Alternatives Audited Annual Report
UnauditedAudited Annual Semi-Annual Report Report GIM Portfolio Strategies Funds
Société d’Investissement à Capital Variable, Luxembourg (R.C.S. No. B 89 734)
3130 MarchSeptember 2020 2020 GIM Portfolio Strategies Funds Audited Annual Report As at 30 September 2020
Contents
Board of Directors 1
Management and Administration 2
Board of Directors’ Report 3-6
Investment Manager’s Report 7-8
Audit report 9-10
Financial Statements and Statistical Information
CombinedStatementofNetAssets 11 CombinedStatementofOperationsandChangesinNetAssets 12 StatementofChangesintheNumberofShares 13-14 StatisticalInformation 15-16
Notes to the Financial Statements 17-20
Schedules of Investments
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund 21-25 GIM Portfolio Strategies Funds - Technology Long-Short Fund 26-30
Appendix: Unaudited Additional Disclosures
1.FundTotalExpenseRatios 31 2.SummaryofInvestmentObjectivesoftheSub-Funds 32 3.PerformanceandVolatility 32-33 4.AIFMDRemunerationDisclosures 34 5.CalculationMethodoftheRiskExposure 34 6.HistoricalStatementofChangesintheNumberofShares 35-38
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No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus, supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current prospectus, the unaudited semi-annual report, as well as the audited annual report can be obtained free of charge from the registered office of the SICAV and from local paying agents. GIM Portfolio Strategies Funds Board of Directors
Chairman Iain O. S. Saunders Duine, Ardfern Argyll PA31 8QN United Kingdom
Directors Peter Thomas Schwicht Jacques Elvinger Humboldtstraße 17 Elvinger Hoss Prussen, Société Anonyme D-60318 Frankfurt am Main 2, place Winston Churchill Germany B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg Susanne van Dootingh Massimo Greco Nekkedelle 6 Managing Director B-3090 Overijse JPMorgan Asset Management (UK) Limited Belgium 60 Victoria Embankment London EC4Y 0JP United Kingdom Daniel J. Watkins John Li How Cheong Managing Director The Directors’ Office JPMorgan Asset Management (Asia Pacific) Ltd 19 rue de Bitbourg Level 21, Chater House L-1273 Luxembourg 8 Connaught Road, Central Grand Duchy of Luxembourg 99077 Hong Kong
Martin Porter (appointed on 31 January 2020) Thornhill, Hammerwood Road Ashurst Wood, West Sussex RH19 3SL United Kingdom
Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg
1 GIM Portfolio Strategies Funds Management and Administration
Alternative Investment Fund Manager, Management Company, Registrar, Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg
Investment Manager JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom
Depositary, Administrative, Listing and Principal Paying Agent HSBC France, Luxembourg Branch 16, boulevard d’Avranches L-1160 Luxembourg Grand Duchy of Luxembourg
Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P. 1443 L-1014 Luxembourg Grand Duchy of Luxembourg
Luxembourg Legal Adviser Elvinger Hoss Prussen, Société Anonyme 2, place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg
2 GIM Portfolio Strategies Funds Board of Directors’ Report
Chairman Iain O.S. Saunders Chairman and Independent Non-Executive Director. A member of the Board since January 2009. Mr Saunders graduated in Economics from Bristol University and joined Robert Fleming in 1970. He held several senior positions with the group in Hong Kong, Japan and the US, before returning to the UK in 1988. He was appointed Deputy Chairman of Fleming Asset Management and retired in 2001 following the merger of the Robert Fleming group with JPMorgan. Mr Saunders is currently Chairman of several JP Morgan managed Luxembourg-domiciled investment funds and MB Asia Select Fund. Directors Jacques Elvinger Non-Executive Director. A member of the Board since November 2002. Mr Elvinger became a member of the Luxembourg Bar in 1984 and has been a partner of the Luxembourg law firm Elvinger Hoss Prussen since 1987. Mr Elvinger practices general corporate and banking law and specialises in the field of investment and pension funds. He is a member of the High Committee for the Development of the Financial Sector instituted by the Luxembourg Government. He is also a member of the Advisory Committees to the Luxembourg Commission for the Supervision of the Financial Sector in the area of investment funds. He is currently chairman of ALFI’s Regulatory Board. Mr Elvinger currently holds a number of board mandates with Luxembourg investment funds including several JPMorgan managed Luxembourg-domiciled investment funds. Massimo Greco Executive Director. A member of the Board since January 2015. Mr Greco, Managing Director, is responsible for JPMorgan Asset Management’s Global Funds business in Europe, based in London. He took on his current responsibilities in 2012. Mr Greco has been a JPMorgan employee since 1992, initially with the Investment Banking unit, moving to Asset Management in 1998. Mr Greco holds a degree in Economics from the University of Turin and an MBA (Major in Finance) from the Anderson Graduate School of Management at UCLA. Mr Greco is a Member of the Board of JPMorgan Asset Management (Europe) S.à r.l. as well as other Luxembourg domiciled SICAVs. John Li How Cheong Independent Non-Executive Director. A member of the Board since June 2012. Mr Li is a fellow of the Institute of Chartered Accountants in England & Wales. Mr Li moved to Luxembourg in 1987 and has since been working in the financial sector. Mr Li was a Partner at KPMG Luxembourg for more than 20 years during which he was Managing Partner for 8 years before taking on the role of Chairman of the Supervisory Board for 3 years. Mr Li was also a member of the Global Investment Management Practice of KPMG. During these years Mr Li’s experience included auditing and advising clients such as banks, investment funds, insurance companies from Europe, US, Japan and Asia offering Mr Li an extensive experience in dealing with international companies. Mr Li is a board member of the Institut Luxembourgeois des Administrateurs. Mr Li currently holds a number of board mandates with financial institutions including several JPMorgan managed Luxembourg-domiciled investment funds. Martin Porter Independent Non-Executive Director. A member of the Board since January 2020. Mr Porter joined Robert Fleming Asset Management in 1984, and ran equity portfolios in both London and Japan. During his tenure in Japan, he became a holding board director of Jardine Fleming, responsible for the Japanese business. Returning to the UK in 2000, he took up the role of Chief Investment Officer, Equity and Balanced of Fleming Asset Management, before becoming Global Head of Equities of JP Morgan Asset Management, a position he held from 2003 to 2016 when he retired. Peter Thomas Schwicht Independent Non-Executive Director. A member of the Board since June 2012. Mr Schwicht obtained a Business Economics degree from the University of Mannheim in Germany after having studied business, tax and accounting in Hamburg, Norway and the USA and was an employee of JPMorgan Asset Management from 1987 until October 2014. Prior to his retirement Mr Schwicht was the Chief Executive of Investment Management - EMEA, JPMorgan Asset Management. He had previously held positions as the Head of the Continental Europe Institutional business and the Investment Management Country Head for Institutional and Retail business in Germany where he first developed the business and then went on to expand this throughout Continental Europe. Mr Schwicht is currently a Director of several JPMorgan managed Luxembourg-domiciled investment funds. Susanne van Dootingh Independent Non-Executive Director. A member of the Board since December 2017. Ms van Dootingh is an Independent Non-Executive Director of several domiciled investment funds and management companies. Prior to becoming an INED she was at State Street Global Advisors from 2002 to 2017 with her final position being Senior Managing Director, Head of European Governance and Regulatory Strategy EMEA. Prior to this she held various senior positions within State Street Global Advisors in Global Product and Global Fixed Income Product Engineering. Before joining SSGA in 2002 she worked at Fortis Investment Management, Barclays Global Investors, and ABN AMRO Asset Management. Ms. Van Dootingh is currently a Director of several JPMorgan managed Luxembourg-domiciled investment funds. Daniel Watkins Executive Director. A member of the Board since December 2014. Mr Watkins is the Chief Executive Officer of Asia Pacific, JP Morgan Asset Management. He is responsible for overseeing the Asset Management Asia Pacific business, which operates in seven locations and includes more than 1,400 employees. Mr Watkins is a member of the Asset Management Operating Committee and the firm-wide Asia Pacific Management team. Mr Watkins has been an employee since 1997. Prior to taking his current role in 2019, he was Deputy CEO of JPMorgan Asset Management Europe and Global Head of AM Client Services and Business Platform. Mr Watkins has also held a number of positions at JPMorgan namely Head of Europe COO and Global IM Operations, Head of the European Operations Team, Head of the European Transfer Agency, Head of Luxembourg Operations, manager of European Transfer Agency and London Investment Operations and manager of the Flemings Investment Operations Teams. Mr Watkins obtained a BA in Politics from the University of York and is a qualified Financial Advisor. Mr Watkins is currently a Director of several JPMorgan managed Luxembourg and Irish domiciled investment funds and also several UK legal entities.
3 GIM Portfolio Strategies Funds Board of Directors’ Report (continued)
The Board of Directors (the “Board”) is pleased to present the Audited Annual Report of GIM Portfolio Strategies Funds (the “Fund”) for the year ended 30 September 2020, and considers that taken as a whole they are fair and balanced and provide the information necessary for shareholders to assess the Fund’s position and performance. Structure of the Fund The Fund is a variable capital open-ended investment company, organised as a “Société Anonyme”, under the laws of the Grand Duchy of Luxembourg. The Board has appointed JPMorgan Asset Management (Europe) S.à r.l. (JPMAME) as Management Company of the Fund. The Fund is organised as an “umbrella” with a number of Sub-Funds each of which has its own investment objective, policies and restrictions. The objective of the Fund is to place the money available to it in transferable securities and other permitted assets of any kind, in accordance with the Fund’s Prospectus, with the purpose of spreading investment risks and affording shareholders the results of the management of their portfolios. The Fund is organised under Part II of the Luxembourg Law of 17 December 2010, as amended, on Undertakings for Collective Investment as a Société Anonyme qualifying as a Société d’Investissement à Capital Variable (SICAV). The Fund currently has 2 Sub-Funds. All of the Sub-Funds and Share Classes are registered for offer and distribution in the Grand Duchy of Luxembourg anda number of the Sub-Funds and Share Classes are registered for distribution in the following jurisdictions: Finland, France, Germany, Italy, Netherlands, Norway, Sweden, Switzerland and United Kingdom. During the year there were no country registrations or de-registrations. Role and Responsibility of the Board The responsibility of the Board is governed exclusively by Luxembourg law. With respect to the annual accounts of the Fund, the duties of the Directors are governed by the law of 10 December 2010 on, inter alia, the accounting and annual accounts of undertakings for collective investment and by the law of 17 December 2010, as amended, relating to undertakings for collective investment. A management agreement between the Fund and JPMorgan Asset Management (Europe) S.à r.l. sets out the matters over which the Management Company has authority under Chapter 15 of the Law of 17 December 2010. This includes management of the Fund’s assets and the provision of administration, registration, domiciliation agent and marketing services. All other matters are reserved for approval by the Board and a schedule setting out such matters for clarity is in place between the Board and the Management Company. The matters reserved for the Board include determination of each Sub-Fund’s investment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment and financial data, including the annual accounts, as well as the appointment of, and review of the services provided by, the Management Company, Auditor and Depositary. Prior to each Board meeting the Directors receive detailed and timely information allowing them to be prepared for the items under discussion during the meeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the Management Company, the investment managers, risk management as well as proposals for changes to existing Sub-Funds or proposals to launch new ones as appropriate. Senior representatives of each of these functions attend Board meetings by invitation to enable the Directors to question the reports presented to them. The Directors take decisions in the interests of the Fund and its shareholders as a whole and refrain from taking part in any deliberation or decision which creates a conflict of interest between their personal interests and those of the Fund and its shareholders. The subject of conflicts of interest is documented in the Prospectus and the Management Company’s policy on conflicts of interest is available for inspection on the website: https://am.jpmorgan.com/content/dam/jpm-am-aem/emea/lu/en/communications/lux-communication/conflicts-of-interest-ce-en.pdf The Board can take independent professional advice if necessary and at the Fund’s expense. Board Composition The Board is chaired by Mr. Saunders and consists of five Independent Non-Executive Directors, one Non-Executive Director and two Executive Directors. The Board defines an Executive Director as someone who is employed by JPMorgan Chase & Co or any of its affiliates, a Non-Executive Director as someone who has a business, family or other relationship with the Fund or JPMorgan Chase & Co or any of its affiliates, and an Independent Non-Executive Director as someone who is free of any business, family or other relationship with the Fund or JPMorgan Chase & Co or any of its affiliates. All Board meetings requirea majority of Non-Executive Directors to be in attendance. In appointing a Director, the Board takes into account the relative mix and composition of the Board, which as a whole has a breadth of investment knowledge, financial skills, as well as legal and other experience relevant to the Fund’s business. The Board does not limit the number of years of Directors’ service and it does take into account the nature and requirements of the fund industry and of the Fund’s business when making recommendation to shareholders that Directors be elected. The terms of each Director’s appointment are set out in a contract for services and these are available at the Fund’s registered office for inspection. At the Annual General Meeting of the Fund on 31 January 2020, the shareholders appointed Martin Porter to the board as an Independent Non-Executive Director. At the forthcoming Annual General Meeting shareholders are being asked to consider appointing Marion Mulvey to the Board as an Executive Director. Marion Mulvey is Co-CAO and Head of Asset Management Operations in EMEA for J.P. Morgan Asset Management. Marion joined J.P. Morgan in 2014 from Citigroup, where her last role was as Product Head for the Alternatives Fund Administration business in EMEA. She spent 13 years with that business in total and also held a number of senior operational roles including Head of Fund Accounting in EMEA. Previously, Marion worked at Salomon Smith Barney for 3 years, managing the European Equity Product Control team. She trained as a Chartered Accountant holding roles both in private practice and as an Audit Manager in the financial services audit department at KPMG. Marion is a Fellow of the Institute of Chartered Accountants in Ireland. She is also a member of the Institute of Directors, holding a Certificate and Diploma in Company Direction. Induction and Training All new Directors will receive an induction incorporating relevant information regarding the Fund and their duties and responsibilities as a Director. In addition, the Board takes active steps to keep up to date with developments relevant to the Fund and have ensured that a formal training programme is in place. Board Evaluation The Board carries out a biennial review of its performance.
4 GIM Portfolio Strategies Funds Board of Directors’ Report (continued)
Board Remuneration The Board believes that the remuneration of its members should reflect the responsibilities and experience of the Board as a whole and be fair and appropriate given the size, complexity and investment objectives of the Fund. The remuneration is reviewed on an annual basis. For the year ended 30 September 2020 the Chairman is paid EUR 22,500 per annum and the other Directors EUR 18,500 per annum pro rata apart from the Executive Directors who have agreed to waive their remuneration. No element of the remuneration paid by the Fund to the Directors is performance related. Board Meetings and Committees The Board meets quarterly but if necessary additional meetings will be arranged. Given the scope and nature of the business of the Fund, the Board does not currently consider it necessary to have a formal Audit or Remuneration Committee, but has established an AML Committee in October 2020. All Board related matters are approved by the Board or, where there are specific matters that need further consideration, a Sub-Committee of the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to the Prospectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are usually formed of a minimum of two Directors. There were six Board meetings held during the year. Four of these were quarterly Board meetings where, amongst other matters, the agenda included those items highlighted under the section above called ‘Role and Responsibility of the Board’ and two were ad hoc Board meetings. In addition to the Board meeting where the Auditors present the report on the audit of the Fund accounts, the Non-Executive Directors also meet with them annually without the Executive Directors being in attendance. Internal Control Investment management and all administrative services are provided by the Management Company and custody of assets is provided by J.P. Morgan Bank Luxembourg S.A.. The Board’s system of internal control therefore mainly comprises monitoringthe services provided by the Management Company and the Depositary, including the operational and compliance controls established by them to meet the Fund’s obligations to shareholders as set out in the Prospectus, Articles of Incorporation as well as all relevant regulations. The Management Company formally reports to the Board on a quarterly basis on the various activities it is responsible for and in addition shall inform the Board without delay of any material administrative or accounting matters. Corporate Governance and ALFI Code of Conduct The Board is responsible for ensuring that a high level of corporate governance is met and considers that the Fund has complied with the best practices in the Luxembourg funds industry. In particular, the Board has adopted the ALFI Code of Conduct (the “Code”) which sets out principles of good governance. These principles are set out below: 1. The Board should ensure that high standards of corporate governance are applied at all times; 2. The Board should have good professional standing and appropriate experience and to ensure that it is collectively competent to fulfil its responsibilities; 3. The Board should act fairly and independently in the best interests of the investors; 4. The Board should act with due care and diligence in the performance of their duties; 5. The Board should ensure compliance with all applicable laws and regulations and with the Fund’s constitutional documents; 6. The Board should ensure that investors are properly informed, are fairly and equitably treated, and receive the benefits and services to which they are entitled; 7. The Board should ensure that an effective risk management process and appropriate internal controls are in place; 8. The Board should identify and manage fairly and effectively, to the best of its ability, any actual, potential or apparent conflict of interest and ensure appropriate disclosure; 9. The Board should ensure that shareholder rights are exercised in a considered way and in the best interests of the Fund; 10. The Board should ensure that the remuneration of the Board members is reasonable and fair and adequately disclosed. The Board considers that the Fund has been in compliance with the principles of the Code in all material aspects throughout the financial year ended 30 September 2020. The Board undertakes an annual review of ongoing compliance with the principles of the Code. Proxy Voting Policy The Board delegates responsibility for proxy voting to the Management Company. The Management Company manages the voting rights of the shares entrusted in a prudent and diligent manner, based exclusively on the reasonable judgement of what will best serve the financial interests of clients. So far as is practicable, the Management Company will vote at all of the meetings called by companies in which they are invested. A copy of the proxy voting policy is available from the Fund’s registered office upon request or on the website: https://am.jpmorgan.com/uk/institutional/corporate-governance Environmental Social Governance (“ESG”) Certain Sub-Funds of GIM Portfolio Strategies Funds have included ESG as part of their investment policy. Details of these are included within the prospectus. Directors and Officers Indemnity Insurance The Fund’s Articles of Incorporation indemnify the Directors against expenses reasonably incurred in connection with any claim against them arising in the course of their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Board has taken out Directors and Officers Indemnity Insurance which indemnifies the Directors against certain liabilities arising in the course of their duties and responsibilities but does not cover against any fraudulent or dishonest actions on their part. Auditor PricewaterhouseCoopers, Société coopérative, has been the Fund’s Auditor since January 2011. The provision of audit services was last put to competitive tender in 2016. The Board reviewed the services of PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be proposed to the Shareholders to be appointed as Auditor.
5 GIM Portfolio Strategies Funds Board of Directors’ Report (continued)
Annual General Meeting The next Annual General Meeting of the Fund will be held on 29 January 2021 at the Registered Office of the Fund to consider matters relating to the year ending on 30 September 2020. At this meeting shareholders will be requested to consider the usual matters at such meetings including: 1. the adoption of the Financial Statements and approval of the allocation of the results; 2. the approval of Directors’ fees; 3. the election of certain Directors; 4. the election of the Auditor; and 5. the discharge of Directors duties. No special business is being proposed by the Board. Discharge of Directors One of the resolutions in the AGM is, as required under Luxembourg Law, for shareholders to vote on the discharge the directors of their duties for the fiscal year in question. This discharge is only valid where the annual accounts contain no omission or false information concealing the real financial situation of the Fund. Privacy Policy The Management Company complies with a privacy policy that has been issued by J.P. Morgan Asset Management which can be accessed at www.jpmorgan.com/emea-privacy-policy. This policy was updated during the year to comply with the General Data Protection Regulation. Significant Event during the Year The Board agreed the following corporate actions relating to Sub-Funds which were notified to clients as appropriate: Covid-19 addendum Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of Covid-19. The outbreak of Covid-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. There has been a significant correction in the financial markets over the months from February to May. The effects of Covid-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the market.
