As a category, shares are more volatile than either bonds or money market instruments

• The fund invests in a broad range of securities and countries and uses a broad range of strategies

• Fluctuations in exchange rates may cause the value of your investment to rise or fall

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events.

There have been no changes to the risk rating in the year.

The SRRI conforms to the European Securities and Markets Authority (ESMA) guidelines for the calculation of the SRRI.

Henderson Institutional Japan Enhanced Equity Fund 125 Holding Investment Market Percentage value of total £000 net assets %

Portfolio statement as at 31 October 2015

Holding Investment Market Percentage value of total £000 net assets %

Equities 98.08% (2014: 98.96%) Japan 97.97% (2014: 98.92%) Basic Materials 5.62% (2014: 6.10%) 14,000 Air Water 14 9 0.09 98,000 Asahi Kasei 392 0.24 25,000 Daicel Chemical Industries 216 0.13 37,000 Daido Steel 92 0.06 24,000 Denki Kagaku Kogyo 73 0.04 72,000 DIC 127 0.08 15,800 Dowa Holdings 90 0.06 8,500 Hitachi Chemical 88 0.05 17,000 Hitachi Metals 126 0.08 43,625 JFE Holdings 448 0.28 13,300 JSR 137 0.08 29,000 Kaneka 168 0.10 11,300 Kansai Paint 112 0.07 246,000 Kobe Steel 202 0.12 22,800 Kuraray 183 0.11 6,900 Maruichi Steel Tube 115 0.07 102,500 Mitsubishi Chemicals 418 0.26 40,000 Mitsubishi Gas Chemical 14 6 0.09 66,000 Mitsui Chemicals 163 0.10 25,000 Mitsui Mining & Smelting 31 0.02 9,700 Nagase & Company 79 0.05 17,000 Nippon Kayaku 115 0.07 16,000 Nippon Paint 221 0.14 8,300 Nippon Paper 100 0.06 2,600 Nippon Shokubai 133 0.08 59,674 Nippon Steel & Sumitomo Metal 791 0.49 9,200 Nissan Chemical 14 9 0.09 7,900 Nisshin Steel 53 0.03 13,100 Nitto Denko 550 0.34 80,000 Oji Paper 270 0.17 30,800 Shin-Etsu Chemical 1,195 0.74 130,000 Showa Denko 106 0.07 106,000 Sumitomo Chemical 396 0.24 36,000 Sumitomo Metal Mining 292 0.18 3,500 Taiyo Nippon Sanso 24 0.01 80,000 Teijin 184 0.11 114,000 Toray Industries 650 0.40 42,000 Tosoh 139 0.09 74,000 Ube Industries 101 0.06 2,100 Yamato Kogyo 36 0.02 16,000 Zeon 85 0.05 9,145 5.62

Consumer Goods 24.53% (2014: 23.52%) 3,000 ABC-Mart 109 0.07 14,400 Aisin Seiki 374 0.23 44,000 Ajinomoto 639 0.39 29,000 Asahi Breweries 583 0.36 13,000 ASICS 234 0.14 50,200 Bridgestone 1,204 0.74 5,600 Calbee 132 0.08

126 Henderson Institutional Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Consumer Goods (continued) 1,000 Calsonic Kansei 5 - 18,000 Casio Computer 221 0.14 19,400 Citizen Watch 96 0.06 6,700 Coca-Cola West 88 0.05 3,500 Coca-Cola East 32 0.02 19,000 Daihatsu Motor 152 0.09 50,600 Daiwa House Industries 867 0.54 40,300 Denso 1,224 0.76 4,500 Ezaki Glico 14 0 0.09 50,100 Fuji Heavy Industries 1,271 0.78 30,000 GS Yuasa 74 0.05 136,000 Honda Motor 2,949 1.82 4,800 House Foods 54 0.03 2,100 ITO EN 29 0.02 81,900 Japan Tobacco 1,849 1.14 20,900 Jtekt 235 0.15 9,600 Kagome 106 0.07 37,100 Kao 1,242 0.77 5,100 Kewpie 76 0.05 14,000 Kikkoman 286 0.18 68,000 Kirin Brewery 628 0.39 9,000 Koito Manufacturing 223 0.14 10,600 Konami 157 0.10 2,800 Kose 178 0.11 27,000 Lion 170 0.10 8,000 Makita 284 0.18 40,600 Mazda 524 0.32 10,420 Meiji 536 0.33 55,700 Mitsubishi Motors 323 0.20 17,500 Namco Bandai 280 0.17 14,800 NGK Spark Plug 236 0.15 14,600 NHK Spring 97 0.06 5,000 Nichirei 21 0.01 3,700 Nifco 93 0.06 30,700 Nikon 259 0.16 8,300 Nintendo 867 0.53 16,000 Nippon Meat Packer 217 0.13 173,400 Nissan Motor 1,178 0.73 11,500 Nissan Shatai 87 0.05 22,990 Nisshin Seifun 229 0.14 9,000 Nisshinbo Industries 79 0.05 7,200 Nissin Food Products 216 0.13 11,200 NOK 172 0.11 28,600 NSK 221 0.14 16,000 Onward Kashiyama 65 0.04 157, 017 Panasonic 1,207 0.74 6,900 Pigeon 126 0.08 1,500 Pola Orbis 62 0.04 3,100 Rinnai 160 0.10 4,200 Sanrio 73 0.04 25,000 Sapporo Breweries 67 0.04 10,800 Sega Sammy 74 0.05 26,000 Sekisui Chemical 200 0.12

Henderson Institutional Japan Enhanced Equity Fund 127 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Consumer Goods (continued) 47,100 Sekisui House 512 0.32 131,000 Sharp 93 0.06 5,900 Shimano 607 0.37 31,500 Shiseido 489 0.30 94,122 Sony 1,756 1.08 11,300 Stanley Electric 141 0.09 59,800 Sumitomo Electric Industries 534 0.33 16,000 Sumitomo Forestry 125 0.08 17,000 Sumitomo Rubber 165 0.10 9,200 Suntory Beverage & Food 242 0.15 29,200 Suzuki Motor 625 0.39 21,000 Takara 98 0.06 6,300 Tokai Rika 90 0.06 8,000 Toyo Suisan Kaisha 192 0.12 5,400 Toyo Tire & Rubber 74 0.05 64,000 Toyobo 61 0.04 6,200 Toyoda Gosei 93 0.06 4,700 Toyota Boshoku 66 0.04 13,800 Toyota Industries 475 0.29 203,200 Toyota Motor 8,142 5.02 5,200 TS Tech 93 0.06 27,400 Uni-Charm 381 0.24 9,000 Wacoal 74 0.05 7,200 Yakult Honsha 249 0.15 12,100 Yamaha 196 0.12 19,600 Yamaha Motor 288 0.18 9,000 Yamazaki Baking 113 0.07 11,500 Yokohama Rubber 144 0.09 39,698 24.53

Consumer Services 11.29% (2014: 10.17%) 55,000 Aeon 531 0.33 80,000 All Nippon Airways 155 0.10 1,900 Aoyama Trading 45 0.03 5,100 Autobacs Seven 58 0.04 4,800 Benesse 84 0.05 6,500 Bic Camera 34 0.02 13,600 Central Japan Railway 1,620 1.00 800 Cosmos Pharmaceutical 65 0.04 55,000 Dai Nippon Printing 371 0.23 12,000 Dena 126 0.08 17,500 Dentsu 642 0.40 10,800 Don Quijote 259 0.16 29,600 East Japan Railway 1,836 1.13 3,600 Familymart 96 0.06 3,800 Fast Retailing 904 0.56 25,100 Hakuhodo 172 0.11 95,000 Hankyu 403 0.25 3,900 Heiwa 47 0.03 3,200 H.I.S. 70 0.04 4,000 H2O Retailing 51 0.03 32,840 Isetan Mitsukoshi Holdings 344 0.21 4,200 Izumi 102 0.06

128 Henderson Institutional Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Consumer Services (continued) 17,800 J Front Retailing 191 0.12 7,600 Japan Airlines 187 0.12 12,400 Kakaku.com 151 0.09 35,000 Keihan Electric Railway 162 0.10 35,000 Keikyu 187 0.12 36,000 Keio 191 0.12 24,000 Keisei Electric Railway 193 0.12 147,000 Kintetsu 369 0.23 4,900 Komeri 68 0.04 2,600 KS Holdings 60 0.04 5,600 Lawson 270 0.17 20,500 Marui 173 0.11 2,200 Matsumotokiyoshi 61 0.04 13,800 M3 174 0.11 83,000 Nagoya Railroad 223 0.14 57,000 Nankai Electric Railway 189 0.12 26,000 Nishi-Nippon Railroad 87 0.05 5,600 Nitori Holdings 285 0.18 47,000 Odakyu Electric Railway 299 0.18 13,800 Oriental Land 546 0.34 9,700 Park24 132 0.08 61,800 Rakuten 559 0.34 4,900 Resorttrust 82 0.05 1,700 Ryohin Keikaku 223 0.14 5,600 Sankyo 14 0 0.09 13,300 Seibu Holdings 176 0.11 6 0,747 Seven & I Holdings 1,797 1.11 6,200 Shimachu 88 0.05 2,600 Shimamura 191 0.12 9,000 Shochiku 52 0.03 21,500 Sky Perfect JSAT 74 0.05 7,800 Skylark 66 0.04 43,000 Sotetsu 159 0.10 3,900 Start Today 85 0.05 2,600 Sugi Holdings 82 0.05 2,400 Sundrug 82 0.05 17,000 Takashimaya 99 0.06 89,000 Tobu Railway 280 0.17 9,100 Toho (Film) 154 0.09 79,000 Tokyu 417 0.26 2,100 Tsuruha 108 0.07 17,000 UNY Holdings 61 0.04 15,000 USS 173 0.11 2,000 Welcia 64 0.04 14,900 West Japan Railway 682 0.42 38,500 Yamada Denki 113 0.07 18,220 11.29

Henderson Institutional Japan Enhanced Equity Fund 129 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Financials 17.71% (2014: 18.05%) 17,000 Acom 61 0.04 7,100 Aeon Financial Service 116 0.07 9,460 Aeon Mall 103 0.06 30,900 Aiful 80 0.05 93,000 Aozora Bank 221 0.14 21,000 Awa Bank 76 0.05 23,000 Bank of Kyoto 152 0.09 83,000 Bank of Yokohama 338 0.21 49,000 Chiba Bank 233 0.14 17,000 Chugoka Bank 157 0.10 13,300 Credit Saison 178 0.11 89,900 Dai-ichi Life Insurance 1,019 0.63 33,000 Daishi Bank 97 0.06 5,600 Daito Trust Construction 395 0.24 134,000 Daiwa Securities 597 0.37 62,000 Fukuoka Financial 213 0.13 42,000 Gunma Bank 172 0.11 39,000 Hachijuni Bank 173 0.11 45,000 Hiroshima Bank 163 0.10 5,400 Hitatchi Capital 101 0.06 31,000 Hokkoku Bank 75 0.05 102,000 Hokuhoku Financial 14 8 0.09 30,800 Hulic 187 0.12 23,000 Hyakugo Bank 77 0.05 28,000 Hyakujushi Bank 69 0.04 14,900 Iida Holdings 182 0.11 24,000 Iyo Bank 168 0.10 1,600 Jafco 40 0.02 42,800 Japan Exchange 4 51 0.28 61,000 Joyo Bank 207 0.13 33,000 Juroku Bank 96 0.06 24,000 Keiyo Bank 79 0.05 21,390 Kyushu Financial 106 0.07 36,700 Mitsubishi UFJ Lease & Finance 126 0.08 98,000 Mitsubishi Estate 1,371 0.85 1,062,970 Mitsubishi UFJ Financial 4,510 2.78 71,000 Mitsui Fudosan 1,261 0.78 1,877,320 Mizuho Financial 2,520 1.56 37,433 MS & AD Insurance 721 0.45 2,100 Musashino Bank 52 0.03 33,000 Nishi-Nippon Bank 63 0.04 252,800 Nomura Holdings 1,037 0.64 10,900 Nomura Real Estate Holdings 152 0.09 35,000 North Pacific Bank 87 0.05 6,500 NTT Urban Development 42 0.03 24,000 Okasan Securities 92 0.06 104,700 Orix 1,001 0.62 189,500 Resona 654 0.40 15,000 San-In Godo Bank 90 0.06 16,840 SBI Holdings 125 0.08 15,480 Senshu Ikeda 43 0.03 63,700 Seven Bank 189 0.12

130 Henderson Institutional Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Financials (continued) 24,000 Shiga Bank 83 0.05 139,000 Shinsei Bank 189 0.12 43,000 Shizuoka Bank 282 0.17 30,475 Sompo Japan Nipponkoa 626 0.39 10,100 Sony Financial 118 0.07 98,586 Sumitomo Mitsui Financial 2,569 1.58 306,960 Sumitomo Mitsui Trust Holdings 770 0.48 34,000 Sumitomo Realty & Development 730 0.45 10,400 Suruga Bank 134 0.08 50,556 T&D Holdings 434 0.27 11,500 Tokai Tokyo Financial Holdings 46 0.03 52,400 Tokio Marine Holdings 1,319 0.81 17,000 Tokyo Tatemono 138 0.08 45,000 Tokyu Fudosan Holdings 206 0.13 20,000 Yamaguchi Financial 160 0.10 3,900 Zenkoku Hosho 86 0.05 25,000 77th Bank 90 0.06 28,646 17.71

Health Care 7.02% (2014: 6.55%) 15,200 Alfresa Holdings 190 0.12 3,900 Asahi Intecc 98 0.06 161,900 Astellas Pharmaceutical 1,533 0.95 17,800 Chugai Pharmaceutical 373 0.23 52,300 Daiichi Sankyo 669 0.41 13,000 Dainippon Sumitomo Pharma 94 0.06 19,200 Eisai 783 0.48 3,500 Hisamitsu Pharmaceutical 88 0.05 2,500 Kaken Pharmaceutical 113 0.07 4,000 Kissei Pharmaceutical 67 0.04 2,100 Kobayashi Pharmaceuticals 106 0.07 5,600 Kyorin 61 0.04 22,000 Kyowa Hakko Kogyo 236 0.15 15,200 Medical 173 0.11 5,000 Miraca 145 0.09 16,600 Mitsubishi Tanabe Pharmaceutical 183 0.11 5,100 Nihon Kohden 65 0.04 4,000 Nippon Shinyaku 102 0.06 13,300 Nipro 97 0.06 25,900 Olympus Optical 570 0.35 7,400 Ono Pharmaceutical 662 0.41 29,800 Otsuka 646 0.40 8,000 Rohtop Pharmaceutical 86 0.05 31,500 Santen Pharmaceutical 279 0.17 2,500 Sawai Pharmaceutical 104 0.06 23,200 Shionogi 621 0.38 5,920 Suzuken 14 8 0.09 10,900 Sysmex 408 0.25 4,300 Taisho Pharmaceutical 175 0.11 60,700 Takeda Pharmaceutical 1,932 1.19

