Commerzbank Market Neutral Europe

CAPITAL MANAGEMENT COMPANY:

ANNUAL REPORT AS AT 31 DECEMBER 2020

CUSTODIAN: ASSET MANAGEMENT AND DISTRIBUTOR: Annual report Commerzbank Market Neutral Europe

Activity report for the reporting period from 1 January 2020 to 31 December 2020

Investment objectives and investment policy to achieve the investment objectives The Fund is composed of at least 51% European equities. The investment objective is to achieve positive returns in the medium term from the Fund’s long-equity positions and its short positions in equity index futures. A market-neutral investment strategy is to be pursued so that the return is not directly correlated with the equity markets in which the Fund engages. In this respect, the Fund aims to achieve a portfolio beta of zero over a normal economic cycle, i.e. the Fund’s portfolio should develop independently of the market. The Fund is to be invested in equities that can be classified as undervalued in accordance with the quantitative models used. In doing so, investments can be made in companies of any size. The selection of equities for the long component of the investment portfolio can be made using a combination of momentum, value, quality, carry, size, low volatility and other criteria.

Structure of the portfolio and significant changes during the reporting period

Fund structure

31.12.2020 31.12.2019 Kurswert % Anteil Kurswert % Anteil Fondsvermögen Fondsvermögen Aktien 37.436.180,39 94,35 4.947.764,52 96,83

Fondsanteile 439.630,18 1,11 Futures -464.079,24 -1,17 19.297,69 0,38 Bankguthaben 2.241.649,59 5,65 186.032,79 3,64 Zins- und Dividendenansprüche 80.178,28 0,20 40.810,09 0,80 Sonstige Ford./Verbindlichkeiten -55.167,51 -0,14 -84.496,35 -1,65

Fondsvermögen 39.678.391,69 100,00 5.109.408,74 100,00

Page 2 Annual report Commerzbank Market Neutral Europe

In 2020, asset management responsibilities were transferred to Universal-Investment-Luxembourg S.A.. Commerzbank AG in Frankfurt am Main was utilised as a consultant. At the end of the reporting period, the Market Neutral Europe Fund had invested 95% of its net assets in equities. In order to achieve the market-neutral investment strategy, derivative products were used in hedging transactions. Foreign-exchange futures were used on an ongoing basis to hedge the foreign-currency positions arising from the equity exposures. At the end of the reporting period, net cash holdings were approx. 4.3%. From a geographical perspective, 47% of the Fund’s single value equity positions were allocated to countries within the European Monetary Union, while 53% of the equity positions were allocated to countries outside the eurozone. With 19% of all equity positions held in the Fund, the United Kingdom had the largest country-specific equity exposure at the end of the reporting period. From a sector-specific perspective, finance (21%), industry (16%), consumer durables (14%) and consumer non-durables (13%) dominated the Fund, with a cumulative exposure of 64% of the equity positions.

Major risks

General market price risks The price or market performance of financial products depends in particular on the development of the capital markets, which in turn is influenced by the general situation of the global economy and the economic and political conditions in the respective countries. The general development of securities prices, especially on a stock exchange, can also be affected by irrational factors, such as moods, opinions, and rumours. Developments resulting from the COVID-19 pandemic are currently a particular aspect of uncertainty in terms of price or market value developments.

Equity risks The purchase of shares may involve special market risks and corporate risks. The value of shares does not always reflect the actual value of the company. There may therefore be large and rapid fluctuations in these values if market conditions and the assessments of market participants regarding the value of these investments change. In addition, the rights from shares are always satisfied subordinate to the claims of all creditors of the issuer. Shares are therefore generally subject to greater fluctuations in value than, for example, fixed-income securities.

Risks associated with target funds The risks of the investment fund shares acquired for the Fund are closely related to the risks of the assets contained in these Funds. Some target funds with a focus on bonds have significant interest rate risks and risks of counterparty default, while target funds with a focus on equities are more exposed to market fluctuations. However, a broad diversification of the investment fund can help to reduce cluster risks. The ongoing monitoring of the individual target funds also aims to systematically limit the aforementioned individual risks.