The Board of Directors Luxembourg, 14 December 2020
6 GIM Portfolio Strategies Funds Investment Manager’s Report
Market Review European equities produced a negative return in the 12-month period, returning -7.8% in euro terms. The period started off positively for equities, globally, as trade tensions between the U.S. and China appeared to calm. However, the first quarter of 2020 brought market volatility as Covid-19 escalated from a regional epidemic at the start of the year to a global pandemic by the first week of March. European equities sold off sharply, falling 22.6% in euro terms in the quarter. They rebounded in the second quarter as the growth in Covid-19 infection rates started to fall and as stimulus measures enacted by national governments to reduce the damage caused by the economic shutdown came into effect. The MSCI Europe Index gained 12.6% in euro terms in the second quarter. The third quarter was flat for European equities in euro terms. Despite unprecedented government stimulus, the Eurozone fell into its deepest recession on record and pandemic-induced restrictions to economic and social activity resumed in some areas.
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund The Sub-Fund returned 1.4% in the 12 months ended 30 September 2020 (net of fees, EUR share class). Returns were driven by our bottom-up focus on value, quality and momentum characteristics, taking long positions in our best ideas and shorting those stocks that we believed were the least attractive. Both alpha and beta contributed positively to performance, with long alpha being the primary driver of performance, while short alpha offset some of the positive alpha on the long side. The largest positive contributor at the sector level was long alpha position in the retail sector. This was primarily led by digital or online companies that have seen an acceleration of positive structural trends as a result of the pandemic’s impact. Examples include German meal-kit delivery company HelloFresh SE, whose shares rose amid increased consumer demand during enforced at-home quarantines. Shop Apotheke Europe NV, also a German company, continued to increase its market share and delivered margin improvements to complement its revenue growth. The real estate sector also provided positive returns, with alpha on both sides of the portfolio helping performance. The largest stock-level contributor within the sector was our short position in French commercial real estate company Unibail-Rodamco-Westfield SE. We were concerned coming into the Covid-19 crisis that the company was selling down some of its highest quality assets to control leverage, and with reduced foot traffic and reduced demand for commercial property space, the company suffered from lower rents and cancelled its final 2020 dividend payment to shareholders. The automobiles and components sector was the largest detractor at the sector level, where long and short alpha were both negative. The largest detractor at the stock level was our short position in German carmaker Daimler AG. The parent company of Mercedes-Benz announced a profit warning in June 2019 and again in July 2019, and had been struggling amid poor free cash flow. However, Daimler’s shares rose in October 2019 when its third-quarter results exceeded investor expectations. We retained a short position in the company, but its shares rose in the latter part of the reporting period amid investor expectations that it would benefit from European plans to further subsidise electric or “green” vehicles as part of the pandemic stimulus package. Short alpha also detracted in the media and entertainment sector, driven by our short position in Swedish video game producer Paradox Interactive AB. The company’s shares rose in March as consumers in at-home quarantine searched for ways to fill their time.
GIM Portfolio Strategies Funds - Technology Long-Short Fund The Sub-Fund returned +10.7% over the 12 months ended 30 September 2020 (net of fees, EUR share class). Returns were driven by our bottom-up focus on value, quality and momentum characteristics, taking long positions in our best technology sector ideas and shorting those stocks that we believed were the least attractive. Both alpha and beta contributed positively to performance,with long alpha being the primary driver of performance,while short alpha offset some of the positive alpha on the long side. The largest positive contributor to performance was the software and services sector, driven by long alpha. Specifically, our long position in Swedish cloud communications company Sinch AB was positive as the company reported first-quarter results in April that were better than expected. Demand for the company’s products that connect businesses with their customers accelerated during at-home quarantines. In May, the company announced that it agreed to purchase a division from German software company SAP SE, which reinforced investor expectations for continued growth in Sinch’s business. Another Sinch acquisition announced in June led to upgrades from investment analysts and extended a rally in the company’s shares. Long alpha was also positive in the retail sector, primarily led by digital or online companies that had seen an acceleration of positive structural trends as a result of the impact of the pandemic. Examples include German meal-kit delivery company HelloFresh and online pharmacy Shop Apotheke, as described above. The automobiles and components sector was the largest detractor at the sector level, driven by negative short alpha. Our short position in Tesla Inc. was one of the biggest detractors. Already at a relatively high valuation, the U.S. electric vehicle manufacturer’s shares continued to perform well throughout the period, particularly in August amid renewed demand in China for its electric vehicles and the investor expectations that the company’s technological innovations would expand its potential market. The share price also benefitted from the company’s announcement of a stock split and its potential inclusion into the S&P 500 index, which would make the shares more accessible to a broader range of investors. Short alpha also detracted in the media and entertainment sector, driven by our short position in Swedish video game producer Paradox Interactive, as described above.
7 GIM Portfolio Strategies Funds Investment Manager’s Report (continued)
Outlook Since the end of September, infection rates have prompted some reversals in national efforts to reopen economies. However, with lower overall rates of mortality, we believe that we have likely passed the low point in economic demand, and consumer and business confidence should recover – albeit from dramatically low levels – implying that a return to some form of economic normality remains a prospect. The economic damage, however, has been immense, as can be seen from steep rises in debt at government and household levels. Corporate earnings will be appreciably lower into 2021, with the financials and energy sectors especially affected. Although 2021 should see a global economic recovery, it will likely take many quarters before profitability returns to pre-crisis levels. Against this background, the rebound in stock markets may look paradoxical, but it reflects unprecedented monetary stimulus and a dearth of competing investment opportunities. Relative to sovereign bonds and cash, equities still offer attractive medium-term return potential, and we should remember that the nature of economic cycles is that short-term hits to profitability tend to presage longer recoveries. Positive developments for a potential Covid-19 vaccine could lead to a broad market rotation into cheaper, more cyclical areas of the equity market. That said, an increase in Covid-19 cases in many countries indicates that an end to the crisis is not immediately forthcoming, and the structural shifts in the economy that have accelerated during the pandemic will continue to act as a tailwind for innovative technology companies.
The Investment Manager Luxembourg, 14 December 2020
The information stated in this report is historical and not necessarily indicative of future performance.
8 Audit report
To the Shareholders of GIM Portfolio Strategies Funds
Our opinion In our opinion, the accompanying financial statements give a true and fair view of the financial position of GIM Portfolio Strategies Funds (the “Fund”) and of each of its Sub-Funds as at 30 September 2020, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.
What we have audited The Fund’s financial statements comprise : - the Combined Statement of Net Assets as at 30 September 2020; - the Schedules of Investments as at 30 September 2020; - the Combined Statement of Operations and Changes in Net Assets for the year then ended; and · the Notes to the financial statements, which include a summary of significant accounting policies.
Basis for opinion We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier” (CSSF). Our responsibilities under the Law of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We are independent of the Fund in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements.
Other information The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.
Responsibilities of the Board of Directors of the Fund for the financial statements The Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Board of Directors of the Fundis responsible for assessing the Fund's and each of its Sub-Funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or close any of its Sub-Funds or to cease operations, or has no realistic alternative but to do so.
PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: +352 494848 1, F: +352 494848 2900, www.pwc.lu
Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n° 10028256) R.C.S. Luxembourg B65 477 - TVA LU25482518 9 Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also: - identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; - obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control; - evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund; - conclude on the appropriateness of the Board of Directors of the Fund’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s or any of its Sub-Funds’ ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund or any of its Sub-Funds to cease to continue as a going concern; - evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.
PricewaterhouseCoopers,Société coopérative Luxembourg, 14 December 2020 Represented by
Emmanuel Chataignier
10 GIM Portfolio Strategies Funds Combined Statement of Net Assets As at 30 September 2020
GIM Europe Technology Portfolio Dynamic Long-Short Strategies Long-Short Fund Funds Fund Combined USD EUR EUR
Assets Investments in Securities at Market Value 599,709,692 201,712,543 308,939,443 Acquisition Cost 544,210,436 195,395,357 267,999,088 Cash at Bank 34,039,315 7,855,160 21,129,270 Net Unrealised Gain on Contracts for Difference 3,698,835 978,964 2,170,589 Net Unrealised Gain on Forward Foreign Exchange Contracts 2,043,181 889,352 850,414 Net Unrealised Gain on Financial Futures Contracts 531,216 452,330 - Receivable for Securities Sold 12,645 - 10,767 Dividends Receivable 102,398 15,995 71,197 Interest Receivable 4,808 4,094 -
Total Assets 640,142,090 211,908,438 333,171,680
Liabilities Open Short Positions 200,301,444 78,045,004 92,511,403 Sales Proceeds 199,445,558 80,270,315 89,557,306 Bank Overdrafts 14,780,071 5,650,257 6,934,953 Short Dividends Payable 53,284 35,336 10,035 Performance Fees Payable 6,041,228 439 5,143,658 Management Fees Payable 521,293 157,329 286,551 Net Unrealised Loss on Financial Futures Contracts 71,286 - 60,700 Interest Payable 417,620 110,435 245,168 Payable for Unsettled Spot Contracts 1,346 - 1,146 Other Payables* 525,606 106,101 341,452
Total Liabilities 222,713,178 84,104,901 105,535,066
Total Net Assets 417,428,912 127,803,537 227,636,614
Historical Total Net Assets Total Net Assets as at 30 September 2019 Total Net Assets as at 30 September 2018 322,918,809 102,440,166 193,706,944 424,647,488 161,884,216 203,592,579
* Other Payables are principally comprised of Depositary fees, tax related fees, Broker’s commission and Operating and Administrative expenses.
The accompanying notes form an integral part of these Financial Statements. 11 GIM Portfolio Strategies Funds Combined Statement of Operations and Changes in Net Assets For the Year Ended 30 September 2020
GIM Europe Technology Portfolio Dynamic Long-Short Strategies Long-Short Fund Funds Fund Combined USD EUR EUR
Net Assets at the Beginning of the Year* 347,795,166 102,440,166 193,706,944
Income Dividend Income 4,608,229 1,979,560 1,944,341 Interest Income from Investments 196 167 - Other Income** 209,199 122,509 55,624
Total Income 4,817,624 2,102,236 1,999,965
Expenses Dividends Paid on Short Sales 2,844,626 1,244,088 1,178,107 Interest Expense from Investments 2,280,902 392,668 1,549,517 Security Borrowing Fees 2,567,396 831,998 1,354,136 Management and Advisory Fees 5,491,425 1,542,198 3,133,743 Operating and Administrative Expenses 1,071,903 301,962 610,762 Depositary Fees 223,600 65,008 125,387 Taxe d’Abonnement 103,428 25,618 62,451 Brokerage Fees 230,663 196,409 - Other Expenses** 196,190 109,832 57,224
Total Expenses before Performance Fees 15,010,133 4,709,781 8,071,327
Performance Fees 6,311,438 650 5,373,531
Total Expenses 21,321,571 4,710,431 13,444,858
Net Investment Loss (16,503,947) (2,608,195) (11,444,893)
Net Realised Gain/(Loss) on Sale of Investments (1) 19,482,233 (27,703) 16,616,798 Net Realised Loss on Forward Foreign Exchange Contracts (1) (13,690,086) (4,585,497) (7,071,593) Net Realised Gain on Financial Futures Contracts (1) 4,249,381 1,260,529 2,357,813 Net Realised Gain/(Loss) on Contracts for Difference (1) 567,977 2,874,300 (2,390,668) Net Realised Loss on Foreign Exchange (1) (705,583) (365,775) (235,028)
Net Realised Gain/(Loss) for the Year 9,903,922 (844,146) 9,277,322
Net Change in Unrealised Gain/(Loss) on Investments (1) 16,256,611 (1,935,155) 15,777,637 Net Change in Unrealised Loss on Forward Foreign Exchange Contracts (1) (1,534,960) (592,942) (714,074) Net Change in Unrealised Loss on Contracts for Difference (1) (1,615,693) (246,820) (1,128,940) Net Change in Unrealised Gain on Financial Futures Contracts (1) 1,270,525 1,020,246 61,604
Net Change in Unrealised Gain/(Loss) for the Year 14,376,483 (1,754,671) 13,996,227
Net Change in Unrealised Increase/(Decrease) as a Result of Operations 7,776,458 (5,207,012) 11,828,656
Movements in Share Capital Subscriptions 110,247,954 41,787,064 52,088,919 Redemptions (48,390,666) (11,216,681) (29,987,905)
Increase in Net Assets as a Result of Movements in Share Capital 61,857,288 30,570,383 22,101,014
Net Assets at the End of the Year 417,428,912 127,803,537 227,636,614
---
(1) Please refer to Note 11. * The opening balance was combined using the foreign exchange rates as at 30 September 2020. The same net assets when combined using the foreign exchange ruling as at 30 September 2019 reflected a figure of USD 322,918,809. ** Other Income and Other Expenses are principally comprised of interest income and expense on cash accounts and bank overdraft.
The accompanying notes form an integral part of these Financial Statements. 12 GIM Portfolio Strategies Funds Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2020
Shares Outstanding Shares Shares Shares Outstanding at the Beginning Subscribed Redeemed at the End of the Year of the Year
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short A103 - EUR 27,755.352 - (4,219.002) 23,536.350 GIM Europe Dynamic Long-Short A0316 - EUR 51,488.672 - (5,527.706) 45,960.966 GIM Europe Dynamic Long-Short A0318 - EUR 1,580.000 - - 1,580.000 GIM Europe Dynamic Long-Short A0418 - EUR 9,650.000 - (9,650.000) - GIM Europe Dynamic Long-Short A0618 - EUR 44,750.000 - (44,750.000) - GIM Europe Dynamic Long-Short A0718 - EUR 21,500.000 - (21,500.000) - GIM Europe Dynamic Long-Short A0818 - EUR 7,500.000 - (5,000.000) 2,500.000 GIM Europe Dynamic Long-Short A0111 - GBP (hedged) 8,663.746 - - 8,663.746 GIM Europe Dynamic Long-Short A0417 - GBP (hedged) 1,000.000 - (1,000.000) - GIM Europe Dynamic Long-Short A1017 - GBP (hedged) 600.000 - (600.000) - GIM Europe Dynamic Long-Short A113 - USD (hedged) 164,518.034 - (693.889) 163,824.145 GIM Europe Dynamic Long-Short A1015 - USD (hedged) 68,396.803 - (11,193.575) 57,203.228 GIM Europe Dynamic Long-Short A1017 - USD (hedged) 850.000 - (850.000) - GIM Europe Dynamic Long-Short A0518 - USD (hedged) 500.000 - - 500.000 GIM Europe Dynamic Long-Short A0620 - USD (hedged) - 470,000.000 - 470,000.000
13 GIM Portfolio Strategies Funds Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2020
Shares Outstanding Shares Shares Shares Outstanding at the Beginning Subscribed Redeemed at the End of the Year of the Year
GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short A1012 - CHF (hedged) 29,623.475 - (4,358.979) 25,264.496 GIM Technology Long-Short A0917 - CHF (hedged) 1,000.000 - - 1,000.000 GIM Technology Long-Short A1017 - CHF (hedged) 3,100.000 - (100.000) 3,000.000 GIM Technology Long-Short A1117 - CHF (hedged) 1,525.000 - (1,525.000) - GIM Technology Long-Short A0118 - CHF (hedged) 500.000 - (200.000) 300.000 GIM Technology Long-Short A0318 - CHF (hedged) 850.000 - - 850.000 GIM Technology Long-Short A0418 - CHF (hedged) 7,450.000 - - 7,450.000 GIM Technology Long-Short A0618 - CHF (hedged) 50,000.000 - - 50,000.000 GIM Technology Long-Short A0718 - CHF (hedged) 28,600.000 - (1,100.000) 27,500.000 GIM Technology Long-Short A1018 - CHF (hedged) 2,000.000 11,364.315 (1,500.574) 11,863.741 GIM Technology Long-Short A0119 - CHF (hedged) 6,800.000 - (6,800.000) - GIM Technology Long-Short A0219 - CHF (hedged) 1,500.000 - (1,500.000) - GIM Technology Long-Short A0419 - CHF (hedged) 2,500.000 - (2,500.000) - GIM Technology Long-Short A0619 - CHF (hedged) 600.000 - (600.000) - GIM Technology Long-Short A0819 - CHF (hedged) 750.000 - - 750.000 GIM Technology Long-Short A0919 - CHF (hedged) - 1,100.000 - 1,100.000 GIM Technology Long-Short A1119 - CHF (hedged) - 2,130.000 - 2,130.000 GIM Technology Long-Short A1219 - CHF (hedged) - 10,000.000 - 10,000.000 GIM Technology Long-Short A0120 - CHF (hedged) - 1,100.000 - 1,100.000 GIM Technology Long-Short A0220 - CHF (hedged) - 2,795.000 - 2,795.000 GIM Technology Long-Short A0320 - CHF (hedged) - 3,750.000 - 3,750.000 GIM Technology Long-Short A0420 - CHF (hedged) - 3,300.000 - 3,300.000 GIM Technology Long-Short A0520 - CHF (hedged) - 1,500.000 - 1,500.000 GIM Technology Long-Short A0720 - CHF (hedged) - 1,600.000 - 1,600.000 GIM Technology Long-Short A0412 - EUR 253,921.236 29,632.510 (68,397.037) 215,156.709 GIM Technology Long-Short A0917 - EUR 1,700.000 - (1,700.000) - GIM Technology Long-Short A1017 - EUR 70,035.000 - (8,700.000) 61,335.000 GIM Technology Long-Short A1117 - EUR 4,760.000 - - 4,760.000 GIM Technology Long-Short A1217 - EUR 480.000 - (480.000) - GIM Technology Long-Short A0118 - EUR 10,817.000 - (10,817.000) - GIM Technology Long-Short A0218 - EUR 3,350.000 - (3,350.000) - GIM Technology Long-Short A0318 - EUR 4,825.000 - - 4,825.000 GIM Technology Long-Short A0518 - EUR 18,753.000 - (18,753.000) - GIM Technology Long-Short A0618 - EUR 7,100.000 - (400.000) 6,700.000 GIM Technology Long-Short A0718 - EUR 360.000 - - 360.000 GIM Technology Long-Short A0818 - EUR 520.000 - (520.000) - GIM Technology Long-Short A0918 - EUR 6,500.000 - (6,500.000) - GIM Technology Long-Short A0119 - EUR 1,650.000 - (1,650.000) - GIM Technology Long-Short A0219 - EUR 1,500.000 - (1,500.000) - GIM Technology Long-Short A0319 - EUR 1,800.000 - (1,800.000) - GIM Technology Long-Short A0419 - EUR 1,840.000 - (1,840.000) - GIM Technology Long-Short A0519 - EUR 1,000.000 - (1,000.000) - GIM Technology Long-Short A0619 - EUR 290.000 - (290.000) - GIM Technology Long-Short A0719 - EUR 5,210.000 - (5,210.000) - GIM Technology Long-Short A1019 - EUR - 2,125.000 - 2,125.000 GIM Technology Long-Short A1119 - EUR - 1,400.000 - 1,400.000 GIM Technology Long-Short A1219 - EUR - 4,150.000 - 4,150.000 GIM Technology Long-Short A0120 - EUR - 50.000 (50.000) - GIM Technology Long-Short A0220 - EUR - 50.000 - 50.000 GIM Technology Long-Short A0520 - EUR - 4,320.000 - 4,320.000 GIM Technology Long-Short A0620 - EUR - 10,235.000 - 10,235.000 GIM Technology Long-Short A0720 - EUR - 4,070.000 - 4,070.000 GIM Technology Long-Short A0820 - EUR - 200.000 - 200.000 GIM Technology Long-Short A0412 - GBP (hedged) 9,827.468 334.833 (3,417.135) 6,745.166 GIM Technology Long-Short A1017 - GBP (hedged) 600.000 - (600.000) - GIM Technology Long-Short A0318 - GBP (hedged) 5,000.000 - - 5,000.000 GIM Technology Long-Short A0412 - USD (hedged) 691,766.195 10,077.255 (32,011.250) 669,832.200 GIM Technology Long-Short A1017 - USD (hedged) 2,350.000 - (2,350.000) - GIM Technology Long-Short A1018 - USD (hedged) 400.000 - (400.000) - GIM Technology Long-Short A0419 - USD (hedged) 14,959.469 - (14,959.469) - GIM Technology Long-Short A0919 - USD (hedged) - 22,889.405 (8,971.000) 13,918.405 GIM Technology Long-Short A1019 - USD (hedged) - 14,879.770 - 14,879.770 GIM Technology Long-Short A1119 - USD (hedged) - 1,418.661 - 1,418.661 GIM Technology Long-Short A1219 - USD (hedged) - 500.000 - 500.000 GIM Technology Long-Short A0120 - USD (hedged) - 1,378.307 - 1,378.307 GIM Technology Long-Short A0220 - USD (hedged) - 4,900.000 - 4,900.000 GIM Technology Long-Short A0320 - USD (hedged) - 1,324.765 - 1,324.765 GIM Technology Long-Short A0420 - USD (hedged) - 200.000 - 200.000 GIM Technology Long-Short A0520 - USD (hedged) - 136,800.000 - 136,800.000 GIM Technology Long-Short A0620 - USD (hedged) - 250,000.000 - 250,000.000 GIM Technology Long-Short A0820 - USD (hedged) - 1,000.000 - 1,000.000
14 GIM Portfolio Strategies Funds Statistical Information (continued)
Net Asset Value per Share Series in Share Class Currency
30 September 2020 30 September 2019 30 September 2018
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short A103 - EUR 432.77 426.98 452.84 GIM Europe Dynamic Long-Short A0915- EUR - - 93.58 GIM Europe Dynamic Long-Short A1115- EUR - - 98.96 GIM Europe Dynamic Long-Short A0316 - EUR 99.56 98.23 104.18 GIM Europe Dynamic Long-Short A0917 - EUR - - 99.60 GIM Europe Dynamic Long-Short A1017 - EUR - - 95.31 GIM Europe Dynamic Long-Short A1117 - EUR - - 94.40 GIM Europe Dynamic Long-Short A1217 - EUR - - 94.93 GIM Europe Dynamic Long-Short A0118 - EUR - - 91.88 GIM Europe Dynamic Long-Short A0218 - EUR - - 92.01 GIM Europe Dynamic Long-Short A0318 - EUR 88.71 87.52 92.83 GIM Europe Dynamic Long-Short A0418 - EUR - 92.10 97.68 GIM Europe Dynamic Long-Short A0518 - EUR - - 98.41 GIM Europe Dynamic Long-Short A0618 - EUR - 91.68 97.23 GIM Europe Dynamic Long-Short A0718 - EUR - 93.90 99.59 GIM Europe Dynamic Long-Short A0818 - EUR 95.32 94.05 99.74 GIM Europe Dynamic Long-Short A0111 - GBP (hedged) 133.72 131.34 137.38 GIM Europe Dynamic Long-Short A0417 - GBP (hedged) - 97.96 102.46 GIM Europe Dynamic Long-Short A1017 - GBP (hedged) - 91.97 96.20 GIM Europe Dynamic Long-Short A113 - USD (hedged) 476.63 463.06 476.42 GIM Europe Dynamic Long-Short A0915- USD (hedged) - - 98.40 GIM Europe Dynamic Long-Short A1015- USD (hedged) 102.34 99.43 102.30 GIM Europe Dynamic Long-Short A1017 - USD (hedged) - 94.89 97.63 GIM Europe Dynamic Long-Short A1217 - USD (hedged) - - 96.95 GIM Europe Dynamic Long-Short A0518 - USD (hedged) 99.33 96.50 99.28 GIM Europe Dynamic Long-Short A0818 - USD (hedged) - - 99.93 GIM Europe Dynamic Long-Short A0620 - USD (hedged) 99.63 - -
15 GIM Portfolio Strategies Funds Statistical Information (continued)
Net Asset Value per Share Series in Share Class Currency
30 September 2020 30 September 2019 30 September 2018
GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short A1012 - CHF (hedged) 176.25 159.73 159.21 GIM Technology Long-Short A0917 - CHF (hedged) 110.01 99.69 99.37 GIM Technology Long-Short A1017 - CHF (hedged) 107.53 96.95 96.64 GIM Technology Long-Short A1117 - CHF (hedged) - 97.89 97.57 GIM Technology Long-Short A1217 - CHF (hedged) - - 99.55 GIM Technology Long-Short A0118 - CHF (hedged) 110.09 99.79 99.47 GIM Technology Long-Short A0318 - CHF (hedged) 106.99 96.36 96.04 GIM Technology Long-Short A0418 - CHF (hedged) 109.54 99.18 98.85 GIM Technology Long-Short A0618 - CHF (hedged) 108.95 98.52 98.20 GIM Technology Long-Short A0718 - CHF (hedged) 109.27 98.87 98.55 GIM Technology Long-Short A0818 - CHF (hedged) - - 100.58 GIM Technology Long-Short A1018 - CHF (hedged) 115.16 104.42 - GIM Technology Long-Short A0119 - CHF (hedged) - 104.16 - GIM Technology Long-Short A0219 - CHF (hedged) - 104.46 - GIM Technology Long-Short A0419 - CHF (hedged) - 104.40 - GIM Technology Long-Short A0619 - CHF (hedged) - 101.14 - GIM Technology Long-Short A0819 - CHF (hedged) 109.18 98.78 - GIM Technology Long-Short A0919 - CHF (hedged) 110.28 - - GIM Technology Long-Short A1119 - CHF (hedged) 107.80 - - GIM Technology Long-Short A1219 - CHF (hedged) 106.20 - - GIM Technology Long-Short A0120 - CHF (hedged) 104.57 - - GIM Technology Long-Short A0220 - CHF (hedged) 104.19 - - GIM Technology Long-Short A0320 - CHF (hedged) 105.10 - - GIM Technology Long-Short A0420 - CHF (hedged) 104.18 - - GIM Technology Long-Short A0520 - CHF (hedged) 103.31 - - GIM Technology Long-Short A0720 - CHF (hedged) 101.85 - - GIM Technology Long-Short A0412 - EUR 190.56 172.14 170.79 GIM Technology Long-Short A0917 - EUR - 100.50 99.71 GIM Technology Long-Short A1017 - EUR 108.75 97.85 96.96 GIM Technology Long-Short A1117 - EUR 109.57 98.75 97.85 GIM Technology Long-Short A1217 - EUR - 100.51 99.72 GIM Technology Long-Short A0118 - EUR - 100.45 99.65 GIM Technology Long-Short A0218 - EUR - 100.53 99.74 GIM Technology Long-Short A0318 - EUR 108.07 97.10 96.22 GIM Technology Long-Short A0418 - EUR - - 99.00 GIM Technology Long-Short A0518 - EUR - 100.62 99.86 GIM Technology Long-Short A0618 - EUR 109.99 99.22 98.32 GIM Technology Long-Short A0718 - EUR 110.23 99.48 98.57 GIM Technology Long-Short A0818 - EUR - 101.33 100.59 GIM Technology Long-Short A0918 - EUR - 100.74 - GIM Technology Long-Short A0119 - EUR - 104.49 - GIM Technology Long-Short A0219 - EUR - 104.77 - GIM Technology Long-Short A0319 - EUR - 103.76 - GIM Technology Long-Short A0419 - EUR - 104.64 - GIM Technology Long-Short A0519 - EUR - 103.92 - GIM Technology Long-Short A0619 - EUR - 101.30 - GIM Technology Long-Short A0719 - EUR - 100.77 - GIM Technology Long-Short A1019 - EUR 109.28 - - GIM Technology Long-Short A1119 - EUR 108.16 - - GIM Technology Long-Short A1219 - EUR 106.49 - - GIM Technology Long-Short A0220 - EUR 104.41 - - GIM Technology Long-Short A0520 - EUR 103.42 - - GIM Technology Long-Short A0620 - EUR 102.49 - - GIM Technology Long-Short A0720 - EUR 101.89 - - GIM Technology Long-Short A0820 - EUR 100.79 - - GIM Technology Long-Short A0412 - GBP (hedged) 200.09 179.57 176.15 GIM Technology Long-Short A1017 - GBP (hedged) - 100.21 97.88 GIM Technology Long-Short A0218 - GBP (hedged) - - 100.29 GIM Technology Long-Short A0318 - GBP (hedged) 110.58 99.08 96.73 GIM Technology Long-Short A0818 - GBP (hedged) - - 100.67 GIM Technology Long-Short A0412 - USD (hedged) 207.62 185.05 179.20 GIM Technology Long-Short A1017 - USD (hedged) - 102.61 99.22 GIM Technology Long-Short A1117 - USD (hedged) - - 100.02 GIM Technology Long-Short A1217 - USD (hedged) - - 101.36 GIM Technology Long-Short A0118 - USD (hedged) - - 101.20 GIM Technology Long-Short A0218 - USD (hedged) - - 101.16 GIM Technology Long-Short A0318 - USD (hedged) - - 97.57 GIM Technology Long-Short A0418 - USD (hedged) - - 100.14 GIM Technology Long-Short A0518 - USD (hedged) - - 100.62 GIM Technology Long-Short A0718 - USD (hedged) - - 99.04 GIM Technology Long-Short A1018 - USD (hedged) - 107.24 - GIM Technology Long-Short A0419 - USD (hedged) - 105.67 - GIM Technology Long-Short A0919 - USD (hedged) 112.20 - - GIM Technology Long-Short A1019 - USD (hedged) 110.50 - - GIM Technology Long-Short A1119 - USD (hedged) 109.23 - - GIM Technology Long-Short A1219 - USD (hedged) 107.29 - - GIM Technology Long-Short A0120 - USD (hedged) 105.46 - - GIM Technology Long-Short A0220 - USD (hedged) 104.94 - - GIM Technology Long-Short A0320 - USD (hedged) 105.60 - - GIM Technology Long-Short A0420 - USD (hedged) 104.54 - - GIM Technology Long-Short A0520 - USD (hedged) 103.61 - - GIM Technology Long-Short A0620 - USD (hedged) 102.63 - - GIM Technology Long-Short A0820 - USD (hedged) 100.81 - -
16 GIM Portfolio Strategies Funds Notes to the Financial Statements As at 30 September 2020
1. Organisation GIM Portfolio Strategies Funds (the “SICAV”) is an investment company incorporated on 8 November 2002 for an unlimited period of time. The SICAV was incorporated under the name of JPMorgan Portfolio Strategies Funds and changed its name to GIM Portfolio Strategies Funds on 24 July 2015. It is organised under Part II of the Luxembourg law of 17 December 2010, as amended, on Undertakings for Collective Investment as a Société Anonyme qualifying as a Société d’Investissement à Capital Variable (SICAV). As at 30 September 2020, it comprises two Sub-Funds each relating to a separate investment portfolio consisting of securities, cash and other instruments. The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg, under number B 89 734. Each Sub-Fund may contain A and X Classes of Shares, which may differ in the minimum subscription amount, minimum holding amount and/or eligibility requirements, reference currency and the fees and expenses applicable to them. As at 30 September 2020, no ‘X’ Share Classes were issued to investors. Within each Sub-Fund, individual Classes of Shares may have a currency of denomination that differs from the currency of denomination of the Sub-Fund. The currency denomination for each Class of Share is indicated by a suffix to the Share Class name. With effect from 1 July 2014, JPMorgan Asset Management (Europe) S.à r.l. has been authorised by the CSSF to act as an Alternative Investment Fund Manager pursuant to the Alternative Investment Fund Managers Directive (Directive 2011/61/EU) (the “AIFMD”), the Commission Delegated Regulation (EU) No. 231/2013 and any measures as implemented in Luxembourg by the Law of 12 July 2013 on Alternative Investment Fund Managers as amended from time to time.
2. Significant Accounting Policies The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments. a) Investment Valuation Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latest available price prevailing at the time of calculating the net asset value. If securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange or market will be applied. Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Those securities for which no price is available, or for which the latest available price is not representative, are valued on the basis of their reasonably foreseeable sales price determined with prudence and in good faith by the Board of Directors. As at 30 September 2020, securities which were fair valued are identified with an asterisk (*) in the Schedule of Investments. Securities issued by any open-ended investment funds are valued at the latest available, price or net asset value, as reported or provided by such funds or their agents. Liquid assets and money market instruments may be valued at nominal values plus any accrued interest or on an amortised cost basis. The Financial Statements are presented on the basis of the net asset value calculated on 30 September 2020. In accordance with the prospectus, the net asset values were calculated using the latest exchange rates known at the time of calculation. b) Realised and Unrealised Gains and Losses on Investments Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). For trades into other collective investment schemes, transactions are accounted for on receipt of the trade confirmation from the underlying transfer agents. Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date of purchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments are calculated on the total book cost and include the associated unrealised gains and losses on foreign exchange. c) Income Recognition Interest income is accrued daily. Bank interest income is recognised on an accrual basis. Dividend income, or expense in the case of short sales, is accrued on the ex-dividend date. This income is shown net of any withholding taxes and adjusted accordingly when tax reclaims apply. d) Conversion of Foreign Currencies The books and records of each Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currencies are translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies are converted each business day into the base currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales of foreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of such transactions. Net realised and unrealised gains or losses on foreign exchange transactions represent: (i) foreign exchange gains and losses from the sale and holding of foreign currencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions and forward foreign exchange contracts; and (iii) gains and losses arising from the difference between amounts of dividends and interest recorded and the amounts actually received. The resulting gains and losses on translation are included in “Net Realised Gain/(Loss) on Foreign Exchange” in the Combined Statement of Operations and Changes in Net Assets. The reference currency of the Combined Statements is USD. The exchange rate applied as at 30 September 2020 was as follows: 1 USD = 0.85149864 EUR 1 USD = 0.91730000 CHF 1 USD = 0.77330549 GBP e) Forward Foreign Exchange Contracts Unrealised gains or losses on outstanding Forward Foreign Exchange Contracts are valued on the basis of currency exchange rates prevailing at the relevant valuation date. The changes in such amounts are included in “Net Change in Unrealised Loss on Forward Foreign Exchange Contracts” in the Combined Statement of Operations and Changes in Net Assets. Unrealised gains or losses are recorded under “Net Unrealised Loss on Forward Foreign Exchange Contracts” in the Combined Statement of Net Assets.
17 GIM Portfolio Strategies Funds Notes to the Financial Statements (continued) As at 30 September 2020 f) Short Sales The SICAV may make short sales of equity securities. A short sale occurs when the SICAV sells a security which it does not own, either by borrowing it from a broker or selling it in a market with extended settlement date. In the event that the value of the security that the SICAV sold short declines, the SICAV will gain as it will repurchase the security in the market at a lower price. If the price of the security increases, the SICAV will suffer a loss as it will have to repurchase the security in the market at a higher price. Short sales may incur higher transaction costs than regular securities transactions. The SICAV has recorded these obligations in the Financial Statements at the market value of the related securities. g) Contracts for Difference Contracts for difference are valued based on the closing market price of the underlying security, less any financing charges attributable to each contract. Upon entering into contracts for difference, the SICAV may be required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (“initial margin”). Subsequently, payments known as “variation margin” are made or received by the SICAV periodically, depending on fluctuations in the value of the underlying security. During the year contracts are open, changes in the value of contracts are recognised as unrealised gains and losses by “marking-to-market” at each valuation point in order to reflect the changes in the value of the underlying security. Realised gains or losses upon closure of the contract are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The open contracts for difference are included in the Combined Statement of Net Assets on the basis of the Unrealised Gain attributable to each contract as at the end of the year. Dividends attributable to open contracts for difference are also included in the value of the Unrealised Gain at the end of the year. The contracts are subject to a daily financing charge and income, usually applied at a previously agreed rate, which is accounted for as interest income for short Contracts for Difference and as interest expense for long Contracts for Difference positions. h) Financial Futures Contracts on Indices Regulated financial futures contracts are valued at the exchange quoted settlement price. Initial margin deposits are made upon entering into the contracts and can be either in cash or securities. During the year the contracts are open, changes in the value of the contracts are recognised as unrealised gains and losses by “marking-to-market” on a daily basis to reflect the market value of the contracts at the end of each business day’s trading. Variation margin payments are made or received, depending upon whether losses or gains are incurred. When a contract is closed, the SICAV records a realised gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the initial cost of the contract in “Net Realised Gain on Financial Futures Contracts” in the Combined Statement of Operations and Changes in Net Assets. Unrealised gains or losses are recorded under “Net Unrealised Gain on Financial Futures Contracts” in the Combined Statement of Net Assets.