Henderson Institutional Japan Enhanced Equity Fund 131 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Health Care (continued) 22,400 Terumo 433 0.27 4,600 Topcon 43 0.03 6,500 Tsumura 102 0.06 11,385 7.02

Industrials 19.54% (2014: 21.40%) 11,600 Alps Electric 235 0.14 34,000 Amada 197 0.12 67,000 Asahi Glass 250 0.15 4,500 Century Leasing System 100 0.06 10,000 Chiyoda 49 0.03 10,500 Comsys 89 0.06 21,200 Daikin Industries 891 0.55 1,600 Disco 95 0.06 41,000 Ebara 116 0.07 15,200 Fanuc 1,757 1.08 2,600 FP 69 0.04 48,000 Fuji Electric 14 0 0.09 22,000 Fujikura 74 0.05 20,000 Fukuyama Transporting 71 0.04 52,000 Furukawa Electric 62 0.04 5,000 Glory 82 0.05 9,700 Hamamatsu Photonics 161 0.10 22,800 Haseko 152 0.09 21,000 Hino Motors 157 0.10 3,045 Hirose Electric 241 0.15 357,000 Hitachi 1,345 0.83 7,400 Hitachi Construction Machine 75 0.05 2,100 Hoshizaki Electric 99 0.06 33,700 Hoya 909 0.56 9,800 Ibiden 88 0.05 105,000 Ishikawajima Harima Heavy Industries 193 0.12 43,400 Isuzu Motors 331 0.20 114,600 Itochu 936 0.58 3,000 Japan Airport Terminal 106 0.07 3,000 Japan Aviation Electronics 35 0.02 41,500 Japan Display 85 0.05 28,000 Japan Steel Works 68 0.04 20,000 JGC 206 0.13 52,000 Kajima 194 0.12 14,000 Kamigumi 78 0.05 93,000 Kawasaki Heavy Industries 244 0.15 57,000 Kawasaki Kisen Kai 83 0.05 3,569 Keyence 1,217 0.75 5,000 Kinden 42 0.03 76,500 Komatsu 822 0.51 87,000 Kubota 882 0.54 9,800 Kurita Water Industries 144 0.09 24,600 Kyocera 726 0.45 4,900 Lintec 75 0.05 16,700 Lixil 233 0.14 4,200 Mabuchi Motor 136 0.08 5,000 Maeda Road Contruction 59 0.04

132 Henderson Institutional Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Industrials (continued) 115,800 Marubeni 436 0.27 19,000 Minebea 137 0.08 25,200 Misumi 215 0.13 102,400 Mitsubishi 1,215 0.75 146,000 Mitsubishi Electric 995 0.61 256,000 Mitsubishi Heavy Industries 843 0.52 12,000 Mitsubishi Logistics 112 0.07 113,000 Mitsubishi Materials 256 0.16 125,700 Mitsui 1,038 0.64 72,000 Mitsui Engineering & Shipbuilding 72 0.04 103,000 Mitsui O.S.K. Lines 179 0.11 9,000 Mori Seiki 84 0.05 14,800 Murata Manufacturing 1,378 0.85 9,700 Nabtesco 127 0.08 22,000 NGK Insulators 310 0.19 19,400 Nidec 954 0.59 37,000 Nippon Electric Glass 118 0.07 50,000 Nippon Express 168 0.10 135,000 Nippon Yusen 230 0.14 52,000 NTN 169 0.10 52,000 Obayashi 297 0.18 15,000 Okuma 79 0.05 15,400 Omron 333 0.21 6,000 OSG 74 0.05 27,400 Recruit Holdings 573 0.35 29,000 Rengo 90 0.06 19,100 Sanwa Holdings 100 0.06 13,900 Secom 605 0.37 13,000 Seino 101 0.06 18,000 Shimadzu 183 0.11 47,000 Shimizu 268 0.17 4,200 SMC 705 0.44 4,000 Sohgo Security Services 126 0.08 106,200 Sojitz 152 0.09 84,100 Sumitomo 600 0.37 50,000 Sumitomo Heavy Industries 147 0.09 35,000 Sumitomo Osaka Cement 88 0.05 13,000 Tadano 101 0.06 109,000 Taiheiyo Cement 233 0.14 77,000 Taisei 326 0.20 10,000 Taiyo Yuden 92 0.06 10,200 TDK 425 0.26 8,400 Temp Holdings 82 0.05 11,500 THK 142 0.09 10,000 Toda 35 0.02 39,000 Toppan Printing 228 0.14 284,000 Toshiba 523 0.32 14,000 Toshiba TEC 33 0.02 12,500 Toto 277 0.17 8,500 Toyo Seikan 107 0.07 15,600 Toyota Tsusho 233 0.14 14,100 Ushio 126 0.08

Henderson Institutional Japan Enhanced Equity Fund 133 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Industrials (continued) 6,500 Yamatake 107 0.07 28,800 Yamato Holdings 369 0.23 22,000 Yaskawa Electric 171 0.11 19,600 Yokogawa Electric 143 0.09 31,709 19.54

Oil & Gas 0.82% (2014: 1.00%) 5,500 Cosmo Energy 49 0.03 9,200 Idemitsu Kosan 98 0.06 73,600 Inpex 456 0.28 2,300 Japan Petroleum Exploration 45 0.03 190,650 JX Holdings 487 0.30 7,800 Showa Shell Sekiyu 45 0.03 22,000 Tonengeneral Sekiyu 14 8 0.09 1,328 0.82

Technology 4.36% (2014: 4.79%) 14,000 Advantest 73 0.05 21,100 Brother Industries 176 0.11 79,300 Canon 1,546 0.95 4,200 Capcom 58 0.04 4,100 Cyber Agent 11 0 0.07 17,000 Dainippon Screen 66 0.04 32,500 Fujifilm 846 0.52 139,000 Fujitsu 429 0.26 5,600 Hitachi High-Technologies 98 0.06 4,600 Itochu Techno Solutions 66 0.04 40,000 Konica Minolta 268 0.17 192,000 NEC Electronics 386 0.24 6,610 Nomura Research Institute 176 0.11 9,200 NTT Data 299 0.18 5,700 Obic 196 0.12 2,200 Oracle 65 0.04 5,100 Otsuka 160 0.10 51,900 Ricoh 364 0.22 6,200 Rohm 201 0.12 4,700 SCSK 117 0.07 25,000 Seiko Epson 248 0.15 5,300 Square Enix 93 0.06 15,200 Sumco 100 0.06 13,100 Tokyo Electron 513 0.32 6,600 Trend Micro 168 0.10 94,500 Yahoo! Japan 261 0.16 7,083 4.36

Telecommunications 4.48% (2014: 4.97%) 1,800 Hikari Tsushin 89 0.06 144,000 KDDI 2,276 1.40 39,000 Nippon Telegraph & Telephone 939 0.58 108,300 NTT Docomo 1,366 0.84 71,100 Softbank 2,591 1.60 7,261 4.48

134 Henderson Institutional Japan Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Utilities 2.60% (2014: 2.37%) 55,559 Chubu Electric Power 557 0.34 22,100 Chugoku Electric Power 217 0.13 13,420 Electric Power Development 'C' 288 0.18 18,200 Hokkaido Electric Power 126 0.08 16,400 Hokuriku Electric Power 159 0.10 51,938 Kansai Electric Power 434 0.27 38,700 Kyushu Electric Power 304 0.19 151,000 Osaka Gas 387 0.24 11,100 Shikoku Electric Power 123 0.08 40,000 Toho Gas 159 0.10 39,900 Tohoku Electric Power 365 0.23 119,800 Tokyo Electric Power 532 0.33 168,000 Tokyo Gas 542 0.33 4,193 2.60

South Korea 0.06% (2014: 0.04%) Consumer Goods 0.06% (2014: 0.04%) 10,900 Nexon 99 0.06

United States 0.05% (2014: 0.00%) Industrials 0.05% (2014: 0.00%) 4,600 Monotaro 77 0.05

Derivatives 0.03% (2014: 0.11%)

Futures 0.00% (2014: 0.11%) 39 OSE Topix Index December 2015 1 -

Forward Foreign Exchange Contracts 0.03% (2014: 0.00%) Buy GBP 5,040,000 : Sell JPY 930,062,952 November 2015 50 0.03

Investment asset 158,895 98.11 Other net assets 3,166 1.89 Total net assets 162,061 100.00

Henderson Institutional Japan Enhanced Equity Fund 135 Statement of total return for the year ended 31 October 2015

2015 2014 Notes £000 £000 £000 £000

Income Net capital gains / (losses) 2 20,935 (2,581) Revenue 4 3,063 3,003 Expenses 5 (531) (520)

Net revenue before taxation 2,532 2,483 Taxation 6 (302) (294)

Net revenue after taxation 2,230 2,189

Total return before distributions 23,165 (392)

Finance costs: Distributions 7 (2,244) (2,205)

Change in net assets attributable to shareholders from investment activities 20,921 (2,597)

Statement of change in net assets attributable to shareholders for the year ended 31 October 2015

2015 2014 £000 £000 £000 £000

Opening net assets attributable to shareholders 164,384 165,362

Amounts receivable on issue of shares 10,216 24,761 Amounts payable on cancellation of shares (35,629) (31,545) Amounts receivable on in specie transfers - 6,151 (25,413) (633)

Change in net assets attributable to shareholders from investment activities (see above) 20,921 (2,597)

Retained distribution on accumulation shares 2,169 2,252

Closing net assets attributable to shareholders 162,061 164,384

136 Henderson Institutional Japan Enhanced Equity Fund Balance sheet as at 31 October 2015

2015 2014 Notes £000 £000 £000 £000 Assets Investment assets 158,895 162,858

Debtors 8 7,493 1,336 Cash and bank balances 9 1,013 527 Total other assets 8,506 1,863

Total assets 167,401 164,721

Liabilities Creditors 10 5,235 254 Bank overdrafts 105 83 Total other liabilities 5,340 337

Total liabilities 5,340 337

Net assets attributable to shareholders 162,061 164,384

Henderson Institutional Japan Enhanced Equity Fund 137 Notes to the financial statements as at 31 October 2015

1 Accounting policies The accounting policies, distribution policy and potential risks are set out in notes 1 to 3 to the aggregated financial statements on pages 9 to 15.

2 Net capital gains/(losses) Net capital gains/(losses) on investments during the year comprise: 2015 2014 £000 £000

Derivative contracts 478 219 Forward currency contracts 38 - Non-derivative securities 20,530 (2,766) Other currency losses (104) (26) Transaction costs (7) (8)

Net capital gains/(losses) on investments 20,935 (2,581)

3 Portfolio transaction costs 2015 2014 £000 £000

Purchases in year before transaction costs 11,243 33,474

Commissions 5 5 Total purchase transaction costs* 5 5

Purchases including transaction cost 11,248 33,479

Sales in year before transaction costs 35,484 29,445

Commissions (10) (7) Total sale transaction costs* (10) (7)

Sales net of transaction costs 35,474 29,438

Transaction handling charges* 7 8

* These amounts have been deducted in determining net capital gains/(losses).

4 Revenue 2015 2014 £000 £000

Overseas dividends 3,051 2,990 Stock lending revenue 12 13

Total revenue 3,063 3,003

138 Henderson Institutional Japan Enhanced Equity Fund Notes to the financial statements (continued)

5 Expenses 2015 2014 £000 £000 Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 447 412 GAC* 53 51 500 463

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fee 17 16 Safe custody fees 14 13 31 29

Other expenses: Professional fees - 28 - 28

Total expenses 531 520

Irrecoverable VAT is included in the above expenses where relevant. *The current audit fee is, which is levied through GAC, is £7,030 (2014: £6,120).

6 Taxation (a) Analysis of charge in the year The tax charge comprises: 2015 2014 £000 £000

Overseas withholding tax 302 294 Total current tax (note 6b) 302 294 b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of authorised open ended investment companies (OEICs) of 20%. The differences are explained below.

2015 2014 £000 £000

Net revenue before taxation 2,532 2,483

Corporation tax at 20% (2014: 20%) 506 497

Effects of: Irrecoverable overseas tax 302 294 Non-taxable overseas dividends** (610) (598) Unused management expenses 104 101 Current tax charge for the year (note 6a) 302 294

** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009.

OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above.

Henderson Institutional Japan Enhanced Equity Fund 139

Notes to the financial statements (continued)

6 Taxation (continued) (c) Deferred tax There is no provision required for deferred taxation at the Balance sheet date (2014: nil).

(d) Factors that may affect future tax charges At the year end, after claiming relief against revenue taxable on receipt, there is a potential deferred tax asset of £514,008 (2014: £410,266) in relation to surplus management expenses. It is unlikely that the fund will generate sufficient taxable profits in the future to utilise these amounts and therefore no deferred tax asset has been recognised in the current or prior year.

7 Finance costs Distributions and interest The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise: 2015 2014 £000 £000

Interim accumulation 1,212 1,232 Final accumulation 957 1,020 2,169 2,252

Amount deducted on cancellation of shares 83 26 Amount received on issue of shares (8) (73)

Finance costs: Distributions 2,244 2,205

Total finance costs 2,244 2,205

Net revenue after taxation 2,230 2,189 Revenue shortfall 13 16 Equalisation on conversions 1 - Finance cost: Distributions 2,244 2,205

Details of the distribution per share are set out in the distribution table on page 145.

8 Debtors 2015 2014 £000 £000

Accrued revenue 1,122 1,108 Amounts receivable for issue of shares - 143 Corporation tax recoverable 2 2 Currency transactions awaiting settlement - 75 Overseas withholding tax reclaimable 6 8 Sales awaiting settlement 6,363 -

Total debtors 7,493 1,336

9 Cash and bank balances 2015 2014 £000 £000

Amounts held at futures clearing houses and brokers 81 - Cash and bank balances 932 527

Total cash and bank balances 1,013 527

14 0 Henderson Institutional Japan Enhanced Equity Fund Notes to the financial statements (continued)

10 Creditors 2015 2014 £000 £000

Accrued ACD's periodic charge 37 35 Accrued Depositary fee 2 2 Accrued other expenses 6 8 Amounts payable for cancellation of shares 5,124 134 Currency transactions awaiting settlement - 75 Purchases awaiting settlement 66 -

Total creditors 5,235 254

11 Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 136 and 137 and notes 5, 8 and 10 on pages 139 to 141 including all creations and cancellations where the ACD acted as principal.

