Henderson Investment Funds SeriesIII

INTERIM30 April2015 For thesixmonthsended 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 £89.4bn† (31 March 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 , Henderson offers clients access to all major markets around the globe. Henderson has offices located in Chicago, Hartford, Milwaukee, Philadelphia, Edinburgh, Paris, Madrid, Zurich, Luxembourg, Amsterdam, Frankfurt, Milan, Vienna, Singapore, Beijing, Hong Kong, Tokyo and Sydney. The main Asia/Pacific operations are conducted out of Singapore and the US operations out of Chicago and Milwaukee. Equity investment professionals are also located in Edinburgh and Singapore and additional fixed income investment professionals are located in Philadelphia and Milwaukee. 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 decided to sell 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 decision to sell the stake gives 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 announced the acquisition of two Australian-based fund management boutiques, Perennial Fixed Interest and Perennial Growth Management. In a separate transaction, Henderson increased its ownership of 90 West Asset Management to 100%. 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.

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.

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

† Source: Henderson Global Investors. Contents

Authorised Corporate Director’s (ACD) report Page 1

Market review Page 2

Investment Funds Series III aggregated financial statements Page 4

Aggregated notes to the financial statements Page 6

Sub-funds financial statements

Henderson UK Index Fund Page 7

Henderson UK Tracker Fund Page 31

Further information Page 45 Authorised Corporate Director’s (ACD) report

We are pleased to present the Interim Report and Accounts for Henderson Investment Funds Series III for the six months ended 30 April 2015.

Authorised status Henderson Investment Funds Series III (the “Company”) 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 14 March 2003. It is an umbrella company, comprising two sub-funds. The Company is a UCITS scheme.

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

Advisers

Name Address Regulator Authorised Corporate Henderson Investment Registered Office: Authorised and regulated by Director Funds Limited which is the 201 Bishopsgate the Financial Conduct Authority Director London Member of The Investment EC2M 3AE Association (formerly Investment Registered in England Management 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 State Street Global 20 Churchill Place Authorised and regulated by Advisers London the Financial Conduct Authority E14 5HJ

Shareholder Administrator International Financial IFDS House Authorised and regulated by Data Services (UK) Limited St Nicholas Lane the 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 the Royal Bank of Scotland Conduct Authority and the Group Plc. Prudential Regulation Authority.

Independent Auditors PricewaterhouseCoopers 141 Bothwell Street Institute of Chartered LLP Glasgow Accountants in England G2 7EQ and Wales

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

Henderson Investment Funds Series III 1 Market review for the six months ended 30 April 2015

Returns are sterling total returns unless otherwise stated.

Overview Global equity markets rose strongly over the six months in review. US equities hit record highs in March, but their strength in sterling terms over the six months was largely down to dollar appreciation. The period was marked by a collapse in the oil price. 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. Towards the end of the review period, the oil price began to recover, as US production slowed and fighting in Yemen threatened to disrupt supply. Continuing economic recoveries in the US and the UK encouraged investors even as the US Federal Reserve (the Fed) ended its programme of government bond purchases (known as quantitative easing, or ‘QE’). In Europe, the European Central Bank (ECB) provided further support for markets. Against a background of deflation in the region, the ECB announced in January that it would expand its asset-purchase programme to include government bonds. The ECB was not alone in loosening monetary policy. As the review period began, the Bank of Japan unexpectedly introduced an expansion of its own stimulus package. Central banks in Australia, China and a range of other countries also cut rates during the period. These developments helped markets overcome concerns about the global economy, conflict in Ukraine and the Middle East and, latterly, the election of anti-austerity party Syriza in Greece.

UK Amid generally positive news on the domestic economy, the UK stock market rose over the period, despite some weakness attributable to the UK 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. GDP growth, for example, slowed from 0.7% in the third quarter to 0.6% in the fourth, and to 0.3% in the first quarter of 2015. Meanwhile, unemployment continued to decline; the jobless rate had fallen to 5.6% by the end of February. Inflation also continued along a downward trajectory, prompting Bank of England governor Mark Carney to remark early in 2015 that it is “more likely than not” that inflation will soon turn negative. Indeed, headline inflation fell to zero in February, pushing expectations for an interest-rate rise further into the future. Towards the end of the review period, politics had an impact on investor sentiment, with uncertainty surrounding the outcome of the general election..

Europe European equities performed strongly over the six months in review, aided by accommodative central-bank measures and a consequent weakening of the euro. Before the review period began, the European Central Bank (ECB) had cut interest rates to 0.05% and revealed a programme of asset purchases in response to a sluggish economy and dwindling inflation. Although the programme did not extend to buying government bonds – which was opposed by key member states – the central bank indicated that this remained an option. In January, now faced with outright deflation, the ECB duly announced that it was widening the programme to include sovereign bonds, with combined asset purchases of €60 billion per month from March 2015 until September 2016. Much of the remainder of the period 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. Nevertheless, these concerns were not enough to overturn positive sentiment regarding the ECB’s monetary policy, and European equities continued to rise.

US In sterling terms, the US stock markets delivered robust returns over the period as a stronger dollar inflated returns for sterling-based investors. While the Federal Reserve (the Fed) was subsequently proved right in its repeated assurances that the end of its bond-buying programme in October would not lead to an immediate rise in interest rates, 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 period, 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. In March, the Fed subtly changed its policy guidance, signalling that it would now consider raising rates as early as June, should it judge the economy to be in a strong enough position; at the same time, however, it predicted a shallower trajectory for rate rises when they did occur. Some US economic data disappointed the market, such as fourth- quarter GDP growth, which remained unchanged in March from its earlier downward revision. Meanwhile, first-quarter growth registered at 0.2%, although this was attributed to harsh winter weather. However, a solid recovery remained in evidence, especially when compared with certain other major economies: the US was shown to have grown by 2.4% in 2014 versus 0.9% from the eurozone.

2 Henderson Investment Funds Series III Market review (continued)

Japan Japanese equities performed strongly over the six months, despite the Japanese economy having fallen into technical recession during the period. 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, supported by an unexpected expansion of the Bank of Japan’s quantitative easing programme. The weakening of the yen that followed this expansion was seen as positive for Japan’s export sector and for inbound tourism. GDP growth for the fourth quarter came in at 0.6% (later revised down to 0.4%). Though this was below expectations, the number marked an emergence from technical recession after the two previous periods of contraction. The Bank of Japan maintained its stimulus at the new level throughout the remainder of the period and stated that its target 2% inflation could still be achieved within around two years.

Asia & Emerging Markets Ironically, perhaps, worries over the Chinese economy – which was shown to have grown at its slowest pace for 24 years in 2014 – helped Chinese stocks to outperform during the period. As economic data readings continued to disappoint, investors grew increasingly convinced that the Chinese government would intervene to boost the economy. This it duly did. Surprise interest-rate cuts in November and again in February prompted stock-market rallies, while further disappointing economic data in March and April sparked hopes of still more aggressive stimulus. Indeed, easing of policy by central banks in the Asia Pacific region was a notable feature of the period, with Australia, Korea, India and Singapore among other countries to cut their interest rates. This looser monetary environment helped Asian markets to rise strongly in aggregate over the six months.

Emerging markets began the period in a state of wariness regarding the imminent end of the Fed’s long-running programme of government bond purchases (known as quantitative easing, or ‘QE’). However, just days after the programme ended, the Bank of Japan provided the same markets with an unexpected boost by announcing an expansion to its own QE programme. The collapse in the oil price in the second half of 2014 was particularly keenly felt in emerging markets. While net oil importers, such as India, enjoyed an unexpected benefit, large exporters saw their stock markets and currencies weaken dramatically. Russia was a prime example, although it also suffered from the effects of Western sanctions. While the rouble and the Russian stock market recovered strongly in the first quarter of 2015, this was not enough to outweigh losses earlier in the review period. In Latin America, Brazil was affected by concerns about the lower price of oil and other commodities, with the election victory of incumbent President Dilma Rousseff also damaging sentiment: investors had hoped for a new, more fiscally accommodative administration.

Fixed Income and currencies Overall, core government bond markets delivered positive returns over the period, supported by the European Central Bank’s (ECB’s) January announcement that it would begin purchasing government bonds in March of this year. The 10-year gilt yield fell, thanks partly to the relative attractiveness of gilt yields compared with eurozone equivalents (yields fall as prices rise). Meanwhile, the German equivalent also fell in the same period, although bund yields spiked in the final month as bids at an auction of five-year government debt fell short of expectations. Record low UK inflation, which declined to zero in February and remained unchanged in April, 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. Investment-grade corporate bonds performed well, driven by lower gilt yields and marginally tighter corporate yield spreads. In the European high-yield market, meanwhile, 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.

Sterling fared well against the euro over the six months, 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 sterling during the period. Despite the UK economy having outpaced the US in 2014, markets became increasingly confident that the Federal Reserve would raise interest rates first, while uncertainty over the upcoming UK general election also weighed on the pound. 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 the first quarter of 2015 as the oil price stabilised.