3. Fees and Expenses a) Operating and Administrative Expenses Operating and Administrative Expenses are allocated to the Sub-Funds to which they are attributable or among all Sub-Funds and Share Classes prorata to their respective net assets (or in a fair and reasonable manner determined by the Directors of the SICAV). Operating and Administrative Expenses are accrued daily within each Sub-Fund’s Share Classes according to the applicable charging structure of each Class. The Operating and Administrative Expenses cover: (i) Expenses directly contracted by the Fund (“Direct Expenses”), including but not limited to the Depositary fees, the fees of any delegate appointed by the Depositary (including prime brokers), auditing fees and expenses, the Luxembourg taxe d’abonnement, Directors’ fees (no fees will be paid to Directors who are also directors or employees of JPMorgan Chase & Co.) and reasonable out-of-pocket expenses incurred by the Directors. (ii) A “Fund Servicing Fee” paid to the Management Company for administrative and related services which will be the remaining amount of the Operating and Administrative Expenses after deduction of the expenses detailed under section a) above. The Management Company then bears all expenses incurred in the day to day operation and administration of the Fund, including but not limited to formation expenses such as organisation and registration costs; accounting expenses covering fund accounting and administrative services; transfer agency expenses covering registrar and transfer agency services; the Administrative Agent and Domiciliary Agent services; the fees and reasonable out-of-pocket expenses of the paying agents and representatives; legal fees and expenses; ongoing registration, listing and quotation fees, including translation expenses; the cost of publication of the Share prices and postage, telephone, facsimile transmission and other electronic means of communication; and the costs and expenses of preparing, printing and distributing the Prospectus, Key Investor or any offering document, financial reports and other documents made available to Shareholders. The Operating and Administrative Expenses as defined in the prospectus are capped at 0.40% for each Sub-Fund; it does not cover Transaction Fees and Extraordinary Expenses. At its discretion, the Management Company may on a temporary basis meet the Direct Expenses on a Sub-Fund’s behalf and/or waive all or part of the Fund Servicing Fee. To the extent that actual Operating and Administrative costs exceed the fixed percentage, the amount borne by the Management Company will be separately disclosed as a “Fee Waiver” in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets. b) Management and Advisory Fees The SICAV pays to the Management Company (or the relevant Sub-Fund Investment Manager) a management fee calculated as a percentage of the net assets of each Sub-Fund or Share Class under its management as at each Valuation Day. The Management and Advisory Fee is accrued at each Valuation Day and payable monthly in arrears at the following rate:
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund A - EUR, USD, GBP, CHF 1.50% p.a. GIM Portfolio Strategies Funds – Technology Long-Short Fund A – EUR, USD, GBP, CHF 1.50% p.a The Management and Advisory Fees that would normally be payable in respect of the X share Classes are administratively levied and collected by the Global Distributor directly from the shareholder or through the relevant JPMorgan Chase & Co. entity. As at 30 September 2020 no ‘X’ Share Classes were issued to investors. Subject to the investment restrictions and borrowing powers described in the prospectus and subject to applicable law, Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase & Co. The avoidance of a double-charge of the Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the net assets on which the Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via Classes that do not accrue a Management and Advisory Fee or other equivalent fees payable to the relevant Investment Manager’s group; or c) the Management and Advisory Fee being netted off by a rebate to the SICAV or Sub-Fund of the Management and Advisory Fee (or equivalent) charged to the underlying UCITS or UCIs; or d) charging only the difference between the Management and Advisory Fee of the SICAV or Sub-Fund and the Management and Advisory Fee (or equivalent) charged to the underlying UCITS or UCIs.
18 GIM Portfolio Strategies Funds Notes to the Financial Statements (continued) As at 30 September 2020 c) Performance Fees For all Class A Shares, the Management Company is entitled to receive an annual performance-based incentive fee (the “Performance Fee”) from the SICAV calculated so that each Share is charged a Performance Fee which relates to that Share’s performance. This is achieved by issuing a new Series of Shares on each Valuation Day. At the end of each SICAV accounting year, each of these Series may be collapsed into the Original Series or Conversion A Shares. A detailed definition of the Share Class benchmarks is given in the Prospectus of the SICAV. For each Calculation Period, the Performance Fee in respect of each Share will be equal to a rate defined in the Prospectus multiplied by the appreciation in the Net Asset Value per Share of that Series during that Calculation Period above the Adjusted High Water Mark for Shares of that Series. The Adjusted High Water Mark is the High Water Mark for Shares of that Series increased by the percentage return of that Share Class’s benchmark, if any, since the High Water Mark was set. If there is no benchmark for that Share Class, then the Adjusted High Water Mark will be the same as the High Water Mark. A Performance Fee will be charged on each of the Class A Shares of the GIM Portfolio Strategies Funds - Europe Dynamic Long Short-Fund and the GIM Portfolio Strategies Funds - Technology Long-Short Fund. The Performance Fee percentage will be 20%. During the year, GIM Portfolio Strategies Funds- Europe Dynamic Long-Short Fund and GIM Portfolio Strategies Funds - Technology Long-Short Fund incurred performance fees of EUR 650 and EUR 5,373,531 respectively. d) Depositary fees The SICAV pays to the Depositary by way of remuneration a depositary fee, transaction fee and charges as agreed from time to time in writing. Such fees are accrued daily and paid monthly in arrears to the Depositary. The depositary fees are in accordance with normal practice in Luxembourg and are calculated on the basis of a percentage of net assets of the SICAV together with a fixed amount per transaction. e) Brokerage fees The SICAV pays fees to the broker for service provided during the year.
4. Distribution Policy The policy of each Sub-Fund and Share Class is to reinvest all revenues and capital gains and not pay any dividends. The Board of Directors shall nevertheless have the option, in any given accounting year, to propose to the shareholders of any Sub-Fund or Share Class at the Annual General Meeting the payment of a dividend out of all or part of that Sub-Fund’s or Share Class’ current net investment income, if the Board thinks it appropriate to make such a proposal. The Board may only propose the payment of a dividend out of the Net Investment Income of any Sub-Fund or Share Class.
5. Taxation Under current law and practice, the SICAV is not subject to any taxes in Luxembourg on income or capital gains, nor are dividends distributed by the SICAV liable to any withholding tax. The only tax to which the SICAV in Luxembourg is subject is the subscription tax, (“taxe d’abonnement”) up to a rate of 0.05% per annum based on the net asset value attributed to each A Share Class at the end of the relevant quarter, calculated and paid quarterly. The 0.05% rates described above, as appropriate, is not applicable for the portion of the assets of the SICAV invested in other Luxembourg collective investment undertakings which are themselves already subject to the taxe d’abonnement. No stamp duty or other tax is payable on the issue of Shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable in the Grand Duchy of Luxembourg on realised or unrealised capital appreciation of the assets of the SICAV. Although the SICAV’s realised capital gains, whether short- or long-term, are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. The regular income of the SICAV from some of its securities as well as interest earned on its cash deposits in certain countries may be subject to withholding taxes at varying rates, which normally cannot be recovered.
6. Statement of Changes in Investments A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the year, may be obtained free of charge upon request at the registered office of the SICAV. Additional information on investments within each Sub-Fund’s portfolio is available to shareholders at the registered office of the SICAV.
7. Value of Financial Instruments and Associated Risks The SICAV enters into forward foreign exchange contracts, financial futures contracts and contracts for differences which, to varying degrees, represent a market risk in excess of the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAV’s participation in these financial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and security values underlying these instruments. Other market and credit risks, include the possibility that there may be an illiquid market for the contracts, that a change in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities, or that the counterparty to a contract defaults on its obligation to perform under the terms of the contract.
8. Transactions with Connected Parties All transactions with connected parties were carried out on an arm’s length basis. JPMorgan Chase & Co. and its affiliates are counterparties for certain contracts for differences, forward foreign exchange contracts, financial futures contracts and swap contracts. The Alternative Investment Fund Manager/Management Company, Registrar, Transfer Agent, Global Distributor and Domiciliary Agent, Investment Manager and other related Agents of the SICAV are considered as connected parties as they are affiliated entities of JPMorgan Chase & Co.. In addition Elvinger Hoss Prussen (of which Mr Jacques Elvinger who is on the Board of the Directors of the SICAV, is a partner) is compensated for legal services to the SICAV.
9. Transaction Costs For the year ended 30 September 2020, the SICAV incurred transaction costs which have been defined as brokerage fees relating to purchase or sale of transferable securities, derivatives (except OTC derivatives) or other eligible assets. The SICAV also incurred transaction costs charged by the depositary agent relating to purchase and sale of transferable securities as follows: GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund: EUR 576,759. GIM Portfolio Strategies Funds - Technology Long-Short Fund: EUR 730,692. The amounts included under the heading Brokerage Fees in the Combined Statement of Operations and Changes in Net Assets are composed of transaction-related fees and are not included in the transaction costs mentioned above.
19 GIM Portfolio Strategies Funds Notes to the Financial Statements (continued) As at 30 September 2020
10. Directors’ Fees The only remuneration paid to Directors is an annual fee. This is waived by Mr Greco and Mr Watkins. The total amount paid to the Directors for the year was EUR 115,000 of which the Chairman was due EUR 22,500.
11. Net Gain/(Loss) The following table details the gross gains/(losses) Europe Dynamic Technology Long-Short Fund Long-Short Fund EUR EUR Realised Gain on Sale of Investments 27,612,176 53,948,531 Realised (Loss) on Sale of Investments (27,639,879) (37,331,733) Realised Gain on Forward Foreign Exchange Contracts 14,414,912 35,943,360 Realised (Loss) on Forward Foreign Exchange Contracts (19,000,409) (43,014,953) Realised Gain on Financial Futures Contracts 10,511,248 32,474,735 Realised (Loss) on Financial Futures Contracts (9,250,719) (30,116,922) Realised Gain on Contracts for Difference 44,185,466 60,303,554 Realised (Loss) on Contracts for Difference (41,311,166) (62,694,222) Realised Gain on Foreign Exchange 760,831 3,464,328 Realised (Loss) on Foreign Exchange (1,126,606) (3,699,356)
Net Realised Gain/(Loss) (844,146) 9,277,322
Change in Unrealised Gain on Investments 17,191,107 44,810,375 Change in Unrealised Loss on Investments (19,126,262) (29,032,738) Change in Unrealised Gain on Forward Foreign Exchange 291,587 1,547,840 Change in Unrealised Loss on Forward Foreign Exchange (884,529) (2,261,914) Change in Unrealised Gain on Contracts for Difference 3,607,672 4,779,223 Change in Unrealised Loss on Contracts for Difference (3,854,492) (5,908,163) Change in Unrealised Gain on Financial Futures Contracts 1,020,246 319,018 Change in Unrealised Loss on Financial Futures Contracts - (257,414)
Net Change in Unrealised Gain/(Loss) (1,754,671) 13,996,227
12. Significant Events During the Year Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of Covid-19. The outbreak of Covid-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. There has been a significant correction in the financial markets. The effects of Covid-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the market.
13. Significant Events after the Year-End a) Prime Brokerage agreement A prime brokerage agreement is effective starting from 16 October 2020 between the SICAV and Goldman Sachs International. b) Change of legal name The legal name of the Depositary, Administrative, Listing and Principal Paying Agent changed on 1 December 2020 from HSBC France, Luxembourg Branch to HSBC Continental Europe, Luxembourg.
20 GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund Schedule of Investments As at 30 September 2020
Investments Currency Quantity/ Market % Investments Currency Quantity/ Market % Nominal Value of Nominal Value of Value EUR Net Value EUR Net Assets Assets
Long Positions DENMARK A P Moller - Maersk DKK 991 1,341,809 1.05 Transferable Securities Admitted to an Official Exchange Listing H+H International A/S B DKK 96,004 1,627,440 1.27 Orsted DKK 11,087 1,303,698 1.02 Shares Royal Unibrew DKK 13,013 1,145,969 0.90 GERMANY Scandinavian Tobacco Group DKK 98,247 1,243,818 0.97 Allianz SE EUR 3,301 540,109 0.42 CropEnergies EUR 108,810 1,623,445 1.27 6,662,734 5.21 Delivery Hero EUR 17,822 1,748,694 1.37 ITALY Deutsche Post EUR 58,919 2,291,949 1.79 Enel EUR 281,916 2,091,253 1.64 Deutsche Telekom EUR 185,175 2,646,151 2.07 Falck Renewables EUR 109,482 589,561 0.46 DWS Group EUR 39,655 1,165,659 0.91 Intesa Sanpaolo EUR 769,287 1,233,167 0.96 Exasol EUR 145,303 3,036,833 2.38 Nexi EUR 76,938 1,317,178 1.03 GEA Group EUR 52,869 1,586,599 1.24 Poste Italiane EUR 72,433 548,173 0.43 LPKF Laser & Electronics EUR 27,271 617,688 0.48 Schaeffler EUR 186,644 979,881 0.77 5,779,332 4.52 Siemens EUR 5,777 623,223 0.49 Varta EUR 12,641 1,514,392 1.19 FINLAND Verbio Vereinigte BioEnergie EUR 30,080 567,309 0.44 Cargotec EUR 56,387 1,658,906 1.30 Volkswagen Preferred EUR 13,640 1,874,136 1.47 Neste Oil EUR 50,896 2,288,793 1.79 Zalando SE EUR 16,820 1,343,918 1.05 Tokmanni Group EUR 101,819 1,533,394 1.20
22,159,986 17.34 5,481,093 4.29 FRANCE AUSTRIA Albioma EUR 50,781 2,257,215 1.77 AMS CHF 61,215 1,189,322 0.93 BNP Paribas EUR 56,219 1,741,384 1.36 BAWAG Group EUR 48,471 1,492,907 1.17 Cap Gemini EUR 16,134 1,770,706 1.39 Erste Group Bank EUR 88,729 1,586,031 1.24 Credit Agricole EUR 86,200 644,086 0.50 OMV EUR 4,652 108,857 0.08 Eiffage EUR 10,466 730,736 0.57 Wienerberger EUR 37,349 841,846 0.66 Ipsos EUR 42,193 900,821 0.70 La Francaise des Jeux SAEM (W/I) EUR 55,879 1,755,718 1.37 5,218,963 4.08 Peugeot EUR 90,341 1,400,285 1.10 NORWAY Publicis Groupe EUR 27,170 749,349 0.59 Kongsberg Gruppen NOK 41,326 526,000 0.41 Safran EUR 17,201 1,452,452 1.14 Scatec Solar NOK 64,938 1,275,226 1.00 Sanofi-Aventis EUR 17,234 1,470,577 1.15 Selvaag Bolig NOK 190,401 896,672 0.70 Schneider Electric EUR 19,812 2,101,063 1.64 Somfy 1,300,564 1.02 EUR 10,820 2,697,898 2.11 SPIE EUR 60,193 923,963 0.72 Total EUR 16,615 485,158 0.38 GREAT BRITAIN Trigano EUR 12,011 1,583,050 1.24 Dialog Semiconductor (FRNK) EUR 39,779 1,487,735 1.17 Learning Technologies Group GBP 82,121 118,456 0.09 21,267,127 16.64 National Express Group GBP 159,061 267,621 0.21
SWITZERLAND 1,873,812 1.47 Also CHF 5,841 1,317,547 1.03 Credit Suisse Group CHF 143,851 1,234,370 0.96 IRELAND Holcim Ltd CHF 37,626 1,466,583 1.15 Greencoat Renewables EUR 403,889 486,686 0.38 Logitech International CHF 15,355 1,021,693 0.80 Linde EUR 4,886 986,484 0.77 Nestle CHF 18,789 1,907,020 1.49 Novartis CHF 20,954 1,554,321 1.22 1,473,170 1.15 Roche Holding 1,478,220 1.16 CHF 5,053 SPAIN Schindler Holding 2,552,173 2.00 CHF 10,932 Endesa EUR 41,231 941,304 0.74 Softwareone Holding CHF 70,748 1,691,079 1.32 Sonova Holding CHF 8,355 1,811,723 1.42 941,304 0.74 Swissquote Group Holding CHF 19,086 1,326,995 1.04 Zur Rose Group CHF 6,424 1,311,900 1.03 BELGIUM Zurich Financial Services CHF 5,853 1,742,409 1.36 Greenyard EUR 47,745 245,887 0.19 Immobel EUR 9,882 646,283 0.51 20,416,033 15.98 892,170 0.70 NETHERLANDS Adyen EUR 830 1,305,175 1.02 LUXEMBOURG ASM International EUR 15,862 1,940,716 1.52 Allegro.eu SA PLN 32,251 305,896 0.24 ASR Nederland EUR 45,768 1,313,542 1.03 BE Semiconductor Industries EUR 33,494 1,225,545 0.96 305,896 0.24 Euronext EUR 12,899 1,378,903 1.08 Koninklijke Ahold EUR 39,647 1,001,087 0.78 Total Shares 119,681,496 93.65 Ordina EUR 624,114 1,416,739 1.11 Prosus EUR 24,125 1,898,637 1.48 Total Transferable Securities Admitted to an Official Exchange 119,681,496 93.65 Listing Shop Apotheke Europe EUR 8,355 1,248,237 0.98