HSBC Global Custody Nominee (UK) Ltd, as a material shareholder, is a related party holding shares comprising 68.30% (2014: 71.43%) of the total net assets of the fund as at 31 October 2015.

Related parties, such as other authorised funds managed by Henderson Investment funds Limited, may hold shares in the fund via a nominee company, Harewood Nominees Limited. Harewood Nominees Limited holds shares comprising 15.31% (2014: 13.65%) of the total net assets of the fund as at 31 October 2015.

Material transactions throughout the year such as creations and cancellations for these shareholders are included in the Statement of change in net assets attributable to shareholders.

13 Shareholder funds The fund currently has 5 share classes available; Class A (Retail with front-end charges), Class C (Institutional), Class I (Institutional), Class Y (Retail with exit charges) and Class Z (Institutional). The annual management charge on each share class is as follows:

2015 2014 % % Class A 1.50 1.50 Class C 0.50 0.50 Class I 0.75 0.75 Class Y 0.75 0.75 Class Z 0.00* 0.00*

* Charges for managing Z class shares are levied outside the fund and are agreed between the ACD and investors.

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 122. The distribution per share class is given in the distribution table on page 145. All share classes have the same rights on winding up.

Henderson Institutional Japan Enhanced Equity Fund 141 Notes to the financial statements (continued)

14 Financial derivatives The fund may use financial derivatives for hedging and meeting the investment objectives including risk reduction and implementation of investment policies.

The use of derivatives can create additional counterparty risks. Details of the ACD policies for managing counterparty and other risks are set out in note 3 to the financial statements.

The type of derivatives held at the year-end were forward foreign currency contracts and futures. Details of individual contracts are shown in the portfolio statement on page 135, and the total position by counterparty at the year-end is summarised below:

At 31 October 2015 the underlying exposure for each category of derivatives were as follows: Forward foreign currency contracts Futures Counterparty £000 £000

Royal Bank of Scotland 4,990 - UBS - 3,261

At 31 October 2014 the underlying exposure for each category of derivatives were as follows:

Futures Counterparty £000

UBS 1,640

Eligible collateral types are approved by the Investment Manager and may consist of cash, UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities.

At 31 October 2015, no collateral was pledged to counterparties in respect of the above (2014: nil).

15 Securities lending The fund and the Investment Manager have entered into a securities lending programme with BNP Paribas Securities Services acting as the Securities Lending Agent in order to generate income.

Securities lending revenue is disclosed under ‘Revenue’ in the Statement of total return. The gross stock lending revenue for the year was £14,342 with expenses of £2,151 deducted to give net stock lending revenue of £12,191 (2014: £13,043).

2015 2014 £000 £000

Aggregate value of securities on loan at the year end 958 1,909 Aggregate value of collateral held at the year end 1,408 2,034

All collateral was in the form of equity and government bond securities.

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities. The value of the collateral held at the year end ranges from 106.16% to 253.27% of the value of the securities on loan.

The counterparties at the year end were Barclays Bank, Deutsche Bank, Goldman Sachs, Merill Lynch and Morgan Stanley (2014: ABN AMRO, Barclays Bank, Deutsche Bank, Goldman Sachs, Merill Lynch and Morgan Stanley).

142 Henderson Institutional Japan Enhanced Equity Fund Notes to the financial statements (continued)

16 Risk Risks in respect of financial assets and liabilities are set out in note 3 of the aggregated financial statements on pages 13 to 15.

Currency risk Net currency monetary assets and liabilities consist of:

Net other Investment assets/ assets (liabilities) Net assets Currency £000 £000 £000 2015 Japanese yen 153,855 9,545 163,400 UK sterling 5,040 (6,379) (1,339) Total 158,895 3,166 162,061

Currency 2014 Japanese yen 162,858 1,370 164,228 UK sterling - 156 156 Total 162,858 1,526 164,384

Interest rate risk The majority of the fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date. Therefore, the fund’s exposure to interest rate risk is considered insignificant. This is consistent with the exposure during the prior year.

Value at Risk The VaR policy and risks are set out in notes 3(a) of the aggregated financial statements on page 13.

The actual VaR, limits and utilisation of those limits are summarised in the table below:

VaR results - for the year ended 31 October 2015

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 98.74% 101.73% 100.07% 200% 49.37% 50.87% 50.03% Japan Index

VaR results - for the year ended 31 October 2014

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 98.31% 102.07% 100.10% 200% 49.16% 51.03% 50.05% Japan Index

Henderson Institutional Japan Enhanced Equity Fund 143 Notes to the financial statements (continued)

16 Risk (continued) Leverage The level of leverage arising from the use of derivative instruments is disclosed in the table below as a percentage of the fund’s total Net Asset Value. The calculation is based on the sum of notional exposures of financial derivative instruments in the investment portfolio including those held for risk reduction purposes.

Please note this level of leverage is explicitly not an investment limit for the fund and will vary over time under differing market conditions to ensure that the fund meets its investment objective.

Leverage - for the year ended 31 October 2015

Minimum Maximum Average 0.15% 2.78% 1.26%

Leverage - for the year ended 31 October 2014

Minimum Maximum Average 0.18% 2.88% 1.33%

144 Henderson Institutional Japan Enhanced Equity Fund Distribution tables for the year ended 31 October 2015 (in pence per share)

Interim dividend distribution (accounting date 30 April 2015, paid on 30 June 2015) Group 1: shares purchased prior to 1 November 2014 Group 2: shares purchased on or after 1 November 2014 Net Equalisation Distribution Distribution revenue paid paid 30/06/15 30/06/14

Class A accumulation - - - -

Class C accumulation Group 1 0.9395 - 0.9395 0.8420 Group 2 0.4316 0.5079 0.9395 0.8420

Class I accumulation Group 1 0.5572 - 0.5572 0.5178 Group 2 0.5555 0.0017 0.5572 0.5178

Class Y accumulation Group 1 0.5718 - 0.5718 0.5189 Group 2 0.5718 - 0.5718 0.5189

Class Z accumulation Group 1 1.4408 - 1.4408 1.2888 Group 2 1.3439 0.0969 1.4408 1.2888

Final dividend distribution (accounting date 31 October 2015, paid on 31 December 2015) Group 1: shares purchased prior to 1 May 2015 Group 2: shares purchased on or after 1 May 2015 Net Equalisation Distribution Distribution revenue paid paid 31/12/15 31/12/14 Class A accumulation - - - -

Class C accumulation Group 1 0.7456 - 0.7456 0.7221 Group 2 0.7456 - 0.7456 0.7221

Class I accumulation Group 1 0.4308 - 0.4308 0.4157 Group 2 - 0.4308 0.4308 0.4157

Class Y accumulation Group 1 0.4307 - 0.4307 0.4160 Group 2 0.4307 - 0.4307 0.4160

Class Z accumulation Group 1 1.2836 - 1.2836 1.1552 Group 2 0.6105 0.6731 1.2836 1.1552

Henderson Institutional Japan Enhanced Equity Fund 145 Authorised Corporate Director’s report

Investment Fund Manager Henderson Multi Strategy Equities Team

Investment objective and policy The fund aims to provide consistent capital growth relative to the FTSE World North America Index (or such other index as may from time to time replace it) through investing primarily in North American companies. There are no restrictions on the size of the companies in which the fund may invest.

The fund aims to provide an annual return above that of the FTSE World North America Index, whilst controlling risk. The fund will invest primarily in North American companies included within the FTSE World North America Index. Additionally, the Fund can invest in companies listed on other exchanges which are associated with FTSE World North America Index listed shares or other North American companies.

The fund will not attempt to replicate identically the share composition of the FTSE World North America Index, and the Fund Manager will actively review the shares within the portfolio, and effect adjustments as necessary in order to achieve the investment objective.

The fund may invest the property in transferable securities, money market instruments, derivatives and forward transactions, deposits and units in collective investment schemes.

Performance summary 31 Oct 14- 31 Oct 13- 31 Oct 12- 31 Oct 11- 31 Oct 10- 31 Oct 15 31 Oct 14 31 Oct 13 31 Oct 12 31 Oct 11 % % % % %

Henderson Institutional North American Enhanced Equity Fund* 6.9 16.3 26.2 14.4 5.8 FTSE World North America Index** 6.8 16.3 26.0 14.1 5.8

Source: Henderson Global Investors & FTSE. * Fund returns calculated using close of business prices on a gross asset value basis in GBP, on performance of class Z accumulation. ** Customised net dividends re-invested (Market Capitalisation on weighted Index of United States of America and Canada).

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the year ended 31 October 2015

Largest purchases £000 Largest sales £000

Kinder Morgan Delaware 838 Apple 2,611 Apple 634 Exxon Mobil 1,322 Tesoro 560 Microsoft 1,173 Mallinckrodt 444 Johnson & Johnson 954 Pharmacyclics 444 Allergan 886 Microsoft 411 Wells Fargo 857 Exxon Mobil 397 Coca-Cola 834 General Electric Capital 393 General Electric Capital 821 Wells Fargo 376 Bank of America 779 Johnson & Johnson 360 Citigroup 737

Total purchases 23,950 Total sales 60,160

14 6 Henderson Institutional North American Enhanced Equity Fund Authorised Corporate Director’s report (continued)

Investment review The FTSE World North America Index delivered a sterling total return of 6.8% for the year to 31 October 2015. The US stock markets also delivered positive returns over the year, aided by a strong dollar.

The Federal Reserve (Fed) was ultimately proved right in its assurances that the end of its bond-buying programme in October would not lead to an immediate rise in interest rates, and it became increasingly clear that US monetary policy was diverging from that of many other developed markets. The Bank of Japan and the European Central Bank both expanded their monetary stimulus significantly during the year, while interest rates were cut in a host of other countries, boosting the attractiveness of the US currency.

Within the US, strong jobs data increased calls for an earlier hike in interest rates, but falling headline inflation – driven by the collapse in the oil price – had the opposite effect. US equities hit record highs in March, but their strength in sterling terms was largely down to dollar appreciation. Meanwhile, first-quarter growth registered at a disappointing 0.2%, though this was attributed to harsh winter weather. However, a solid recovery remained in evidence, especially when compared with certain other major economies.

US markets followed China’s downward path late in August, which in turn led to heightened curiosity as to whether or not the Fed would indeed raise interest rates at its September meeting. Despite the improving labour-market growth Chair Janet Yellen had sought – unemployment fell to 5.1% in August – the central bank held rates steady at both its autumn meetings. Nonetheless, it reiterated that a 2015 rate rise is still possible. Otherwise, broad US growth remained characteristically buoyant: second-quarter GDP increased to 3.9% from the previous three months, though slipped to 1.5% for the third quarter. On a smaller scale, retail increased by 2.4% for the year to September and in the same month, new home sales figures reached their highest number since early 2008.

Henderson Institutional North American Enhanced Equity Fund 147 Comparative tables as at 31 October 2015

Net asset value per share

Accounting year Net asset Net asset Number of Net asset value value of shares in value per of fund shares issue share (£) (£) (pence)

Class A accumulation 31/10/2013 417,816,889 34,690,000 4,539,771 764.14 31/10/2014 429,241,311 28,752,636 3,284,947 875.28 31/10/2015 416,817,499 22,789,871 2,468,398 923.27 Class I accumulation 31/10/2013 417,816,889 21,041,575 2,510,256 838.22 31/10/2014 429,241,311 25,480,461 2,632,427 967.95 31/10/2015 416,817,499 30,316,280 2,947,715 1,028.47 Class Y accumulation 31/10/2013 417,816,889 37,882 24,131 156.98 31/10/2014 429,241,311 43,745 24,131 181.28 31/10/2015 416,817,499 46,479 24,131 192.61 Class Z accumulation 31/10/2013 417,816,889 362,047,432 159,260,156 227.33 31/10/2014 429,241,311 374,964,469 141,922,727 264.20 31/10/2015 416,817,499 363,664,869 128,772,147 282.41

14 8 Henderson Institutional North American Enhanced Equity Fund Comparative tables (continued)

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share)

Class A accumulation 2010 1.67 575.30 468.70 2 0 11 0.49 588.42 482.18 2012 3.85 636.40 570.50 2013 4.35 782.96 615.30 2014 2.90 929.97 743.78 2015 5.25* 996.98+ 841.35+ Class I accumulation 2010 5.57 617.30 499.50 2 0 11 5.42 634.10 520.11 2012 9.21 692.40 617.10 2013 10.65 857.33 663.40 2014 10.00 1,029.83 817.66 2015 13.30* 1,106.11 + 935.96+ Class Y accumulation 2010 2.01 115.50 93.50 2 0 11 1.14 118.68 97.37 2012 1.75 129.60 115.50 2013 2.03 160.55 125.60 2014 1.87 192.87 153.13 2015 2.49* 207.15+ 175.28+ Class Z accumulation 2010 2.29 164.50 132.40 2 0 11 2.50 169.63 139.24 2012 3.52 186.60 165.20 2013 4.14 232.16 179.00 2014 4.24 281.41 222.14 2015 5.33* 302.73+ 256.73+

** to 31 December + to 31 October

Henderson Institutional North American Enhanced Equity Fund 149 Ongoing charge figure

The annualised ongoing charge figure (OCF) of the fund is calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the year, except for expenses that are explicitly excluded by regulation.

2015 2014 % %

Class A 1.70 1.70

Class I 0.79 0.79

Class Y 0.79 0.79

Class Z 0.04 0.04

The OCF is calculated in accordance with guidelines issued by the European Securities and Markets Authority (ESMA).

150 Henderson Institutional North American Enhanced Equity Fund Risk and reward profile

The fund currently has 4 types of share class in issue; A accumulation, I accumulation, Y accumulation and Z accumulation. Each type of share class has the same risk and reward profile which is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk

1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5 year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your shares, they may be worth less than you paid for them. The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• The fund focuses on a single region

• As a category, shares are more volatile than either bonds or money market instruments

• The fund invests in a broad range of securities and countries and uses a broad range of strategies

• Fluctuations in exchange rates may cause the value of your investment to rise or fall

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events.

There have been no changes to the risk rating in the year.

The SRRI conforms to the European Securities and Markets Authority (ESMA) guidelines for the calculation of the SRRI.