Henderson Investment Funds Series III 3 Aggregated statement of total return for the six months ended 30 April 2015 (unaudited)

30/04/15 30/04/14 £000 £000 £000 £000

Income Net capital gains 23,351 4,619 Revenue 5,782 4,466 Expenses (1,188) (1,434)

Net revenue before taxation 4,594 3,032 Taxation (60) (5)

Net revenue after taxation 4,534 3,027

Total return before distributions 27,885 7,646

Finance costs: Distributions (4,539) (3,031)

Change in net assets attributable to shareholders from investment activities 23,346 4,615

Aggregated statement of change in net assets attributable to shareholders for the six months ended 30 April 2015 (unaudited)

30/04/15 30/04/14 £000 £000 £000 £000

Opening net assets attributable to shareholders 332,855 358,385

Amounts receivable on issue of shares 2,366 7,204 Amounts payable on cancellation of shares (22,324) (18,101) (19,958) (10,897)

Stamp duty reserve tax – (41)

Unclaimed distributions 1 –

Change in net assets attributable to shareholders from investment activities (see above) 23,346 4,615

Retained distribution on accumulation shares 4,091 2,731

Closing net assets attributable to shareholders 340,335 354,793

4 Henderson Investment Funds Series III Aggregated balance sheet as at 30 April 2015 (unaudited)

30/04/15 31/10/14 £000 £000 £000 £000 Assets Investment assets 334,522 324,865

Debtors 2,464 643 Cash and bank balances 6,508 8,226 Total other assets 8,972 8,869

Total assets 343,494 333,734

Liabilities Investment liabilities – 174

Creditors 817 477 Bank overdraft 2,023 – Distribution payable on income shares 319 228 Total other liabilities 3,159 705

Total liabilities 3,159 879

Net assets attributable to shareholders 340,335 332,855

Certification of financial statements by a Director of the ACD

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

Lesley Cairney (Director)

16 June 2015

Henderson Investment Funds Series III 5 Aggregated notes to the financial statements as at 30 April 2015 (unaudited)

Accounting policies The accounting and distribution policies applied are consistent with those of the financial statements for the year ended 31 October 2014 and are described in those annual accounts.

6 Henderson Investment Funds Series III Henderson UK Index Fund Authorised Corporate Director’s report

Fund Manager Mark Davey

Investment objective and policy This fund is designed to track the capital performance of the FTSE All-Share Index and to maintain a gross income yield equal to that of the Index. The fund is managed on a fully invested basis and has a portfolio of typically, over 600 stocks comprising the FTSE All-Share Index although, occasionally, the fund may invest in stocks outside the Index. The emphasis is on maintaining tracking precision. Stocks are screened to minimise deviation from the Index. The portfolio also maintains a balance between large and small capitalisation stocks.

The fund may also invest at the Manager’s discretion in other transferable securities, money market instruments, cash and near cash, derivative instruments and forward transactions, deposits and units in collective investment schemes (use may be made of stocklending, borrowing, cash holdings, hedging and other investment techniques permitted in applicable FCA (Financial Conduct Authority) Rules).

Performance summary

Cumulative performance Six One Five Since months year years launch 01 Nov 14- 30 Apr 14- 30 Apr 10- 1 Feb 99- 30 Apr 15 30 Apr 15 30 Apr 15 30 Apr 15 % % % %

Henderson UK Index Fund 8.6 6.6 49.8 109.1 FTSE All-Share Total Return Index 9.2 7.5 56.0 –*

Discrete performance 30 Apr 14- 30 Apr 13- 30 Apr 12- 30 Apr 11- 30 Apr 10- 30 Apr 15 30 Apr 14 30 Apr 13 30 Apr 12 30 Apr 11 % % % % %

Henderson UK Index Fund 6.6 9.4 17.0 (2.2) 12.3

Source: Morningstar, bid to bid and net of fees as at valuation point, based on performance of class A accumulation. Benchmark values are as at close of business.

Figures in brackets are negative.

* Benchmark return is not quoted as the Fund inception date is earlier than the benchmark 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.

Index Tracking The fund aims to achieve its objective by investing in an optimised portfolio of constituent of the FTSE All Share Index to provide broad exposure to the benchmark whilst mimimising costs. The difference between the performance of the fund and the performance of the index tracked for the 6 months to 30 April 2015 was -0.61% which is a result of running an optimised portfolio.

Henderson UK Index Fund 7 Authorised Corporate Director’s report (continued)

Significant portfolio changes for the six months ended 30 April 2015

Largest purchases £000 Largest sales £000 AA 257 HSBC Holdings 1,010 TUI 252 Royal Dutch Shell ‘A’ (UK Listing) 599 231 BP 560 CRH 142 ICE FTSE 100 Index March 2015 551 Just Eat 121 GlaxoSmithKline 420 Merlin Entertainments 99 British American Tobacco 414 BT 97 Vodafone 332 Virgin Money Holdings 80 AstraZeneca 312 Card Factory 78 Royal Dutch Shell ‘B’ (UK Listing) 302 76 Diageo 275 Total purchases 1,668 Total sales 12,066

8 Henderson UK Index Fund Authorised Corporate Director’s report (continued)

Fund Manager’s commentary

Over the six-month period ending 30 April 2015, the Henderson UK Index Fund accumulation share class increased by 8.6% compared with the FTSE All-Share Total Return Index, which rose by 9.2%.

Global equities typically posted healthy gains in the latter part of the period after a faltering start to 2015, with many indices touching highs not seen for at least 15 years. The strength of returns to investors, at least in part, depended on the extent of their currency exposures, given some significant shifts in foreign exchange rates. The Swiss National Bank delivered an early surprise for global markets by removing the peg between the Swiss franc and the euro, which had been in place since 2011. The Bank of Canada (BoC) provided further shock by unexpectedly cutting overnight rates. The BoC’s cut was widely viewed as insurance against economic risks, which included threats to inflation, growth and financial stability. The European Central Bank (ECB) announced a larger-than-expected quantitative easing (QE) programme (central bank liquidity measures) set to continue through September 2016. The commitment to continue buying bonds is open-ended thereafter, and will carry on until it has achieved a sustained adjustment in the path of inflation. By the end of January, Denmark, Singapore, India and Turkey also eased policy by cutting interest rates, while Brazil increased rates.

Volatility subsided as oil prices stabilised and the aggressive pace of global central bank actions moderated. The positive tone of US economic data pushed yields on US 10-year government bonds higher after having fallen sharply at the beginning of the period. The improvement in mood was supported by an agreement between the European troika and Greece to extend bailout terms for four months. China eased administered rates, and perhaps more consequentially, lowered its GDP forecast for 2015 to ‘about’ 7%. Emerging market equities, commodities and global equities traded lower on the news. Subsequently, however, the US Bureau of Labor Statistics reported better-than-expected employment numbers, which could increase the likelihood that the Federal Reserve will raise rates sooner rather than later. Still, general consensus seems to be that the first rate hike will be in the third quarter of 2015. Saudi Arabia sent airstrikes into Yemen to fight Iranian-backed insurgents. The US is also involved in the Middle Eastern conflict, including via negotiating a nuclear deal in Switzerland. As word of the fighting in Yemen broke out, oil had its largest one-day rise since 2009, and gold jumped 1.9%.

UK data continued to reflect generally solid performance within the economy. Real GDP rose 0.6% in the fourth quarter of 2014, matching the outcome in the previous quarter for a year-on-year expansion of 3.0%. Fourth quarter growth was supported by a solid trade performance, as exports rose a robust 4.6% (the highest rise in six quarters) while imports rose 1.6%. Domestic demand was restrained overall and decidedly mixed. Household spending rose a respectable 0.6% but government purchases slipped 0.2% and gross fixed investment fell 0.6%, its first decline since 2012. Expectations around when the Bank of England would start to tighten monetary policy continued to be pushed out, as inflation dropped from 0.3% in January to 0% a month later.

Henderson UK Index Fund 9 Comparative tables as at 30 April 2015

Net asset value per share

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

Class A accumulation 31/10/2012 262,835,122 212,883,749 53,819,328 395.55 31/10/2013 264,824,401 237,496,348 49,292,240 481.81 31/10/2014 246,420,248 217,532,130 45,005,446 483.35 30/04/2015 251,611,202 216,472,955 41,120,220 526.44 Class A income 31/10/2012 262,835,122 21,559,698 6,917,720 311.66 31/10/2013 264,824,401 25,146,459 6,697,178 375.48 31/10/2014 246,420,248 23,901,129 6,476,684 369.03 30/04/2015 251,611,202 24,456,069 6,223,279 392.98 Class I accumulation 31/10/2012 262,835,122 28,391,675 7,026,978 404.04 31/10/2013 264,824,401 2,181,594 440,905 494.80 31/10/2014 246,420,248 4,986,989 1,002,117 497.65 30/04/2015 251,611,202 10,682,178 1,969,376 542.41

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share)

Class A accumulation 2010 7.86 384.16 306.96 2011 7.49 395.43 323.69 2012 9.58 410.96 354.65 2013 10.47 487.20 414.85 2014 9.03 506.70 449.90 2015 6.78* 535.80+ 475.80+ Class A income 2010 6.57 316.44 255.16 2011 6.12 324.83 264.19 2012 7.70 323.84 282.73 2013 8.20 379.60 326.90 2014 6.92 386.80 343.50 2015 5.13* 405.20+ 359.80+ Class I accumulation 2010 8.66 390.04 311.35 2011 8.57 401.90 329.29 2012 11.24 420.01 361.69 2013 12.59 499.70 424.01 2014 10.76 520.90 462.70 2015 7.85* 552.00+ 489.80+

+ to 30 April * to 30 June

10 Henderson UK Index 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 payments deducted from the assets of the fund during the period, except for expenses that are explicitly excluded by regulation.

