PAN EUROPEAN SMALL CAP OPPORTUNITIES - AE EUR THREADNEEDLE (LUX) PROFESSIONAL INVESTORS (FOR MARKETING PURPOSES) - ALL DATA AS AT 31 AUGUST 2021 SICAV United Kingdom Investment Objective & Policy The Fund aims to increase the value of your investment over the long term. It looks to outperform the EMIX Smaller European Companies Index after the deduction of charges. Contact Details The Fund invests at least two-thirds of its assets in shares of smaller companies in Europe, including the UK, or companies that have significant operations there. The smaller companies that the Fund invests in will typically be companies smaller in size than the top 300 companies in the FTSE World Europe Index. Tel: +352 46 40 10 7190* The Fund may also invest in asset classes and instruments different from those stated above. [email protected] The Fund permanently invests a minimum of 75% of its assets in European Economic Area equities, and is therefore PEA (Plan d’Epargne en Actions) eligible in France. *Please note that calls and electronic communications The Fund is actively managed in reference to the EMIX Smaller European Companies Index. The index is broadly representative of the companies in which the Fund invests, and provides a suitable target benchmark against which Fund performance will be measured and evaluated over time. The fund manager has discretion to select investments with weightings may be recorded. different to the index, and that are not in the index, and the Fund may display significant divergence from the index. Deviations from the index, including guidelines on the level of risk relative to the index, will be considered as part of the fund manager’s risk monitoring process, to ensure the overall level IFDS, 47, avenue J.F. Kennedy, L-1855, Luxembourg of risk is broadly consistent with the index. In line with its active management strategy, there may be significant deviation from the index. Fund Manager: Philip Dicken, Mine Tezgul Since: Apr-19, Dec-19 Management Co: Threadneedle Man. Lux. S.A. Fund Inception Date: 23/01/07 Index: EMIX Smaller European Companies Investment Approach Morningstar Category Europe Small/ The fund invests mainly in European small and mid-sized companies, and typically holds between 80 and 100 positions. The portfolio manager Peer Group: can take significant country and sector positions relative to the index. Research is carried out by our European small-cap team across a wide Mid-Cap Equity Combined range of mid-sized and smaller companies. Access to company management is an important part of our research process and we have over 500 Fund Currency: EUR contacts with management per annum. Fund Domicile: Luxembourg We use this research to select companies which can generate and sustain high returns on capital via successful business models. This usually XD Date: - means that the companies have competitive advantages which boost pricing power and we use Professor Michael Porter’s framework, “Porter’s Five Forces”, to assess this. The market assumes that these competitive advantages will fade over time; we seek companies which can resist Pay Date: - this tendency and are therefore undervalued. Portfolio Size: €1,079.6m We are not constrained by mechanistic limits on sector and country weightings, barring those which are required under applicable regulations. In No. of Securities: 89 order to manage risk, we carefully limit the maximum percentage exposure to any one company. All information expressed in EUR PAN EUROPEAN SMALL CAP OPPORTUNITIES - AE EUR ISIN: LU0282719219 Share Class Price: 63.1493 Ongoing Charges (OCF): 1.85% (as at 31/03/21) Performance Fee: No The ongoing charges figure (OCF) is usually based on the last year’s 5 Years (EUR) Calendar Years (EUR) expenses and may vary from year to year. It includes charges such as 220 40% the fund’s annual management charge, registration fee, custody fees and distribution cost but excludes the costs of buying or selling assets 200 30% for the fund (unless these assets are shares of another fund). For a more detailed breakdown please visit 180 20% www.columbiathreadneedle.com/fees. In some cases, the ongoing charges figure may be based on an estimate of future charges, either 160 10% because the share/unit class is relatively new and has an insufficient 140 track record to be calculated exactly, or if historic figures are unlikely to 0% accurately reflect future ongoing costs. 120 Please see table of Share Classes available on page 4. -10% 100 -20% Fund Changes 08/16 08/17 08/18 08/19 08/20 08/21 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 For detailed information on Fund Changes please see "Significant Share Class Peer Median Share Class Peer Median Events - Threadneedle (Lux) Funds" PDF available on https:// www.columbiathreadneedle.com/en/changes Annualised Performance (EUR) 1M 3M 6M YTD 1 YR 2 YR 3 YR 5 YR 10 YR SI Ratings/Awards Share Class (Net) 4.2 9.7 17.6 22.3 38.5 27.5 15.7 15.6 16.3 -- Peer Median (Net) 3.2 7.2 18.6 23.8 42.9 24.3 11.8 12.1 13.7 -- Peer Percentile 23% 26% 68% 62% 69% 30% 24% 23% 12% -- Peer Quartile 1 2 3 3 3 2 1 1 1 -- Fund (Gross) 4.4 10.3 18.9 23.9 41.5 28.9 17.3 17.5 18.2 -- For more information on the methodology of the Morningstar rating Index (Gross) 3.3 6.1 18.2 23.5 44.9 23.6 13.1 12.9 13.5 -- please visit www.morningstar.com Since Inception Returns from: 24/01/07 Calendar Year Performance (EUR) 12M Rolling Period (EUR) 2020 2019 2018 2017 2016 09/20 - 09/19 - 09/18 - 09/17 - 09/16 - 08/21 08/20 08/19 08/18 08/17 Share Class (Net) 13.1 37.0 -12.4 23.5 -1.1 38.5 17.4 -4.7 15.7 15.2 Peer Median (Net) 10.7 29.5 -16.5 19.9 0.1 42.9 8.0 -8.2 8.5 16.4 Peer Percentile 41% 10% 19% 23% 61% 69% 24% 26% 10% 63% Peer Quartile 2 1 1 1 3 3 1 2 1 3 Fund (Gross) 13.3 39.8 -10.5 25.9 0.1 41.5 17.4 -2.8 18.1 17.5 Index (Gross) 7.8 29.3 -14.1 17.6 2.9 44.9 5.4 -5.1 8.2 17.1 Net returns – Net (of fee) returns assume income is reinvested for a local taxpayer, bid to bid performance (which means performance does not include the effect of any initial charges). Source Copyright © 2021 Morningstar UK Limited. Gross Fund returns - Gross Fund returns (where shown) are in-house calculated daily time weighted based on global close valuations with cash flows at start of day and are gross of fees. Past performance is not a guide to future performance. The performance data does not take account of the commissions and costs incurred on the issue and redemption of units. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by exchange rate fluctuations. This means that an investor may not get back the amount invested. Index returns assume reinvestment of dividends and capital gains and unlike fund returns do not reflect fees or expenses. The index is unmanaged and cannot be invested directly. The Morningstar Categories for funds in the Europe/Asia/Africa universe include funds domiciled in Europe and/or traded on European Markets. Morningstar regularly reviews the category structure and the funds within each category to ensure that the system meets the needs of investors and keeps pace with market developments. The performance shown includes Open End Funds and Exchange Traded Funds only and is filtered by Primary Share Class in Morningstar Offshore Territories Classification.