Henderson Institutional North American Enhanced Equity Fund 151 Portfolio statement as at 31 October 2015

Holding Investment Market Percentage value of total £000 net assets %

Equities 96.18% (2014: 96.92%) Canada 4.64% (2014: 5.85%) Basic Materials 0.40% (2014: 0.59%) 6,773 Agnico Eagle Mines 124 0.03 4,334 Agrium 261 0.06 38,911 Barrick Gold 194 0.05 15,131 Cameco 139 0.03 19,346 First Quantum Minerals 67 0.02 3,385 Franco Nevada 111 0.03 31,467 Goldcorp 260 0.06 25,116 Potash of Saskatchewan 328 0.08 14,378 Silver Wheaton 126 0.03 10,655 Teck Resources 'B' 40 0.01 1,650 0.40

Consumer Goods 0.15% (2014: 0.18%) 4,353 Lululemon Athletica 139 0.03 10,682 Magna 'A' 364 0.09 8,300 Saputo 128 0.03 631 0.15

Consumer Services 0.41% (2014: 0.38%) 15,768 Alimentation Couche-Tard 'B' 438 0.11 3,206 Canadian Tire 'A' 182 0.04 5,888 Loblaws 200 0.05 5,871 Metro 'A' 109 0.03 7,102 Restaurant Brands 184 0.04 12,026 Shaw Communications 'B' 162 0.04 16,146 Thomson Reuters 428 0.10 1,703 0.41

Financials 2.08% (2014: 2.54%) 20,868 Bank of Montreal 784 0.19 33,803 Bank of Nova Scotia 1,029 0.25 24,657 Brookfield Asset Management 'A' 557 0.13 12,416 Canadian Imperial Bank of Commerce 615 0.15 8,167 CI Financial 126 0.03 695 Fairfax Financial 221 0.05 2,984 Great-West Lifeco 51 0.01 5,534 IGM Financial 103 0.02 5,390 Intact Financial 249 0.06 50,390 Manulife Financial 541 0.13 13,050 National Bank of Canada 280 0.07 6,713 Power Corporation of Canada 98 0.02 7,770 Power Financial 124 0.03 10,612 RioCan REIT 134 0.03 46,572 Royal Bank of Canada 1,712 0.42 21,930 Sun Life Financial 478 0.11

152 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Financials (continued) 59,424 Toronto-Dominion Bank 1,579 0.38 8,681 2.08

Industrials 0.34% (2014: 0.47%) 54,600 Bombardier 'B' 38 0.01 22,818 Canadian National Railways 901 0.21 4,706 Canadian Pacific Railway 428 0.10 6,500 Finning International 67 0.02 1,434 0.34

Oil & Gas 0.89% (2014: 1.31%) 13,911 Arc Resources 132 0.03 34,361 Canadian Natural Resources 515 0.12 25,362 Cenovus Energy 244 0.06 18,627 Crescent Point Energy 164 0.04 24,692 Enbridge 682 0.16 28,225 Encana 139 0.03 11,851 Husky Energy 104 0.02 6,106 Imperial Oil 131 0.03 10,661 Inter Pipeline 129 0.03 49,031 Suncor Energy 942 0.24 5,807 Tourmaline Oil 78 0.02 2 1 , 111 TransCanada 459 0.11 3,719 0.89 Technology 0.08% (2014: 0.08%) 21,668 Blackberry 102 0.02 9,407 CGI 'A' 226 0.06 328 0.08

Telecommunications 0.19% (2014: 0.18%) 10,509 BCE 294 0.07 11,966 Rogers Communications 'B' 308 0.08 8,414 Telus 181 0.04 783 0.19

Utilities 0.10% (2014: 0.12%) 7, 179 Canadian Utilities 'A' 122 0.03 7,932 Fortis 14 9 0.04 8,638 Pembina Pipeline 14 0 0.03 411 0.10

Colombia 0.00% (2014: 0.02%) Oil & Gas 0.00% (2014: 0.02%)

Cyprus 0.02% (2014: 0.02%) Consumer Goods 0.02% (2014: 0.02%) 2,870 Herbalife 104 0.02

Henderson Institutional North American Enhanced Equity Fund 153 Portfolio statement

Holding Investment Market Percentage value of total £000 net assets %

Hong Kong 0.05% (2014: 0.09%) Consumer Goods 0.05% (2014: 0.09%) 7, 917 Michael Kors Holdings 198 0.05

Ireland 0.42% (2014: 0.31%) Financials 0.07% (2014: 0.06%) 11,585 XL 286 0.07

Industrials 0.35% (2014: 0.25%) 21,012 Accenture 1,458 0.35

Israel 0.07% (2014: 0.06%) Technology 0.07% (2014: 0.06%) 5,198 Check Point Software 286 0.07

Japan 0.02% (2014: 0.02%) Telecommunications 0.02% (2014: 0.02%) 28,954 Sprint 89 0.02

Mexico 0.02% (2014: 0.02%) Basic Materials 0.02% (2014: 0.02%) 3,807 Southern Copper 68 0.02

Netherlands 0.14% (2014: 0.09%) Industrials 0.04% (2014: 0.00%) 5,485 AerCap 147 0.04

Technology 0.10% (2014: 0.09%) 8,850 NXP Semiconductors 449 0.10

Russian Federation 0.02% (2014: 0.03%) Technology 0.02% (2014: 0.03%) 8,295 Yandex 86 0.02

Singapore 0.13% (2014: 0.12%) Technology 0.13% (2014: 0.12%) 6,934 Avago Technologies 553 0.13

Switzerland 0.10% (2014: 0.09%) Industrials 0.10% (2014: 0.09%) 10,466 TE Connectivity 437 0.10

United Kingdom 0.32% (2014: 0.40%) Consumer Services 0.27% (2014: 0.25%) 8,902 Liberty Global 'A' 257 0.06 21,620 Liberty Global 'C' 596 0.15 2,670 Signet Jewellers 261 0.06 1,114 0.27

154 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Financials 0.05% (2014: 0.08%) 4,068 Axis Capital Holdings 143 0.03 715 PartnerRe 64 0.02 207 0.05

Industrials 0.00% (2014: 0.07%)

United States 90.23% (2014: 89.80%) Basic Materials 2.16% (2014: 2.50%) 6,073 Air Products & Chemicals 547 0.13 2,355 Airgas 147 0.04 42,038 Alcoa 243 0.06 2,966 Ashland 2 11 0.05 924 Avery Dennison 39 0.01 5,787 Celanese 'A' 266 0.06 7,035 CF Industries 231 0.06 8,972 Consol Energy 39 0.01 32,496 Dow Chemical 1,086 0.25 25,859 DuPont (E.I.) De Nemours 1,062 0.25 5,200 Eastman Chemical 243 0.06 9,399 Ecolab 732 0.18 6,136 FMC 162 0.04 33,478 Freeport-McMoRan C & G 'B' 255 0.06 2,991 International Flavors & Fragrances 225 0.05 12,374 International Paper 342 0.08 10,772 Lyondellbasell Industries 'A' 648 0.16 9,736 Mosaic 213 0.05 18,763 Newmont Mining 236 0.06 12,403 Nucor 340 0.08 9,082 PPG Industries 613 0.15 9,890 Praxair 7 11 0.17 4,435 Sigma Aldrich 401 0.10 8,992 2.16

Consumer Goods 9.37% (2014: 9.02%) 21,255 Activision Blizzard 478 0.11 5,248 Altria 205 0.05 17,863 Archer Daniels Midland 528 0.13 1,348 Autoliv 106 0.03 8,458 BorgWarner 234 0.06 5,080 Brown-Forman 349 0.08 5,884 Bunge 278 0.07 3,063 Campbell Soup 101 0.02 3,345 Church & Dwight 186 0.04 5,151 Clorox 407 0.10 12,443 Coach 2 51 0.06 126,574 Coca-Cola 3,471 0.83 5,671 Coca-Cola Enterprises 189 0.05 26,189 Colgate-Palmolive 1,125 0.27

Henderson Institutional North American Enhanced Equity Fund 155 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Goods (continued) 14,775 ConAgra Foods 388 0.09 4,001 Constellation Brands 'A' 349 0.08 6,888 Delphi Automotive 371 0.09 12,406 D.R. Horton 236 0.06 4,058 Dr Pepper Snapple 235 0.06 2,634 Edgewell Personal Care 144 0.03 10,566 Electronic Arts 493 0.12 5,049 Estée Lauder 'A' 263 0.06 118,363 Ford Motor 1,135 0.27 18,859 General Mills 710 0.17 48,297 General Motors 1,092 0.26 10,718 Gentex 114 0.03 6,298 Genuine Parts 370 0.09 13,072 Hanesbrands 270 0.06 8,526 Harley-Davidson 273 0.07 2,460 Harman International Industries 175 0.04 1,862 Hasbro 93 0.02 3,356 Hershey 193 0.05 1,349 Hormel Foods 59 0.01 7,358 Jarden 213 0.05 18,273 Johnson Controls 535 0.13 6,054 Kellogg 276 0.07 3,205 Keurig Green Mountain 105 0.03 12,259 Kimberly-Clark 950 0.23 17,023 Kraft Heinz 859 0.21 3,190 Lear 258 0.06 6,100 Lennar 'A' 198 0.05 6,378 Leucadia National 83 0.02 12,755 LKQ 245 0.06 11,866 Mattel 189 0.05 4,503 McCormick Non-Voting Shares 245 0.06 7,692 Mead Johnson Nutrition 408 0.10 1,190 Mohawk Industries 151 0.04 4,020 Molson Coors Brewing 'B' 229 0.06 50,613 Mondelez International 1,513 0.36 14,905 Monsanto 900 0.22 4,467 Monster Beverage 394 0.09 10,415 Newell Rubbermaid 286 0.07 16,651 Nike 'B' 1,412 0.34 173 NVR 183 0.04 46,805 PepsiCo 3,097 0.74 47,593 Philip Morris International 2,724 0.65 2,191 Polaris Industries 159 0.04 2,388 Polo Ralph Lauren 'A' 171 0.04 83,509 Procter & Gamble 4,132 0.99 14,644 Pulte 174 0.04 3,396 PVH 200 0.05

156 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Goods (continued) 25,906 Reynolds American 810 0.19 4,157 Smucker (JM) 316 0.08 2,293 Snap-on 246 0.06 5,432 Stanley Black & Decker 373 0.09 3,161 Tesla Motors 424 0.10 5,838 Toll Brothers 136 0.03 12,549 Tyson Foods 'A' 360 0.09 5,729 Under Armour 'A' 353 0.08 11 ,74 0 VF 513 0.12 3,393 Whirlpool 352 0.08 39,043 9.37

Consumer Services 12.88% (2014: 11.83%) 2,636 Advance Auto Parts 339 0.08 11,542 Amazon.com 4,677 1.12 6,012 American Airlines 180 0.04 5,313 AmerisourceBergen 'A' 332 0.08 8 11 AutoZone 412 0.10 3,364 Bed Bath & Beyond 130 0.03 7,975 Best Buy 181 0.04 8,077 Block (H & R) 195 0.05 9,187 Cardinal Health 489 0.12 8,360 CarMax 319 0.08 12,890 Carnival 4 51 0.11 11,661 CBS 'B' 3 51 0.08 2,474 Charter Communications 'A' 305 0.07 1,151 Chipotle Mexican Grill 'A' 477 0.11 9,483 Comcast 385 0.09 65,331 Comcast 'A' Special 2,649 0.64 13,131 Costco Wholesale 1,344 0.32 33,712 CVS Caremark 2,155 0.52 4,841 Darden Restaurants 194 0.05 8,213 Delta Air Lines 270 0.06 6,180 Discovery Communications 'A' 118 0.03 6,528 Discovery Communications 'C' 116 0.03 7,839 DISH Network 'A' 320 0.08 9,619 Dollar General 422 0.10 4,904 Dollar Tree 208 0.05 34,639 eBay 626 0.15 4,422 Expedia 390 0.09 5,800 Foot Locker 254 0.06 5,227 GameStop 'A' 156 0.04 7,835 Gap 138 0.03 13,988 Hertz Global Holdings 176 0.04 11,185 Hilton Worldwide Holdings 181 0.04 39,354 Home Depot 3,151 0.76

Henderson Institutional North American Enhanced Equity Fund 157 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets % Consumer Services (continued) 2,757 IHS 'A' 213 0.05 18,633 Interpublic 277 0.07 5,655 Kohls 169 0.04 26,628 Kroger 652 0.16 6,945 L Brands 431 0.10 14,241 Las Vegas Sands 456 0.11 3,430 Liberty Media 'C' 87 0.02 8,565 Liberty Media Interactive 'A' 152 0.04 1,715 Liberty Spinco 'A' 45 0.01 30,163 Lowe's 1,442 0.35 10,556 Macy's 349 0.08 7, 014 Marriott International 'A' 349 0.08 28,097 McDonald's 2,042 0.49 8,364 McKesson 969 0.23 13,780 MGM Resorts International 207 0.05 13,601 Netflix 954 0.23 15,279 News 'A' 152 0.04 9,726 Nielsen 299 0.07 4,185 Nordstrom 177 0.04 4,617 Norwegian Cruise Line 190 0.05 9,910 Omnicom 481 0.12 2,566 O'Reilly Automotive 459 0.11 1,514 Priceline.com 1,426 0.34 9,874 Ross Stores 323 0.08 5,947 Royal Caribbean Cruises 379 0.09 3,684 Scripps Networks Interactive 'A' 143 0.03 52,454 Sirius XM Holdings 139 0.03 5,581 Southwest Airlines 167 0.04 25,658 Staples 216 0.05 46,976 Starbucks 1,903 0.46 6,879 Starwood Hotels & Resorts 356 0.09 16,641 Sysco 444 0.11 20,441 Target 1,022 0.25 8,106 Tegna 142 0.03 53,075 The Walt Disney Company 3,906 0.94 4,555 Tiffany 243 0.06 26,821 Time Warner 1,309 0.31 8,894 Time Warner Cable 1,091 0.26 19,268 TJ X 913 0.22 5,018 Tractor Supply 300 0.07 4,422 Tripadvisor 240 0.06 34,573 Twenty-First Century Fox 687 0.16 13,447 Twenty-First Century Fox 'B' 269 0.06 1,895 ULTA Beauty 213 0.05 3,786 Urban Outfitters 70 0.02 14,068 Viacom 'B' 449 0.11 29,419 Walgreens 1,613 0.39 51,962 Wal-Mart Stores 1,926 0.46

158 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Consumer Services (continued) 9,764 Whole Foods Market 189 0.05 3,140 Wyndham Worldwide 165 0.04 3,488 Wynn Resorts 158 0.04 13,801 Yum! Brands 634 0.15 53,678 12.88