30/04/15 31/10/14 % %

Class A 0.69 0.70

Class I 0.37 0.36

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

Henderson UK Index Fund 11 Risk and reward profile

The fund currently has 3 types of share class in issue: A income, A accumulation and I 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 • As a tracker fund, the fund takes no measures to reduce exposure to market risks.

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events which could amplify everyday risk and trigger other risks such as:

Counterparty risk The Fund could lose money if a counterparty with which it transacts becomes unwilling or unable to meet its obligations to the Fund.

Liquidity risk Certain securities could become hard to value or sell at a desired time and price.

Management risk Investment management techniques that have worked well in normal market conditions could prove ineffective or detrimental at other times.

The full list of the Fund’s risks are contained in the “Risk Factors” section of the Fund’s prospectus.

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

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

12 Henderson UK Index Fund Portfolio statement as at 30 April 2015

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

Equities 98.35% (31/10/2014: 97.60%) Canada 0.01% (31/10/2014: 0.01%) Basic Materials 0.01% (31/10/2014: 0.01%) 11,077 African Barrick Gold 32 0.01 –––––––––––––––– ––––––––––––––

Egypt 0.04% (31/10/2014: 0.03%) Basic Materials 0.04% (31/10/2014: 0.03%) 158,908 Egypt 101 0.04 –––––––––––––––– ––––––––––––––

Eurozone 0.01% (31/10/2014: 0.01%) Financials 0.01% (31/10/2014: 0.01%) 15,189 JP Morgan European Investment Trust 37 0.01 –––––––––––––––– ––––––––––––––

Germany 0.22% (31/10/2014: 0.10%) Consumer Services 0.22% (31/10/2014: 0.10%) 44,591 TUI 545 0.22 –––––––––––––––– ––––––––––––––

Gibraltar 0.03% (31/10/2014: 0.03%) Consumer Services 0.03% (31/10/2014: 0.03%) 88,500 Bwin.Party Digital Entertainment 74 0.03 –––––––––––––––– ––––––––––––––

Guam 0.05% (31/10/2014: 0.05%) Financials 0.05% (31/10/2014: 0.05%) 86,238 International Public Partnership 118 0.05

Ireland 2.46% (31/10/2014: 2.00%) Basic Materials 0.01% (31/10/2014: 0.01%) 375,185 Kenmare Resources 14 0.01 –––––––––––––––– ––––––––––––––

Consumer Goods 0.07% (31/10/2014: 0.05%) 46,356 164 0.07 –––––––––––––––– ––––––––––––––

Health Care 1.47% (31/10/2014: 1.23%) 66,743 Shire 3,561 1.41 31,526 UDG Healthcare 168 0.06 –––––––––––––––– –––––––––––––– 3,729 1.47 –––––––––––––––– ––––––––––––––

Industrials 0.91% (31/10/2014: 0.71%) 92,368 CRH 1,689 0.67 9,643 DCC 401 0.16 24,256 Grafton 200 0.08 –––––––––––––––– –––––––––––––– 2,290 0.91 –––––––––––––––– ––––––––––––––

Israel 0.00% (31/10/2014: 0.00%) Technology 0.00% (31/10/2014: 0.00%) 62,620 BATM Advanced Communications 8 – –––––––––––––––– ––––––––––––––

Henderson UK Index Fund 13 Portfolio statement (continued)

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

Japan 0.02% (31/10/2014: 0.02%) Financials 0.02% (31/10/2014: 0.02%) 13,498 Baillie Gifford Japan Investment Trust 61 0.02 –––––––––––––––– ––––––––––––––

Luxembourg 0.03% (31/10/2014: 0.02%) Financials 0.03% (31/10/2014: 0.02%) 38,820 69 0.03 –––––––––––––––– ––––––––––––––

Mexico 0.06% (31/10/2014: 0.06%) Basic Materials 0.06% (31/10/2014: 0.06%) 19,754 Fresnillo 142 0.06 –––––––––––––––– ––––––––––––––

Netherlands 5.92% (31/10/2014: 7.01%) Oil & Gas 5.92% (31/10/2014: 7.01%) 440,745 Royal Dutch Shell ‘A’ (UK Listing) 9,078 3.61 278,027 Royal Dutch Shell ‘B’ (UK Listing) 5,823 2.31 –––––––––––––––– –––––––––––––– 14,901 5.92 –––––––––––––––– ––––––––––––––

Peru 0.01% (31/10/2014: 0.01%) Basic Materials 0.01% (31/10/2014: 0.01%) 18,622 18 0.01 –––––––––––––––– ––––––––––––––

Russian Federation 0.05% (31/10/2014: 0.05%) Basic Materials 0.05% (31/10/2014: 0.05%) 25,362 Polymetal International 134 0.05 –––––––––––––––– ––––––––––––––

Sweden 0.04% (31/10/2014: 0.03%) Consumer Services 0.04% (31/10/2014: 0.03%) 31,733 SSP 95 0.04 –––––––––––––––– ––––––––––––––

Switzerland 1.74% (31/10/2014: 1.91%) Basic Materials 1.62% (31/10/2014: 1.78%) 40,986 Antofagasta Holdings 320 0.13 1,207,601 Glencore Xstrata 3,747 1.49 –––––––––––––––– –––––––––––––– 4,067 1.62 –––––––––––––––– ––––––––––––––

Consumer Goods 0.12% (31/10/2014: 0.13%) 22,412 Coca-Cola HBC 309 0.12 –––––––––––––––– ––––––––––––––

United Arab Emirates 0.02% (31/10/2014: 0.02%) Oil & Gas 0.02% (31/10/2014: 0.02%) 37,966 Lamprell 53 0.02 –––––––––––––––– ––––––––––––––

14 Henderson UK Index Fund Portfolio statement (continued)

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

United Kingdom 87.21% (31/10/2014: 85.86%) Basic Materials 5.09% (31/10/2014: 5.49%) 27,100 Alent 98 0.04 148,362 Anglo American 1,639 0.65 22,029 Anglo Pacific 21 0.01 220,470 Aquarius Platinum 20 0.01 238,982 BHP Billiton 3,731 1.48 15,306 Croda International 434 0.17 50,722 154 0.06 46,551 Evraz 88 0.04 8,634 7 – 20,442 Gem Diamonds Mining 28 0.01 23,267 Johnson Matthey 778 0.31 35,169 Kazakhmys 92 0.04 51,629 Lonmin 74 0.03 42,780 Mondi 566 0.22 56,302 Petra Diamonds 89 0.04 10,696 Randgold Resources 531 0.21 141,658 Rio Tinto (UK Listing) 4,087 1.63 12,682 Vedanta Resources 80 0.03 9,329 185 0.07 31,089 Yule Catto 99 0.04 –––––––––––––––– –––––––––––––– 12,801 5.09 –––––––––––––––– ––––––––––––––

Consumer Goods 14.35% (31/10/2014: 14.40%) 15,009 AGA Rangemasters 14 0.01 2,690 Anglo-Eastern Plantations 17 0.01 39,567 Associated British Foods 1,130 0.45 114,366 594 0.24 9,716 Barrs 61 0.02 14,156 282 0.11 14,270 Berkeley Holdings 359 0.14 15,362 Bovis Homes 143 0.06 210,914 British American Tobacco 7,578 3.00 28,617 208 0.08 50,129 Burberry 874 0.35 6,466 Cranswick 92 0.04 27,511 Holding 123 0.05 14,900 Dairy Crest 68 0.03 14,335 Devro 42 0.02 284,994 Diageo 5,163 2.04 9,985 Galliford Try 150 0.06 186,246 GKN 654 0.26 4,711 Hilton Food 20 0.01 109,214 Imperial Tobacco 3,486 1.39 32,953 McBride 31 0.01 35,511 Persimmon 604 0.24 20,044 Photo-Me International 28 0.01 51,775 24 0.01 35,010 PZ Cussons 125 0.05 73,248 Reckitt Benckiser 4,267 1.70 15,693 Redrow 58 0.02 107,338 SABMiller 3,717 1.48

Henderson UK Index Fund 15 Portfolio statement (continued)

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

United Kingdom (continued) Consumer Goods (continued) 23,675 Stock Spirits 45 0.02 3,606 Supergroup 37 0.01 55,420 Tate & Lyle 331 0.13 365,542 608 0.24 3,214 Ted Baker 92 0.04 136,983 Unilever 3,926 1.56 29,999 Wolseley 1,162 0.46 –––––––––––––––– –––––––––––––– 36,113 14.35 –––––––––––––––– ––––––––––––––