Source: FactSet For CTI's use only: SXEUSM Top 10 Holdings (%) Fund Currency Exposure including Hedging Security Name Fund Index SIG Combibloc Group Ltd 2.5 0.3 Materials

Genus plc 2.5 0.2 Health Care EUR 41.9% CVS Group plc 2.5 0.1 Health Care GBP 33.6% MIPS AB 2.5 0.1 Consumer Discretionary SEK 12.2% CHF 10.3% Fluidra, S.A. 2.3 0.3 Industrials DKK 1.5% Howden Joinery Group PLC 2.3 0.3 Industrials NOK 0.5% USD 0.0% Avanza Bank Holding AB 2.2 0.2 Financials SGD 0.0% 2.0 0.2 Communication Services CompuGroup Medical SE & Co. KGaA 2.0 0.2 Health Care Korian SA 2.0 0.1 Health Care

Total 22.8 2.0 All % are as at calendar month end based at global close gross valuation point and on a look- through exposure basis to underlying assets including forward currency positions. Weightings (%) Sector Fund Index Diff Country Fund Index Diff Industrials 23.0 22.9 0.1 United Kingdom 33.6 26.9 6.7 Health Care 18.3 9.4 8.9 Germany 16.2 11.4 4.9 Information Technology 17.0 10.4 6.6 Sweden 12.2 11.9 0.3 Consumer Discretionary 10.7 12.6 -1.9 Switzerland 10.3 8.6 1.7 Communication Services 8.8 5.4 3.4 France 7.5 8.2 -0.7 Materials 8.4 7.0 1.4 Italy 4.2 6.9 -2.7 Financials 8.3 12.4 -4.1 Finland 3.5 3.2 0.3 Real Estate 2.5 10.0 -7.5 Spain 2.9 3.8 -0.9 Consumer Staples 2.0 4.5 -2.5 Belgium 2.7 3.5 -0.8 Energy 0.0 2.0 -2.0 Denmark 1.5 2.9 -1.4 Utilities -- 3.4 -3.4 Ireland 1.4 0.8 0.6 Cash Equivalents 0.7 -- 0.7 Other 3.1 12.1 -9.0 Cash 0.2 -- 0.2 Cash Equivalents 0.7 -- 0.7 Cash 0.2 -- 0.2 Top 10 Overweight/Underweight (%) 3 Month Largest Position Changes Overweight Fund Index Diff Underweight Fund Index Diff Security Name 3 Mth Change CVS Group plc 2.5 0.1 2.4 Wm Morrison Supermarkets plc -- 0.3 -0.3 Tikkurila Oyj -1.1 MIPS AB 2.5 0.1 2.4 TOMRA Systems ASA -- 0.3 -0.3 Stillfront Group AB -0.9 2.5 0.2 2.3 PLC -- 0.3 -0.3 Keywords Studios plc 0.6 SIG Combibloc Group Ltd 2.5 0.3 2.2 Wacker Chemie AG -- 0.3 -0.3 Cherry AG 0.6 Fluidra, S.A. 2.3 0.3 2.0 Avast Plc -- 0.3 -0.3 Burckhardt Compression Holding AG -0.4 Howden Joinery Group PLC 2.3 0.3 2.0 Warehouses De Pauw SCA -- 0.3 -0.3 IMCD N.V. -0.4 Avanza Bank Holding AB 2.2 0.2 2.0 D'Ieteren Group Societe anonyme -- 0.3 -0.3 Future plc 0.4 CANCOM SE 1.9 0.1 1.9 Deliveroo plc Class A -- 0.3 -0.3 Group PLC 0.3 Korian SA 2.0 0.1 1.8 Evotec SE -- 0.3 -0.3 NORMA Group SE -0.3 CompuGroup Medical SE & Co. KGaA 2.0 0.2 1.8 voestalpine AG -- 0.3 -0.3 Fluidra, S.A. -0.3

Top Positive/Negative Security Attribution (3 Months) Fund Index Attri. Fund Index Attri. Contr. Geo. Contr. Geo. Avg. Total Avg. Total Avg. Total Avg. Total To Total To Total Security Name - 10 Highest Weight Return Weight Return Security Name - 10 Lowest Weight Return Weight Return Return Effect Return Effect MIPS AB 2.3 41.3 0.9 0.1 40.1 0.6 Stillfront Group AB 0.9 -35.7 -0.4 0.1 -35.1 -0.4 VAT Group AG 1.8 41.5 0.7 -- -- 0.5 Johnson Service Group PLC 1.8 -12.8 -0.3 0.0 -12.9 -0.3 Future plc 1.8 35.9 0.6 0.2 36.0 0.4 Munters Group AB 1.5 -9.2 -0.2 0.1 -9.6 -0.2 Watches of Switzerland Group PLC 1.7 29.4 0.5 0.1 29.6 0.3 Elekta AB Class B 1.5 -11.3 -0.2 0.2 -11.0 -0.2 SIG Combibloc Group Ltd 2.4 19.1 0.5 0.3 19.2 0.2 Dalata Hotel Group Plc 0.9 -14.4 -0.2 0.0 -14.3 -0.2 Strix Group PLC 1.3 27.3 0.3 -- -- 0.2 NORMA Group SE 1.1 -9.5 -0.1 0.1 -9.4 -0.2 Genus plc 2.4 17.8 0.4 0.2 17.9 0.2 CTS Eventim AG & Co. KGaA 2.1 -2.8 -0.1 0.2 -2.8 -0.2 BELIMO Holding AG 1.5 27.3 0.4 0.2 27.3 0.2 Stabilus SA 1.7 -3.2 -0.1 0.1 -3.5 -0.1 Howden Joinery Group PLC 2.2 18.9 0.4 0.3 19.0 0.2 Wm Morrison Supermarkets plc ------0.3 64.4 -0.1 Nemetschek SE 0.8 37.0 0.3 -- -- 0.2 Fagron SA 1.2 -4.8 -0.1 0.1 -4.7 -0.1