Financials 16.81% (2014: 16.40%) 9,643 Ace 709 0.17 2,230 Affiliated Managers 260 0.06 11,046 Aflac 456 0.11 690 Alleghany 222 0.05 13,034 Allstate 522 0.13 13,565 Ally Financial 175 0.04 16,878 American Capital Agency 195 0.05 28,339 American Express 1,344 0.32 40,300 American International 1,646 0.39 14,944 American Tower 989 0.24 5,215 Ameriprise Financial 390 0.09 38,044 Annaly Capital Management REIT 245 0.06 8,831 AON 533 0.13 4,498 Arch Capital 218 0.05 3,327 Arthur J Gallagher 94 0.02 3,718 AvalonBay Communities 421 0.10 325,669 Bank of America 3,538 0.85 38,435 Bank of New York Mellon 1,037 0.25 24,747 BB & T 595 0.14 15 Berkshire Hathaway 'A' 1,980 0.47 35,796 Berkshire Hathaway 'B' 3,154 0.76 3,841 BlackRock 875 0.21 5,733 Boston Properties 467 0.11 17, 215 Capital One Financial 880 0.21 12,005 CBRE 'A' 290 0.07 33,063 Charles Schwab 653 0.16 7,031 Chubb 589 0.14 5,677 Cincinnati Financial 221 0.05 7,445 CIT 207 0.05 93,892 Citigroup 3,232 0.78 9,558 Citizens Financial 150 0.04 9,298 CME 'A' 569 0.14 2,829 Comerica 79 0.02 3,74 9 Communication Sales and Leasing 49 0.01 10,891 Crown Castle 603 0.14 3,438 Digital Realty Trust REIT 165 0.04 16,089 Discover Financial Services 586 0.14 15,332 Duke Realty REIT 206 0.05 4,641 Equifax 320 0.08

Henderson Institutional North American Enhanced Equity Fund 159 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Financials (continued) 2,172 Equinix 417 0.10 11,529 Equity Residential REIT 577 0.14 2,095 Essex Property Trust 299 0.07 1,884 Everest Reinsurance 217 0.05 2,315 Federal Realty Investment Trust REIT 215 0.05 4,398 First Republic Bank 186 0.04 9,987 FNF 228 0.05 11,976 Franklin Resources 316 0.08 12,173 General Growth Properties REIT 228 0.05 23,515 Genworth Financial 'A' 71 0.02 12,954 Goldman Sachs 1,571 0.38 10,727 Hartford Financial Services 321 0.08 15,943 Health Care Properties 384 0.09 32,559 Host Hotels & Resort 365 0.09 18,424 Hudson City Bancorp 120 0.03 32,469 Huntington Bancshares 230 0.06 2,993 Intercontinental Exchange 489 0.12 17,344 Invesco 373 0.09 8,257 Iron Mountain 164 0.04 116,758 JP Morgan Chase Bank 4,856 1.16 31,696 KeyCorp 255 0.06 18,999 Kimco Realty 329 0.08 6,154 Legg Mason 178 0.04 1,113 Liberty Broadband ‘C’ 39 0.01 1,217 Liberty Ventures 34 0.01 6,149 Lincoln National 213 0.05 9,880 Loews 233 0.06 5,006 M & T Bank 390 0.09 6,000 Macerich 329 0.08 335 Markel 188 0.05 14,687 Marsh & McLennan 530 0.13 31,255 Mastercard 2,004 0.48 8,466 McGraw Hill 508 0.12 30,761 MetLife 1,003 0.24 5,231 Moody's 326 0.08 42,073 Morgan Stanley 898 0.22 20,804 Navient 178 0.04 22,883 New York Community Bancorp 244 0.06 9,593 Northern Trust 437 0.10 2,569 People's United Financial 27 0.01 8,545 Plum Creek Timber 225 0.05 15,838 PNC Financial Services 926 0.22 6,078 Price (T. Rowe) Associates 297 0.07 9,501 Principal Financial 309 0.07 11,807 Progressive (OH) 253 0.06 16,457 Prologis 455 0.11 13,051 Prudential Financial 697 0.17

160 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Financials (continued) 4,927 Public Storage 732 0.18 5,674 Rayonier 83 0.02 6,003 Realty Income 192 0.05 59,983 Regions Financial 363 0.09 9,730 Simon Property 1,270 0.30 4,104 SL Green Realty 315 0.08 20,804 SLM 95 0.02 13,461 State Street 601 0.14 13,325 SunTrust Banks 358 0.09 3,498 TD Ameritrade Holdings 78 0.02 8,924 The Travelers Companies 652 0.16 6,840 Torchmark 257 0.06 12,167 Unum 273 0.07 55,210 US Bancorp 1,508 0.36 11,300 Ventas 393 0.09 29,968 Vereit 160 0.04 60,422 Visa 3,036 0.73 4,093 Vornado Realty Trust 266 0.06 6,700 Voya Financial 176 0.04 161,393 Wells Fargo 5,657 1.35 9,819 Welltower 412 0.10 24,644 Western Union 307 0.07 21,362 Weyerhaeuser 406 0.10 6,062 Willis Holdings 175 0.04 42 WR Berkley 2 - 4,725 Zions Bancorp 88 0.02 18,839 5th Third Bancorp 232 0.06 70,083 16.81

Health Care 12.42% (2014: 11.95%) 49,502 Abbott Laboratories 1,435 0.34 53,227 AbbVie 2,052 0.49 10,197 Aetna 758 0.18 6,728 Alexion Pharmaceuticals 766 0.18 4,094 Alkermes 191 0.05 12,103 Allergan 2,416 0.58 2,252 Alnylam Pharmaceuticals 125 0.03 24,314 Amgen 2,489 0.60 8,845 Anthem 797 0.19 1,828 Bard 221 0.05 16,009 Baxalta 357 0.09 16,009 Baxter International 388 0.09 6,119 Becton Dickinson 565 0.14 7,046 Biogen Idec 1,325 0.32 5,135 BioMarin Pharmaceutical 389 0.09 33,932 Boston Scientific 402 0.10 52,768 Bristol-Myers Squibb 2,253 0.54

Henderson Institutional North American Enhanced Equity Fund 161 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Health Care (continued) 24,993 Celgene 1,986 0.48 3,459 Centene 133 0.03 7,644 CIGNA 663 0.16 6,844 DaVita HealthCare Partners 343 0.08 5,781 Dentsply 228 0.05 4,245 Edwards Lifesciences 432 0.10 5,679 Eli Lilly 300 0.07 9,183 Endo International 356 0.09 19,899 Express Scripts Holdings 1,113 0.27 45,650 Gilead Sciences 3,197 0.77 11,304 HCA Holdings 503 0.12 3,510 Henry Schein 345 0.08 8,695 Hologic 219 0.05 4,331 Humana 501 0.12 4,646 Illumina 431 0.10 4,727 Incyte 360 0.09 6,633 Innovive Pharmaceuticals* - - 953 Intuitive Surgical 306 0.07 1,789 Jazz Pharmaceuticals 159 0.04 85,516 Johnson & Johnson 5,596 1.35 3,333 Laboratory Corporation of America 265 0.06 4,994 Mallinckrodt 212 0.05 4,676 Medivation 127 0.03 46,195 Medtronic 2,211 0.53 53,680 Merck 1,900 0.46 10,578 Mylan 302 0.07 203,005 NovaDel Pharmaceutical 1 - 3,478 Perrigo 355 0.09 190,675 Pfizer 4,178 1.00 6,466 Quest Diagnostics 284 0.07 2,461 Regeneron Pharmaceuticals 888 0.21 6,875 St. Jude Medical 284 0.07 8,710 Stryker 539 0.13 1 TG Therapeutics - - 11,588 Thermo Fisher Scientific 981 0.24 30,674 United Health 2,339 0.56 3,142 Universal Health Services 248 0.06 10,249 Valeant Pharmaceuticals International 619 0.15 4,406 Varian Medical Systems 224 0.05 7, 613 Vertex Pharmaceuticals 614 0.15 3,682 Waters 305 0.07 4,071 Zimmer Holdings 276 0.07 18,072 Zoetis 503 0.12 51,755 12.42

162 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Industrials 10.34% (2014: 10.41%) 9,463 ADT 202 0.05 13,034 Agilent Technologies 319 0.08 4,366 Allegion 184 0.04 1,923 Alliance Data Systems 370 0.09 8,925 Ametek 317 0.08 8,930 Amphenol 'A' 313 0.08 4,356 Arrow Electronics 155 0.04 13,175 Auto Data Processing 742 0.18 5,743 Avnet 169 0.04 6,74 6 Ball 299 0.07 3,799 BE Aerospace 115 0.03 19,615 Boeing 1,881 0.44 20,976 Caterpillar 991 0.24 6,034 CH Robinson Worldwide 271 0.07 3,879 Chicago Bridge & Iron 113 0.03 1,721 Cintas 104 0.02 29,686 CSX 519 0.12 4,126 Cummins 277 0.07 16,509 Danaher 998 0.24 11,788 Deere 596 0.14 3,847 Dover 160 0.04 13,229 Eaton 479 0.11 23,891 Emerson Electric 730 0.18 8,493 Expeditors International of Washington 274 0.07 11,044 Fastenal 280 0.07 8,071 FedEx 816 0.20 6,469 Fidelity National Information 305 0.07 8,057 Fiserv 503 0.12 2,504 Fleetcor Technologies 235 0.06 6,228 Flowserve 187 0.04 2,618 Fluor 81 0.02 5,775 Fortune Brands Home & Security 196 0.05 10,516 General Dynamics 1,012 0.24 308,148 General Electric Capital 5,769 1.37 1,889 Grainger (WW) 257 0.06 22,866 Honeywell International 1,529 0.37 10,642 Illinois Tool Works 634 0.15 6,730 Ingersoll-Rand 258 0.06 8,160 Jabil Circuit 121 0.03 5,700 Jacobs Engineering 14 8 0.04 3,423 JB Hunt Transport Services 169 0.04 2,969 Kansas City Southern Industries 159 0.04 6,517 Keysight 14 0 0.03 3,753 LinkedIn 585 0.14 9,863 Lockheed Martin 1,403 0.34 3,828 L3 Communications 313 0.08 1,292 Manpowergroup 77 0.02

Henderson Institutional North American Enhanced Equity Fund 163 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Industrials (continued) 2,071 Martin Marietta Materials 208 0.05 14,000 Masco 263 0.06 6,397 MDU Resources 78 0.02 74 6 Mettler-Toledo International 150 0.04 10,878 Norfolk Southern 564 0.14 5,977 Northrop Grumman 727 0.17 9,138 PACCAR 3 11 0.07 2,814 Parker Hannifin 191 0.05 13,462 Paychex 450 0.11 34,639 PayPal 808 0.19 7, 817 Pentair 283 0.07 4,656 Precision Cast Parts 696 0.17 9,514 Raytheon 723 0.17 5,003 Republic Services 142 0.03 5,503 Robert Half International 188 0.05 2,736 Rockwell Automation 193 0.05 5,873 Rockwell Collins 330 0.08 3,520 Roper Industries 425 0.10 7, 015 Sealed Air 223 0.05 5,505 Sensata Technologies 171 0.04 2,226 Sherwin-Williams 384 0.09 3,180 Stericycle 250 0.06 11 , 3 11 Textron 309 0.07 4,884 Total System Services 166 0.04 2,549 Towers Watson 204 0.05 2,087 Transdigm 297 0.07 11,106 Trimble Navigation 164 0.04 11,973 Tyco International 282 0.07 28,599 Union Pacific 1,654 0.40 20,298 United Parcel Service 1,354 0.32 2,849 United Rentals 138 0.03 26,077 United Technologies 1,662 0.40 3,621 Verisk Analytics 'A' 168 0.04 2,451 Vulcan Materials 153 0.04 2,391 Wabtec 128 0.03 10,747 Waste Management 374 0.09 4,935 Westrock 172 0.04 51,584 Xerox 313 0.08 6,665 Xylem 157 0.04 18,530 3M 1,886 0.44 43,094 10.34

164 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Oil & Gas 6.70% (2014: 8.49%) 15,202 Anadarko Petroleum 659 0.16 11,651 Apache 356 0.09 12,686 Baker Hughes 433 0.10 11,722 Cabot Oil & Gas 165 0.04 4,913 Cameron International 216 0.05 8,606 Cheniere Energy 276 0.07 26,750 Chesapeake Energy 123 0.03 59,821 Chevron 3,521 0.85 3,149 Cimarex Energy 241 0.06 11,519 Cobalt International Energy 57 0.01 10,411 Columbia Pipeline 14 0 0.03 3,714 Concho Resources 279 0.07 37,572 ConocoPhillips 1,298 0.31 1,622 Core Laboratories 122 0.03 12,394 Devon Energy 336 0.08 9,860 Ensco 'A' 106 0.03 16,731 EOG Resources 930 0.22 5,944 Equitable Resources 254 0.06 129,507 Exxon Mobil 6,944 1.68 8,623 FMC Technologies 189 0.05 25,890 Halliburton 643 0.15 3,692 Helmerich & Payne 135 0.03 5,586 Hess 203 0.05 8,395 Hollyfrontier 266 0.06 60,052 Kinder Morgan Delaware 1,062 0.25 16,232 Marathon Oil 193 0.05 17, 576 Marathon Petroleum 590 0.14 8,404 Murphy Oil 155 0.04 11,798 Nabors Industries 77 0.02 12,424 National Oilwell Varco 303 0.07 5,474 Newfield Exploration 142 0.03 8,982 Noble 78 0.02 13,654 Noble Energy 317 0.08 23,021 Occidental Petroleum 1 , 111 0.27 3,676 Oceaneering International 100 0.02 16,186 Phillips 66 933 0.22 4,645 Pioneer Natural Resources 412 0.10 6,379 Range Resources 126 0.03 40,628 Schlumberger 2,056 0.49 14,103 Southwestern Energy 101 0.02 24,273 Spectra Energy 449 0.11 5,472 Tesoro 379 0.09 14,155 Valero Energy 604 0.14 29,489 Weatherford International 196 0.05 3,916 Whiting Petroleum 44 0.01 23,063 Williams 589 0.14 27,909 6.70