Consumer Services 10.88% (31/10/2014: 9.63%) 69,128 AA 289 0.11 7,779 Betfair 181 0.07 15,819 Bloomsbury Publishing 26 0.01 176,591 Booker 256 0.10 119,812 British Sky Broadcasting 1,290 0.51 24,268 Card Factory 77 0.03 8,605 Carpetright 40 0.02 107,227 Carphone Warehouse 455 0.18 32,078 Centaur Holdings 26 0.01 8,145 Chime Communications 24 0.01 19,060 93 0.04 188,779 Compass 2,185 0.87 81,535 Darty 61 0.02 147,344 Debenhams 132 0.05 6,962 Dignity 141 0.06 19,676 Domino’s Pizza 155 0.06 9,527 Dunelm 86 0.03 28,844 523 0.21 43,091 Enterprise Inns 50 0.02 23,809 Entertainment One 75 0.03 5,648 Euromoney Institutional Investor 65 0.03 11,014 Findel 24 0.01 151,004 FirstGroup 150 0.06 4,810 Fuller Smith & Turner ‘A’ 48 0.02 5,310 Go-Ahead 131 0.05 25,109 Greene King 209 0.08 11,748 140 0.06 24,965 Halfords 114 0.05 102,951 Home Retail 172 0.07 43,914 Huntsworth 18 0.01 50,508 Inchcape 420 0.17 73,697 Informa 410 0.16 209,046 International Consolidated Airlines 1,139 0.45 27,321 Interncontinental Hotels 766 0.30 37,036 ITE 70 0.03 428,080 ITV 1,086 0.43 162,615 J Sainsbury 442 0.18 6,704 JD Sports Fashion 39 0.02 31,867 Just Eat 146 0.06 268,529 Kingfisher 943 0.37 118,945 Ladbrokes 122 0.05

16 Henderson UK Index Fund Portfolio statement (continued)

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

United Kingdom (continued) Consumer Services (continued) 43,232 Laura Ashley 13 0.01 30,570 Lookers 48 0.02 186,822 Marks & Spencer 1,034 0.41 67,840 Marston’s 107 0.04 80,957 Merlin Entertainments 353 0.14 18,202 Millennium & Copthorne Hotels 105 0.04 26,687 Mitchells & Butlers 112 0.04 45,304 MoneySupermarket.Com 127 0.05 30,770 Mothercare 68 0.03 18,637 N Brown 64 0.03 56,538 163 0.06 16,837 Next 1,238 0.49 46,850 Ocado 167 0.07 92,977 Pearson 1,227 0.49 189,698 Pendragon 70 0.03 22,070 181 0.07 4,587 Punch Taverns 5 – 14,833 Rank 28 0.01 129,041 Reed Elsevier (UK Listing) 1,397 0.55 23,889 Restaurant 162 0.06 10,570 335 0.13 91,759 Spirit Pub 103 0.04 25,837 Sports Direct 160 0.06 48,303 Stagecoach 175 0.07 919,121 Tesco 2,032 0.81 166,195 Thomas Cook 239 0.10 27,665 Topps Tiles 32 0.01 32,342 Trinity Mirror 60 0.02 52,480 United Business Media 296 0.12 8,543 UTV Media 15 0.01 9,190 Wetherspoon (JD) 70 0.03 20,402 Whitbread 1,072 0.43 13,130 WHSmith 188 0.07 100,328 William Hill 362 0.14 247,495 WM Morrison Supermarkets 462 0.18 148,600 WPP 2,269 0.91 8,119 13 0.01 –––––––––––––––– –––––––––––––– 27,371 10.88 –––––––––––––––– ––––––––––––––

Financials 24.98% (31/10/2014: 24.66%) 5,090 A & J Mucklow REIT 24 0.01 23,601 Aberdeen Asian Income Fund 48 0.02 4,378 Aberdeen Asian Smaller Companies Investment Trust 38 0.02 115,271 Aberdeen Asset Management 548 0.22 23,805 Aberdeen New Dawn Investment Trust 45 0.02 16,986 Aberdeen UK Tracker Trust 54 0.02 12,797 Aberforth Smaller Companies Trust 138 0.05 22,716 Admiral 354 0.14 4,603 Advance Developing Market 22 0.01 65,992 335 0.13 57,192 Amlin 262 0.10

Henderson UK Index Fund 17 Portfolio statement (continued)

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

United Kingdom (continued) Financials (continued) 12,952 Arrow Global 34 0.01 5,946 Artemis Alpha Trust 16 0.01 46,454 Ashmore 144 0.06 448,776 Aviva 2,365 0.94 3,147 Bank of Georgia Holdings 57 0.02 15,576 99 0.04 1,861,504 Barclays Bank 4,752 1.88 61,627 Beazley 174 0.07 3,886 BH Global GBP 51 0.02 4,557 BH Macro GBP 97 0.04 18,362 Big Yellow 123 0.05 8,625 Biotech Growth Trust 64 0.03 9,415 BlackRock Commodities Income Investment Trust 8 – 6,191 BlackRock Latin America Investment Trust 24 0.01 7,782 BlackRock Smaller Companies 65 0.03 39,162 Bluecrest Allblue 75 0.03 31,350 106 0.04 30,309 British Assets Trust 40 0.02 15,983 British Empire Securities & General Trust 86 0.03 114,859 956 0.38 7,936 Brunner 45 0.02 5,047 121 0.05 3,952 Candover Investment Trust 13 0.01 78,561 Capital & Counties Properties 310 0.12 46,140 Capital & Regional Property 26 0.01 40,845 Catlin 289 0.12 18,213 Chesnara 58 0.02 8,504 City Natural Resources High Yield Trust 9 – 16,864 Close Brothers 258 0.10 3,061 CLS Holdings 56 0.02 15,000 79 0.03 1,049 57 0.02 10,906 375 0.15 12,787 Development Securities 32 0.01 13,724 Dexion Equity Alternative* – – 10,183 Dexion Trading* – – 172,503 Direct Line Insurance 550 0.22 34,003 Diverse Income Trust 27 0.01 4,779 Dunedin Enterprise 16 0.01 25,998 Dunedin Income Growth Investment Trust 68 0.03 39,147 Ecofin Water & Power Opportunities 59 0.02 20,597 Edinburgh Dragon Investment Trust 60 0.02 23,623 Edinburgh Investment Trust 159 0.06 10,621 Edinburgh Worldwide Investment Trust 48 0.02 4,876 Electra Private Equity 152 0.06 10,261 Electric & General Investment Trust* – – 31,137 68 0.03 7,234 European Investment Trust 59 0.02 11,409 F&C Capital & Income Investment Trust 30 0.01 51,962 F&C Commercial Property Trust 73 0.03 6,530 F&C Global Smaller Companies 64 0.03 7,332 F&C Private Equity Trust 16 0.01

18 Henderson UK Index Fund Portfolio statement (continued)

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

United Kingdom (continued) Financials (continued) 3,943 F&C US Smaller Companies 25 0.01 6,773 Investment Trust 63 0.02 10,575 Finsbury Growth & Income Investment Trust 62 0.02 64,893 Foreign & Colonial Investment Trust 283 0.11 23,314 51 0.02 7,275 Framlington Innovative Growth Investment Trust* – – 4,542 Gartmore European Investment Trust+ 48 0.02 4,815 Gartmore Global Trust+ 19 0.01 688 Gartmore Irish Growth Investment Trust+^ – – 17,796 Genesis Emerging Markets Fund 98 0.04 61,371 Grainger Trust 130 0.05 10,929 Graphite Enterprise Investment Trust 63 0.03 39,515 315 0.13 84,879 REIT 568 0.23 70,961 Hansteen Holdings 84 0.03 24,949 Hargreaves Lansdown 307 0.12 10,297 Helical Bar 40 0.02 5,431 Henderson EuroTrust+ 50 0.02 16,673 Henderson Far East Income Trust+ 59 0.02 123,377 Henderson Global Investors+ 345 0.14 13,760 Henderson High Income Trust+ 25 0.01 13,617 Henderson Smaller Companies Investment Trust+ 82 0.03 1,658 Henderson TR Pacific Investment Trust+ 3 – 10,656 Henderson Value Trust+ 25 0.01 10,251 71 0.03 5,842 63 0.02 142,493 HICL Infrastructure 218 0.09 31,965 Insurance 263 0.10 2,106,253 HSBC Holdings 13,650 5.42 61,925 ICAP 345 0.14 41,713 IG Holdings 307 0.12 24,942 Impax Environmental Markets 40 0.02 46,744 Intermediate Capital 247 0.10 28,437 International Personal Finance 142 0.06 108,454 Properties 372 0.15 10,687 Invesco Asia Investment Trust 22 0.01 11,974 Invesco Income Growth Investment Trust 35 0.01 7,991 Invesco Perpetual UK Smaller Companies Investment Trust 27 0.01 57,769 361 0.14 76,635 Invista Foundation Property Trust 47 0.02 52,642 IP 104 0.04 15,686 Jardine Lloyd Thompson 167 0.07 94,489 John Laing Infrastructure 116 0.05 9,881 JP Morgan Claverhouse Investment Trust 61 0.02 22,310 JP Morgan European Smaller Companies Trust 54 0.02 12,003 JP Morgan Fleming Asian Investment Trust 31 0.01 14,498 JP Morgan Indian Investment Trust 74 0.03 23,616 JP Morgan Japanese Investment Trust 67 0.03 11,559 JP Morgan Mercantile Investment Trust 182 0.07 2,069 JP Morgan Mid Capital Investment Trust 17 0.01 4,473 JP Morgan Overseas Investment Trust 48 0.02

