GENERALI INVESTMENTS SICAV GLOBAL MULTI ASSET INCOME - DX 30 June 2020

KEY DATA INVESTMENT OBJECTIVE AND POLICY

MANAGEMENT COMPANY Generali Investments The objective is to achieve long-term capital appreciation and generate a stable level of income, Luxembourg S.A. by allocating globally across different assets classes with attractive yields. The Fund's net assets INVESTMENT MANAGER Generali Investments shall be essentially allocated globally between different assets including, but not limited to, Partners S.p.A Società equity, government and corporate bonds, Money Market Instruments and in time deposits. The di gestione del risparmio allocation between the above asset classes is mostly determined on the basis of macro- FUND MANAGER Cedric BARON economic analyses, quantitative models and risk indicators. In particular, the Fund shall invest FUND TYPE Sicav in instruments such as, but not limited to, equities and equity-linked securities, real estate investment trusts ("REITs"), debt instruments of any kind, UCITS, UCIs, derivative instruments DOMICILE Luxembourg such as, but not limited to, index or single name futures, dividend futures, total return swaps SUB-FUND LAUNCH DATE 21/12/2016 ("TRS"), credit default swaps ("CDS") and equity options. The Fund exposure to Sub-Investment SHARE CLASS LAUNCH Grade Credit Rating securities may not exceed 50% of its net asset. Investment in contingent DATE 21/12/2016 convertible bonds ("CoCos") is allowed up to 10% of the Fund's net assets. The Fund may use FIRST NAV DATE AFTER financial instruments and derivatives for hedging, for efficient portfolio management and for DORMANT PERIOD No dormant period investment purposes. CURRENCY Euro CUSTODIAN BANK BNP Paribas Securities PERFORMANCE ANALYSIS AT 30 JUNE 2020 Services Luxembourg ISIN LU1357655627 110 BLOOMBERG CODE GEEUMDX LX

VALUATION 100

AUM 217.99 M EUR

NAV PER SHARE 89.91 EUR 90 HIGHEST NAV OVER THE 105.46 EUR LAST 12 MONTHS 80 LOWEST NAV OVER THE 80.65 EUR 01/17 07/17 01/18 07/18 01/19 07/19 01/20 07/20 LAST 12 MONTHS 12/16 11/17 09/18 08/19 06/20 FEES Portfolio Benchmark

SUBSCRIPTION FEE max. 5% 1M YTD 1YR 3YR 3YR P.A. MANAGEMENT FEE 1.25% Portfolio 1.83 -13.40-11.44 -12.64 -4.40 CONVERSION FEE max. 5%

REDEMPTION FEE max. 3% SI SI P.A. 2019 2018 2017 PERFORMANCE FEE n.a. Portfolio -10.09 -2.97 8.37 -9.95 6.37

TER 1.00%

06/20-06/19 06/19-06/18 06/18-06/17 Portfolio -11.44 -1.13 -0.23

KEY FEATURES

A flexible asset allocation to react to markets’ movements and diversify globally Focuses on income generation without sacrificing long term capital growth CATEGORY AND RISK PROFILE Targets an income distribution of 4% per annum* The investment process includes a mechanism to reduce market’s volatility: objective of 6% CATEGORY Multi Asset maximum annualised volatility Investors can benefit from quarterly income distribution** 1 2 3 4 5 6 7 * Please note that the indicated percentage represents a target and the performance is not Lower risk Higher risk guaranteed. Potentially lower rewards Potentially higher rewards ** Income will be distributed to investors who subscribed the distribution share classes. The risk and reward category shown is not guaranteed to remain unchanged and the categorisation of the sub fund may shift over time. For more information about risk, please see the KIID and Prospectus.