Page 2 - Pan European Small Cap Opportunities - AE EUR Relative Monthly Net Returns vs Peer Median

4% 3.4% 2.9% 2.5%

2% 1.9% 1.6% 1.5% 1.4% 1.4% 1.3% 1.3% 1.2% 1.2% 1.1% 1.1% 1.1% 1.0% 1.0% 0.9% 0.9% 0.9% 0.9% 0.7% 0.7% 0.6% 0.6% 0.5% 0.6% 0.5% 0.4% 0.4% 0.3% 0.4% 0.2% 0.2% 0.2% 0.1% 0% 0.0% 0.0% 0.0% 0.0% Return -0.2% -0.2% -0.2% -0.1% -0.2% -0.2% -0.4% -0.6% -0.7% -0.7% -0.7% -0.8%

-2% -0.9% -1.0% -1.1% -1.4% -1.9% -2.2% -4% -4.1% -6% -4.5%

09/16 03/17 09/17 03/18 09/18 03/19 09/19 03/20 09/20 03/21

Net Returns - All performance is sourced from Morningstar. Returns are calculated on a bid-bid basis and are net of all other expenses. Returns assume income is invested for local taxpayer. Gross Returns - Gross Fund returns (where shown) are inhouse calculated daily time weighted based on global close valuations with cash flows at start of day and are gross of fees. Relative returns are calculated on a geometric basis. Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise. All positions are based on gross portfolio asset valuations at global close. Groupings of securities, e.g. sectors are in-house defined and are for comparative purposes only. Risk Analysis Portfolio Statistics Market Cap Breakdown Chart 3 YR 5 YR Fund Index Fund Index Fund Index Price to Earnings 45.1 -- Absolute Volatility 19.6 20.7 16.0 16.8 Price to Book 4.5 1.8 Relative Volatility 1.0 -- 1.0 -- 10bn - 20bn 3.8% Dividend Yield 0.8 1.7 5bn - 10bn 21.6% Tracking Error 6.6 -- 5.7 -- 2bn - 5bn 47.8% Sharpe Ratio 0.9 -- 1.1 -- Return On Assets 0.9 0.0 1bn - 2bn 19.6% 500m - 1bn 7.1% Information Ratio 0.6 -- 0.8 -- Return on Equity 10.1 16.0 <500m 0.0% Beta 0.9 -- 0.9 -- Active Share 91.2 -- Sortino Ratio 1.4 -- 1.7 -- Jensen Alpha 5.5 -- 5.9 --

Annualised Alpha 5.0 -- 5.4 -- Currency: EUR Analytics are based on global close valuations using Columbia Alpha 0.4 -- 0.4 -- Drawdown Max Drawdown -25.1 -27.6 -25.1 -27.6 Threadneedle Investments sourced market attributes. Underlying securities data may be provisional or based on 0% R² 89.9 -- 88.6 -- estimates. Market cap weightings include cash in the % -5% Ex post risk calculations are based on monthly gross global close returns. calculations. -10%

-15%

-20%

-25%

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

Performance Attribution (Year to Date) Total Effect Analysis (Year to Date)