Henderson Institutional North American Enhanced Equity Fund 165 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Technology 15.80% (2014: 15.20%) 13,943 Adobe Systems 801 0.19 2,914 Akamai Technologies 115 0.03 8,844 Alphabet 'A' 4,223 1.01 8,883 Alphabet 'C' 4,089 0.98 12,541 Altera 427 0.10 7,328 Amdocs 283 0.07 10,981 Analog Devices 427 0.10 3,989 Ansys 246 0.06 177,423 Apple 13,729 3.30 33,875 Applied Materials 368 0.09 8,089 Autodesk 289 0.07 18,154 Broadcom 'A' 604 0.14 14,132 CA 253 0.06 4,528 CDK Global 14 6 0.03 6,789 Cerner 291 0.07 155,857 Cisco Systems 2,911 0.70 6,918 Citrix Systems 368 0.09 17,537 Cognizant Technology Solutions 773 0.19 6,795 Computer Sciences 293 0.07 40,465 Corning 487 0.12 66,105 EMC (Mass) 1,122 0.27 66,844 Facebook 4,414 1.06 3,006 F5 Networks 214 0.05 3,310 Garmin 76 0.02 4,635 Harris 237 0.06 58,239 Hewlett-Packard 1,017 0.24 146,568 Intel 3,213 0.77 30,132 International Business Machines 2,733 0.66 7,096 Intuit 448 0.11 10,104 Juniper Networks 205 0.05 5,979 KLA-Tencor 260 0.06 4,377 Lam Research 217 0.05 9,671 Linear Technology 278 0.07 8,174 Marvell Technology 43 0.01 11,007 Maxim Integrated Products 292 0.07 7,714 Microchip Technology 241 0.06 31,920 Micron Technology 342 0.08 223,240 Microsoft 7, 610 1.83 5,810 Mobileye 171 0.04 4,966 Motorola Solutions 225 0.05 4,319 NCR 74 0.02 14,640 NetApp 322 0.08 13,566 Nuance Communications 14 9 0.04 9,210 Nvidia 169 0.04 105,788 Oracle 2,660 0.64 1,354 Palo Alto Networks 141 0.03 4,297 Qorvo 122 0.03

166 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Technology (continued) 47,607 Qualcomm 1,832 0.44 5 , 111 Rackspace Hosting 86 0.02 5,314 Red Hat 272 0.07 19,305 Salesforce.com 971 0.23 8,543 SanDisk 426 0.10 10,630 Seagate Technology 262 0.06 6,196 Skyworks Solutions 310 0.07 15,586 Symantec 208 0.05 5,565 Synopsys 180 0.04 5,880 Teradata 107 0.03 33,180 Texas Instruments 1,218 0.29 13,244 Twitter 244 0.06 1,912 VeriSign 100 0.02 3,190 VMWare 'A' 124 0.03 8,023 Western Digital 347 0.08 3,127 Workday 'A' 160 0.04 9,829 Xilinx 303 0.07 25,860 Yahoo! 596 0.14 65,864 15.80

Telecommunications 1.33% (2014: 1.34%) 26,597 AT&T 577 0.14 19,382 Century Link 354 0.08 19,757 Frontier Communications 66 0.02 6,371 Level 3 Communications 210 0.05 3,581 SBA Communications 'A' 276 0.07 9,500 T-Mobile USA 230 0.06 125,894 Verizon Communications (UK Listing) 3,821 0.91 5,534 1.33

Utilities 2.42% (2014: 2.61%) 15,898 AES 113 0.03 4,149 Alliant Energy 159 0.04 10,321 Ameren 292 0.07 13,279 American Electric Power 487 0.12 6,759 American Water Works 2 51 0.06 14,073 Calpine 141 0.03 6,365 CenterPoint Energy 76 0.02 8,933 CMS Energy 209 0.05 9,526 Consolidated Edison 405 0.10 19,117 Dominion Resources 884 0.21 6,257 DTE Energy 331 0.08 6,567 Duke Energy 304 0.07 11,788 Edison International 462 0.11 6,423 Entergy 283 0.07 12,176 Eversource Energy 402 0.10

Henderson Institutional North American Enhanced Equity Fund 167 Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets

%

Utilities (continued) 28,599 Exelon 517 0.12 15,536 First Energy 314 0.08 13,745 NextEra Energy Resources 914 0.21 10,411 NiSource 129 0.03 9,463 NRG Energy 79 0.02 7,543 ONEOK 166 0.04 8,468 Pepco Holdings 14 6 0.04 14,843 PG&E 513 0.12 4,079 Pinnacle West Capital 168 0.04 22,916 PPL 510 0.12 14,344 Public Service Enterpirse 383 0.09 4,538 Scana 174 0.04 7,832 Sempra Energy 519 0.12 2,205 Southern 64 0.02 8,428 WEC Energy 281 0.07 17,955 Xcel Energy 414 0.10 10,090 2.42

Bonds 2.12% (2014: 2.06%) United States 2.12% (2014: 2.06%) Fixed Rate Bond 2.12% (2014: 2.06%) USD 2,220,000 Centex 6.5% 01/05/2016 1,475 0.35 USD 2,220,000 D.R. Horton 6.5% 15/04/2016 1,463 0.35 USD 5,501,000 Limited Brands 6.9% 15/07/2017 3,847 0.93 USD 3,055,000 USG 6.3% 15/11/2016 2,042 0.49 8,827 2.12

Derivatives 0.27% (2014: 0.20%) Contracts for Difference 0.38% (2014: 0.32%) Equity Contracts for Difference 0.38% (2014: 0.32%) 147,780 Ace Aviation Holdings (919) (0.22) 56,192 Altria 1,347 0.32 164,267 AT&T (233) (0.06) 13,500 Duke Energy 160 0.04 25,400 Eli Lilly 769 0.18 20,547 Frontier Communications (33) (0.01) 33,800 Merck 410 0.10 23,400 Southern 107 0.03 1,608 0.38

Futures (0.01%) (2014: 0.06%) (38) CBT US 2 Year Note December 2015 3 - 18 CME S&P 500 Index December 2015 (27) (0.01) 4 MSE S&P / TSX 60 Index December 2015 (8) - (32) (0.01)

168 Henderson Institutional North American Enhanced Equity Fund Portfolio statement (continued)

Holding Investment Market Percentage value of total £000 net assets %

Swaps (0.12%) (2014: (0.18%)) Credit Default Swaps (0.12%) (2014: (0.18%)) 2,220,000 CDS 5% 20/06/2016 Centex Pay USD (45) (0.01) 2,220,000 CDS 5% 20/06/2016 DR Horton Pay USD (45) (0.01) 2,220,000 CDS 5% 20/09/2017 Limited Brands Pay USD (124) (0.03) 3,281,000 CDS 5% 20/09/2017 Limited Brands Pay USD (185) (0.05) 3,055,000 CDS 5% 20/12/2016 USG Pay USD (102) (0.02) (501) (0.12)

Forward Foreign Exchange Contracts 0.02% (2014: 0.00%) Buy GBP 500,000 : Sell CAD 1,008,729 November 2015 1 - Buy GBP 8,515,000 : Sell USD 12,992,958 November 2015 102 0.02 103 0.02

Investment asset including investment liabilities 410,869 98.57 Other net assets 5,948 1.43 Total net assets 416,817 100.00

* Written down ^ Due to rounding to nearest £’000

Henderson Institutional North American Enhanced Equity Fund 169 Statement of total return for the year ended 31 October 2015

2015 2014

Notes £000 £000 £000 £000 Income Net capital gains 2 21,314 54,663 Revenue 4 9,959 8,728 Expenses 5 (807) (816) Finance costs: Interest 7 (25) (47)

Net revenue before taxation 9,127 7,865 Taxation 6 (1,317) (1,114)

Net revenue after taxation 7,810 6,751

Total return before distributions 29,124 61,414

Finance costs: Distributions 7 (7,823) (6,758)

Change in net assets attributable to shareholders shareholders from investment activities 21,301 54,656

Statement of change in net assets attributable to shareholders for the year ended 31 October 2015

2015 2014 £000 £000 £000 £000

Opening net assets attributable to shareholders 429,241 417,817

Amounts receivable on issue of shares 33,592 34,104 Amounts payable on cancellation of shares (74,927) (83,892) (41,335) (49,788)

Change in net assets attributable to shareholders from 21,301 54,656 investment activities (see above) Retained distribution on accumulation shares 7,610 6,556

Closing net assets attributable to shareholders 416,817 429,241

170 Henderson Institutional North American Enhanced Equity Fund Balance sheet as at 31 October 2015

2015 2014 Notes £000 £000 £000 £000 Assets Investment assets 412,590 427,429

Debtors 8 13,333 652 Cash and bank balances 9 5,033 5,679 Total other assets 18,366 6,331

Total assets 430,956 433,760

Liabilities Investment liabilities 1,721 1,701

Creditors 10 9,586 1,797 Bank overdrafts 2,832 1,021 Total other liabilities 12,418 2,818

Total liabilities 14,139 4,519

Net assets attributable to shareholders 416,817 429,241

Henderson Institutional North American Enhanced Equity Fund 171 Notes to the financial statements

1 Accounting policies The accounting policies, distribution policy and potential risks are set out in notes 1 to 3 to the aggregated financial statements on pages 9 to 15. .

2 Net capital gains Net capital gains/(losses) on investments during the year comprise: 2015 2014 £000 £000

Derivative contracts 522 2,037 Non-derivative securities 20,797 52,708 Forward currency contracts 310 - Other currency losses (306) (72) Transaction costs (9) (10)

Net capital gains on investments 21,314 54,663

3 Portfolio transaction costs 2015 2014 £000 £000

Purchases in year before transaction costs 23,944 35,244

Commissions 6 4

Total purchase transaction costs* 6 4

Purchases including transaction cost 23,950 35,248

Sales in year before transaction costs 60,172 75,595

Commissions (11) (13) Other costs (1) (2) Total sale transaction costs* (12) (15)

Sales net of transaction costs 60,160 75,580

Transaction handling charges* 9 10

* These amounts have been deducted in determining net capital gains.

172 Henderson Institutional North American Enhanced Equity Fund Notes to the financial statements (continued)

4 Revenue 2015 2014 £000 £000

Bank interest 3 2 Derivative revenue 267 (53) Interest on debt securities 819 720 Interest on margin (4) 6 Overseas dividends 8,324 7,624 Overseas REIT revenue 499 325 Stock dividends - 57 Stock lending revenue 29 15 UK dividends 22 32

Total revenue 9,959 8,728

5 Expenses 2015 2014 £000 £000 Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 607 619 GAC* 130 130 737 74 9

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fee 44 39 Safe custody fees 24 24 68 63

Other expenses: Professional fees 2 4 2 4

Total expenses 807 816

Irrecoverable VAT is included in the above expenses where relevant. *The current audit fee, which is levied through GAC, is £9,167 (2014: £7,980).

Henderson Institutional North American Enhanced Equity Fund 173 Notes to the financial statements (continued)

6 Taxation a) Analysis of charge in year The tax charge comprises:

2015 2014 £000 £000

UK corporation tax 152 36 Double tax relief (65) (36) Capital tax charge - 4 Overseas withholding tax 1,239 1,116 Adjustments in respect of prior years 1 - Total current tax (note 6b) 1,327 1,120 Deferred tax (note 6c) (10) (6) Total taxation 1,317 1,114 b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of authorised open ended investment companies (OEICs) of 20%. The differences are explained below.

2015 2014 £000 £000 Net revenue before taxation 9,127 7,865

Corporation tax at 20% (2014: 20%) 1,825 1,573

Effects of: Adjustment in respect of prior years 1 - Irrecoverable overseas tax 1,174 1,080 Non-taxable overseas dividends** (1,665) (1,525) Stock dividends* - (8) UK dividends* (4) (6) Movement in taxable accrued income (4) 6 Current tax charge for the year (note 6a) 1,327 1,120

* As an OEIC this item is not subject to corporation tax. ** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009. OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above. c) Deferred tax 2015 2014 £000 £000 Provision at start of year 11 17 Deferred tax credit for year (note 6a) (10) (6) Provision at end of year 1 11

(d) Factors that may affect future tax charges There were no factors that may affect future tax charges at the current or prior accounting year end.

174 Henderson Institutional North American Enhanced Equity Fund Notes to the financial statements (continued)

7 Finance costs Distributions and interest

The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise: 2015 2014 £000 £000

Interim accumulation 3,844 3,204 Final accumulation 3,766 3,352 7,610 6,556

Amount deducted on cancellation of shares 420 367 Amount received on issue of shares (207) (165)

Finance costs: Distributions 7,823 6,758

Finance costs: Interest 25 47

Total finance costs 7,848 6,805

Net revenue after taxation 7,810 6,751 Capital tax charge 1 3 Equalisation on conversions 12 4 Finance cost: Distributions 7,823 6,758

Details of the distribution per share are set out in the distribution table on page 180.

8 Debtors 2015 2014 £000 £000

Accrued revenue 638 566 Amounts receivable for issue of shares 262 - Corporation tax recoverable - 57 Overseas withholding tax reclaimable 30 29 Sales awaiting settlement 12,403 -

Total debtors 13,333 652

9 Cash and bank balances 2015 2014 £000 £000

Amounts held at futures clearing houses and brokers 998 1,712 Cash and bank balances 4,035 3,967

Total cash and bank balances 5,033 5,679

Henderson Institutional North American Enhanced Equity Fund 175 Notes to the financial statements (continued)

10 Creditors 2015 2014 £000 £000

Accrued ACD's periodic charge 47 52 Accrued Depositary's fees 2 4 Accrued other expenses 17 18 Amounts payable for cancellation of shares 9,451 1,668 Corporation tax payable 21 - Deferred taxation 1 11 Derivative interest payable 47 44

Total creditors 9,586 1,797

11 Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 170 and 171 and notes 5, 8 and 10 on pages 173 to 176 including all creations and cancellations where the ACD acted as principal.

HSBC Global Custody Nominees (UK) Limited, as a material shareholder, is a related party holding shares comprising 86.67% (2014: 87.09% of the total net assets of the fund as at 31 October 2014.

Material transactions throughout the year such as creations and cancellations for these shareholders are included in the Statement of change in net assets attributable to shareholders.

13 Shareholder funds The fund currently has 4 share classes available; Class Y (Retail with exit charges), Class A (Retail with front-end charges), Class I (Institutional) and Class Z (Institutional). The annual management charge on each share class is as follows:

2015 2014 % % Class Y 0.75 0.75 Class A 1.50 1.50 Class I 0.75 0.75 Class Z 0.00* 0.00*

* Charges for managing Z class shares are levied outside the fund and are agreed between the ACD and investors.

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 148. The distribution per share class is given in the distribution table on page 180. All share classes have the same rights on winding up.

176 Henderson Institutional North American Enhanced Equity Fund Notes to the financial statements (continued)

14 Financial derivatives The Fund may use financial derivatives for the purposes of hedging and meeting the investment objectives of the fund including risk reduction and implementation of investment policies.

The use of derivatives can create additional counterparty risks. Details of the ACD’s policies for managing counterparty and other risks are set out in note 3 to the financial statements.