Page 3 Annual report Commerzbank Market Neutral Europe

Risks in connection with derivative transactions The Company may conduct transactions with derivatives for the account of the investment fund both for hedging purposes and for investment purposes. The hedging transactions serve to reduce the overall risk of the investment fund, but may also reduce the chances of returns. Buying and selling options or entering into futures contracts or swaps is associated with the following risks: - Changes in the price of the underlying instrument can reduce the value of an option right or futures contract to the point where it is worthless. The Investment Fund can also suffer losses from changes in the value of the assets underlying a swap. - Closing out a position with an offsetting transaction, when necessary, generates costs. - The value of the Investment Fund can be more strongly influenced by the leverage effect of options than would be the case if the underlying instruments were acquired directly. - The purchase of options entails the risk that the price of the underlying instrument might not change as expected, leading to expiration of the option without exercise and consequent loss of the option premium paid by the Investment Fund. When options are sold, there is a risk that the Investment Fund may be obliged to accept/deliver assets at a price that differs from the current market price. - With futures contracts too, there is a risk that the Investment Fund will suffer losses as a result of unexpected changes in the market price on expiration.

Currency risks If assets of an Investment Fund are invested in currencies other than the Fund currency, the Investment Fund receives income, repayments and proceeds from such investments in that currency. If the value of this currency falls as compared to the Fund currency, the value of the Investment Fund is reduced.

Fund net income The main sources of the negative disposal result during the reporting period were realised losses from the sale of futures on equity indices.

The Fund recorded performance of -1.20%1 during the reporting period from 1 January 2020 to 31 December 2020.

1 In-house calculations using the BVI method (not including issuing surcharges). Past performance does not allow conclusions to be drawn about similar performance in the future. Future performance cannot be

Page 4 Annual report Commerzbank Market Neutral Europe

Balance sheet as at 31/12/2020

Daily value % Investment focus in EUR of Fund assets

I. Assets 39,734,372.20 100.14

1. Equities 37,129,995.10 93.58 Belgium 280,506.88 0.71 Federal Republic of Germany 5,009,348.13 12.62 Denmark 2,500,813.60 6.30 Finland 1,519,466.77 3.83 France 3,693,156.05 9.31 Great Britain 7,365,935.09 18.56 Ireland 1,277,523.54 3.22 Italy 968,032.21 2.44 Jersey 333,007.38 0.84 Netherlands 2,249,895.80 5.67 Norway 902,692.71 2.28 Austria 332,415.72 0.84 Sweden 4,818,627.66 12.14 Switzerland 3,420,946.45 8.62 Spain 2,153,919.32 5.43 South Africa 303,707.79 0.77

2. Other equity securities 306,185.29 0.77 CHF 296,250.69 0.75 EUR 9,934.60 0.03

3. Investment units 439,630.18 1.11 EUR 439,630.18 1.11

4. Derivatives -464,079.24 -1.17

5. Bank balances 2,241,649.59 5.65

6. Other assets 80,991.28 0.20

II. Liabilities -55,980.51 -0.14

III. Fund assets 39,678,391.69 100.00

Page 5 Annual report Commerzbank Market Neutral Europe

Statement of assets as at 31/12/2020 Quantity or Description ISIN Market Shares or Holdings Purchases/ Sales/ Price Market value % Currency in ,000 December 2020 Additions Disposals in EUR of the Fund during the reporting period assets