Henderson UK Index Fund 19 Portfolio statement (continued)

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

United Kingdom (continued) Financials (continued) 8,940 JP Morgan Russian Securities Investment Trust 32 0.01 5,032 JP Morgan Smaller Companies Trust 40 0.02 11,924 Jupiter European Opportunites Investment Trust 64 0.03 39,810 172 0.07 13,150 Kennedy Wilson Europe Real Estate 147 0.06 2,925 Keystone Investment Trust 54 0.02 19,088 122 0.05 89,015 Land Securities REIT 1,112 0.44 13,561 68 0.03 674,190 Legal & General 1,753 0.70 6,136,917 Lloyds Banking 4,749 1.88 79,842 London & Stamford Property 132 0.05 30,904 London (City of) Investment Trust 123 0.05 35,237 London Stock Exchange 898 0.36 2,747 Lowland Investment Trust 36 0.01 10,618 LSL Property Services 38 0.02 5,711 Majedie Investment Trust 15 0.01 179,466 Man 346 0.14 9,598 Martin Currie Pacific Investment Trust 30 0.01 7,616 Martin Currie Portfolio Investment Trust 14 0.01 7,357 McKay Securities 18 0.01 50,045 MedicX fund 42 0.02 11,249 Merchants Investment Trust 55 0.02 27,979 122 0.05 7,640 Montanaro UK Smaller Companies Investment Trust 37 0.01 10,957 82 0.03 14,993 Murray International Trust 154 0.06 159,690 NB Global Floating Rate Income Fund 154 0.06 5,346 North American Income Trust 46 0.02 2,743 North Atlantic Smaller Companies Investment Trust 51 0.02 9,703 Novae 68 0.03 554,017 Old Mutual 1,301 0.52 26,454 Pacific Assets Investment Trust 56 0.02 8,863 Pacific Horizon Investment Trust 18 0.01 4,112 Participations 53 0.02 38,875 Paragon 166 0.07 27,851 Perpetual Income & Growth Investment Trust 111 0.04 161 Personal Assets Investment Trust 56 0.02 25,757 Phoenix Holdings 217 0.09 66,109 Picton Property Income 49 0.02 18,993 Polar Capital Technology Trust 112 0.04 7,391 Primary Health Properties REIT 29 0.01 16,980 Provident Financial 512 0.20 289,722 Prudential 4,720 1.87 81,581 Quintain Estates & Development 78 0.03 6,045 129 0.05 67,496 Raven Russia 35 0.01 15,119 RIT Capital Partners 239 0.09 248,376 Royal Bank of Scotland+ 841 0.33 116,077 RSA Insurance 496 0.20 28,594 Holdings 80 0.03

20 Henderson UK Index Fund Portfolio statement (continued)

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

United Kingdom (continued) Financials (continued) 15,130 125 0.05 20,233 Schroder Asia Pacific Investment Trust 61 0.02 15,755 Schroder Income Growth Fund 43 0.02 27,094 Schroder Japan Growth Investment Trust 43 0.02 27,302 Schroder Oriental Income Fund 56 0.02 24,425 Schroder UK Growth Investment Trust 41 0.02 6,789 Schroder UK Mid & Small Cap Fund 30 0.01 13,051 Schroders 424 0.17 22,935 Scottish American Investment Trust 57 0.02 17,456 Scottish Investment Trust 113 0.04 145,896 Scottish Mortgage Investment Trust 387 0.15 42 Scottish Oriental Smaller Companies Investment Trust* – – 22,102 Securities Trust of Scotland 31 0.01 85,292 366 0.15 29,632 Shaftesbury REIT 249 0.10 6,451 Shires Income Investment Trust 16 0.01 59,549 St James’s Place 531 0.21 20,586 St. Modwen Properties 90 0.04 229,401 Standard Chartered 2,455 0.98 223,660 Standard Life 1,047 0.42 8,627 Standard Life Equity Income Investment Trust 35 0.01 19,014 Standard Life European Private Investment Trust 39 0.02 25,229 SVG Capital 126 0.05 7,945 Temple Bar Investment Trust 94 0.04 38,356 Templeton Emerging Markets Investment Trust 220 0.09 14 Throgmorton Investment Trust^ – – 9,010 Town Centre Securities 28 0.01 8,094 TR European Growth Trust 50 0.02 46,069 TR Property Investment Trust 137 0.05 24,705 Troy Income & Growth Trust 18 0.01 23,257 TSB Banking 78 0.03 32,510 Tullett Prebon 116 0.05 34,114 UK Commercial Property Trust 31 0.01 26,400 Unite 158 0.06 24,407 Utilico Emerging Markets 48 0.02 9,862 Value & Income Investment Trust 25 0.01 19,983 Virgin Money Holdings 79 0.03 21,627 176 0.07 11,758 Witan Pacific Investment Trust 32 0.01 15,383 Workspace REIT 130 0.05 5,565 Worldwide Healthcare Trust 103 0.04 109,235 3i 553 0.22 15,758 3i Bioscience Investment Trust^ – – 66,493 106 0.04 –––––––––––––––– –––––––––––––– 62,876 24.98 –––––––––––––––– ––––––––––––––

Health Care 6.86% (31/10/2014: 7.01%) 143,055 AstraZeneca 6,432 2.56 42,876 BTG 310 0.12 5,712 Consort Medical 54 0.02 10,496 107 0.04

Henderson UK Index Fund 21 Portfolio statement (continued)

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

United Kingdom (continued) Health Care (continued) 8,945 Genus 120 0.05 550,109 GlaxoSmithKline 8,332 3.31 15,619 Hikma Pharmaceuticals 320 0.13 76,177 152 0.06 7,169 Optos 24 0.01 101,808 Smith & Nephew 1,137 0.45 24,066 Spire Healthcare 77 0.03 6,576 Synergy Healthcare 146 0.06 32,084 Vectura 50 0.02 –––––––––––––––– –––––––––––––– 17,261 6.86 –––––––––––––––– ––––––––––––––

Industrials 8.64% (31/10/2014: 8.25%) 27,840 460 0.18 57,884 Ashtead 652 0.26 11,954 Atkins (WS) 161 0.06 56,824 573 0.23 359,117 BAE Systems 1,824 0.74 83,553 203 0.08 57,751 BBA Aviation 198 0.08 19,679 Berendsen 204 0.08 19,614 135 0.05 5,223 Braemar Shipping Services 23 0.01 15,640 Brammer 59 0.02 5,194 British Polythene Industries 36 0.01 38,341 Bunzl 705 0.29 75,152 860 0.35 50,694 Carillion 165 0.07 9,211 Charles Taylor Consulting 21 0.01 27,670 Chemring 59 0.02 997 Clarkson 23 0.01 132,276 Cobham 393 0.16 23,180 Connaught^ – – 7,891 Costain 25 0.01 10,489 De La Rue 58 0.02 4,389 Dialight 31 0.01 10,532 Diploma 84 0.03 10,931 Domino Printing 100 0.04 107,979 DS Smith 378 0.15 60,773 147 0.06 113,477 Experian 1,325 0.54 23,003 E2V Technologies 53 0.02 28,169 Fenner 59 0.02 27,421 Filtrona 264 0.10 129 Goodwin 3 – 175,564 Group 4 Securicor Lambert 514 0.20 43,471 Halma 310 0.12 159,879 Hays 246 0.10 18,000 HellermannTyton 62 0.02 11,473 Hill & Smith Holdings 80 0.03 35,094 134 0.05 71,365 Howden Joinery 333 0.13