Past performance is not a guide to future performance and may be misleading. The performances are shown net of fees and expenses over the relevant period. All performance figures reflect the reinvestment of dividends and do not take into account the commissions and costs incurred on the issue and redemption of shares/parts. Please see the important information at the end of this document. Investing in the fund/sub-fund involves risks including the possible loss of capital. Please read the KIIDs and the prospectus to find out about these risks. Legal information concerning the fund/sub-fund are available on the website: www.generali-investment.com GENERALI INVESTMENTS SICAV GLOBAL MULTI ASSET INCOME - DX 30 June 2020

Fund Manager's Comments

June has been characterized by a pick-up in Covid new cases, with more than 4 million new infected worldwide. In the US, the increase has been particularly strong due to the loose social distancing measures, the too early reopening of the economy and the nationwide protests of the Black Lives Matter (BLM) movement. Trump’s rating has fallen over his poor management of the Covid and BLM crises, with Joe Biden now leading the polls for the upcoming presidential elections. US manufacturing data came out stronger than expected, as the PMI rose to 52.6, up from 43.1 in May, and New Orders rose to 56.4, up from 31.8. In May, nonfarm payroll employment reported a 4.8 million rise and the unemployment rate declined to 11.1%. In its last meeting, the Fed held interest stable and made clear that it will keep a highly accommodative monetary policy until the economy gets back to normal. The committee also released it expects a GDP contraction of 6.5% in 2020, followed by an increase of 5% in 2021 and 3.5% in 2022. In the euro area, the composite PMI increased to 47.5 from 39.4, exceeding expectations. The unemployment rate slightly increased to 7.4%, with youth unemployment increasing to 16%. The European Central Bank intensified its response to the coronavirus recession with a bigger-than-anticipated increase to its emergency bond-buying program, now worth a total of €1.35 trillion. The ECB foresees a GDP contraction of 8.7% in 2020, followed by an increase of 5.2% in 2021 and 3.3% in 2022. Despite the Covid crisis, the UK confirmed that it will not seek an extension of the negotiations with the European Union beyond December, increasing the chances of a no-deal Brexit. In the past month core yields remained unchanged, the US 10-year yield at 0.65% and the 10-year Bund at -0.46%. The Italian spread further tightened by 15 bps to 179 bps and the Iberian spread by 9 bps to 93 bps. Thanks to the continued support of central banks, credit spread continued to tighten. During June, in the euro area investment grade (IG) and high yield (HY) credit spreads tightened by 19 and 39 bps, respectively. Similarly, in the US, IG and HY credit spreads tightened by 25 and 27 bps, respectively. Despite the pick-up in Covid new cases and the protests, in the last month worldwide equities had positive performances, also supported by the reopening of key economies. Overall, the MSCI World was up by 2.7%, with the S&P500 up by 2% and the Euro Stoxx 50 by 6.5%. The Nasdaq continued its rally, with a monthly performance of 6.1% and an YTD return of 12.7%. Portfolio Activity The government bond weight remained globally unchanged in June. This asset class remained underweighted compare to the strategic asset allocation (21% vs 30%). The only exception to this underweight is the US treasuries which remain overweighed. However, this asset class remained decently invested as safe haven assets bring diversification to equity like exposures in a context where tail risks remain elevated (increase in the number of contamination, high probability in corporate default, deeper recession, geopolitical tensions…). In terms of performance impact, this bucket has been mute positive (8bps) as the main interest rates remained unchanged while the peripheral countries added some gains. When it comes to the corporate credit bucket, this bucket remains the main asset class in terms of exposure. Regarding the HY bucket, the increase move that occurred in April is still present in June. The exposure to the HY segment and the Emerging market Debt remained at a controlled level in terms of exposure (19%).This bucket added 23bps to the fund performance in June. Regarding the IG bucket, the exposure remained at the highest level in fund history (30% vs 10% at S.A.A). We intend to benefit from the extraordinary support announced by Central Banks and governments especially to investment grade companies to benefit from a price appreciation and an attractive carry in the medium term. The Investment grade contribution was positive over the month. The IG bucket contributed 30bps to the fund performance. The equity bucket added 72bps in June. Across the globe, all areas recorded a positive contribution due to the extraordinary actions announced by the main Central Banks and governments and to the progressive reopening of economies. Although the pace of new Covid cases is increasing, a new global lockdown appears less certain as regional lockdown seems to be the new strategy to maintain the contamination. The continuous improvement in market trends prolonged the rally triggered by the end of March. This asset class has been increased during the month, to continue to participate to a prolonged rally. However, it still remains at a controlled lever (vs historical average weight and to the long term weight defined in the Strategic Asset Allocation). Regarding the opportunistic bucket, we kept the recent increased in the Dividend bucket as more positive news regarding company policy on dividends over the next years and lower prices made this investment more attractive. We also benefited from the recent call options on Euro Stoxx 50 to benefit from a potential prolonged rally especially after the announcement made by A. Merkel and E. Macron regarding a potential mutualized fiscal effort at the Europe level. Outlook The view is neutral on equities. On the one hand, the accelerating pace of new Covid cases of some risks look not reflected in market prices (geopolitical). On the other hand, the tremendous technical supports due to the overall underweight in equities from worldwide investors, as well as the unshakeable support from Central Banks and governments make us think that the worst is behind us and any correction should be rather limited. In addition, a new country-wise lockdown seems more unlikely as the new strategy to limit new cases puts more emphasis on regional lockdowns. The full impact on the economy is still difficult to gauge but it is expected to be the worst recession since WWII. However, the markets mood continues to focus on the unprecedented actions made by Central Banks and governments. Government bond investment remains interesting, especially in the US as interest rates are expected to remain at low level and could even go lower in case of additional measures from the FED or deeper recession. Moreover, the diversification it provides to equity and HY buckets adds to the case of keeping a decent exposure to it. The view on the IG corporate credit segment is still positive. The current yields for short to medium term and relatively safe papers still look attractive. This asset class should keep on being supported by investors search for yields in a very low interest rates environment as well as by Central Banks purchasing programs. When it comes to the HY, the view is more cautious as we expect bankruptcy to surge in the coming weeks, especially for financially weak companies and for commodities companies (which represents an important portion of this credit segment, mostly in the US) and, as such, although reduced, we keep an underweight in this asset class.