Portfolio holdings EUR 37,875,810.57 95.46

Exchange-traded securities EUR 37,436,180.39 94.35

Equities EUR 37,129,995.10 93.58

Allreal Holdings AG Namens-Aktien SF 1,00 CH0008837566 Quantity 1,641 3,311 1,872 CHF 203.500 307,555.26 0.78 BELIMO Holding AG Registered Shares SF 1 CH0001503199 Quantity 42 174 137 CHF 7,680.000 297,071.28 0.75 Credit Suisse Group AG Namens-Aktien SF -,04 CH0012138530 Quantity 30,576 36,596 6,020 CHF 11.400 321,022.66 0.81 Ems-Chemie Holding AG Namens-Aktien SF 0.01 CH0016440353 Quantity 375 1,007 710 CHF 853.000 294,598.45 0.74 Galenica AG Namens-Aktien SF 0.10 CH0360674466 Quantity 5,219 14,225 9,650 CHF 59.000 283,589.06 0.71 Geberit AG Nam.-Akt. (Dispost.) SF 0.10 CH0030170408 Quantity 610 1,448 838 CHF 554.200 311,348.31 0.78 Logitech International S.A. Namens-Aktien SF 0.25 CH0025751329 Quantity 4,348 12,311 7,963 CHF 85.920 344,059.83 0.87 Lonza Group AG Namens-Aktien SF 1 CH0013841017 Quantity 610 2,083 1,473 CHF 568.800 319,550.56 0.81 Schindler Holding AG Bearer unit SF 0.10 CH0024638196 Quantity 1,334 2,848 1,514 CHF 238.600 293,140.91 0.74 Swiss Prime Site AG Nam.-Aktien SF 15.3 CH0008038389 Quantity 3,936 7,249 3,313 CHF 86.900 315,010.50 0.79 Tecan Group AG Namens-Aktien SF 0.10 CH0012100191 Quantity 836 2,059 1,223 CHF 433.800 333,999.63 0.84 Coloplast AS Navne-Aktier B DK 1 DK0060448595 Quantity 2,348 4,752 2,404 DKK 929.600 293,425.03 0.74 DSV Panalpina A/S Indehaver Bonus-Aktier DK 1 DK0060079531 Quantity 2,148 6,783 4,635 DKK 1,020.000 294,535.34 0.74 GENMAB AS Navne Aktier DK 1 DK0010272202 Quantity 966 970 4 DKK 2,463.000 319,848.63 0.81 Novo-Nordisk AS Navne-Aktier B DK 0.20 DK0060534915 Quantity 4,889 11,124 6,235 DKK 426.650 280,410.80 0.71 Novozymes A/S Navne-Aktier B DK 2 DK0060336014 Quantity 6,509 6,749 240 DKK 349.500 305,818.96 0.77 Rockwool International A/S Navne-Aktier B DK 10 DK0010219153 Quantity 1,075 1,280 205 DKK 2,278.000 329,204.03 0.83 SimCorp A/S Navne-Aktier DK 1 DK0060495240 Quantity 2,789 4,774 1,985 DKK 905.500 339,500.11 0.86 Vestas Wind Systems AS Navne-Aktier DK 1 DK0010268606 Quantity 1,747 2,377 630 DKK 1,439.500 338,070.70 0.85 ABN AMRO Bank N.V. Aand.op naam Dep.Rec./EO 1 NL0011540547 Quantity 41,184 85,391 44,207 EUR 7.956 327,659.90 0.83 AEGON N.V. Aandelen op naam(demat.)EO 0.12 NL0000303709 Quantity 104,506 289,903 197,108 EUR 3.232 337,763.39 0.85 ASML Holding N.V. Aandelen op naam EO 0.09 NL0010273215 Quantity 788 2,470 1,682 EUR 398.500 314,018.00 0.79 AXA S.A. Actions Port. EO 2.29 FR0000120628 Quantity 16,507 22,957 6,450 EUR 19.676 324,791.73 0.82 Banco Bilbao Vizcaya Argent. Acciones Nom. EO 0.49 ES0113211835 Quantity 80,431 187,558 107,127 EUR 4.074 327,675.89 0.83 Banco Santander S.A. Acciones Nom. EO 0.50 ES0113900J37 Quantity 115,959 395,467 279,508 EUR 2.575 298,594.43 0.75 Bank of Ireland Group PLC Registered Shares EO 1 IE00BD1RP616 Quantity 91,249 377,102 285,853 EUR 3.310 302,034.19 0.76 Beiersdorf AG, no par bear. shr. DE0005200000 Quantity 3,014 3,605 591 EUR 94.440 284,642.16 0.72 BNP Paribas S.A. Actions Port. EO 2 FR0000131104 Quantity 7,170 17,626 10,456 EUR 43.305 310,496.85 0.78 CNP Assurances S.A. Actions Port. EO 1 FR0000120222 Quantity 22,109 79,301 57,192 EUR 13.300 294,049.70 0.74 Crédit Agricole S.A. Actions Port. EO 3 FR0000045072 Quantity 30,008 67,153 37,145 EUR 10.365 311,032.92 0.78