12,728,581 9.96 Transferable Securities Dealt in on Another Regulated Market SWEDEN Investment Funds Camurus SEK 74,338 1,360,989 1.06 LUXEMBOURG CLX Communications SEK 17,043 1,187,510 0.93 JP Morgan Asset Management Funds - Embracer Group 1,226,433 0.96 SEK 77,350 Euro Liquidity Fund† EUR 8,258 82,004,713 64.16 Evolution Gaming Group SEK 10,487 592,939 0.46 Lindab International SEK 81,687 1,214,443 0.95 82,004,713 64.16 Recipharm B Shrs SEK 86,806 1,284,771 1.01 SKF SEK 128,390 2,266,369 1.77 Stillfront Group SEK 11,702 1,250,299 0.98 Swedish Match SEK 20,093 1,399,644 1.10
11,783,397 9.22
21 GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund Schedule of Investments (continued) As at 30 September 2020
Investments Currency Quantity/ Market % Investments Currency Quantity/ Market % Nominal Value of Nominal Value of Value EUR Net Value EUR Net Assets Assets
GREAT BRITAIN NORWAY Segro GBP 2,565 26,334 0.02 Marine Harvest NOK (120,748) (1,820,664) (1.43) NEL NOK (733,000) (1,130,224) (0.88) 26,334 0.02 (2,950,888) (2.31) Total Investment Funds 82,031,047 64.18 SPAIN Banco Santander EUR (343,300) (549,143) (0.43) Total Transferable Securities Dealt in on Another Regulated 82,031,047 64.18 Market Indra Sistemas EUR (208,000) (1,263,600) (0.99) Metrovacesa EUR (179,073) (984,901) (0.77) Total Long Positions 201,712,543 157.83 † Related Party Fund. (2,797,644) (2.19) BELGIUM Belgacom EUR (115,472) (1,798,476) (1.41)
Short Positions (1,798,476) (1.41) AUSTRIA Transferable Securities Admitted to an Official Exchange Listing KTM Industries CHF (28,568) (1,458,529) (1.14)
Shares (1,458,529) (1.14) GERMANY PORTUGAL Adidas (1,408,110) (1.10) EUR (5,100) Jeronimo Martins EUR (92,000) (1,260,860) (0.99) BASF SE EUR (25,300) (1,315,094) (1.03) Beiersdorf EUR (20,565) (1,994,805) (1.56) (1,260,860) (0.99) Deutsche Euroshop EUR (151,226) (1,602,996) (1.25) Evotec (1,948,671) (1.53) EUR (86,339) Total Shares (76,016,436) (59.48) Fielmann EUR (21,120) (1,446,720) (1.13) Nemetschek EUR (29,153) (1,822,063) (1.43) Total Transferable Securities Admitted to an Official Exchange (76,016,436) (59.48) TeamViewer EUR (44,000) (1,853,280) (1.45) Listing Washtec EUR (36,304) (1,346,878) (1.05) Zooplus EUR (10,690) (1,695,434) (1.33) Transferable Securities Dealt in on Another Regulated Market
(16,434,051) (12.86) Investment Funds SWITZERLAND BELGIUM Compagnie Financiere Richemont CHF (35,667) (2,042,793) (1.60) Aedifica EUR (19,468) (2,028,566) (1.59) Komax Holding CHF (14,329) (2,126,850) (1.66) Lindt & Spruengli CHF (272) (1,963,098) (1.54) (2,028,566) (1.59) Medacta Group CHF (12,135) (968,748) (0.76) Swatch Group CHF (10,904) (2,175,178) (1.70) Total Investment Funds (2,028,566) (1.59) Swiss Prime Site CHF (25,500) (1,978,878) (1.55) Temenos CHF (18,589) (2,140,550) (1.67) Total Transferable Securities Dealt in on Another Regulated (2,028,566) (1.59) U-Blox CHF (25,555) (1,213,372) (0.95) Market VAT Group CHF (7,600) (1,242,354) (0.97) Other Transferable Securities (15,851,821) (12.40) Shares NETHERLANDS DENMARK ABN AMRO Group EUR (241,106) (1,724,390) (1.35) OW Bunker* DKK (170,000) (2) 0.00 ASML Holding EUR (4,200) (1,321,740) (1.03) Basic-Fit EUR (83,815) (1,705,636) (1.33) (2) 0.00 Flow Traders Cooperatief U.A. EUR (60,937) (2,075,514) (1.62) JDE Peet’s EUR (52,500) (1,823,325) (1.43) Total Shares (2) 0.00 SIF Holding EUR (43,897) (658,455) (0.52) Total Other Transferable Securities (2) 0.00 (9,309,060) (7.28) Total Short Positions (78,045,004) (61.07) SWEDEN Axfood SEK (102,184) (1,995,128) (1.56) 123,667,539 96.76 EQT SEK (81,826) (1,354,961) (1.06) Total Investments Fingerprint Cards SEK (307,506) (522,647) (0.41) 2,204,903 1.73 ICA Gruppen SEK (47,125) (2,039,560) (1.59) Cash at Bank, Net of Bank Overdraft Modern Times Group SEK (52,325) (625,219) (0.49) Paradox Interactive SEK (49,201) (1,426,465) (1.12) Other Assets/(Liabilities) 1,931,095 1.51 RaySearch Laboratories SEK (137,173) (1,142,248) (0.89) Total Net Assets 127,803,537 100.00 (9,106,228) (7.12) * Security is valued at its fair value (See Note 2a). ITALY Brunello Cucinelli EUR (50,000) (1,302,000) (1.02) Datalogic EUR (155,919) (1,861,673) (1.46) DiaSorin EUR (11,795) (2,027,560) (1.59) Moncler EUR (37,000) (1,294,260) (1.01) Tod’s EUR (53,087) (1,318,681) (1.03)
(7,804,174) (6.11) DENMARK Ambu DKK (26,000) (628,641) (0.49) ISS DKK (125,539) (1,414,806) (1.11) Novozymes ‘B’ DKK (40,120) (2,155,106) (1.69)
(4,198,553) (3.29) FINLAND Nokia EUR (309,406) (1,036,510) (0.81) Nokian Renkaat Oyj EUR (83,215) (2,009,642) (1.57)
(3,046,152) (2.38)
22 GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund Schedule of Investments (continued) As at 30 September 2020
Investments Currency Quantity/ Market % Investments Currency Quantity/ Market % of Nominal Value of Nominal Value Net Value EUR Net Value EUR Assets Assets
Allocation of Portfolio as at 30 September 2020 % of Net Assets Long Positions Financials 81.23 Industrials 22.89 Information Technology 15.53 Energy 14.02 Consumer Discretionary 8.10 Healthcare 7.01 Consumer Staples 6.98 Telecommunication Services 2.07 Total Long Positions 157.83
Short Positions Industrials (14.03) Consumer Staples (13.96) Information Technology (9.86) Financials (8.04) Healthcare (5.25) Consumer Discretionary (4.42) Real Estate (1.59) Telecommunication Services (1.41) Energy (1.40) Utilities (1.11) Total Short Positions (61.07) Cash and Other Assets/(Liabilities) 3.24
Total 100.00
23 GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund Schedule of Investments - Outstanding Financial Futures Contracts As at 30 September 2020
Unrealised Gain/ Expiration Number of Notional (Loss) Date Contracts Security Description Currency Value EUR
18-Dec-20 (190) Dow Jones EURO STOXX 50 Index EUR (6,068,600) 233,527 18-Dec-20 (96) FTSE 100 Index GBP (5,607,840) 218,803
Total 452,330
Schedule of Investments - Outstanding Forward Foreign Exchange Contracts As at 30 September 2020
Unrealised Gain/ Maturity Currency Amount Currency Amount (Loss) Date Purchased Purchased Sold Sold EUR
1-Oct-20 EUR 1,265,381 GBP 1,151,940 (3,039) 1-Oct-20 EUR 27,929 GBP 25,251 125 1-Oct-20 GBP 12,495 EUR 14,057 (299) 1-Oct-20 GBP 1,180,859 EUR 1,318,312 (18,049) 1-Oct-20 EUR 17,547 GBP 16,163 (250) 1-Oct-20 USD 1,817,411 EUR 1,535,310 12,213 1-Oct-20 EUR 111,912,773 USD 130,111,133 1,123,321 1-Oct-20 USD 132,872,648 EUR 112,191,777 949,102 1-Oct-20 EUR 1,481,134 USD 1,760,140 (17,622) 1-Oct-20 EUR 2,389,886 USD 2,818,787 (10,307) 29-Oct-20 SEK 3,046,008 EUR 288,514 948 29-Oct-20 EUR 1,245,098 CHF 1,342,662 (1,495) 29-Oct-20 EUR 933,030 CHF 1,007,912 (2,765) 29-Oct-20 CHF 4,227,050 EUR 3,922,350 2,248 29-Oct-20 EUR 1,317,530 GBP 1,205,837 (9,660) 29-Oct-20 EUR 2,153,268 CHF 2,318,646 525 29-Oct-20 EUR 718,587 SEK 7,482,896 7,486 29-Oct-20 SEK 6,951,757 EUR 668,255 (7,629) 29-Oct-20 EUR 1,175,730 SEK 12,501,665 (12,305) 29-Oct-20 EUR 1,906,947 CHF 2,050,431 3,227 29-Oct-20 EUR 575,371 SEK 5,977,207 7,356 29-Oct-20 EUR 1,356,494 CHF 1,462,264 (1,143) 29-Oct-20 EUR 642,601 SEK 6,712,630 4,699 29-Oct-20 NOK 6,491,423 EUR 591,160 (1,315) 29-Oct-20 EUR 852,725 GBP 784,720 (10,968) 29-Oct-20 EUR 1,075,156 DKK 8,003,650 205 29-Oct-20 EUR 916,175 GBP 837,190 (5,268) 29-Oct-20 EUR 597,657 SEK 6,301,644 (1,189) 29-Oct-20 SEK 4,197,288 EUR 396,255 2,613 2-Nov-20 GBP 1,151,940 EUR 1,264,741 3,047 2-Nov-20 GBP 7,427 EUR 8,070 105 2-Nov-20 USD 130,111,133 EUR 111,838,318 (1,122,031) 2-Nov-20 USD 797,521 EUR 681,173 (2,534)
Total 889,352
The counterparty for forward foreign exchange contracts is Deutsche Bank AG.
24 GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund Schedule of Investments - Contracts for Difference (Expressed in EUR) As at 30 September 2020 Name of Securities Currency Long/(Short) Position Commitment Value in EUR Unrealised Gain/(Loss) in EUR Maturity Date Long Positions 3i Group GBP 65,872 722,861 17,094 18/01/2021 AIB Group EUR 1,075,729 942,339 (152,753) 19/11/2020 Augean GBP 66,103 127,377 (1,092) 18/01/2021 B&M European Value Retail GBP 179,778 979,290 (32,762) 19/11/2020 Bank Of Ireland Group EUR 755,602 1,196,874 (204,013) 19/11/2020 Barratt Developments GBP 56,192 294,396 (16,953) 18/01/2021 Bellway GBP 19,335 500,529 (20,226) 18/01/2021 Berkeley Group GBP 27,782 1,293,396 (50,396) 19/11/2020 BHP Group GBP 60,285 1,097,805 (87,623) 19/11/2020 Boohoo.com GBP 378,436 1,564,715 (15,699) 19/11/2020 Centrica GBP 4,209,815 1,858,369 (140,455) 18/01/2021 Codemasters Group Holdings GBP 274,779 1,104,356 (39,333) 18/01/2021 Computacenter GBP 50,555 1,317,079 27,516 18/01/2021 Dart Group GBP 136,721 1,010,914 (97,855) 18/01/2021 Dunelm Group Ltd GBP 48,862 751,624 538 18/01/2021 Ergomed GBP 159,687 1,336,337 114,292 18/01/2021 Ferguson GBP 13,442 1,156,269 (2,599) 18/01/2021 G4S GBP 638,158 1,407,479 135,618 19/11/2020 Games Workshop Group GBP 6,305 707,444 11,802 19/11/2020 Hikma Pharmaceuticals GBP 62,695 1,790,753 (53,156) 18/01/2021 IMI GBP 79,279 916,601 (34,045) 19/11/2020 Informa GBP 203,793 844,865 (48,022) 18/01/2021 Intermediate Capital Group GBP 80,373 1,055,804 (53,985) 18/01/2021 JD Sports Fashion GBP 165,277 1,473,019 13,831 18/01/2021 Kingfisher GBP 312,103 1,019,643 79,729 18/01/2021 Learning Technologies Group GBP 289,540 417,650 (58,981) 18/01/2021 M&G GBP 505,462 887,732 9,740 19/11/2020 National Express Group GBP 1,353,788 2,277,754 475,526 19/11/2020 Next GBP 40,927 2,681,388 (70,302) 18/01/2021 Persimmon GBP 60,241 1,640,398 (37,489) 18/01/2021 Pets at Home Group GBP 139,855 651,097 70,673 18/01/2021 Prudential GBP 86,150 1,052,010 (74,466) 19/11/2020 Rank Group GBP 91,253 93,748 (17,785) 18/01/2021 Reckitt Benckiser Group GBP 7,814 650,471 (2,925) 19/11/2020 Rio Tinto GBP 29,851 1,530,235 (157,609) 19/11/2020 Ryanair Holdings EUR 118,183 1,348,468 (78,592) 18/01/2021 Segro GBP 122,065 1,253,217 (8,333) 18/01/2021 Smurfit Kappa Group EUR 31,487 1,055,444 13,225 23/11/2020 Spirent Communications GBP 230,700 726,518 (1,270) 18/01/2021 Team17 Group GBP 162,145 1,242,641 (69,631) 18/01/2021 Wincanton GBP 329,200 728,599 21,749 18/01/2021 Total Net Loss on Long Positions (637,017) Short Positions Abcam GBP (116,636) (1,571,980) 26,970 18/01/2021 BioMerieux EUR (13,969) (1,869,052) (129,912) 19/11/2020 Blue Prism Group GBP (126,657) (1,857,660) 205,012 18/01/2021 Boiron EUR (11,712) (478,435) (7,613) 19/11/2020 Casino Guichard Perrachon EUR (43,266) (897,770) 77,014 19/11/2020 Compass Group GBP (146,974) (1,891,855) 75,427 18/01/2021 Craneware GBP (108,248) (1,847,500) 131,113 18/01/2021 Dassault Systemes EUR (13,013) (2,078,827) (22,773) 19/11/2020 Edenred EUR (46,313) (1,778,419) 221,376 19/11/2020 Eutelsat Communications EUR (113,000) (940,160) 103,282 19/11/2020 First Derivatives GBP (35,656) (1,301,515) (43,188) 18/01/2021 Funding Circle GBP (581,099) (509,326) 2,559 18/01/2021 Halma GBP (65,337) (1,687,077) (17,986) 18/01/2021 Hiscox GBP (75,203) (739,799) (4,968) 18/01/2021 HSBC Holdings GBP (356,500) (1,183,531) 83,613 18/01/2021 Inter Continental Hotels Group GBP (40,500) (1,825,727) 149,394 18/01/2021 Johnson Matthey GBP (72,590) (1,883,949) 213,413 18/01/2021 Klepierre EUR (139,151) (1,667,725) 189,941 19/11/2020 L’Oreal EUR (7,008) (1,945,421) 40,646 19/11/2020 Network International Holdings GBP (181,680) (546,538) 245,662 18/01/2021 Orpea EUR (19,000) (1,844,140) 71,060 19/11/2020 PZ Cussons GBP (651,979) (1,687,075) (168,707) 18/01/2021 Reed Elsevier GBP (69,000) (1,311,362) 61,541 18/01/2021 Renishaw GBP (31,139) (1,926,965) (94,291) 18/01/2021 Rightmove GBP (380,970) (2,629,376) 4,195 18/01/2021 Sage Group GBP (194,650) (1,544,906) 11,145 18/01/2021 Sodexo EUR (10,451) (637,720) 47,239 19/11/2020 Soitec EUR (17,772) (2,187,733) (24,881) 19/11/2020 Talk Talk Telecom Group GBP (1,976,730) (1,745,640) (95,771) 18/01/2021 Tesco GBP (529,000) (1,237,791) 42,522 18/01/2021 Trainline GBP (228,195) (912,107) 56,284 18/01/2021 UbiSoft Entertainment EUR (33,118) (2,552,073) (102,003) 19/11/2020 Victrex GBP (89,627) (1,807,008) 176,655 18/01/2021 Vilmorin & Cie EUR (16,989) (847,751) (37,376) 19/11/2020 Vinci EUR (8,000) (572,160) 46,400 19/11/2020 Vitec Group GBP (183,147) (1,504,428) 8,067 18/01/2021 Vodafone Group GBP (1,050,000) (1,187,157) 74,920 18/01/2021 Total Net Gain on Short Positions 1,615,981
Net Unrealised Gain on Contracts for Difference 978,964
The counterparty for contracts for difference is Deutsche Bank AG.
25 GIM Portfolio Strategies Funds - Technology Long-Short Fund Schedule of Investments As at 30 September 2020
Investments Currency Quantity/ Market % Investments Currency Quantity/ Market % Nominal Value of Nominal Value of Value EUR Net Value EUR Net Assets Assets
Long Positions FINLAND BasWare EUR 49,830 1,888,557 0.83 Transferable Securities Admitted to an Official Exchange Listing Neste Oil EUR 102,503 4,609,560 2.03
Shares 6,498,117 2.86 GERMANY SPAIN Brockhaus Capital Management EUR 30,000 861,000 0.38 Amadeus IT Group EUR 125,439 5,969,642 2.62 CropEnergies EUR 195,955 2,923,649 1.28 Delivery Hero EUR 37,687 3,697,848 1.63 5,969,642 2.62 Deutsche Telekom EUR 232,405 3,321,068 1.46 ELMOS Semiconductor EUR 57,807 1,205,276 0.53 TAIWAN, PROVINCE OF CHINA Exasol EUR 263,197 5,500,817 2.42 Radiant Opto-Electronic TWD 585,000 1,901,707 0.83 GFT Technologies EUR 169,019 1,960,620 0.86 Realtek Semiconductor TWD 183,000 1,983,874 0.87 HelloFresh EUR 63,730 3,032,273 1.33 Wistron TWD 1,940,000 1,700,761 0.75 Home24 EUR 154,525 2,099,995 0.92 Infineon Technologies EUR 245,622 5,923,174 2.60 5,586,342 2.45 LPKF Laser & Electronics EUR 51,760 1,172,364 0.52 UNITED STATES Secunet Security AG EUR 4,060 1,124,620 0.49 Amazon.com USD 979 2,624,835 1.16 Siemens EUR 15,434 1,665,020 0.73 Microsoft Corp USD 14,509 2,598,500 1.14 Suess MicroTec EUR 288,341 4,561,555 2.00 Varta 2,878,794 1.27 EUR 24,030 5,223,335 2.30 Verbio Vereinigte BioEnergie EUR 90,405 1,705,038 0.75 Westwing Group EUR 84,481 1,646,028 0.72 AUSTRIA Zalando SE EUR 41,294 3,299,391 1.45 AMS CHF 235,908 4,583,365 2.01 Fabasoft EUR 8,828 333,699 0.15 48,578,530 21.34 4,917,064 2.16 NETHERLANDS Adyen EUR 2,560 4,025,600 1.77 GREAT BRITAIN Alfen Beheer EUR 75,988 4,126,148 1.81 Dialog Semiconductor EUR 87,471 3,253,921 1.43 ASM International EUR 47,133 5,766,723 2.53 Team17 Group GBP 180,390 1,382,466 0.61 BE Semiconductor Industries EUR 73,737 2,698,037 1.19 Ordina EUR 1,109,655 2,518,917 1.11 4,636,387 2.04 Prosus 5,036,485 2.21 EUR 63,996 DENMARK Shop Apotheke Europe 2,749,408 1.21 EUR 18,403 Orsted DKK 20,986 2,467,701 1.09
26,921,318 11.83 2,467,701 1.09 FRANCE AUSTRALIA Albioma 3,562,623 1.57 EUR 80,149 JB Hi-Fi Ltd AUD 68,939 1,980,292 0.87 Cap Gemini EUR 51,999 5,706,890 2.51 Ipsos EUR 75,665 1,615,448 0.71 1,980,292 0.87 Publicis Groupe EUR 62,305 1,718,372 0.75 Schneider Electric EUR 36,579 3,879,203 1.70 CANADA Sopra Steria Group EUR 27,673 3,752,459 1.65 Shopify USD 990 862,347 0.38
20,234,995 8.89 862,347 0.38 SWITZERLAND LUXEMBOURG Also CHF 14,316 3,229,242 1.42 Allegro.eu SA PLN 58,267 552,655 0.24 Logitech International CHF 47,869 3,185,113 1.40 Softwareone Holding CHF 149,898 3,582,990 1.57 552,655 0.24 Sonova Holding CHF 18,142 3,933,966 1.73 Swissquote Group Holding CHF 37,507 2,607,754 1.14 Total Shares 201,331,812 88.45 Zur Rose Group CHF 12,128 2,476,763 1.09 Total Transferable Securities Admitted to an Official Exchange 201,331,812 88.45 19,015,828 8.35 Listing SWEDEN Transferable Securities Dealt in on Another Regulated Market Boozt SEK 275,946 3,273,604 1.44 Bygghemma Group SEK 360,674 4,326,748 1.90 Investment Funds CLX Communications SEK 33,843 2,358,090 1.04 LUXEMBOURG Embracer Group SEK 219,012 3,472,573 1.52 JP Morgan Asset Management Funds - Evolution Gaming Group 2,132,815 0.94 SEK 37,722 Euro Liquidity Fund† EUR 10,820 107,453,639 47.20 Stillfront Group SEK 31,848 3,402,796 1.49 107,453,639 47.20 18,966,626 8.33 GREAT BRITAIN ITALY Segro GBP 14,999 153,992 0.07 Falck Renewables EUR 412,457 2,221,081 0.97 Nexi EUR 264,253 4,524,011 1.99 153,992 0.07 Sesa Spa EUR 69,081 5,920,242 2.60 Total Investment Funds 107,607,631 47.27 12,665,334 5.56 KOREA, REPUBLIC OF Total Transferable Securities Dealt in on Another Regulated 107,607,631 47.27 DoubleUGames KRW 34,561 1,883,421 0.83 Market LG Innotek KRW 16,178 1,834,262 0.80 Total Long Positions 308,939,443 135.72 NHN KCP KRW 48,585 2,434,432 1.07 Samsung Electronics KRW 46,987 2,000,348 0.88 † Related Party Fund.