Geometric Attrib. 10 Var. In Fund Index Rel. Index Avg. Total Total Total Rel. to Alloc. Selec. Total Health Care 8 Weight Return Return Return Total Effect Effect Effect Consumer Staples 6 Communication Energy Communication Services 3.0 9.8 15.6 -5.1 -6.3 -0.2 -0.4 -0.6 Services Consumer Discretionary -2.7 38.3 21.6 13.7 -1.5 0.0 1.3 1.3 Materials 4 Industrials Consumer Staples -2.7 21.1 21.5 -0.3 -1.6 0.0 0.0 0.0 Total 2 Energy -1.9 0.1 -0.4 0.5 -19.4 0.4 0.0 0.4 Information Technology Financials -4.8 30.7 27.5 2.5 3.3 -0.1 0.2 0.1 Consumer Discretionary 0 Health Care 10.0 20.2 26.2 -4.8 2.3 0.2 -0.9 -0.7 Utilities Industrials 0.6 28.0 26.2 1.4 2.3 0.0 0.4 0.5 -2 Information Technology 6.9 15.4 28.4 -10.1 4.0 0.3 -1.7 -1.4 Financials -4 Variation in Average Weight Materials 1.5 26.4 23.1 2.8 -0.3 0.0 0.3 0.2 -6 Real Estate -7.5 37.0 25.2 9.5 1.4 -0.1 0.2 0.1 Real Estate Utilities -3.6 -- 3.3 -3.2 -16.4 0.6 -- 0.6 -8 Total -- 23.9 23.5 0.4 -- 0.9 -0.5 0.4 -10 -5 0 5 10 15 Relative Total Return Performance Attribution - Rolling 3 Month Total Effects 3 Month Effect Totals

Geometric Attrib. 6.0 Alloc. Selec. Total Fund Index Total Total Alloc. Selec. Total 4.0 Return Return Effect Effect Effect 2.0 Aug-20 - Nov-20 8.1 10.5 0.0 -2.1 -2.2 0.0 Nov-20 - Feb-21 10.0 11.0 0.6 -1.5 -0.9 Feb-21 - May-21 7.9 11.3 -0.7 -2.5 -3.1 -2.0 May-21 - Aug-21 10.3 6.1 1.1 2.8 3.9 -4.0 11/20 02/21 05/21 08/21

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

Page 3 - Pan European Small Cap Opportunities - AE EUR Share Classes Available Entry WKN/ Share Class Curr Tax OCF OCF Date Min Inv. Launch ISIN SEDOL BBID Valor/ Hedged Charge CUSIP AE Acc EUR Gross 1.85% 31/03/21 5.00% 2,500 23/01/07 LU0282719219 B54LTV7 AMESMAE LX A0MNG1 No AE Acc USD Gross 1.85% 31/03/21 5.00% 2,500 01/10/07 LU0757432546 B8F2PH8 TESCAEE LX A1JVME No ASH Acc SGD Gross 1.85% 31/03/21 5.00% 2,500 23/03/12 LU0640478920 -- TESCASH LX A1JV3G Yes AUH Acc USD Gross 1.85% 31/03/21 5.00% 2,500 03/07/18 LU1815337495 BFNBMW0 THECAUH LX A2JK1B Yes DE Acc EUR Gross 2.75% 31/03/21 1.00% 2,500 23/01/07 LU0282720225 B71J2N1 AMESMDE LX A0PAM8 No DE Acc USD Gross 2.75% 31/03/21 1.00% 2,500 01/10/07 LU0757432629 B8F0QF7 TESCDEE LX A1JVMF No DUH Acc USD Gross 2.75% 31/03/21 1.00% 2,500 03/07/18 LU1815337578 BFNBMX1 THECDUH LX A2JK1C Yes IE Acc EUR Gross 1.10% 31/03/21 0.00% 100,000 17/08/12 LU0329573587 BFP9W22 AMESMIE LX A0Q18U No The Share Class currency, unless indicated as a Hedged Share Class, is a translated price using exchange rates at the official valuation point of the fund. This is intended as a way to access a Share Class in your chosen currency and does not reduce your overall exposure to foreign currency. The fund currency indicates the highest currency exposure of the fund unless the currency breakdown is detailed in the Weightings % table on page 2.

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

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

Index data source: Euromoney indices – Euromoney Smaller Companies Index

Page 4 - Pan European Small Cap Opportunities - AE EUR Modified Date - 09 September 2021