Page 6 Annual report Commerzbank Market Neutral Europe

Danone S.A. Actions Port. EO 0.25 FR0000120644 Quantity 5,571 12,001 7,020 EUR 54.240 302,171.04 0.76 Delivery Hero SE Namens-Aktien o.N. DE000A2E4K43 Quantity 2,707 4,722 2,015 EUR 127.000 343,789.00 0.87 Deutsche Lufthansa AG no par reg. shr. DE0008232125 Quantity 28,357 103,128 76,700 EUR 10.815 306,680.96 0.77 Deutsche Wohnen SE Inhaber-Aktien o.N. DE000A0HN5C6 Quantity 6,950 8,960 2,010 EUR 43.690 303,645.50 0.77 Diasorin S.p.A. Azioni nom. EO 1 IT0003492391 Quantity 1,872 2,243 371 EUR 170.100 318,427.20 0.80 Elisa Oyj Registered Shares Class A o.N. FI0009007884 Quantity 6,677 7,056 379 EUR 44.870 299,596.99 0.76 Établissements Fr. Colruyt SA Actions au Porteur no par BE0974256852 Quantity 5,767 6,594 827 EUR 48.640 280,506.88 0.71 Fiat Chrysler Automobiles N.V. Aandelen op naam EO 0.01 NL0010877643 Quantity 21,595 59,137 40,003 EUR 14.660 316,582.70 0.80 Finecobank Banca Fineco S.p.A. Azioni nom. EO -,33 IT0000072170 Quantity 24,566 35,307 10,741 EUR 13.400 329,184.40 0.83 Flutter Entertainment PLC Registered Shares EO 0.09 IE00BWT6H894 Quantity 1,994 2,208 214 EUR 169.100 337,185.40 0.85 FUCHS PETROLUB SE no-par bearer preference shares o.St. DE0005790430 Quantity 6,375 17,380 11,005 EUR 46.440 296,055.00 0.75 Gerresheimer AG Inhaber-Aktien o.N. DE000A0LD6E6 Quantity 3,314 3,577 263 EUR 87.750 290,803.50 0.73 HelloFresh SE no-par bearer shares DE000A161408 Quantity 4,991 8,208 3,217 EUR 63.200 315,431.20 0.79 Hermes International S.C.A. Actions au Porteur o.N. FR0000052292 Quantity 367 898 531 EUR 884.000 324,428.00 0.82 Iliad S.A. Actions au Porteur o.N. FR0004035913 Quantity 1,785 3,980 2,195 EUR 168.600 300,951.00 0.76 ING Groep N.V. Aandelen op naam EO 0.01 NL0011821202 Quantity 41,999 89,463 47,464 EUR 7.714 323,980.29 0.82 Kerry Group PLC Registered Shares A EO 0.125 IE0004906560 Quantity 2,566 2,857 291 EUR 121.900 312,795.40 0.79 Kingspan Group PLC Registered Shares EO -,13 IE0004927939 Quantity 5,367 12,052 6,685 EUR 60.650 325,508.55 0.82 Kojamo Oyj Registered Shares o.N. FI4000312251 Quantity 16,876 16,876 0 EUR 18.100 305,455.60 0.77 KONE Oyj Registered Shares Cl.B o.N. FI0009013403 Quantity 9,431 13,209 3,778 EUR 66.460 626,784.26 1.58 Koninklijke Vopak N.V. Aandelen aan toonder EO 0.50 NL0009432491 Quantity 7,256 7,820 564 EUR 43.140 313,023.84 0.79 LEG Immobilien AG Namens-Aktien o.N. DE000LEG1110 Quantity 2,444 6,106 3,662 EUR 127.060 310,534.64 0.78 Mapfre S.A. Acciones Nom. EO -,10 ES0124244E34 Quantity 187,579 233,970 46,391 EUR 1.608 301,627.03 0.76 NN Group N.V. Aandelen aan toonder EO 0.12 NL0010773842 Quantity 8,856 16,708 7,852 EUR 35.780 316,867.68 0.80 Oréal S.A., L' Actions Port. EO 0.2 FR0000120321 Quantity 960 2,458 1,498 EUR 313.200 300,672.00 0.76 Orion Corp. Registered Shares Cl.B o.N. FI0009014377 Quantity 7,664 12,535 5,991 EUR 37.530 287,629.92 0.72 Peugeot S.A. Actions Port. (C.R.) EO 1 FR0000121501 Quantity 14,594 53,202 40,115 EUR 22.420 327,197.48 0.82 Raiffeisen Bank Intl AG Inhaber-Aktien o.N. AT0000606306 Quantity 19,929 37,116 17,187 EUR 16.680 332,415.72 0.84 RATIONAL AG no-par bearer shares DE0007010803 Quantity 393 653 260 EUR 761.500 299,269.50 0.75 Red Electrica Corporacion S.A. Acciones Port. EO 0.50 ES0173093024 Quantity 19,101 40,269 21,168 EUR 16.895 322,711.40 0.81 Repsol S.A. Acciones Port. EO 1 ES0173516115 Quantity 34,981 102,249 67,268 EUR 8.286 289,852.57 0.73 Sanofi S.A. Actions Port. EO 2 FR0000120578 Quantity 3,609 3,745 136 EUR 78.860 284,605.74 0.72 Sartorius AG no-par preferred shares o.St. DE0007165631 Quantity 898 1,557 659 EUR 343.600 308,552.80 0.78 Sartorius Stedim Biotech S.A. Actions Port. EO -,20 FR0013154002 Quantity 979 1,812 833 EUR 294.000 287,826.00 0.73 Scout24 AG Namens-Aktien o.N. DE000A12DM80 Quantity 9,805 11,211 1,406 EUR 67.050 657,425.25 1.66 Société Générale S.A. Actions Port. EO 1.25 FR0000130809 Quantity 19,134 44,553 27,097 EUR 16.982 324,933.59 0.82