22 Henderson UK Index Fund Portfolio statement (continued)

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

United Kingdom (continued) Industrials (continued) 31,772 IMI 398 0.16 10,701 Interserve 62 0.02 18,714 Intertek Testing Services 489 0.19 5,094 James Fisher & Sons 59 0.02 6,374 John Menzies 25 0.01 4,700 Keller 47 0.02 5,722 Kier 93 0.04 21,328 Lavendon 37 0.01 32,413 Low & Bonar 20 0.01 53,869 Management Consulting 9 – 29,826 Marshalls 81 0.03 14,275 Mears 61 0.02 93,783 497 0.20 114,395 Melrose 304 0.12 32,068 Michael Page International 171 0.07 42,388 121 0.05 35,483 Morgan Advanced Materials 119 0.05 4,826 Morgan Sindall 38 0.02 16,942 Northgate 109 0.04 6,285 58 0.02 9,160 Paypoint 78 0.03 50,088 Premier Farnell 95 0.04 82,660 QuinetiQ 167 0.07 72,582 Regus 181 0.07 4,223 Renishaw 106 0.04 206,985 Rentokil Initial 278 0.11 80,867 Rexam 469 0.19 5,206 Ricardo 44 0.02 9,685 Robert Walters 37 0.01 21,975 Rok* – – 212,522 Rolls-Royce Holdings 2,224 0.89 29,965,602 Rolls-Royce Holdings (Bonus Issue) 30 0.01 9,765 231 0.09 72,181 Royal Mail 338 0.13 27,436 RPC 165 0.07 27,680 RPS 59 0.02 51,262 Senior 161 0.06 123,200 165 0.07 53,213 Severfield-Rowen 34 0.01 46,108 Shanks 49 0.02 55,310 SIG 107 0.04 44,829 Smiths 513 0.20 11,701 Smiths News 19 0.01 13,553 291 0.12 61,074 Speedy Hire 45 0.02 8,574 Spirax-Sarco Engineering 290 0.12 22,242 St Ives 39 0.02 15,929 Sthree 59 0.02 27,500 Stobart 30 0.01 28,542 593 0.24 21,727 TT Electronics 29 0.01

Henderson UK Index Fund 23 Portfolio statement (continued)

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

United Kingdom (continued) Industrials (continued) 21,334 64 0.03 4,716 UK Mail 24 0.01 8,607 Holdings 149 0.06 33,942 Vesuvius 154 0.06 6,462 Vitec 42 0.02 5,764 VP 38 0.01 24,299 Weir 457 0.18 23,477 Wincanton 37 0.01 9,624 Xaar 42 0.02 32,600 Xchanging 40 0.02 –––––––––––––––– –––––––––––––– 21,731 8.64 –––––––––––––––– ––––––––––––––

Oil & Gas 6.45% (31/10/2014: 6.67%) 131,632 Afren 4 – 41,039 Amec 377 0.15 385,089 BG 4,554 1.81 2,063,567 BP 9,700 3.85 67,442 120 0.05 18,300 Cape 48 0.02 102,315 Enquest 54 0.02 17,937 Hunting 105 0.04 41,265 John Wood 285 0.11 81,484 Ophir Energy 116 0.05 30,126 Petrofac 263 0.10 65,434 Premier Oil 115 0.05 26,884 Soco International 49 0.02 107,225 444 0.18 –––––––––––––––– –––––––––––––– 16,234 6.45 –––––––––––––––– ––––––––––––––

Technology 1.53% (31/10/2014: 1.32%) 45,148 Anite 38 0.02 160,624 ARM Holdings 1,789 0.71 7,471 Aveva 126 0.05 9,568 67 0.03 20,398 CSR 180 0.07 5,553 Fidessa 124 0.05 21,783 Imagination Technologies 43 0.02 7,259 Kofax 53 0.02 24,251 Laird 87 0.03 15,734 International 198 0.08 27,204 NCC 57 0.02 36,056 Pace 150 0.06 121,245 Sage 589 0.23 12,455 SDL International 58 0.02 5,812 Sepura 8 – 74,330 Communications 65 0.03 24,214 Telecity 215 0.09 –––––––––––––––– –––––––––––––– 3,847 1.53 –––––––––––––––– ––––––––––––––

24 Henderson UK Index Fund Portfolio statement (continued)

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

United Kingdom (continued) Telecommunications 4.91% (31/10/2014: 4.47%) 948,741 BT 4,324 1.72 310,047 Cable & Wireless Communications 209 0.08 33,593 Colt Telecom 50 0.02 48,658 Inmarsat Ventures 489 0.19 83,322 Kcom (Hull) 77 0.03 60,655 TalkTalk Telecom 222 0.09 5,184 40 0.02 3,011,584 Vodafone 6,943 2.76 –––––––––––––––– –––––––––––––– 12,354 4.91 –––––––––––––––– ––––––––––––––

Utilities 3.52% (31/10/2014: 3.96%) 563,430 1,439 0.57 47,681 Drax 191 0.08 428,282 National Grid 3,765 1.50 45,290 Pennon 389 0.15 112,112 Scottish & Southern Energy 1,734 0.69 26,939 Severn Trent 572 0.23 77,963 United Utilities 757 0.30 –––––––––––––––– –––––––––––––– 8,847 3.52 –––––––––––––––– ––––––––––––––

United States 0.43% (31/10/2014: 0.38%) Consumer Services 0.25% (31/10/2014: 0.22%) 21,073 Carnival (UK Listing) 629 0.25 –––––––––––––––– ––––––––––––––

Financials 0.18% (31/10/2014: 0.16%) 2,867 Baring Emerging Europe 17 0.01 4,929 BlackRock Emerging Europe 11 – 20,199 BlackRock World Mining Investment Trust 64 0.03 75,856 Fidelity China Special Situations 128 0.05 25,995 JPMorgan American Investment Trust 71 0.03 9,660 JPMorgan Chinese Investment 21 0.01 16,982 JPMorgan Emerging Markets Investment Trust 105 0.04 9,271 JPMorgan Japan Smaller Companies Investment Trust 24 0.01 1,854 JPMorgan Japan Smaller Companies Investment Trust Subscription Shares 1 – 1,006 JPMorgan Smaller Companies Investment Trust Subscription Shares^ – – –––––––––––––––– –––––––––––––– 442 0.18 –––––––––––––––– ––––––––––––––

Henderson UK Index Fund 25 Portfolio statement (continued)

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

Technology 0.00% (31/10/2014: 0.00%) 51,618 Govett Strategic Investment Trust^ – – –––––––––––––––– ––––––––––––––

Derivatives 0.03% (31/10/2014: (0.05%)) Futures 0.03% (31/10/2014: (0.05%)) 55 ICE FTSE 100 Index June 2015 77 0.03 –––––––––––––––– ––––––––––––––

–––––––––––––––– –––––––––––––– Investment assets 247,544 98.38 Other net assets 4,067 1.62 –––––––––––––––– –––––––––––––– Total net assets 251,611 100.00 –––––––––––––––– ––––––––––––––

* Suspended, delisted or unquoted securities ^ Due to rounding to nearest £1000 + Related party to the Fund

26 Henderson UK Index Fund Statement of total return for the six months ended 30 April 2015 (unaudited)

30/04/15 30/04/14 £000 £000 £000 £000

Income Net capital gains 17,853 3,515 Revenue 4,245 3,300 Expenses (849) (890)

Net revenue before taxation 3,396 2,410 Taxation (42) (4)

Net revenue after taxation 3,354 2,406

Total return before distributions 21,207 5,921

Finance costs: Distributions (3,359) (2,413)

Change in net assets attributable to shareholders from investment activities 17,848 3,508

Statement of change in net assets attributable to shareholders for the six months ended 30 April 2015 (unaudited)

30/04/15 30/04/14 £000 £000 £000 £000

Opening net assets attributable to shareholders 246,420 264,824

Amounts receivable on issue of shares 2,175 6,973 Amounts payable on cancellation of shares (17,775) (15,087) (15,600) (8,114)

Stamp duty reserve tax – (36)

Unclaimed distributions 1 –

Change in net assets attributable to shareholders from investment activities (see above) 17,848 3,508

Retained distribution on accumulation shares 2,942 2,128

Closing net assets attributable to shareholders 251,611 262,310

Henderson UK Index Fund 27 Balance sheet as at 30 April 2015 (unaudited)

30/04/15 31/10/14 £000 £000 £000 £000 Assets Investment assets 247,544 240,486

Debtors 1,804 480 Cash and bank balances 4,651 6,153 Total other assets 6,455 6,633

Total assets 253,999 247,119

Liabilities Investment liabilities – 115

Creditors 600 356 Bank overdrafts 1,469 – Distribution payable on income shares 319 228 Total other liabilities 2,388 584

Total liabilities 2,388 699

Net assets attributable to shareholders 251,611 246,420

28 Henderson UK Index Fund Notes to the financial statements as at 30 April 2015

Accounting policies The accounting policies, distribution policy and potential risks applied are consistent with those of the financial statements for the year ended 31 October 2014 and are described in those annual accounts.

Henderson UK Index Fund 29 Distribution tables for the six months ended 30 April 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 6.7788 – 6.7788 4.4173 Group 2 3.9894 2.7894 6.7788 4.4173

Class A income Group 1 5.1262 – 5.1262 3.4031 Group 2 2.6097 2.5165 5.1262 3.4031

Class I accumulation Group 1 7.8456 – 7.8456 5.3578 Group 2 3.1000 4.7456 7.8456 5.3578

30 Henderson UK Index Fund Henderson UK Tracker Fund Authorised Corporate Director’s report

Fund Manager Mark Davey

Investment objective and policy To track the capital performance of the FTSE 100 Index and to maintain a gross income yield equal to that of the Index. The fund will be managed on a fully invested basis and have a portfolio comprising the companies which constitute the FTSE 100 Index. Occasionally, the fund may invest in stocks outside of the Index.