8,152,463 3.58 NORWAY Mintra Holding NOK 2,004,882 1,768,052 0.78 Nordic Semiconductor NOK 364,789 3,183,812 1.40 Quantafuel NOK 166,780 955,254 0.42 Scatec Solar NOK 111,812 2,195,718 0.96
8,102,836 3.56
26 GIM Portfolio Strategies Funds - Technology Long-Short Fund Schedule of Investments (continued) As at 30 September 2020
Investments Currency Quantity/ Market % Investments Currency Quantity/ Market % of Nominal Value of Nominal Value Net Value EUR Net Value EUR Assets Assets
Short Positions Other Transferable Securities Shares Transferable Securities Admitted to an Official Exchange Listing SPAIN Let’s Gowex* EUR (10,000) (1) 0.00 Shares (1) 0.00 GERMANY Evotec (3,445,762) (1.51) EUR (152,670) Total Shares Nemetschek EUR (51,550) (3,221,875) (1.42) (1) 0.00 SAP EUR (25,027) (3,342,606) (1.47) TeamViewer EUR (103,500) (4,359,420) (1.91) Total Other Transferable Securities (1) 0.00 Technotrans EUR (94,407) (1,814,502) (0.80) Total Short Positions Zooplus EUR (22,768) (3,611,005) (1.59) (92,511,403) (40.64)
(19,795,170) (8.70) Total Investments 216,428,040 95.08
SWEDEN Cash at Bank, Net of Bank Overdraft 14,194,317 6.24 Fingerprint Cards SEK (557,963) (948,332) (0.42) Hexagon SEK (39,000) (2,512,775) (1.10) Other Assets/(Liabilities) (2,985,743) (1.32) Modern Times Group SEK (141,143) (1,686,483) (0.74) Paradox Interactive SEK (132,125) (3,830,648) (1.68) Total Net Assets 227,636,614 100.00 RaySearch Laboratories SEK (284,866) (2,372,096) (1.04) Telefonaktiebolaget LM Ericsson B Shrs SEK (290,000) (2,709,260) (1.19) Tobii SEK (555,000) (2,793,485) (1.23) * Security is valued at its fair value (See Note 2a).
(16,853,079) (7.40) Allocation of Portfolio as at 30 September 2020 % of SWITZERLAND Net Assets Temenos CHF (44,183) (5,087,736) (2.24) Long Positions U-Blox CHF (45,188) (2,145,563) (0.94) Financials 54.10 VAT Group CHF (20,931) (3,421,542) (1.50) Information Technology 44.47 Ypsomed Holding CHF (27,472) (3,432,479) (1.51) Consumer Staples 12.40 Energy 11.93 (14,087,320) (6.19) Industrials 5.65 Consumer Discretionary NETHERLANDS 3.98 Healthcare ASML Holding EUR (14,500) (4,563,151) (2.00) 1.73 Telecommunication Services Flow Traders Cooperatief U.A. EUR (143,671) (4,893,434) (2.15) 1.46 Total Long Positions 135.72 (9,456,585) (4.15) ITALY Short Positions Datalogic EUR (274,252) (3,274,569) (1.44) Information Technology (19.06) DiaSorin EUR (27,809) (4,780,367) (2.10) Healthcare (6.91) Industrials (5.28) (8,054,936) (3.54) Consumer Discretionary (2.69) Financials (2.15) FINLAND Telecommunication Services (1.86) Nokia EUR (683,814) (2,290,777) (1.01) Consumer Staples (1.59) Rovio Entertainment Oyj EUR (472,929) (2,891,961) (1.27) Energy (1.10) Total Short Positions (40.64) (5,182,738) (2.28) Cash and Other Assets/(Liabilities) 4.92 DENMARK Ambu DKK (70,000) (1,692,493) (0.74) Total 100.00 SimCorp DKK (26,492) (2,973,155) (1.31)
(4,665,648) (2.05) BELGIUM Proximus EUR (272,246) (4,240,231) (1.86)
(4,240,231) (1.86) UNITED STATES NetFlix USD (6,405) (2,727,088) (1.20) Tesla USD (2,735) (999,099) (0.44)
(3,726,187) (1.64) NORWAY NEL NOK (1,618,000) (2,494,818) (1.10)
(2,494,818) (1.10) SPAIN Indra Sistemas EUR (368,000) (2,235,600) (0.98)
(2,235,600) (0.98) SINGAPORE Singapore Press SGD (2,650,000) (1,719,090) (0.75)
(1,719,090) (0.75)
Total Shares (92,511,402) (40.64)
Total Transferable Securities Admitted to an Official Exchange (92,511,402) (40.64) Listing
27 GIM Portfolio Strategies Funds - Technology Long-Short Fund Schedule of Investments - Outstanding Financial Futures Contracts As at 30 September 2020
Unrealised Gain/ Expiration Number of Notional (Loss) Date Contracts Security Description Currency Value EUR
18-Dec-20 (395) Stoxx 600 Tech EUR (4,500,630) 116,525 18-Dec-20 (29) Nasdaq 100 E-Mini USD (16,540,513) (177,225)
Total (60,700)
GIM Portfolio Strategies Funds - Technology Long-Short Fund Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (continued) As at 30 September 2020
Unrealised Gain/ Maturity Currency Amount Currency Amount (Loss) Date Purchased Purchased Sold Sold EUR
1-Oct-20 CHF 144,172 EUR 133,748 83 1-Oct-20 CHF 18,678,865 EUR 17,401,232 (62,272) 1-Oct-20 EUR 17,180,020 CHF 18,556,655 (45,497) 1-Oct-20 EUR 246,279 CHF 266,382 (995) 1-Oct-20 EUR 26,636 GBP 24,082 119 1-Oct-20 GBP 1,917,683 EUR 2,140,902 (29,312) 1-Oct-20 EUR 2,093,790 GBP 1,906,084 (5,028) 1-Oct-20 GBP 12,483 EUR 14,044 (299) 1-Oct-20 EUR 54,471 USD 65,122 (981) 1-Oct-20 EUR 2,164 USD 2,562 (18) 1-Oct-20 EUR 2,016,651 USD 2,378,569 (8,698) 1-Oct-20 USD 1,370,506 EUR 1,157,774 9,210 1-Oct-20 USD 184,397,097 EUR 155,696,739 1,317,138 1-Oct-20 EUR 157,680,593 USD 183,321,350 1,582,714 2-Oct-20 EUR 1,182,006 NOK 12,636,039 33,204 2-Oct-20 SEK 58,520,797 EUR 5,651,304 (88,450) 2-Oct-20 GBP 3,363,963 EUR 3,742,581 (38,470) 2-Oct-20 EUR 1,921,711 AUD 3,154,905 (4,033) 2-Oct-20 EUR 4,764,544 NOK 50,408,497 181,667 2-Oct-20 SGD 2,870,324 EUR 1,775,680 14,722 2-Oct-20 CHF 2,420,361 EUR 2,254,976 (8,237) 2-Oct-20 GBP 2,739,545 EUR 3,056,801 (40,246) 2-Oct-20 EUR 3,557,834 USD 4,205,648 (23,270) 2-Oct-20 EUR 236,195 CHF 253,851 553 2-Oct-20 DKK 12,186,380 EUR 1,637,096 (162) 2-Oct-20 USD 1,844,309 EUR 1,559,475 10,951 2-Oct-20 EUR 1,087,108 USD 1,287,912 (9,547) 2-Oct-20 EUR 962,333 CHF 1,035,764 868 2-Oct-20 SEK 82,524,977 EUR 7,986,367 (141,730) 2-Oct-20 CHF 3,266,219 EUR 3,022,637 9,284 2-Oct-20 EUR 5,959,432 CHF 6,465,298 (42,086) 2-Oct-20 EUR 7,705,435 GBP 6,856,596 155,530 2-Oct-20 EUR 796,931 USD 944,138 (7,001) 2-Oct-20 DKK 12,604,967 EUR 1,694,038 (878) 2-Oct-20 EUR 26,005,569 USD 30,800,241 (220,795) 2-Oct-20 CHF 1,947,599 EUR 1,814,390 (6,500) 2-Oct-20 EUR 1,786,333 GBP 1,597,637 27,150 2-Oct-20 USD 2,123,000 EUR 1,772,502 35,230 2-Oct-20 EUR 1,220,620 DKK 9,087,497 (56) 2-Oct-20 EUR 1,509,481 SEK 15,568,072 29,616 2-Oct-20 EUR 1,432,261 CHF 1,535,864 6,571 2-Oct-20 EUR 560,579 CHF 601,805 1,944 2-Oct-20 SEK 17,651,818 EUR 1,700,125 (22,183) 2-Oct-20 CHF 849,097 EUR 786,506 1,682 2-Oct-20 EUR 1,138,338 SEK 11,847,377 12,154 2-Oct-20 NOK 11,327,273 EUR 1,058,652 (28,835) 2-Oct-20 USD 812,267 EUR 690,305 1,340 2-Oct-20 EUR 3,123,954 SEK 32,507,220 33,891 2-Oct-20 EUR 512,689 GBP 459,218 7,037 2-Oct-20 EUR 683,782 USD 810,089 (6,007) 2-Oct-20 EUR 984,674 CHF 1,060,537 213 2-Oct-20 EUR 873,727 CHF 941,475 (212) 2-Oct-20 NOK 51,717,262 EUR 4,632,216 69,647 2-Oct-20 AUD 3,154,905 EUR 1,906,907 18,837 2-Oct-20 USD 33,268,452 EUR 28,553,425 (225,383) 2-Oct-20 GBP 2,809,944 EUR 3,071,577 22,495 2-Oct-20 EUR 8,154,961 SEK 86,356,357 (53,878) 2-Oct-20 EUR 3,868,826 DKK 28,797,138 655 2-Oct-20 DKK 13,093,288 EUR 1,758,975 (221) 2-Oct-20 CHF 3,411,319 EUR 3,164,756 1,856 2-Oct-20 EUR 1,197,900 SEK 12,418,567 17,419 2-Oct-20 EUR 1,790,728 SGD 2,870,324 327 5-Oct-20 USD 21,727,974 TWD 636,086,447 (211,630) 5-Oct-20 USD 9,137,629 KRW 10,844,537,641 (151,728) 5-Oct-20 USD 21,924,943 TWD 636,086,447 (43,922) 5-Oct-20 TWD 636,086,447 USD 21,924,943 43,922 5-Oct-20 KRW 10,844,537,641 USD 9,241,191 63,550
28 GIM Portfolio Strategies Funds - Technology Long-Short Fund Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (continued) As at 30 September 2020
Unrealised Gain/ Maturity Currency Amount Currency Amount (Loss) Date Purchased Purchased Sold Sold EUR
5-Oct-20 USD 30,940,621 EUR 26,513,480 (169,269) 5-Oct-20 EUR 26,489,578 USD 30,865,603 209,241 5-Oct-20 USD 9,241,191 KRW 10,844,537,641 (63,550) 5-Oct-20 KRW 10,844,537,641 USD 9,238,593 65,762 5-Oct-20 TWD 636,086,447 USD 21,702,028 233,722 2-Nov-20 CHF 18,556,655 EUR 17,184,029 45,373 2-Nov-20 CHF 194,645 EUR 180,970 (247) 2-Nov-20 GBP 20,618 EUR 22,401 290 2-Nov-20 GBP 1,906,084 EUR 2,092,733 5,042 2-Nov-20 USD 183,321,350 EUR 157,575,688 (1,580,897) 2-Nov-20 USD 1,885,967 EUR 1,610,829 (5,992) 2-Nov-20 EUR 180,849 USD 212,512 16 2-Nov-20 CHF 247,000 EUR 229,353 (19) 3-Nov-20 EUR 2,703,798 CHF 2,915,565 (3,253) 3-Nov-20 EUR 1,027,492 SEK 10,671,470 13,433 3-Nov-20 EUR 1,654,104 SEK 17,441,627 (3,290) 3-Nov-20 EUR 4,789,657 SEK 49,878,841 49,912 3-Nov-20 USD 9,238,436 KRW 10,844,537,641 (64,117) 3-Nov-20 DKK 28,797,138 EUR 3,868,481 (867) 3-Nov-20 GBP 537,819 EUR 587,301 4,597 3-Nov-20 EUR 3,165,497 CHF 3,411,319 (1,854) 3-Nov-20 EUR 1,885,195 DKK 14,037,960 (180) 3-Nov-20 EUR 3,069,990 GBP 2,809,944 (22,494) 3-Nov-20 SGD 2,870,324 EUR 1,789,655 (422) 3-Nov-20 EUR 1,905,798 AUD 3,154,905 (18,764) 3-Nov-20 EUR 1,215,407 CHF 1,310,104 (1,002) 3-Nov-20 EUR 4,095,538 SEK 43,550,547 (42,860) 3-Nov-20 EUR 26,497,518 USD 30,940,621 169,559 3-Nov-20 NOK 16,553,128 EUR 1,506,934 (2,977) 3-Nov-20 EUR 644,017 USD 755,978 740 3-Nov-20 USD 21,806,186 TWD 636,086,447 (145,594) 3-Nov-20 SEK 86,356,357 EUR 8,152,277 53,751 3-Nov-20 EUR 4,629,487 NOK 51,717,262 (69,356) 3-Nov-20 EUR 28,534,591 USD 33,268,452 225,839 3-Nov-20 EUR 1,083,600 CHF 1,170,529 (3,215) 3-Nov-20 USD 30,865,603 EUR 26,473,787 (209,663)
Total 850,414
The counterparty for forward foreign exchange contracts is Deutsche Bank AG.
29 GIM Portfolio Strategies Funds - Technology Long-Short Fund Schedule of Investments - Contracts for Difference (Expressed in EUR) As at 30 September 2020 Name of Securities Currency Long/(Short)Position Commitment Value in EUR Unrealised Gain/(Loss) in EUR Maturity Date Long Positions 888 Holdings GBP 504,437 1,399,717 (8,259) 17/07/2021 Aveva Group GBP 60,836 3,206,020 (40,862) 17/07/2021 Boohoo.com GBP 688,029 2,844,786 (28,543) 17/07/2021 Codemasters Group Holdings GBP 790,090 3,175,428 (113,098) 17/07/2021 Computacenter GBP 191,179 4,980,670 (4,210) 17/07/2021 Future GBP 279,426 5,975,151 203,069 17/07/2021 Gamma Communications GBP 163,627 2,972,842 99,095 17/07/2021 Judges Scientific GBP 39,301 2,103,162 (82,222) 17/07/2021 Kainos Group GBP 207,184 2,265,366 (88,972) 17/07/2021 Learning Technologies Group GBP 708,485 1,021,962 (144,323) 17/07/2021 LoopUp Group GBP 862,788 1,995,061 142,504 17/07/2021 Oxford Instruments GBP 83,292 1,460,089 (25,680) 17/07/2021 RM GBP 369,055 745,693 (37,589) 17/07/2021 Segro GBP 267,597 2,747,365 (18,269) 17/07/2021 Spirent Communications GBP 855,686 2,694,718 (4,711) 17/07/2021 Team17 Group GBP 203,621 1,560,503 (87,442) 17/07/2021 THG Holdings GBP 165,853 1,092,453 179,336 17/07/2021 WPP GBP 343,955 2,302,704 (118,165) 17/07/2021 Total Net Loss on Long Positions (178,341) Short Positions Abcam GBP (247,492) (3,335,611) 57,229 17/07/2021 BioMerieux EUR (32,934) (4,406,569) (306,286) 19/11/2020 Blue Prism Group GBP (261,291) (3,832,318) 422,936 17/07/2021 BNN Technology* GBP (1,000,000) (462,468) - 17/07/2021 Craneware GBP (185,950) (3,173,663) 225,228 17/07/2021 Creo Medical Group GBP (400,000) (739,950) 26,427 17/07/2021 Dassault Systemes EUR (33,066) (5,282,294) (57,866) 19/11/2020 Edenred EUR (95,542) (3,668,813) 456,691 19/11/2020 Eutelsat Communications EUR (199,000) (1,655,680) 181,886 19/11/2020 First Derivatives GBP (96,879) (3,536,275) (117,342) 17/07/2021 Halma GBP (161,746) (4,176,469) (44,525) 17/07/2021 Ideagen GBP (1,547,605) (3,237,774) 221,532 17/07/2021 Iomart Group GBP (780,630) (3,051,451) (120,339) 17/07/2021 ITEQ Corporation USD (470,000) (1,696,306) 106,663 28/09/2021 Johnson Matthey GBP (149,752) (3,886,557) 440,268 17/07/2021 Land mark Optoelectronics USD (204,000) (1,490,498) (50,339) 28/09/2021 LG Display USD (161,802) (1,809,034) 89,808 15/01/2021 Netmarble Games USD (22,049) (2,665,947) 271,953 15/01/2021 Network International Holdings GBP (329,088) (989,978) 444,983 17/07/2021 Renishaw GBP (66,074) (4,088,837) (200,077) 17/07/2021 Rightmove GBP (823,674) (5,684,826) 9,070 17/07/2021 Sage Group GBP (481,870) (3,824,525) 27,591 17/07/2021 Softcat GBP (180,000) (2,392,283) 128,830 17/07/2021 Soitec EUR (36,392) (4,479,855) (50,949) 19/11/2020 SUNe Vision Holdings HKD (2,700,000) (1,874,823) (100,861) 19/02/2021 Talk Talk Telecom Group GBP (3,495,381) (3,086,752) (169,348) 17/07/2021 Telit Communications GBP (1,205,643) (1,805,471) 53,102 17/07/2021 Tongdao Liepin Group HKD (900,000) (1,916,354) (31,643) 19/02/2021 Trainline GBP (605,261) (2,419,258) 149,288 17/07/2021 UbiSoft Entertainment EUR (75,294) (5,802,156) (231,906) 19/11/2020 Vitec Group GBP (412,134) (3,385,401) 18,152 17/07/2021 Vodafone Group GBP (1,900,000) (2,148,188) 135,569 17/07/2021 Worldline EUR (60,409) (4,235,879) 355,205 19/11/2020 X-Fab Silicon Foundries EUR (400,000) (1,180,000) 8,000 19/11/2020 Total Net Gain on Short Positions 2,348,930
Net Unrealised Gain on Contracts for Difference 2,170,589
The counterparty for contracts for difference is Deutsche Bank AG. * Security is valued at its fair value. (See Note 2a).