The types of derivatives held at the year-end were contracts for difference, forward foreign exchange contracts, credit default swaps and futures. Details of individual contracts are shown in the portfolio statement on pages 168 to 169, and the total position by counterparty at the year-end is summarised below:

At 31 October 2015 the underlying exposure for each category of derivatives were as follows:

Forwards Contracts for Credit default Futures difference swaps

Counterparty £000 £000 £000 £000 Goldman Sachs - - 8,950 - Merrill Lynch 499 - - - Société Générale London 8,413 - - - UBS - 9,719 - 976

At 31 October 2014 the underlying exposure for each category of derivatives were as follows:

Contracts for Credit default Futures difference swaps Counterparty £000 £000 £000 Goldman Sachs - 9,644 - UBS 9,613 - 4,190

Eligible collateral types are approved by the Investment Manager and may consist of cash, UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities.

At 31 October 2015 no collateral was either held by the fund or had been paid out to counterparties in respect of the above (2014: £nil).

15 Securities lending The fund and the Investment Manager have entered into a securities lending programme with BNP Paribas Securities Services acting as the Securities Lending Agent for the purposes of efficient portfolio management and in order to generate income.

Securities lending revenue is disclosed under ‘Revenue’ in the Statement of total return. The gross stock lending revenue for the year was £33,976 with expenses of £5,096 deducted to give net stock lending revenue of £28,880 (2014: £15,412).

2015 2014 £000 £000

Aggregate value of securities on loan at the year end 32,085 1,420 Aggregate value of collateral held at the year end 36,936 1,456

All collateral was in the form of equity and government bond securities.

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities. The value of the collateral held at the year end ranges from 106.17% to 119.64% of the value of the securities on loan.

The counterparties at the year end were Barclays Bank, Citigroup, Deutsche Bank and Natixis (2014: Morgan Stanley).

Henderson Institutional North American Enhanced Equity Fund 177 Notes to the financial statements (continued)

16 Risk Risks in respect of financial assets and liabilities are set out in note 3 of the aggregated financial statements on pages 13 to 15.

Currency risk Net currency monetary assets and liabilities consist of: Investment Net other Net assets/ assets including assets/ (liabilities) investment (liabilities) liabilities

Currency £000 £000 £000 2015 Canadian dollar 18,395 794 19,189 Euro - 1 1 UK sterling 9,015 (9,306) (291) US dollar 383,459 14,459 397,918 Total 410,869 5,948 416,817

Currency 2014 Canadian dollar 25,477 209 25,686 Euro - 1 1 UK sterling - 114 114 US dollar 400,251 3,189 403,440 Total 425,728 3,513 429,241

Interest rate risk The majority of the fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date Therefore, the fund’s exposure to interest rate risk is considered insignificant. This is consistent with the exposure during the prior year.

Value at Risk The VaR policy and risks are set out in notes 3(a) of the aggregated financial statements on page 13.

The actual VaR, limits and utilisation of those limits are summarised in the table below:

VaR results - for the year ended 31 October 2015

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 99.04% 101.05% 99.94% 200% 49.52% 50.53% 49.97% North America Index

VaR results - for the year ended 31 October 2014

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Relative VaR FTSE World 99.01% 100.94% 100.03% 200% 49.50% 50.47% 50.02% North America Index

178 Henderson Institutional North American Enhanced Equity Fund Notes to the financial statements (continued)

16 Risk (continued) Leverage The level of leverage arising from the use of derivative instruments is disclosed in the table below as a percentage of the fund’s total Net Asset Value. The calculation is based on the sum of notional exposures of financial derivative instruments in the investment portfolio including those held for risk reduction purposes.

Please note this level of leverage is explicitly not an investment limit for the fund and will vary over time under differing market conditions to ensure that the fund meets its investment objective.

Leverage - for the year ended 31 October 2015

Minimum Maximum Average 5.67% 7.25% 6.68%

Leverage - for the year ended 31 October 2014

Minimum Maximum Average 5.99% 9.41% 6.85%

Henderson Institutional North American Enhanced Equity Fund 179 Distribution tables for the year ended 31 October 2015 (in pence per share)

Interim dividend distribution (accounting date 30 April 2015, paid on 30 June 2015) Group 1: shares purchased prior to 1 November 2014 Group 2: shares purchased on or after 1 November 2014 Net Equalisation Distribution Distribution revenue paid paid 30/06/15 30/06/14 Class A accumulation Group 1 2.4677 - 2.4677 1.0780 Group 2 1.2139 1.2538 2.4677 1.0780

Class I accumulation Group 1 6.4600 - 6.4600 4.6450 Group 2 1.7590 4.7010 6.4600 4.6450

Class Y accumulation Group 1 1.2081 - 1.2081 0.8688 Group 2 1.2081 - 1.2081 0.8688

Class Z accumulation Group 1 2.6127 - 2.6127 2.0241 Group 2 1.3033 1.3094 2.6127 2.0241

Final dividend distribution (accounting date 31 October 2015, paid on 31 December 2015) Group 1 : shares purchased prior to 1 May 2015 Group 2 : shares purchased on or after 1 May 2015 Net Equalisation Distribution Distribution revenue paid paid 31/12/15 31/12/14

Class A accumulation Group 1 2.7826 - 2.7826 1.8254 Group 2 1.1166 1.6660 2.7826 1.8254

Class I accumulation Group 1 6.8431 - 6.8431 5.3548 Group 2 3.1900 3.6531 6.8431 5.3548

Class Y accumulation Group 1 1.2793 - 1.2793 1.0034 Group 2 1.2793 - 1.2793 1.0034

Class Z accumulation Group 1 2.7147 - 2.7147 2.2199 Group 2 0.7965 1.9182 2.7147 2.2199

180 Henderson Institutional North American Enhanced Equity Fund Authorised Corporate Director’s report

Investment Fund Managers Dan Schiff and Patrick Dunn

Investment objective and policy The fund aims to generate positive capital returns by investing primarily in a concentrated portfolio (typically 20-50 holdings) of long and short positions that give exposure to securities listed on US stock exchanges. Exposure may be achieved both through direct physical holdings (typically long positions) and through the use of financial derivatives and forward transactions (typically short positions). The fund may also invest in other transferable securities not listed on US stock exchanges, money market instruments, derivatives and forward transactions, cash and near cash.

The fund may also make use of derivatives and forward transactions for the purposes of efficient portfolio management, including the use of hedging techniques and stock lending.

Performance summary 31 Oct 14 - 4 Dec 13† - 31 Oct 15 31 Oct 14 % % US Equity Long/Short Fund* 6.1 0.3 3M USD Libor 0.3 0.2

Source: Henderson Global Investors & BNP Paribas. * Fund returns calculated using close of business prices, gross of AMC, net income and net of performance fee in USD, based on class Y USD accumulation. † Inception date.

Please remember that past performance is not a guide to future performance. The value of an investment and the revenue from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested.

Significant portfolio changes for the year ended 31 October 2015

Largest purchases $000 Largest sales $000

Deutsche Global Liquidity Managed Dollar Fund 1,125 Monsanto 787 Platinum Class Cheniere Energy 770 Block (H & R) 776 Deutsche Global Liquidity Managed Dollar Fund Block (H & R) 669 725 Platinum Class Hartford Financial Services 641 Cheniere Energy 713 Berry Plastics 552 Berry Plastics 630 CF Industries 525 Micron Technology 611 Electronic Arts 518 Activision Blizzard 542 Monsanto 499 CF Industries 517 Axalta Coating Systems 466 American Airlines 494 Micron Technology 453 American International 488

Total purchases 15,946 Total sales 15,633

Henderson US Equity Long/Short Fund 181 Authorised Corporate Director’s report (continued)

Investment review Over the year to 31 October 2015, the S&P 500 index returned +5.2%. It wasn’t a smooth ride for markets, however, with several surges in volatility over the year. The market had to navigate through the oil price collapse/correction, a strengthening dollar, the Federal Reserve’s (Fed) much-discussed rate hike, a possible Greek exit from Europe and reels of contradictory economic data before experiencing an emerging market growth scare led by China.

The first half of the year started with a precipitous rotation out of energy stocks before the market edged higher. In spite of a chequered earnings season, tainted by a rising US dollar and continued distress in energy markets, investors were led by the accommodative Fed and its reassurance that the timing and pace of tightening would be measured and sensitive to real-time economic data. A decline in the dollar midway through the year, after a 15% rise, presented some relief for energy, materials, telecoms and technology stocks.

The second half of the year was led by the threat of a Greek exit from the EU and the worries around the resultant tightening of credit, before the summer months were dominated by headlines about a weakening Chinese economy and its knock-on effects, as many commodity-oriented equities and other cyclicals collapsed. Glencore, one of the largest natural resource producers and trading companies, lost billions of its market capitalisation in a few days, raising questions about its creditworthiness and the threat of a contagious negative effect on the financial system. To add insult to injury, the Volkswagen emissions scandal and an earnings guide- down from Caterpillar (attributable to deteriorating demand in overseas commodity markets) spread the correction that had been seemingly confined to China-sensitive cyclicals to broader, GDP-sensitive stocks.

Markets now expect lower interest rates for longer in the US. In October, further monetary easing from China, coupled with the promise of extended or increased quantitative easing (central-bank liquidity measures) from the European Central Bank, provided the main impetus behind global markets clawing back much of the summer losses.

The fund returned 6.1% (gross basis) during the year to 31 October 2015. The majority of performance came from the long book (+7.1% gross), while the short book was broadly flat (+0.5% gross).

The largest contributor to note was Activision Blizzard, which added 2.9% (gross) to performance. As a reminder, we noted several sources of upside to the video game software developer, which has been a long-held investment in the portfolio. First, the company would benefit from the two major game console manufactures refreshing their products for the first time in seven years. Second, Activision would realise a positive mix-shift from the secular transition from physical game purchases to digital downloads, which would furnish significantly higher margins. During the third quarter, the company beat revenues by 14% and earnings by 12%. It also raised guidance for 2015 by 8%.

Following the same theme, another pleasing positive for performance was Electronic Arts, which reported an improved earnings outlook, and added 1.8% (gross) to returns.

Axalta Holdings was another positive contributor of note. Axalta is a relatively new idea that we entered in the fourth quarter of 2014, returning +1.4% gross over the year. The company is the leader in coatings or paint for the transportation industry and generates 90% of its revenue in markets where it is in first or second position in terms of competition. In line with our philosophy, we have identified several “ways to win” in the stock, including earnings beats, paying down debt and corresponding equity expansion. After initiating our position, Axalta exceeded earnings estimates and, in addition, Warren Buffett’s Berkshire Hathaway purchased a 10% stake in the company without any preferential terms.

Other positive returns on the long book came from Lululemon Athletica (+1.3% gross), Berry Plastics (+1.1% gross) and TransDigm Group (+0.8% gross).

The greatest setback on the long side came from Micron Technology, the semiconductor manufacturer, where we overstayed our welcome after generating good returns in 2014. Following a combination of slower than expected volume growth, and weakness in PC DRAM pricing, the holding cost the fund 1.1% and the position was subsequently sold.

Other negative contributors were Cheniere Energy (-1.1% gross) and Akamai Technologies (-0.9% gross).

Returns on the short side were muted, with only a handful of positions worthy of note. Vale SA and Ensco added 0.5% each, while Meritage Homes cost the fund 0.4%.

182 Henderson US Equity Long/Short Fund Authorised Corporate Director’s report (continued)

Outlook Our investment philosophy is focused on bottom-up due diligence and continues to guide us to a net long stance. This positioning is corroborated by our top-down sentiment indicators (historically compelling, contrarian leading indicators for stocks) that reveal extreme pessimism in spite of the global backdrop of accommodative policy. Coupled with underleveraged balance sheets and historically high levels of corporate cash, lower rates can continue to drive mergers and acquisitions activity, increased shareholder compensation and earnings acceleration – all of which bode well for US equities. The icing on the cake for us is the continued benefit of cheaper energy costs, which further strengthen the earnings outlook.

Notwithstanding that the global growth outlook is muted, due to weakness in China and other emerging markets, we believe that US stocks can still perform into the year end. For context, US exports to China only represent 1% of GDP and the S&P 500 has limited revenue exposure to China of less than 3%. Even if the contagion from China worsens, all emerging markets in aggregate are less than 7% of the S&P 500’s revenues. All the while, the overwhelming majority of central bankers continue to exercise easy policy and the Fed has been clear that the timing and pace of rate hikes will be measured and subject to continued economic improvement. Accordingly, as the elevated volatility represents great pessimism, we will be adding to high-conviction longs that present compelling return-to-risk profiles and covering shorts that no longer do so.

Henderson US Equity Long/Short Fund 183 Comparative tables as at 31 October 2015

Net asset value per share

Accounting year Net asset Number of Net asset value shares in value per of fund issue share (USD) (USD cents)

Class Y USD accumulation

31/10/2014 4,936,494 50,003 9,872.40 31/10/2015 5,146,962 50,003 10,293.31

Performance record

Calendar year Net revenue Highest price Lowest price (USD cents per share) (USD cents per share) (USD cents per share)

2013^ - 10,070 9,930 2014 - 10,300 9,264 2015 -* 10,630+ 10,040+

* to 31 December + to 31 October ^ Fund launched 4 December 2013

184 Henderson US Equity Long/Short Fund Ongoing charge figure

The annualised ongoing charge figure (OCF) of the fund, is calculated as the ratio of the total ongoing charges to the average net asset value for twelve months. Ongoing charges are all expenses deducted from the assets of the fund during the year, except for expenses that are explicitly excluded by regulation.

OCF* Performance fees OCF* Performance fees 2015 2015 2014 2014 % % % %

Class Y USD 1.90 1.06 1.98 0.08

The OCF is calculated in accordance with guidelines issued by the European Securities and Markets Authority (ESMA).

* The OCF excludes perfomance fees

Henderson US Equity Long/Short Fund 185 Risk and reward profile

The fund currently has 1 type of share class in issue; Y USD accumulation. The risk and reward profile is as follows:

Typically Lower potential Typically Higher potential risk/reward risk/reward

Lower Risk Higher Risk 1 2 3 4 5 6 7

The Synthetic Risk and Reward Indicator (SRRI) is calculated based on historical volatility over a rolling 5* year period, it is reviewed monthly and updated if volatility has changed materially to cause a movement in the SRRI level. The SRRI is an indicator and may not accurately reflect future volatility and market conditions.

The value of an investment in the fund can go up or down. When you sell your shares they may be worth less than you paid for them. The risk/reward rating above is based on medium-term volatility. In the future, the fund’s actual volatility could be higher or lower and its rated risk/reward level could change.

The lowest category does not mean risk free.