Please see the important information at the end of this document. Investing in the fund/sub-fund involves risks including the possible loss of capital. Please read the KIIDs and the prospectus to find out about these risks. Legal information concerning the fund/sub-fund are available on the website: www.generali-investment.com N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1 1 N/A GENERALI INVESTMENTS SICAV N/A N/A ISIN PortfolioRef DATE PortfolioCurCode LEVEL1TYPE NET_M1 NET_YTD NET_PREVIOU ISIN PortfolioRef DATE PortfolioCurCode PortfolioCurCode LEVEL1TYPE LEVEL1TYPE Sub-fund NET_M1 Benchmar NETAbsolute_YTD NET_PREVIOU ISIN GLOBALPortfolioRef MULTI DATE ASSET DATE INCOME PortfolioCurCode PortfolioCurCode - DX LEVEL1TYPE LEVEL1TYPE Sub-fund Sub-fund Benchmar Benchmar Absolute ISIN PortfolioRef DATE PortfolioCurCode LEVEL1TYPE Sub-fund BBenchmarenchmar Absolute ISIN PortfolioRef DATE PortfolioCurCode LEVEL1TYPE Sub-fund BBenchmarenchmar ISIN 30 JunePortfolioRef 2020 DATE PortfolioCurCode LEVEL1TYPE Sub-fund Benchmar Absolute ISIN PortfolioRef DATE PortfolioCurCode LEVEL1TYPE Sub-fund Benchmar Absolute ISIN PortfolioRef DATE PortfolioCurCode SecurityName Sector RGatingross % of portfolio Gross % of portfolio