The fund may also invest at the Manager’s discretion in other transferable securities, money market instruments, cash and near cash, derivative instruments and forward transactions, deposits and units in collective investment schemes (use may be made of stocklending, borrowing, cash holdings, hedging and other investment techniques permitted in applicable FCA (Financial Conduct Authority) Rules).

Performance summary

Cumulative performance Six One Five Since months year years launch 01 Nov 14- 30 Apr 14- 30 Apr 10- 30 Jan 97- 30 Apr 15 30 Apr 15 30 Apr 15 30 Apr 15 % % % %

Henderson UK Tracker Fund 7.6 5.2 40.4 140.0 FTSE 100 Total Return Index 8.3 6.4 50.0 –*

Discrete performance 30 Apr 14- 30 Apr 13- 30 Apr 12- 30 Apr 11- 30 Apr 10- 30 Apr 15 30 Apr 14 30 Apr 13 30 Apr 12 30 Apr 11 % % % % %

Henderson UK Tracker Fund 5.2 7.6 15.0 (2.7) 10.9

Source: Morningstar, bid to bid and net of fees as at valuation point, based on performance of class A accumulation. Benchmark values are as at close of business.

Figures in brackets are negative.

* Benchmark return is not quoted as the fund inception date is earlier than the benchmark 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.

Index Tracking The fund aims to achieve its objective by investing in an optimised portfolio of constituents of the FTSE 100 Index to provide broad exposure to the benchmark whilst minimising costs. The difference between the performance of the fund and the performance of the index tracked for the 6 months to 30 April 2015 was -0.71% which is a result of running an optimised portfolio.

Henderson UK Tracker Fund 31 Authorised Corporate Director’s report (continued)

Significant portfolio changes for the six months ended 30 April 2015

Largest purchases £000 Largest sales £000 Barratt Developments 228 HSBC Holdings 318 Taylor Wimpey 220 ICE FTSE 100 Index March 2015 184 Merlin Entertainments 159 IMI 175 Hikma Pharmaceuticals 148 BP 173 TUI 108 Royal Dutch Shell ‘A’ (UK Listing) 173 London Stock Exchange 88 Tullow Oil 136 CRH 61 GlaxoSmithKline 117 BT 42 British American Tobacco 109 Petrofac 95 Vodafone 93 Total purchases 1,054 Total sales 3,774

All non derivative purchases have been included.

32 Henderson UK Tracker Fund Authorised Corporate Director’s report (continued)

Fund Manager’s commentary

Over the six-month period ending 30 April 2015, the Henderson UK Tracker Fund accumulation share class increased by 7.6%, compared with a rise in the FTSE 100 Index of 8.3%.

Global equities typically posted healthy gains in the latter part of the period after a faltering start to 2015, with many indices touching highs not seen for at least 15 years. The strength of returns to investors at least in part depended on the extent of their currency exposures, given some significant shifts in foreign exchange rates. The Swiss National Bank delivered an early surprise for global markets by removing the peg between the Swiss franc and the euro, which had been in place since 2011. The Bank of Canada (BoC) provided further shock by unexpectedly cutting overnight rates. The BoC’s cut was widely viewed as insurance against economic risks, which include threats to inflation, growth and financial stability. The European Central Bank (ECB) announced a larger-than-expected quantitative easing (QE) programme (central bank liquidity measures) set to continue through September 2016. The commitment to continue buying bonds is open-ended thereafter, and will carry on until it has achieved a sustained adjustment in the path of inflation. By the end of January, Denmark, Singapore, India and Turkey also eased policy by cutting interest rates, while Brazil hiked rates.

Volatility subsided as oil prices stabilised and the aggressive pace of global central bank actions moderated. The positive tone of US economic data pushed yields on US 10-year government bonds higher after having fallen sharply at the beginning of the period. The improvement in mood was supported by an agreement between the European troika and Greece to extend bailout terms for four months. China eased administered rates and, perhaps more consequentially, lowered its GDP forecast for 2015 to ‘about’ 7%. Emerging market equities, commodities and global equities traded lower on the news. Subsequently, however, the US Bureau of Labor Statistics reported better-than-expected employment numbers, which could increase the likelihood that the Federal Reserve will raise rates sooner, rather than later. Nonetheless, general consensus seems to be that the first rate hike will be in the third quarter of 2015. Saudi Arabia sent airstrikes into Yemen to fight Iranian-backed insurgents. The US is also involved in the Middle Eastern conflict, including via negotiating a nuclear deal in Switzerland. As word of the fighting in Yemen broke out, oil had its largest one-day rise since 2009, and gold jumped 1.9%.

UK data continued to reflect generally solid performance within the economy. Real GDP rose 0.6% in the fourth quarter of 2014, matching the outcome in the previous quarter, for a year-on-year expansion of 3.0%. Fourth quarter growth was supported by a solid trade performance, as exports rose a robust 4.6% (the highest rise in six quarters) while imports rose 1.6%. Domestic demand was restrained overall and decidedly mixed. Household spending rose a respectable 0.6%, but government purchases slipped 0.2% and gross fixed investment fell 0.6%, its first decline since 2012. Expectations around when the Bank of England would start to tighten monetary policy continued to be pushed out, as inflation dropped from 0.3% in January to 0% a month later.

Henderson UK Tracker Fund 33 Comparative tables as at 30 April 2015

Net asset value per share

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

Class A accumulation 31/10/2012 85,199,957 45,612,014 186.79 31/10/2013 93,560,932 42,008,431 222.72 31/10/2014 86,434,500 38,998,874 221.63 30/04/2015 88,723,890 37,115,008 239.05

Performance record

Calendar year Net revenue Highest price Lowest price (pence per share) (pence per share) (pence per share)

Class A accumulation 2010 3.08 184.73 148.04 2011 2.62 189.04 155.09 2012 3.74 193.62 168.94 2013 4.04 225.20 195.09 2014 2.96 233.10 206.60 2015 3.10* 243.30+ 216.20+

* to 30 June + to 30 April

34 Henderson UK Tracker 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 payments deducted from the assets of the fund during the period, except for expenses that are explicitly excluded by regulation.

30/04/15 31/10/14 % %

Class A 0.78+ 1.20

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

+ From 1 December 2014, the Annual Management Charge (AMC) decreased from 1.00% to 0.50%.

Henderson UK Tracker Fund 35 Risk and reward profile

The fund currently has 1 type of share class in issue: A 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 country • As a category, shares are more volatile than either bonds or money market instruments • As a tracker fund, the fund takes no measures to reduce exposure to market risks.

The rating does not reflect the possible effects of unusual market conditions or large unpredictable events which could amplify everyday risk and trigger other risks such as:

Counterparty risk The Fund could lose money if a counterparty with which it transacts becomes unwilling or unable to meet its obligations to the Fund.

Liquidity risk Certain securities could become hard to value or sell at a desired time and price.

Management risk Investment management techniques that have worked well in normal market conditions could prove ineffective or detrimental at other times.

The full list of the Fund’s risks are contained in the “Risk Factors” section of the Fund’s prospectus.

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

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

36 Henderson UK Tracker Fund Portfolio statement as at 30 April 2015

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

Equities 98.00% (31/10/2014: 97.62%) Germany 0.27% (31/10/2014: 0.00%) Consumer Services 0.27% (31/10/2014: 0.00%) 19,305 TUI 236 0.27 –––––––––––––––– ––––––––––––––

Ireland 2.56% (31/10/2014: 2.04%) Health Care 1.74% (31/10/2014: 1.44%) 28,905 Shire 1,542 1.74 –––––––––––––––– ––––––––––––––

Industrials 0.82% (31/10/2014: 0.60%) 40,013 CRH 732 0.82 –––––––––––––––– ––––––––––––––

Mexico 0.07% (31/10/2014: 0.07%) Basic Materials 0.07% (31/10/2014: 0.07%) 8,452 Fresnillo 61 0.07 –––––––––––––––– ––––––––––––––

Netherlands 7.30% (31/10/2014: 0.00%) Oil & Gas 7.30% (31/10/2014: 0.00%) 191,660 Royal Dutch Shell ‘A’ (UK Listing) 3,947 4.45 120,774 Royal Dutch Shell ‘B’ (UK Listing) 2,530 2.85 –––––––––––––––– –––––––––––––– 6,477 7.30 –––––––––––––––– ––––––––––––––

Switzerland 2.14% (31/10/2014: 2.17%) Basic Materials 1.99% (31/10/2014: 2.01%) 17,325 Antofagasta Holdings 135 0.15 524,769 Glencore Xstrata 1,628 1.84 –––––––––––––––– –––––––––––––– 1,763 1.99 –––––––––––––––– ––––––––––––––

Consumer Goods 0.15% (31/10/2014: 0.16%) 9,626 Coca-Cola HBC 133 0.15 –––––––––––––––– ––––––––––––––