Page 7 Annual report Commerzbank Market Neutral Europe

Symrise AG Inhaber-Aktien o.N. DE000SYM9999 Quantity 3,008 3,452 444 EUR 108.400 326,067.20 0.82 UniCredit S.p.A. Azioni nom. o.N. IT0005239360 Quantity 41,896 109,025 67,129 EUR 7.648 320,420.61 0.81 Viscofan S.A. Acciones Port. EO 0.70 ES0184262212 Quantity 10,380 12,108 1,728 EUR 59.100 613,458.00 1.55 Volkswagen AG Vorzugsaktien o.St. o.N. DE0007664039 Quantity 2,037 4,326 2,289 EUR 152.420 310,479.54 0.78 Vonovia SE Registered Shares o.N. DE000A1ML7J1 Quantity 5,220 7,692 2,472 EUR 59.760 311,947.20 0.79 Zalando SE no-par bearer shares DE000ZAL1111 Quantity 3,778 5,117 1,339 EUR 91.060 344,024.68 0.87 Ashmore Group PLC Registered Shares LS -,0001 GB00B132NW22 Quantity 62,256 110,257 48,001 GBP 4.404 303,459.24 0.76 Assura PLC Registered Shares LS -,10 GB00BVGBWW93 Quantity 361,846 361,846 0 GBP 0.768 307,579.11 0.78 Aviva PLC Registered Shares LS 0.25 GB0002162385 Quantity 85,030 160,023 85,162 GBP 3.280 308,686.66 0.78 Barclays PLC Registered Shares LS 0.25 GB0031348658 Quantity 203,555 571,684 368,129 GBP 1.489 335,420.79 0.85 Bellway PLC Registered Shares LS 0.125 GB0000904986 Quantity 9,373 12,761 3,388 GBP 30.400 315,372.66 0.79 BT Group PLC Registered Shares LS 0,05 GB0030913577 Quantity 221,823 473,782 287,951 GBP 1.353 332,182.09 0.84 Carnival PLC Registered Shares DL 1,66 GB0031215220 Quantity 22,968 98,215 75,247 GBP 13.890 353,099.63 0.89 Croda International PLC Regist.Shares LS -,10609756 GB00BJFFLV09 Quantity 4,251 5,486 1,235 GBP 65.360 307,521.15 0.78 Games Workshop Group PLC Registered Shares LS -,05 GB0003718474 Quantity 2,458 5,555 3,097 GBP 113.300 308,236.19 0.78 Hargreaves Lansdown PLC Registered Shares DL-,004 GB00B1VZ0M25 Quantity 19,610 32,746 13,136 GBP 15.425 334,791.64 0.84 Howden Joinery Group PLC Registered Shares LS 0.10 GB0005576813 Quantity 42,136 72,267 30,131 GBP 7.098 331,025.27 0.83 Lloyds Banking Group PLC Registered Shares LS 0.10 GB0008706128 Quantity 733,061 1,149,955 416,894 GBP 0.368 298,660.49 