BREAKDOWNS

BREAKDOWN BY STRATEGY BREAKDOWN BY ASSET CLASS

Defensive Income 54 Corporate Bond 47.4

Income Growth 17.4 Government Bond 23.9

Opportunistic 12.7 Equity 21.2

Growth 10.6 Cash&Cash Equit 5.3

Cash 5.3 Commodity 2.1

0% 20% 40% 60% 0% 20% 40% 60%

BREAKDOWN ALLOCATION GEOGRAPHICAL AREA % BREAKDOWN ALLOCATION GEOGRAPHICAL AREA %

Defensive Income Eurozone 23.62 Government Bond Eurozone 4.99

North America 23.27 North America 12.96

UK 7.00 Emerging markets 3.26

Defensive Income Total 53.96 UK 2.68

Income Growth Eurozone 8.89 Government Bond Total 23.90

North America 5.25 Corporate Bond North America 15.56

Emerging markets 3.26 Eurozone 27.53

Income Growth Total 17.41 UK 4.32

Growth Eurozone 1.52 Corporate Bond Total 47.41

North America 1.84 Equity Eurozone 7.86

Emerging markets 2.28 North America 3.91

Japan 4.45 Emerging markets 2.28

UK 0.46 Japan 4.45

Growth Total 10.56 UK 2.63

Opportunistic Commodity 2.13 Equity Total 21.15

EuroStoxx 50 Dividend 4.76 Commodity Global 0.09

FTSE 100 Dividend 2.17 Eurozone 2.03

Put Spread EuroStoxx 50 0.41 Commodity Total 2.13

Call Spread EuroStoxx Bank 0.62 Cash&Cash Equit Total 5.33

Euro Stoxx Banks Dividend (2.96) Total 100

US Equity - long optional 2.56

Call Spread EuroStoxx 50 2.30

Euro Stoxx Div 30 0.69

Opportunistic Total 12.72

Cash Total 5.33

Total 100

DEALING DETAILS

CUT OFF TIME T at 1 pm (T being the dealing day) SETTLEMENT T+3 VALUATION Daily NAV CALCULATION Day +1 NAV PUBLICATION Day +1

Important Information

The sub-fund is part of Generali Investments SICAV (an investment company qualifying as a “société d’investissement à capital variable” with multiple sub-funds under the laws of the Grand Duchy of Luxembourg) managed by Generali Investments Luxembourg S.A. who appointed Generali Investments Partners S.p.A. Società di gestione del risparmio as investment manager. The information contained in this document is only for general information on products and services provided by Generali Investments Partners S.p.A. Società di gestione del risparmio. It shall under no circumstance constitute an offer, recommendation or solicitation to subscribe units/shares of undertakings for collective investment in transferable securities or application for an offer of investments services. It is not linked to or it is not intended to be the foundation of any contract or commitment. It shall not be considered as an explicit or implicit recommendation of investment strategy or as investment advice. Before subscribing an offer of investment services, each potential client shall be given every document provided by the regulations in force from time to time, documents to be carefully read by the client before making any investment choice. Generali Investments Partners S.p.A. Società di gestione del risparmio, periodically updating the contents of this document, relieves itself from any responsibility concerning mistakes or omissions and shall not be considered responsible in case of possible damages or losses related to the improper use of the information herein provided. Past performance is not a guarantee of future performance and the sub-fund presents a risk of loss of capital. No assurance is released with regard to the approximate correspondence of the future performances with the ones above mentioned. It is recommended to look over the regulation, available on our website www.generali- investments.com. The client shall carefully read the KIID, which must be delivered before subscribing the investment, and the prospectus which are available on our website (www.generali-investments.com), on Generali Investments Luxembourg S.A. (Management Company of Generali Investments SICAV) website (www.generali-investments.lu), and by distributors. Generali Investments is a commercial brand of Generali Investments Partners S.p.A. Società di gestione del risparmio, Generali Insurance Asset Management S.p.A. Società di gestione del risparmio, Generali Investments Luxembourg S.A. and Generali Investments Holding S.p.A.. Generali Investments is part of the Generali Group which was established in 1831 in Trieste as Assicurazioni Generali Austro-Italiche.