United Kingdom 85.36% (31/10/2014: 93.07%) Basic Materials 5.52% (31/10/2014: 6.16%) 64,257 Anglo American 710 0.80 103,854 BHP Billiton 1,621 1.83 10,057 Johnson Matthey 336 0.38 17,995 Mondi 238 0.27 4,525 Randgold Resources 225 0.25 61,354 Rio Tinto (UK Listing) 1,770 1.99 –––––––––––––––– –––––––––––––– 4,900 5.52 –––––––––––––––– ––––––––––––––

Henderson UK Tracker Fund 37 Portfolio statement (continued)

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

United Kingdom (continued) Consumer Goods 16.49% (31/10/2014: 15.94%) 17,094 Associated British Foods 488 0.55 48,163 Barratt Developments 250 0.28 91,709 British American Tobacco 3,295 3.70 21,711 Burberry 379 0.43 123,894 Diageo 2,244 2.53 79,892 GKN 281 0.32 47,369 Imperial Tobacco 1,512 1.70 14,992 Persimmon 255 0.29 31,727 Reckitt Benckiser 1,848 2.08 46,540 SABMiller 1,612 1.82 159,815 Taylor Wimpey 266 0.30 59,328 Unilever 1,700 1.92 12,985 Wolseley 503 0.57 –––––––––––––––– –––––––––––––– 14,633 16.49 –––––––––––––––– ––––––––––––––

Consumer Services 9.77% (31/10/2014: 8.73%) 51,535 British Sky Broadcasting 555 0.63 45,994 Carphone Warehouse 195 0.22 82,088 Compass 950 1.07 12,189 easyjet 221 0.25 90,063 International Consolidated Airlines 491 0.55 11,611 Interncontinental Hotels 326 0.37 183,607 ITV 466 0.52 69,751 J Sainsbury 190 0.21 116,491 Kingfisher 409 0.46 80,977 Marks & Spencer 448 0.51 34,761 Merlin Entertainments 152 0.17 7,236 Next 532 0.60 40,107 Pearson 529 0.60 55,768 Reed Elsevier (UK Listing) 603 0.68 11,249 Sports Direct 70 0.08 399,663 Tesco 883 1.00 8,870 Whitbread 466 0.53 106,576 WM Morrison Supermarkets 199 0.22 64,537 WPP 984 1.10 –––––––––––––––– –––––––––––––– 8,669 9.77 –––––––––––––––– ––––––––––––––

Financials 22.11% (31/10/2014: 22.14%) 48,576 Aberdeen Asset Management 231 0.26 9,539 Admiral 149 0.17 194,370 Aviva 1,024 1.15 806,351 Barclays Bank 2,059 2.32 49,747 British Land 414 0.47 73,942 Direct Line Insurance 236 0.27 36,765 Hammerson REIT 246 0.28 10,824 Hargreaves Lansdown 133 0.15 916,187 HSBC Holdings 5,937 6.69 44,910 INTU Properties 154 0.17

38 Henderson UK Tracker Fund Portfolio statement (continued)

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

United Kingdom (continued) Financials (continued) 38,656 Land Securities REIT 483 0.54 292,097 Legal & General 759 0.86 2,658,461 Lloyds Banking 2,057 2.32 15,325 London Stock Exchange 391 0.44 241,016 Old Mutual 566 0.64 125,506 Prudential 2,044 2.30 106,050 Royal Bank of Scotland+ 359 0.40 49,877 RSA Insurance 213 0.24 5,593 Schroders 182 0.20 25,375 St James’s Place 226 0.26 99,583 Standard Chartered 1,066 1.20 96,094 Standard Life 450 0.51 47,212 3i 239 0.27 –––––––––––––––– –––––––––––––– 19,618 22.11 –––––––––––––––– ––––––––––––––

Health Care 7.94% (31/10/2014: 7.98%) 62,147 AstraZeneca 2,794 3.15 239,213 GlaxoSmithKline 3,624 4.09 6,654 Hikma Pharmaceuticals 136 0.15 44,064 Smith & Nephew 492 0.55 –––––––––––––––– –––––––––––––– 7,046 7.94 –––––––––––––––– ––––––––––––––

Industrials 5.84% (31/10/2014: 5.80%) 11,699 Aggreko 193 0.22 24,845 Ashtead 280 0.32 24,763 Babcock International 250 0.28 155,366 BAE Systems 789 0.89 16,306 Bunzl 300 0.34 32,566 Capita 373 0.42 48,946 Experian 572 0.64 76,456 Group 4 Securicor Lambert 224 0.25 7,843 Intertek Testing Services 205 0.23 39,681 Meggitt 210 0.24 92,085 Rolls-Royce Holdings 963 1.08 12,983,985 Rolls-Royce Holdings (Bonus Issue) 13 0.01 30,374 Royal Mail 142 0.16 19,146 Smiths 219 0.25 12,171 Travis Perkins 253 0.29 10,421 Weir 196 0.22 –––––––––––––––– –––––––––––––– 5,182 5.84 –––––––––––––––– ––––––––––––––

Oil & Gas 6.98% (31/10/2014: 15.88%) 167,328 BG 1,979 2.23 897,356 BP 4,218 4.75 –––––––––––––––– –––––––––––––– 6,197 6.98 –––––––––––––––– ––––––––––––––

Henderson UK Tracker Fund 39 Portfolio statement (continued)

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

United Kingdom (continued) Technology 1.15% (31/10/2014: 0.96%) 68,952 ARM Holdings 768 0.87 51,555 Sage 251 0.28 –––––––––––––––– –––––––––––––– 1,019 1.15 –––––––––––––––– ––––––––––––––

Telecommunications 5.52% (31/10/2014: 4.99%) 412,052 BT 1,878 2.12 1,308,294 Vodafone 3,016 3.40 –––––––––––––––– –––––––––––––– 4,894 5.52 –––––––––––––––– ––––––––––––––

Utilities 4.04% (31/10/2014: 4.49%) 244,657 Centrica 625 0.70 185,485 National Grid 1,631 1.84 48,493 Scottish & Southern Energy 750 0.85 11,735 Severn Trent 249 0.28 33,493 United Utilities 325 0.37 –––––––––––––––– –––––––––––––– 3,580 4.04 –––––––––––––––– ––––––––––––––

United States 0.30% (31/10/2014:0.27%) Consumer Services 0.30% (31/10/2014:0.27%) 9,001 Carnival (UK Listing) 269 0.30 –––––––––––––––– ––––––––––––––

Derivatives 0.03% (31/10/2014: (0.07%)) Futures 0.03% (31/10/2014: (0.07%)) 21 ICE FTSE 100 Index June 2015 27 0.03 –––––––––––––––– ––––––––––––––

–––––––––––––––– –––––––––––––– Investment assets 86,978 98.03 Other net assets 1,746 1.97 –––––––––––––––– –––––––––––––– Total net assets 88,724 100.00 –––––––––––––––– ––––––––––––––

40 Henderson UK Tracker Fund Statement of total return for the six months ended 30 April 2015 (unaudited)

30/04/15 30/04/14 £000 £000 £000 £000

Income Net capital gains 5,498 1,104 Revenue 1,537 1,166 Expenses (339) (544)

Net revenue before taxation 1,198 622 Taxation (18) (1)

Net revenue after taxation 1,180 621

Total return before distributions 6,678 1,725

Finance costs: Distributions (1,180) (618)

Change in net assets attributable to shareholders from investment activities 5,498 1,107

Statement of change in net assets attributable to shareholders for the six months ended 30 April 2015 (unaudited)

30/04/15 30/04/14 £000 £000 £000 £000

Opening net assets attributable to shareholders 86,435 93,561

Amounts receivable on issue of shares 191 231 Amounts payable on cancellation of shares (4,549) (3,014) (4,358) (2,783)

Stamp duty reserve tax – (5)

Change in net assets attributable to shareholders from investment activities (see above) 5,498 1,107

Retained distribution on accumulation shares 1,149 603

Closing net assets attributable to shareholders 88,724 92,483

Henderson UK Tracker Fund 41 Balance sheet as at 30 April 2015 (unaudited)

30/04/15 31/10/14 £000 £000 £000 £000 Assets Investment assets 86,978 84,379

Debtors 660 163 Cash and bank balances 1,857 2,073 Total other assets 2,517 2,236

Total assets 89,495 86,615

Liabilities Investment liabilities – 59

Creditors 217 121 Bank overdrafts 554 – Total other liabilities 771 121

Total liabilities 771 180

Net assets attributable to shareholders 88,724 86,435

42 Henderson UK Tracker Fund Notes to the financial statements as at 30 April 2015

Accounting policies The accounting policies, distribution policy and potential risks applied are consistent with those of the financial statements for the year ended 31 October 2014 and are described in those annual accounts.

Henderson UK Tracker Fund 43 Distribution table for the six months ended 30 April 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 3.0967 – 3.0967 1.4793 Group 2 1.6872 1.4095 3.0967 1.4793

44 Henderson UK Tracker 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 line is 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 UK Tracker Fund 45 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), Henderson Alternative Investment Advisor 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.

HGI43775/0415

Henderson Investment Funds Series III 46