30 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures
1. Fund Total Expense Ratios (1)
Share Class Name For the For the For the For the For the For the Inception year ended year ended year ended year ended year ended year ended Date 30 September 30 September 30 September 30 September 30 September 30 September 2020 2020 2019 2019 2018 2018 (excluding (including (excluding (including (excluding (including Performance Performance Performance Performance Performance Performance Fees) Fees) Fees) Fees) Fees) Fees)
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short A103 - EUR 1.88% 1.88% 1.88% 1.88% 1.98% 1.98% Oct-03 GIM Europe Dynamic Long-Short A0316 - EUR 1.88% 1.88% 1.88% 1.88% 1.99% 2.07% Mar-16 GIM Europe Dynamic Long-Short A0318 - EUR 1.88% 1.88% 1.88% 1.88% 2.01% 2.01% Mar-18 GIM Europe Dynamic Long-Short A0818 - EUR 1.87% 1.87% 1.88% 1.88% 2.64% 2.64% Aug-18 GIM Europe Dynamic Long-Short A0111 - GBP (hedged) 1.88% 1.88% 1.88% 1.88% 1.99% 2.01% Jan-11 GIM Europe Dynamic Long-Short A113 - USD (hedged) 1.88% 1.88% 1.88% 1.88% 1.99% 1.99% Nov-03 GIM Europe Dynamic Long-Short A1015- USD (hedged) 1.88% 1.89% 1.88% 1.88% 2.00% 2.42% Oct-15 GIM Europe Dynamic Long-Short A0518 - USD (hedged) 1.88% 1.88% 1.87% 1.87% 2.11% 2.11% May-18 GIM Europe Dynamic Long-Short A0620 - USD (hedged) 1.87% 1.87% ----Jun-20
GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short A1012 - CHF (hedged) 1.90% 4.31% 1.88% 1.88% 1.90% 1.91% Oct-12 GIM Technology Long-Short A0917 - CHF (hedged) 1.90% 4.26% 1.88% 1.88% 1.90% 1.90% Sep-17 GIM Technology Long-Short A1017 - CHF (hedged) 1.89% 3.70% 1.88% 1.88% 1.85% 1.85% Oct-17 GIM Technology Long-Short A0118 - CHF (hedged) 1.90% 4.54% 1.87% 1.87% 1.80% 1.80% Jan-18 GIM Technology Long-Short A0318 - CHF (hedged) 1.89% 3.58% 1.87% 1.87% 1.79% 1.79% Mar-18 GIM Technology Long-Short A0418 - CHF (hedged) 1.90% 4.16% 1.87% 1.87% 1.83% 1.83% Apr-18 GIM Technology Long-Short A0618 - CHF (hedged) 1.89% 4.03% 1.88% 1.88% 1.96% 1.96% Jun-18 GIM Technology Long-Short A0718 - CHF (hedged) 1.89% 4.09% 1.88% 1.88% 2.00% 2.00% Jul-18 GIM Technology Long-Short A1018 - CHF (hedged) 1.90% 4.34% 1.89% 3.00% - - Oct-18 GIM Technology Long-Short A0819 - CHF (hedged) 1.89% 4.08% 1.86% 1.86% - - Aug-19 GIM Technology Long-Short A0919 - CHF (hedged) 1.90% 4.32% ----Sep-19 GIM Technology Long-Short A1119 - CHF (hedged) 1.89% 3.75% ----Nov-19 GIM Technology Long-Short A1219 - CHF (hedged) 1.89% 3.38% ----Dec-19 GIM Technology Long-Short A0120 - CHF (hedged) 1.88% 3.00% ----Jan-20 GIM Technology Long-Short A0220 - CHF (hedged) 1.88% 2.91% ----Feb-20 GIM Technology Long-Short A0320 - CHF (hedged) 1.89% 3.12% ----Mar-20 GIM Technology Long-Short A0420 - CHF (hedged) 1.89% 2.90% ----Apr-20 GIM Technology Long-Short A0520 - CHF (hedged) 1.88% 2.69% ----May-20 GIM Technology Long-Short A0720 - CHF (hedged) 1.88% 2.34% ----Jul-20 GIM Technology Long-Short A0412 - EUR 1.90% 4.42% 1.88% 2.01% 1.90% 1.91% Apr-12 GIM Technology Long-Short A1017 - EUR 1.89% 3.99% 1.88% 1.88% 1.85% 1.85% Oct-17 GIM Technology Long-Short A1117 - EUR 1.90% 4.17% 1.88% 1.88% 1.81% 1.81% Nov-17 GIM Technology Long-Short A0318 - EUR 1.89% 3.84% 1.88% 1.88% 1.79% 1.79% Mar-18 GIM Technology Long-Short A0618 - EUR 1.90% 4.26% 1.88% 1.88% 1.96% 1.96% Jun-18 GIM Technology Long-Short A0718 - EUR 1.90% 4.32% 1.88% 1.88% 2.00% 2.00% Jul-18 GIM Technology Long-Short A1019 - EUR 1.90% 4.10% ----Oct-19 GIM Technology Long-Short A1119 - EUR 1.89% 3.84% ----Nov-19 GIM Technology Long-Short A1219 - EUR 1.89% 3.46% ----Dec-19 GIM Technology Long-Short A0120 - EUR 1.88% 2.21% ----Jan-20 GIM Technology Long-Short A0220 - EUR 1.88% 2.97% ----Feb-20 GIM Technology Long-Short A0520 - EUR 1.88% 2.72% ----May-20 GIM Technology Long-Short A0620 - EUR 1.87% 2.49% ----Jun-20 GIM Technology Long-Short A0720 - EUR 1.88% 2.35% ----Jul-20 GIM Technology Long-Short A0820 - EUR 1.86% 2.06% ----Aug-20 GIM Technology Long-Short A0412 - GBP (hedged) 1.90% 4.49% 1.88% 2.36% 1.94% 2.26% Apr-12 GIM Technology Long-Short A0318 - GBP (hedged) 1.90% 4.31% 1.88% 1.88% 1.78% 1.78% Mar-18 GIM Technology Long-Short A0412 - USD (hedged) 1.91% 4.65% 1.88% 2.72% 1.90% 2.34% Apr-12 GIM Technology Long-Short A0919 - USD (hedged) 1.90% 4.61% ----Sep-19 GIM Technology Long-Short A1019 - USD (hedged) 1.90% 4.28% ----Oct-19 GIM Technology Long-Short A1119 - USD (hedged) 1.90% 4.01% ----Nov-19 GIM Technology Long-Short A1219 - USD (hedged) 1.89% 3.59% ----Dec-19 GIM Technology Long-Short A0120 - USD (hedged) 1.89% 3.18% ----Jan-20 GIM Technology Long-Short A0220 - USD (hedged) 1.89% 3.06% ----Feb-20 GIM Technology Long-Short A0320 - USD (hedged) 1.89% 3.21% ----Mar-20 GIM Technology Long-Short A0420 - USD (hedged) 1.89% 2.98% ----Apr-20 GIM Technology Long-Short A0520 - USD (hedged) 1.89% 2.76% ----May-20 GIM Technology Long-Short A0620 - USD (hedged) 1.88% 2.53% ----Jun-20 GIM Technology Long-Short A0820 - USD (hedged) 1.86% 2.06% ----Aug-20
(1) Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Funds & Asset Management Association. The Total Expense Ratio (“TER”) represents the total operating costs as a percentage of the Fund’s average daily net assets. The total operating cost comprises Management and Advisory Fees, Operating and Administrative Expenses, Depositary Fees and Taxe d’Abonnement, as summarised in the Combined Statement of Operations and Changes in Net Assets.Interest Expense, Dividends Paid on Short Sales, Brokerage Fees and Performance Fees are excluded from the calculation. All TER figures are annualised.
31 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
2. Summary of Investment Objectives of the Sub-Funds Europe Dynamic Long-Short Fund The investment objective of the Sub-Fund is to achieve a total return in excess of the return on short-term instruments through a long/short strategy of buying undervalued equities and equity-linked securities and by selling short overvalued equities and equity-linked securities. Technology Long-Short Fund The investment objective of the Sub-Fund is to achieve a positive total return through a long/short strategy of buying undervalued and by selling short overvalued equities and equity-linked securities of companies involved, directly or indirectly, in technology or any technology related activity
3. Performance and Volatility Performance Returns for periods greater than one year are annualised. Fund performance includes reinvestment of income and is net of all expenses. Past performance is no indication of current or future performance. The performance data does not take into account the commissions and costs incurred on the issue and redemption of units. Volatility The standard deviation (D) of the price is calculated on a daily basis throughout the period. The following details relate to the period from 1 October 2019 to 30 September 2020. If D is equal to or less than 0.1 then volatility was Low. If D is greater than 0.1 but less or equal to 1.0 then volatility was Medium. If D is greater than 1.0 but less than or equal to 2.4 then volatility was High. If D is greater than 2.4 then volatility was Very High.
Performance 3 Months 6 Months 9 Months 1 Year 2 Years 3 Years 4 Years 5 Years Volatility
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short A103 - EUR -0.55% 2.58% 2.48% 1.36% -4.43% -2.41% -0.86% -2.66% Low GIM Europe Dynamic Long-Short A0316 - EUR -0.56% 2.58% 2.47% 1.35% -4.43% -2.41% -1.01% - Low GIM Europe Dynamic Long-Short A0318 - EUR -0.55% 2.58% 2.47% 1.36% -4.44% - - - Low GIM Europe Dynamic Long-Short A0818 - EUR -0.55% 2.57% 2.47% 1.35% -4.43% - - - Low GIM Europe Dynamic Long-Short A0111 - GBP (hedged) -0.49% 2.76% 2.59% 1.81% -2.66% -1.02% 0.32% -1.65% Low GIM Europe Dynamic Long-Short A113 - USD (hedged) -0.37% 2.95% 3.33% 2.93% 0.04% 1.09% 2.17% -0.39% Low GIM Europe Dynamic Long-Short A1015- USD (hedged) -0.29% 2.95% 3.32% 2.93% 0.04% 0.87% 1.97% - Low GIM Europe Dynamic Long-Short A0518 - USD (hedged) -0.37% 2.95% 3.34% 2.93% 0.05% - - - Low GIM Europe Dynamic Long-Short A0620 - USD (hedged) -0.37% ------Low
32 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
Performance 3 Months 6 Months 9 Months 1 Year 2 Years 3 Years 4 Years 5 Years Volatility
GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short A1012 - CHF (hedged) 2.46% 5.16% 6.26% 10.34% 10.70% 5.01% 9.26% 6.93% Low GIM Technology Long-Short A0917 - CHF (hedged) 2.46% 5.16% 6.26% 10.35% 10.71% 5.01% - - Low GIM Technology Long-Short A1017 - CHF (hedged) 2.45% 5.13% 6.22% 10.91% 11.27% - - - Low GIM Technology Long-Short A0118 - CHF (hedged) 2.46% 5.16% 6.25% 10.32% 10.68% - - - Low GIM Technology Long-Short A0318 - CHF (hedged) 2.44% 5.12% 6.21% 11.03% 11.40% - - - Low GIM Technology Long-Short A0418 - CHF (hedged) 2.46% 5.16% 6.25% 10.45% 10.81% - - - Low GIM Technology Long-Short A0618 - CHF (hedged) 2.45% 5.15% 6.24% 10.59% 10.95% - - - Low GIM Technology Long-Short A0718 - CHF (hedged) 2.46% 5.16% 6.25% 10.52% 10.88% - - - Low GIM Technology Long-Short A1018 - CHF (hedged) 2.46% 5.17% 6.27% 10.29% ----Low GIM Technology Long-Short A0819 - CHF (hedged) 2.46% 5.15% 6.25% 10.53% ----Low GIM Technology Long-Short A0919 - CHF (hedged) 2.46% 5.16% 6.25% -----Low GIM Technology Long-Short A1119 - CHF (hedged) 2.44% 5.13% 6.22% -----Low GIM Technology Long-Short A1219 - CHF (hedged) 2.44% 5.12% 6.20% -----Low GIM Technology Long-Short A0120 - CHF (hedged) 2.43% 5.23% ------Low GIM Technology Long-Short A0220 - CHF (hedged) 2.43% 5.32% ------Low GIM Technology Long-Short A0320 - CHF (hedged) 2.43% 5.10% ------Low GIM Technology Long-Short A0420 - CHF (hedged) 2.43% ------Low GIM Technology Long-Short A0520 - CHF (hedged) 2.42% ------Low GIM Technology Long-Short A0720 - CHF (hedged) ------Low GIM Technology Long-Short A0412 - EUR 2.54% 5.35% 6.55% 10.70% 11.58% 5.63% 9.85% 7.54% Low GIM Technology Long-Short A1017 - EUR 2.54% 5.34% 6.52% 11.14% 12.16% - - - Low GIM Technology Long-Short A1117 - EUR 2.54% 5.35% 6.53% 10.96% 11.98% - - - Low GIM Technology Long-Short A0318 - EUR 2.52% 5.32% 6.51% 11.30% 12.32% - - - Low GIM Technology Long-Short A0618 - EUR 2.54% 5.34% 6.54% 10.85% 11.87% - - - Low GIM Technology Long-Short A0718 - EUR 2.54% 5.35% 6.54% 10.81% 11.83% - - - Low GIM Technology Long-Short A1019 - EUR 2.53% 5.33% 6.53% -----Low GIM Technology Long-Short A1119 - EUR 2.53% 5.33% 6.52% -----Low GIM Technology Long-Short A1219 - EUR 2.52% 5.30% 6.49% -----Low GIM Technology Long-Short A0220 - EUR 2.50% 5.50% ------Low GIM Technology Long-Short A0520 - EUR 2.50% ------Low GIM Technology Long-Short A0620 - EUR 2.49% ------Low GIM Technology Long-Short A0720 - EUR ------Low GIM Technology Long-Short A0820 - EUR ------Low GIM Technology Long-Short A0412 - GBP (hedged) 2.66% 5.66% 7.02% 11.43% 13.59% 7.09% 11.27% 8.85% Low GIM Technology Long-Short A0318 - GBP (hedged) 2.66% 5.65% 7.01% 11.61% 14.32% - - - Low GIM Technology Long-Short A0412 - USD (hedged) 2.69% 5.68% 7.37% 12.20% 15.86% 8.93% 13.18% 10.28% Low GIM Technology Long-Short A0919 - USD (hedged) 2.69% 5.68% 7.38% -----Low GIM Technology Long-Short A1019 - USD (hedged) 2.67% 5.65% 7.34% -----Low GIM Technology Long-Short A1119 - USD (hedged) 2.67% 5.65% 7.33% -----Low GIM Technology Long-Short A1219 - USD (hedged) 2.65% 5.61% 7.29% -----Low GIM Technology Long-Short A0120 - USD (hedged) 2.65% 5.63% ------Low GIM Technology Long-Short A0220 - USD (hedged) 2.64% 5.75% ------Low GIM Technology Long-Short A0320 - USD (hedged) 2.65% 5.60% ------Low GIM Technology Long-Short A0420 - USD (hedged) 2.64% ------Low GIM Technology Long-Short A0520 - USD (hedged) 2.63% ------Low GIM Technology Long-Short A0620 - USD (hedged) 2.63% ------Low GIM Technology Long-Short A0820 - USD (hedged) ------Low
33 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
4. AIFMD Remuneration Disclosure JPMorgan Asset Management (Europe) S.à.r.l (the “Management Company”) is the authorised manager of GIM Portfolio Strategies Fund (the “Company”) and is part of the JPMorgan Chase & Co. group of companies. In this section, the terms “JPMorgan” or “Firm” refer to that group, and each of the entities in that group globally, unless otherwise specified. This section of the annual report has been prepared in accordance with the Alternative Investment Fund Managers’ Directive (the “AIFMD”), the European Commission Delegated Regulation supplementing the AIFMD, and the ‘Guidelines on sound remuneration policies’ issued by the European Securities and Markets Authority under the AIFMD. The information in this section is in respect of the most recent complete remuneration period (“Performance Year”) as at the reporting date.
Remuneration Policy A summary of the Remuneration Policy applying to the Management Company (the “Remuneration Policy”) can be found at https://am.jpmorgan.com/lu/en/asset-management/adv/funds/policies/ (the “Remuneration Policy Statement”). This Remuneration Policy Statement includes details of how remuneration and benefits are calculated, including the financial and non-financial criteria used to evaluate performance, the responsibilities and composition of the Firm’s Compensation and Management Development Committee, and the measures adopted to avoid or manage conflicts of interest. A copy of this policy can be requested free of charge from the Management Company. The Remuneration Policy applies to all employees of the Management Company, including individuals whose professional activities may have a material impact on the risk profile of the Management Company or the Alternative Investment Funds it manages (“AIFMD Identified Staff”). The AIFMD Identified Staff include members of the Board of the Management Company (the “Board”), senior management, the heads of relevant Control Functions, and holders of other key functions. Individuals are notified of their identification and the implications of this status on at least an annual basis. The Board reviews and adopts the Remuneration Policy on an annual basis, and oversees its implementation, including the classification of AIFMD Identified Staff. The Board last reviewed and adopted the Remuneration Policy that applied for the 2019 Performance Year in June 2019 which was updated to reflect the establishment of the JPMAMIL Remuneration Committee and was satisfied with its implementation.
Quantitative Disclosures The table below provides an overview of the aggregate total remuneration paid to staff of Management Company in respect of the 2019 Performance Year and the number of beneficiaries. Due to the Firm’s operational structure, the information needed to provide a further breakdown of remuneration attributable to the Company is not readily available and would not be relevant or reliable. However, for context, the Management Company manages 16 Alternative Investment Funds (with 20 Sub-Funds) and 7 UCITS (with 165 Sub-Funds) as at 31 December 2019, with a combined AUM as at that date of USD 4,249m and USD 355,185m respectively. Fixed remuneration Variable remuneration Total remuneration1 Number of beneficiaries All staff (USD ‘000s) 46,254 19,497 65,751 347 The aggregate total remuneration paid to AIFMD Identified Staff in respect of the 2019 Performance Year was USD 44,944k, of which USD 6,335k relates to Senior Management and USD 38,609k relates to other AIFMD identified Staff1 .