The fund’s risk level reflects the following:

• The fund focuses on a single region

• As a category, shares are more volatile than either bonds or money market instruments

• The fund’s short exposures mean it can lose money if certain shares rise in price

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events.

The full list of the fund’s risks are contained in the “Risk Factors” section of the fund’s prospectus.

There has been no change in the risk rating in the year.

The SRRI conforms to the European Securities and Markets Authority (ESMA) guidelines for the calculation of the SRRI.

*The fund was launched on 4 December 2013, therefore the SRRI is calculated based on historical volatility over a rolling period since inception.

186 Henderson US Equity Long/Short Fund Portfolio statement as at 31 October 2015

Holding Investment Market Percentage value of total USD 000 net assets % Equities 77.53% (2014: 79.79%) Canada 0.00% (2014: 7.72%) Consumer Goods 0.00% (2014: 4.77%)

Industrials 0.00% (2014: 2.95%)

United States 77.53% (2014: 72.07%) Basic Materials 8.15% (2014: 4.64%) 7,860 Axalta Coating Systems 218 4.22 3,986 CF Industries 202 3.93 420 8.15

Consumer Goods 17.63% (2014: 12.46%) 5,930 Activision Blizzard 206 4.00 2,815 Electronic Arts 203 3.94 8,279 Hanesbrands 264 5.15 7,899 LKQ 234 4.54 907 17.63

Consumer Services 9.67% (2014: 10.34%) 8,248 Aramark 250 4.87 6,635 Block (H & R) 247 4.80 497 9.67

Financials 17.52% (2014: 10.58%) 3,655 American International 230 4.48 8,594 E*TRADE Financial 246 4.76 5,175 Hartford Financial Services 239 4.65 4,782 Realogy Holdings 187 3.63 902 17.52

Industrials 8.77% (2014: 11.59%) 6,657 Berry Plastics 223 4.33 1,039 Transdigm 228 4.44 4 51 8.77

Oil & Gas 0.00% (2014: 4.91%)

Technology 9.96% (2014: 13.74%) 3,423 Adobe Systems 304 5.90 3,440 Akamai Technologies 209 4.06 513 9.96

Telecommunications 5.83% (2014: 0.00%) 11,313 Zayo 300 5.83

Utilities 0.00% (2014: 3.81%)

Bonds 3.50% (2014: 0.00%) United States 3.50% (2014: 0.00%) Zero / Discount rate bond 3.50% (2014: 0.00%) USD 180,100 US Treasury 0% 10/12/2015 180 3.50

Henderson US Equity Long/Short Fund 187 Portfolio statement (continued)

Holding Investment Market Percentage value of total USD 000 net assets % Collective Investment Schemes 7.77% (2014: 0.00%) 400,051 Deutsche Global Liquidity Managed Dollar Fund Platinum Class 400 7.77

Derivatives (0.63%) (2014: (0.40%)) Contracts for Difference (0.13%) (2014: (0.42%)) Equity Contracts for Difference (0.13%) (2014: (0.42%)) (7,434) Cemex SAB de CV ADR 5 0.09 (2,643) Hertz Global Holdings^ - - (587) Intuit (5) (0.10) (547) Lyondellbasell Industries (6) (0.09) (2,447) Potash Corporation of Saskatchewan 2 0.03 (7,518) Teck Resources (1) (0.02) (498) Valspar (2) (0.04) (7) (0.13)

Futures (0.50%) (2014: 0.00%) (2) CME S&P Mid 400 EMINI December 2015 (2) (0.04) (3) CME S&P 500 EMINI December 2015 (11) (0.20) (3) NYF Russell 2000 MINI December 2015 (12) (0.26) (25) (0.50)

Forward Foreign Exchange Contracts 0.00% (2014: 0.02%) Buy USD 31,821 : Sell GBP 20,608 November 2015^ - - Buy USD 3,304 : Sell NOK 26,722 November 2015^ - - - -

Investment assets including investment liabilities 4,538 88.17 Other net assets 609 11.83 Total net assets 5,147 100.00

^ Due to rounding to nearest £1,000

188 Henderson US Equity Long/Short Fund Statement of total return for the year ended 31 October 2015

2015 04/12/13 to 31/10/14 Notes USD 000 USD 000 USD 000 USD 000

Income Net capital gains/(losses) 2 348 (13) Revenue 4 14 48 Expenses 5 (148) (85) Finance costs: Interest 7 (3) (4)

Net expense before taxation (137) (41) Taxation 6 - (10)

Net expense after taxation (137) (51)

Total return before distributions 2 11 (64)

Finance costs: Distributions - -

Change in net assets attributable to shareholders from investment activities 211 (64)

Statement of change in net assets attributable to shareholders for the year ended 31 October 2015

2015 04/12/13 to 31/10/14 USD 000 USD 000 USD 000 USD 000

Opening net assets attributable to shareholders† 4,936 -

Amounts receivable on issue of shares - 5,000 - 5,000

Change in net assets attributable to shareholders from 2 11 (64) investment activities (see above)

Closing net assets attributable to shareholders 5,147 4,936

† Fund launched 4 December 2013.

Henderson US Equity Long/Short Fund 189 Balance sheet as at 31 October 2015

04/12/13 to Notes 2015 31/10/14 USD 000 USD 000 USD 000 USD 000 Assets Investment assets 4,577 3,953

Debtors 8 419 419 Cash and bank balances 9 327 774 Total other assets 74 6 1,193

Total assets 5,323 5,146

Liabilities Investment liabilities 39 34

Creditors 10 10 131 Bank overdrafts 127 45 Total other liabilities 137 176

Total liabilities 176 210

Net assets attributable to shareholders 5,147 4,936

190 Henderson US Equity Long/Short Fund Notes to the financial statements

1 Accounting policies The accounting policies, distribution policy and potential risks are set out in notes 1 to 3 to the aggregated financial statements on pages 9 to 15. .

2 Net capital gains/(losses) Net capital gains/(losses) on investments during the year comprise: 04/12/13 to 2015 31/10/14 USD 000 USD 000

Derivative contracts 31 (227) Forward currency contracts 5 12 Non-derivative securities 319 210 Other currency losses (2) - Transaction costs (5) (8)

Net capital gains/(losses) on investments 348 (13)

3 Portfolio transaction costs 04/12/13 to 2015 31/10/14 USD 000 USD 000

Purchases in year before transaction costs 15,926 17,860

Commissions 20 16

Total purchase transaction costs* 20 16

Purchases including transaction cost 15,946 17,876

Sales in year before transaction costs 15,653 13,957

Commissions (20) (16) Total sale transaction costs* (20) (16)

Sales net of transaction costs 15,633 13,941

Transaction handling charges* 5 8

* These amounts have been deducted in determining net capital gains/(losses).

4 Revenue 04/12/13 to 2015 31/10/14 USD 000 USD 000

Derivative revenue (14) (25) Interest on debt securities - (1) Overseas dividends 28 74

Total revenue 14 48

Henderson US Equity Long/Short Fund 191 Notes to the financial statements (continued)w

5 Expenses 04/12/13 to 2015 31/10/14 USD 000 USD 000 Payable to the ACD, associates of the ACD and agents of either of them: ACD’s periodic charge 91 79 GAC* 2 2 Performance fees 54 3 147 84

Payable to the Depositary, associates of the Depositary and agents of either of them: Depositary fees 1 1 1 1

Total expenses 148 85

Irrecoverable VAT is included in the above expenses where relevant. *The current audit fee is, which is levied through GAC, is 17,544 (2014: USD 15,840).

6 Taxation a) Analysis of charge in year The tax charge comprises: 04/12/13 to 2015 31/10/14 USD 000 USD 000

Overseas withholding tax - 10 Total current tax (note 6b) - 10 b) Factors affecting current tax charge for year The tax assessed for the year is different to the standard rate of corporation tax in the UK for funds of authorised open ended investment companies (OEICs) of 20%. The differences are explained below:

04/12/13 to 2015 31/10/14 USD 000 USD 000 Net revenue before taxation (137) (41)

Corporation tax at 20% (2014: 20%) (27) (8)

Effects of: Irrecoverable overseas tax - 10 Non-taxable overseas dividends** (6) (15) Unused management expenses 33 23 Current tax charge for the year (note 6a) - 10

** Overseas dividends are not subject to corporation tax from 1 July 2009 due to changes enacted in the Finance Act 2009. OEICs are exempt from tax on capital gains made in the UK. Therefore, any capital return is not included within the reconciliation above.

192 Henderson US Equity Long/Short Fund Notes to the financial statements (continued)

6 Taxation (continued) c) Deferred tax There is no provision required for deferred taxation at the Balance sheet date (2014: nil). d) Factors that may affect future tax charges At the year end, after claiming relief against revenue taxable on receipt, there is a potential deferred tax asset of USD55,961 (2014: USD23,018) in relation to surplus manangement expenses. It is unlikely that the sub-fund will generate sufficient taxable profits in the future to utilise these amounts and therefore no deferred tax asset has been recognised in the current or prior year.

7 Finance costs Distributions and interest The distributions take account of revenue received on the creation of shares and revenue deducted on the cancellation of shares, and comprise: 04/12/13 to 2015 31/10/14 USD 000 USD 000

Finance costs: Distributions - - Finance costs: Interest 3 4

Total finance costs 3 4

Net revenue after taxation (137) (51) Revenue shortfall 137 51 Finance cost: Distributions - -

Details of the distribution per share are set out in the distribution table on page 196.

8 Debtors 04/12/13 to 2015 31/10/14 USD 000 USD 000

Sales awaiting settlement 419 419

Total debtors 419 419

9 Cash and bank balances 04/12/13 to 2015 31/10/14 USD 000 USD 000

Amounts held at futures clearing houses and brokers (97) 360 Cash and bank balances 424 414

327 774

10 Creditors 04/12/13 to 2015 31/10/14 USD 000 USD 000

Accrued ACD's periodic charge 7 7 Accrued other expenses 1 1 Derivative interest 2 - Purchases awaiting settlement - 123

Total creditors 10 131

Henderson US Equity Long/Short Fund 193 Notes to the financial statements (continued)

11 Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12 Related party transactions The Financial Reporting Standard number 8 (FRS 8) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of total return’, ‘Statement of change in net assets attributable to Shareholders’ and the ‘Balance sheet’ on pages 189 and 190 and notes 5, 8 and 10 on pages 192 to 193 including all creations and cancellations where the ACD acted as principal.

HGI Investments Limited own 100% (2014: 100%) of the fund.

Material transactions throughout the year such as creations and cancellations for these shareholders are included in the Statement of change in net assets attributable to shareholders.

13 Shareholder funds The fund currently has 1 share class available; Class Y (Retail with exit charges). The annual management charge on this share class is as follows: 2015 2014 Class Y USD 1.75% 1.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 184. The distribution per share class is given in the distribution table on page 196.

14 Financial derivatives The fund has used financial derivatives for hedging and meeting the investment objectives including risk reduction and implementation of investment policies.

The use of derivatives can create additional counterparty risks. Details of the ACD’s policies for managing counterparty and other risks are set out in note 3 to the aggregated financial statements.

The type of derivative held at the year end were forward foreign currency contracts, futures and contracts for difference. Details of individual contracts are shown in the portfolio statement on page 188, and the total position by counterparty at the year end is summarised below:

At 31 October 2015 the underlying exposure for each category of derivatives were as follows: Forward foreign Contracts for Counterparty currency contracts Futures difference USD 000 USD 000 USD 000

BNP Paribas 35 - - UBS - (947) (340)

At 31 October 2014 the underlying exposure for each category of derivatives were as follows:

Forward foreign Contracts for Counterparty currency contracts difference USD 000 USD 000

UBS 147 1,310

Eligible collateral types are approved by the Investment Manager and may consist of UK gilts, certificates of deposit, treasury bills, sovereign debt, eurosterling bonds and equities.

As at 31 October 2015, no collateral was either held by the fund or had been paid out to counterparties in respect of the above.

194 Henderson US Equity Long/Short Fund Notes to the financial statements (continued)

15 Risk Value at Risk The VaR policy and risks are set out in notes 3(a) of the aggregated financial statements on page 13.

The actual VaR, limits and utilisation of those limits are summarised in the table below:

VaR results - for the year ended 31 October 2015

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Absolute VaR n/a 3.61% 5.82% 4.62% 20% 18.05% 29.09% 23.09%

VaR results - for the period 5 December 2013 to 31 October 2014

Global exposure Reference Actual VaR in year VaR Utilisation of VaR limit calculation basis portfolio Minimum Maximum Average Limit Minimum Maximum Average

Absolute VaR n/a 3.94% 7.42% 5.45% 20% 19.69% 37.11% 27.26%

Leverage The level of leverage arising from the use of derivative instruments is disclosed in the table below as a percentage of the fund’s total Net Asset Value. The calculation is based on the sum of notional exposures of financial derivative instruments in the investment portfolio including those held for risk reduction purposes.

Please note this level of leverage is explicitly not an investment limit for the fund and will vary over time under differing market conditions to ensure that the fund meets its investment objective.

Leverage - for the year ended 31 October 2015 Minimum Maximum Average 17.20% 49.24% 29.14%

Leverage - for the period 5 December 2013 to 31 October 2014 Minimum Maximum Average 1.10% 66.44% 37.27%

Henderson US Equity Long/Short Fund 195 Distribution table

Distribution table for the year ended 31 October 2015 (in USD cents per share) There are no distibutions for the fund at the interim 30 April 2015 and the final 31 October 2015 (2014: nil).

196 Henderson US Equity Long/Short Fund Further information

Shareholder enquiries

If you have any queries about your Fund holding, either contact your professional adviser or telephone us on one of the numbers below:

For dealing enquiries including buying and selling units please telephone at local rate: 0845 608 8703

The following lines are also available:

Client Services: 0800 832 832 or you can contact us via e-mail at [email protected]

We may record telephone calls for our mutual protection and to improve customer service. Henderson Global Investors is the name under which Henderson Global Investors Limited (reg. no. 906355), Henderson Fund Management Limited (reg. no. 2607112), Henderson Investment Funds Limited (reg. no. 2678531), Henderson Investment Management Limited (reg. no. 1795354), AlphaGen Capital Limited (reg. no. 962757), Henderson Equity Partners Limited (reg. no.2606646), Gartmore Investment Limited (reg. no. 1508030), (each incorporated and registered in England and Wales with registered office at 201 Bishopsgate, London EC2M 3AE) are authorised and regulated by the Financial Conduct Authority to provide investment products and services. Telephone calls may be recorded and monitored. Ref: 34V

Unless otherwise stated, all data is sourced by Henderson Global Investors.

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