0.75 Micro Focus International PLC Registered Shares LS -,10 GB00BJ1F4N75 Quantity 69,813 219,822 153,661 GBP 4.302 332,413.42 0.84 Moneysupermarket.com Group PLC Registered Shares LS -,02 GB00B1ZBKY84 Quantity 103,620 143,256 39,636 GBP 2.630 301,627.67 0.76 Morrison Supermarkets PLC, Wm. Registered Shares LS -,10 GB0006043169 Quantity 162,455 169,323 6,868 GBP 1.792 322,123.00 0.81 Old Mutual Ltd. Registered Shares o.N. ZAE000255360 Quantity 459,170 1,335,118 875,948 GBP 0.598 303,707.79 0.77 Persimmon PLC Registered Shares LS 0.10 GB0006825383 Quantity 9,843 23,021 14,758 GBP 28.310 308,417.63 0.78 Polymetal Intl PLC Registered Shares o.N. JE00B6T5S470 Quantity 17,662 21,850 4,188 GBP 17.035 333,007.38 0.84 Primary Health Properties PLC Registered Shares LS -,125 GB00BYRJ5J14 Quantity 184,457 184,457 0 GBP 1.528 311,953.84 0.79 Reckitt Benckiser Group Registered Shares LS 0.10 GB00B24CGK77 Quantity 4,316 4,857 541 GBP 66.320 316,809.21 0.80 Rolls Royce Holdings PLC Registered Shares LS 0.20 GB00B63H8491 Quantity 273,543 632,717 359,174 GBP 1.121 339,241.76 0.85 Standard Chartered PLC Registered Shares DL -,50 GB0004082847 Quantity 61,538 75,348 13,810 GBP 4.720 321,482.41 0.81 Tesco PLC Registered Shares LS 0.05 GB0008847096 Quantity 120,641 126,835 6,194 GBP 2.353 314,187.35 0.79 Unilever PLC Registered Shares LS 0.031111 GB00B10RZP78 Quantity 6,524 12,523 5,999 GBP 44.810 323,564.41 0.82 Victrex PLC Registered Shares LS 0.01 GB0009292243 Quantity 12,943 16,351 3,408 GBP 23.600 338,079.47 0.85 Orkla ASA Navne-Aksjer NK 1.25 NO0003733800 Quantity 36,418 45,926 9,508 NOK 87.000 301,780.76 0.76 Schibsted ASA Navne-Aksjer A NK -,50 NO0003028904 Quantity 8,835 8,835 0 NOK 366.300 308,247.58 0.78 Telenor ASA Navne-Aksjer NK 6 NO0010063308 Quantity 21,060 24,212 3,152 NOK 145.900 292,664.37 0.74 AAK AB Namn-Aktier SK 1.67 SE0011337708 Quantity 18,790 59,768 45,751 SEK 166.000 309,853.47 0.78 Addtech AB Namn-Aktier B SK -,1875 SE0014781795 Quantity 30,534 32,004 1,470 SEK 109.000 330,621.96 0.83