5. Calculation Method of the Risk Exposure
Sub-Fund Name Maximum Maximum Leverage Leverage Leverage Leverage Gross Gross Commitment Commitment Method Method Method Method
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund 324.32% 800% 361.98% 800% GIM Portfolio Strategies Funds - Technology Long-Short Fund 520.13% 800% 341.98% 800%
1 Since 2017, the AIFMD Identified Staff disclosures includes employees of companies to which portfolio management has been formally delegated, in line with the latest ESMA guidance. 34 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
6. Historical Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2019 (continued)
Shares Outstanding Shares Shares Shares Outstanding at the Beginning Subscribed Redeemed at the End of the Year of the Year
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short A103 - EUR 100,345.815 - (72,590.463) 27,755.352 GIM Europe Dynamic Long-Short A0915- EUR 1,500.000 - (1,500.000) - GIM Europe Dynamic Long-Short A1115- EUR 3,740.000 - (3,740.000) - GIM Europe Dynamic Long-Short A0316 - EUR 129,101.280 - (77,612.608) 51,488.672 GIM Europe Dynamic Long-Short A0917 - EUR 500.000 - (500.000) - GIM Europe Dynamic Long-Short A1017 - EUR 2,150.000 - (2,150.000) - GIM Europe Dynamic Long-Short A1117 - EUR 13,980.000 - (13,980.000) - GIM Europe Dynamic Long-Short A1217 - EUR 1,480.000 - (1,480.000) - GIM Europe Dynamic Long-Short A0118 - EUR 280.000 - (280.000) - GIM Europe Dynamic Long-Short A0218 - EUR 5,127.000 - (5,127.000) - GIM Europe Dynamic Long-Short A0318 - EUR 2,620.000 - (1,040.000) 1,580.000 GIM Europe Dynamic Long-Short A0418 - EUR 9,650.000 - - 9,650.000 GIM Europe Dynamic Long-Short A0518 - EUR 6,390.000 - (6,390.000) - GIM Europe Dynamic Long-Short A0618 - EUR 46,550.000 - (1,800.000) 44,750.000 GIM Europe Dynamic Long-Short A0718 - EUR 21,537.000 - (37.000) 21,500.000 GIM Europe Dynamic Long-Short A0818 - EUR 10,500.000 - (3,000.000) 7,500.000 GIM Europe Dynamic Long-Short A0918 - EUR - 100.000 (100.000) - GIM Europe Dynamic Long-Short A0111 - GBP (hedged) 23,817.052 - (15,153.306) 8,663.746 GIM Europe Dynamic Long-Short A0417 - GBP (hedged) 1,000.000 - - 1,000.000 GIM Europe Dynamic Long-Short A1017 - GBP (hedged) 600.000 - - 600.000 GIM Europe Dynamic Long-Short A113 - USD (hedged) 183,999.481 - (19,481.447) 164,518.034 GIM Europe Dynamic Long-Short A0915- USD (hedged) 1,000.000 - (1,000.000) - GIM Europe Dynamic Long-Short A1015- USD (hedged) 123,367.878 - (54,971.075) 68,396.803 GIM Europe Dynamic Long-Short A1017 - USD (hedged) 850.000 - - 850.000 GIM Europe Dynamic Long-Short A1217 - USD (hedged) 1,130.000 - (1,130.000) - GIM Europe Dynamic Long-Short A0518 - USD (hedged) 3,000.000 - (2,500.000) 500.000 GIM Europe Dynamic Long-Short A0818 - USD (hedged) 800.000 - (800.000) -
35 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
6. Historical Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2019 (continued)
Shares Outstanding Shares Shares Shares Outstanding at the Beginning Subscribed Redeemed at the End of the Year of the Year
GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short A1012 - CHF (hedged) 62,569.341 - (32,945.866) 29,623.475 GIM Technology Long-Short A0917 - CHF (hedged) 1,000.000 - - 1,000.000 GIM Technology Long-Short A1017 - CHF (hedged) 3,100.000 - - 3,100.000 GIM Technology Long-Short A1117 - CHF (hedged) 1,525.000 - - 1,525.000 GIM Technology Long-Short A1217 - CHF (hedged) 2,550.000 - (2,550.000) - GIM Technology Long-Short A0118 - CHF (hedged) 36,900.000 - (36,400.000) 500.000 GIM Technology Long-Short A0318 - CHF (hedged) 25,600.000 - (24,750.000) 850.000 GIM Technology Long-Short A0418 - CHF (hedged) 13,140.000 - (5,690.000) 7,450.000 GIM Technology Long-Short A0618 - CHF (hedged) 56,900.000 - (6,900.000) 50,000.000 GIM Technology Long-Short A0718 - CHF (hedged) 30,600.000 - (2,000.000) 28,600.000 GIM Technology Long-Short A0818 - CHF (hedged) 1,400.000 - (1,400.000) - GIM Technology Long-Short A1018 - CHF (hedged) - 2,000.000 - 2,000.000 GIM Technology Long-Short A0119 - CHF (hedged) - 6,800.000 - 6,800.000 GIM Technology Long-Short A0219 - CHF (hedged) - 1,500.000 - 1,500.000 GIM Technology Long-Short A0419 - CHF (hedged) - 2,500.000 - 2,500.000 GIM Technology Long-Short A0619 - CHF (hedged) - 600.000 - 600.000 GIM Technology Long-Short A0819 - CHF (hedged) - 750.000 - 750.000 GIM Technology Long-Short A0412 - EUR 286,864.479 - (32,943.243) 253,921.236 GIM Technology Long-Short A0917 - EUR 2,420.000 - (720.000) 1,700.000 GIM Technology Long-Short A1017 - EUR 75,985.000 - (5,950.000) 70,035.000 GIM Technology Long-Short A1117 - EUR 6,160.000 - (1,400.000) 4,760.000 GIM Technology Long-Short A1217 - EUR 480.000 - - 480.000 GIM Technology Long-Short A0118 - EUR 11,417.000 - (600.000) 10,817.000 GIM Technology Long-Short A0218 - EUR 3,950.000 - (600.000) 3,350.000 GIM Technology Long-Short A0318 - EUR 6,150.000 - (1,325.000) 4,825.000 GIM Technology Long-Short A0418 - EUR 7,700.000 - (7,700.000) - GIM Technology Long-Short A0518 - EUR 22,253.000 - (3,500.000) 18,753.000 GIM Technology Long-Short A0618 - EUR 8,290.000 - (1,190.000) 7,100.000 GIM Technology Long-Short A0718 - EUR 360.000 - - 360.000 GIM Technology Long-Short A0818 - EUR 520.000 - - 520.000 GIM Technology Long-Short A0918 - EUR - 6,500.000 - 6,500.000 GIM Technology Long-Short A1218 - EUR - 50.000 (50.000) - GIM Technology Long-Short A0119 - EUR - 1,650.000 - 1,650.000 GIM Technology Long-Short A0219 - EUR - 1,500.000 - 1,500.000 GIM Technology Long-Short A0319 - EUR - 1,800.000 - 1,800.000 GIM Technology Long-Short A0419 - EUR - 1,840.000 - 1,840.000 GIM Technology Long-Short A0519 - EUR - 1,000.000 - 1,000.000 GIM Technology Long-Short A0619 - EUR - 290.000 - 290.000 GIM Technology Long-Short A0719 - EUR - 5,210.000 - 5,210.000 GIM Technology Long-Short A0412 - GBP (hedged) 6,805.495 3,899.471 (877.498) 9,827.468 GIM Technology Long-Short A1017 - GBP (hedged) 600.000 - - 600.000 GIM Technology Long-Short A0218 - GBP (hedged) 4,450.000 - (4,450.000) - GIM Technology Long-Short A0318 - GBP (hedged) 5,000.000 - - 5,000.000 GIM Technology Long-Short A0818 - GBP (hedged) 2,390.000 - (2,390.000) - GIM Technology Long-Short A0412 - USD (hedged) 698,179.247 38,079.077 (44,492.129) 691,766.195 GIM Technology Long-Short A1017 - USD (hedged) 2,350.000 - - 2,350.000 GIM Technology Long-Short A1117 - USD (hedged) 5,800.000 - (5,800.000) - GIM Technology Long-Short A1217 - USD (hedged) 3,000.000 - (3,000.000) - GIM Technology Long-Short A0118 - USD (hedged) 13,080.000 - (13,080.000) - GIM Technology Long-Short A0218 - USD (hedged) 6,000.000 - (6,000.000) - GIM Technology Long-Short A0318 - USD (hedged) 500.000 - (500.000) - GIM Technology Long-Short A0418 - USD (hedged) 40,000.000 - (40,000.000) - GIM Technology Long-Short A0518 - USD (hedged) 530.000 - (530.000) - GIM Technology Long-Short A0718 - USD (hedged) 171.000 - (171.000) - GIM Technology Long-Short A1018 - USD (hedged) - 2,400.000 (2,000.000) 400.000 GIM Technology Long-Short A0419 - USD (hedged) - 14,959.469 - 14,959.469
36 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
6. Historical Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2018 (continued)
Shares Outstanding Shares Shares Shares Outstanding at the Beginning Subscribed Redeemed at the End of the Year of the Year
GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short A103 - EUR 110,159.020 - (9,813.205) 100,345.815 GIM Europe Dynamic Long-Short A0915- EUR 2,250.000 - (750.000) 1,500.000 GIM Europe Dynamic Long-Short A1115- EUR 5,450.000 - (1,710.000) 3,740.000 GIM Europe Dynamic Long-Short A0316 - EUR 51,078.300 95,071.875 (17,048.895) 129,101.280 GIM Europe Dynamic Long-Short A0916 - EUR 12,500.000 - (12,500.000) - GIM Europe Dynamic Long-Short A1016 - EUR 60,180.000 - (60,180.000) - GIM Europe Dynamic Long-Short A1116 - EUR 12,450.000 - (12,450.000) - GIM Europe Dynamic Long-Short A1216- EUR 750.000 - (750.000) - GIM Europe Dynamic Long-Short A0117 - EUR 750.000 - (750.000) - GIM Europe Dynamic Long-Short A0217 - EUR 1,000.000 - (1,000.000) - GIM Europe Dynamic Long-Short A0317 - EUR 250.000 - (250.000) - GIM Europe Dynamic Long-Short A0417 - EUR 1,800.000 - (1,800.000) - GIM Europe Dynamic Long-Short A0517 - EUR 1,800.000 - (1,800.000) - GIM Europe Dynamic Long-Short A0617 - EUR 5,310.000 - (5,310.000) - GIM Europe Dynamic Long-Short A0717 - EUR 500.000 - (500.000) - GIM Europe Dynamic Long-Short A0917 - EUR - 500.000 - 500.000 GIM Europe Dynamic Long-Short A1017 - EUR - 2,150.000 - 2,150.000 GIM Europe Dynamic Long-Short A1117 - EUR - 13,980.000 - 13,980.000 GIM Europe Dynamic Long-Short A1217 - EUR - 1,480.000 - 1,480.000 GIM Europe Dynamic Long-Short A0118 - EUR - 280.000 - 280.000 GIM Europe Dynamic Long-Short A0218 - EUR - 5,127.000 - 5,127.000 GIM Europe Dynamic Long-Short A0318 - EUR - 2,620.000 - 2,620.000 GIM Europe Dynamic Long-Short A0418 - EUR - 9,650.000 - 9,650.000 GIM Europe Dynamic Long-Short A0518 - EUR - 6,390.000 - 6,390.000 GIM Europe Dynamic Long-Short A0618 - EUR - 46,550.000 - 46,550.000 GIM Europe Dynamic Long-Short A0718 - EUR - 21,537.000 - 21,537.000 GIM Europe Dynamic Long-Short A0818 - EUR - 10,500.000 - 10,500.000 GIM Europe Dynamic Long-Short A0111 - GBP (hedged) 32,048.354 - (8,231.302) 23,817.052 GIM Europe Dynamic Long-Short A0417 - GBP (hedged) 1,000.000 - - 1,000.000 GIM Europe Dynamic Long-Short A1017 - GBP (hedged) - 600.000 - 600.000 GIM Europe Dynamic Long-Short A113 - USD (hedged) 184,197.390 - (197.909) 183,999.481 GIM Europe Dynamic Long-Short A0915- USD (hedged) 2,450.000 - (1,450.000) 1,000.000 GIM Europe Dynamic Long-Short A1015- USD (hedged) 4,620.000 118,747.878 - 123,367.878 GIM Europe Dynamic Long-Short A0416 - USD (hedged) 80,867.701 - (80,867.701) - GIM Europe Dynamic Long-Short A1016 - USD (hedged) 2,600.000 - (2,600.000) - GIM Europe Dynamic Long-Short A1216 - USD (hedged) 10,000.000 - (10,000.000) - GIM Europe Dynamic Long-Short A0217 - USD (hedged) 520.000 - (520.000) - GIM Europe Dynamic Long-Short A0317 - USD (hedged) 6,000.000 - (6,000.000) - GIM Europe Dynamic Long-Short A0417 - USD (hedged) 11,500.000 - (11,500.000) - GIM Europe Dynamic Long-Short A1017 - USD (hedged) - 850.000 - 850.000 GIM Europe Dynamic Long-Short A1217 - USD (hedged) - 1,130.000 - 1,130.000 GIM Europe Dynamic Long-Short A0518 - USD (hedged) - 3,000.000 - 3,000.000 GIM Europe Dynamic Long-Short A0818 - USD (hedged) - 800.000 - 800.000
37 GIM Portfolio Strategies Funds Appendix - Unaudited Additional Disclosures (continued)
6. Historical Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2018 (continued)
Shares Outstanding Shares Shares Shares Outstanding at the Beginning Subscribed Redeemed at the End of the Year of the Year
GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short A1012 - CHF (hedged) 48,261.686 19,392.309 (5,084.654) 62,569.341 GIM Technology Long-Short A0915 - CHF (hedged) 1,000.000 - (1,000.000) - GIM Technology Long-Short A1115 - CHF (hedged) 1,500.000 - (1,500.000) - GIM Technology Long-Short A1215 - CHF (hedged) 12,650.000 - (12,650.000) - GIM Technology Long-Short A0116 - CHF (hedged) 2,800.000 - (2,800.000) - GIM Technology Long-Short A0216 - CHF (hedged) 5,000.000 - (5,000.000) - GIM Technology Long-Short A0316 - CHF (hedged) 2,852.766 - (2,852.766) - GIM Technology Long-Short A0516 - CHF (hedged) 500.000 - (500.000) - GIM Technology Long-Short A1216 - CHF (hedged) 2,100.000 - (2,100.000) - GIM Technology Long-Short A0317 - CHF (hedged) 1,000.000 - (1,000.000) - GIM Technology Long-Short A0917 - CHF (hedged) - 1,000.000 - 1,000.000 GIM Technology Long-Short A1017 - CHF (hedged) - 4,100.000 (1,000.000) 3,100.000 GIM Technology Long-Short A1117 - CHF (hedged) - 1,525.000 - 1,525.000 GIM Technology Long-Short A1217 - CHF (hedged) - 2,550.000 - 2,550.000 GIM Technology Long-Short A0118 - CHF (hedged) - 36,900.000 - 36,900.000 GIM Technology Long-Short A0318 - CHF (hedged) - 25,600.000 - 25,600.000 GIM Technology Long-Short A0418 - CHF (hedged) - 13,140.000 - 13,140.000 GIM Technology Long-Short A0618 - CHF (hedged) - 56,900.000 - 56,900.000 GIM Technology Long-Short A0718 - CHF (hedged) - 30,600.000 - 30,600.000 GIM Technology Long-Short A0818 - CHF (hedged) - 1,400.000 - 1,400.000 GIM Technology Long-Short A0412 - EUR 194,693.799 109,243.003 (17,072.323) 286,864.479 GIM Technology Long-Short A0815 - EUR 900.000 - (900.000) - GIM Technology Long-Short A1215 - EUR 1,050.000 - (1,050.000) - GIM Technology Long-Short A0116 - EUR 540.000 - (540.000) - GIM Technology Long-Short A0216 - EUR 1,020.000 - (1,020.000) - GIM Technology Long-Short A1116 - EUR 2,000.000 - (2,000.000) - GIM Technology Long-Short A1216 - EUR 61,000.000 - (61,000.000) - GIM Technology Long-Short A0117 - EUR 55,750.000 - (55,750.000) - GIM Technology Long-Short A0217 - EUR 1,400.000 - (1,400.000) - GIM Technology Long-Short A0317 - EUR 2,460.000 - (2,460.000) - GIM Technology Long-Short A0417 - EUR 1,800.000 - (1,800.000) - GIM Technology Long-Short A0517 - EUR 32,650.000 - (32,650.000) - GIM Technology Long-Short A0617 - EUR 250.000 - (250.000) - GIM Technology Long-Short A0717 - EUR 1,150.000 - (1,150.000) - GIM Technology Long-Short A0817 - EUR 1,800.000 - (1,800.000) - GIM Technology Long-Short A0917 - EUR - 2,420.000 - 2,420.000 GIM Technology Long-Short A1017 - EUR - 75,985.000 - 75,985.000 GIM Technology Long-Short A1117 - EUR - 6,160.000 - 6,160.000 GIM Technology Long-Short A1217 - EUR - 480.000 - 480.000 GIM Technology Long-Short A0118 - EUR - 14,417.000 (3,000.000) 11,417.000 GIM Technology Long-Short A0218 - EUR - 3,950.000 - 3,950.000 GIM Technology Long-Short A0318 - EUR - 6,150.000 - 6,150.000 GIM Technology Long-Short A0418 - EUR - 7,700.000 - 7,700.000 GIM Technology Long-Short A0518 - EUR - 22,253.000 - 22,253.000 GIM Technology Long-Short A0618 - EUR - 8,290.000 - 8,290.000 GIM Technology Long-Short A0718 - EUR - 360.000 - 360.000 GIM Technology Long-Short A0818 - EUR - 520.000 - 520.000 GIM Technology Long-Short A0412 - GBP (hedged) 17,389.995 11,310.251 (21,894.751) 6,805.495 GIM Technology Long-Short A1215 - GBP (hedged) 7,091.638 - (7,091.638) - GIM Technology Long-Short A0116 - GBP (hedged) 386.404 - (386.404) - GIM Technology Long-Short A0216 - GBP (hedged) 1,635.768 - (1,635.768) - GIM Technology Long-Short A1116 - GBP (hedged) 475.537 - (475.537) - GIM Technology Long-Short A1216 - GBP (hedged) 253.661 - (253.661) - GIM Technology Long-Short A0217 - GBP (hedged) 1,083.744 - (1,083.744) - GIM Technology Long-Short A0417 - GBP (hedged) 1,202.777 - (1,202.777) - GIM Technology Long-Short A0617 - GBP (hedged) 3,106.911 - (3,106.911) - GIM Technology Long-Short A0817 - GBP (hedged) 2,550.000 - (2,550.000) - GIM Technology Long-Short A1017 - GBP (hedged) - 1,422.639 (822.639) 600.000 GIM Technology Long-Short A0118 - GBP (hedged) - 1,821.857 (1,821.857) - GIM Technology Long-Short A0218 - GBP (hedged) - 4,650.000 (200.000) 4,450.000 GIM Technology Long-Short A0318 - GBP (hedged) - 5,000.000 - 5,000.000 GIM Technology Long-Short A0818 - GBP (hedged) - 2,390.000 - 2,390.000 GIM Technology Long-Short A0412 - USD (hedged) 707,395.025 3,864.668 (13,080.446) 698,179.247 GIM Technology Long-Short A1215 - USD (hedged) 887.992 - (887.992) - GIM Technology Long-Short A0216 - USD (hedged) 1,300.000 - (1,300.000) - GIM Technology Long-Short A0717 - USD (hedged) 4,000.000 - (4,000.000) - GIM Technology Long-Short A1017 - USD (hedged) - 2,350.000 - 2,350.000 GIM Technology Long-Short A1117 - USD (hedged) - 5,800.000 - 5,800.000 GIM Technology Long-Short A1217 - USD (hedged) - 3,000.000 - 3,000.000 GIM Technology Long-Short A0118 - USD (hedged) - 14,080.000 (1,000.000) 13,080.000 GIM Technology Long-Short A0218 - USD (hedged) - 6,000.000 - 6,000.000 GIM Technology Long-Short A0318 - USD (hedged) - 500.000 - 500.000 GIM Technology Long-Short A0418 - USD (hedged) - 40,000.000 - 40,000.000 GIM Technology Long-Short A0518 - USD (hedged) - 530.000 - 530.000 GIM Technology Long-Short A0718 - USD (hedged) - 171.000 - 171.000
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For further information concerning GIM Portfolio Strategies Fund, please contact the Global Distributor:
JPMorgan Asset Management (Europe) S.à r.l. Postal Address: L-2633 Luxembourg Tel No: (352) 34 101 Fax No: (352) 3410 8000 E-mail: [email protected]
GB H157 05/20