Page 8 Annual report Commerzbank Market Neutral Europe

Atlas Copco AB Namn-Aktier A SK 0.052125 SE0011166610 Quantity 7,128 30,580 23,452 SEK 421.100 298,177.20 0.75 Axfood AB Namn-Aktier o.N. SE0006993770 Quantity 16,705 17,996 1,291 SEK 191.800 318,285.30 0.80 Dometic Group AB Namn-Aktier o.N. SE0007691613 Quantity 30,319 32,725 2,406 SEK 108.950 328,143.35 0.83 Essity AB Namn-Aktier B SE0009922164 Quantity 11,501 12,443 942 SEK 264.500 302,191.87 0.76 Evolution Gaming Gr.AB (publ) Namn-Aktier SK-,003 SE0012673267 Quantity 7,812 22,194 14,382 SEK 834.800 647,837.64 1.63 ICA Gruppen AB Aktier SK 2.50 SE0000652216 Quantity 7,049 7,049 0 SEK 410.900 287,730.01 0.73 Indutrade AB Aktier SK 1 SE0001515552 Quantity 19,557 32,898 14,823 SEK 176.200 342,317.93 0.86 Kinnevik AB Namn-Aktier B SK 0.05 SE0014684528 Quantity 7,747 9,118 1,371 SEK 415.500 319,761.44 0.81 Lifco AB Namn-Aktier B o.N. SE0006370730 Quantity 4,449 4,708 259 SEK 789.000 348,707.20 0.88 NIBE Industrier AB Namn-Aktier B o.N. SE0008321293 Quantity 12,952 51,385 38,433 SEK 269.700 347,007.84 0.87 Sinch AB Namn-Aktier o.N. SE0007439112 Quantity 2,566 5,442 2,876 SEK 1,340.000 341,572.54 0.86 Sweco AB Namn-Aktier B SK 1,- SE0014960373 Quantity 19,761 19,761 0 SEK 151.000 296,419.91 0.75

Other equity securities EUR 306,185.29 0.77

Roche Holding AG Inhaber-Genussscheine o.N. CH0012032048 Quantity 1,041 1,057 16 CHF 309.000 296,250.69 0.75 Repsol S.A. Anrechte ES06735169H8 Quantity 34,981 34,981 0 EUR 0.284 9,934.60 0.03

Investment units EUR 439,630.18 1.11

Investment units from outside the Group EUR 439,630.18 1.11 iShsIV-Edge MSCI Eu.Mult.U.ETF Registered Shares EUR (Acc)o.N IE00BZ0PKV06 UNITS 67,194 4,247,152 4,179,958 EUR 6.543 439,630.18 1.11

Total securities assets EUR 37,875,810.57 95.46

Derivatives EUR -464,079.24 -1.17

(Assets marked with minus signs are sold positions.)

Share index derivatives EUR -314,325.00 -0.79 Claims/liabilities

Page 9 Annual report Commerzbank Market Neutral Europe

Futures contracts on a share index EUR -314,325.00 -0.79

FUTURE EURO STOXX 50 PR.EUR 03.21 EUREX 185 EUR Quantity -635 -314,325.00 -0.79

Foreign-exchange derivatives EUR -149,754.24 -0.38 Claims/liabilities

Currency futures contracts EUR -149,754.24 -0.38

FUTURE CROSS RATE EUR/CHF 03.21 CME 352 CHF 3,625,000 CHF 1.084 27,709.99 0.07 FUTURE CROSS RATE EUR/GBP 03.21 CME 352 GBP 8,000,000 GBP 0.904 -92,529.05 -0.23 FUTURE CROSS RATE EUR/SEK 03.21 CME 352 SEK 4,750,000 SEK 10.089 -84,935.18 -0.21

Bank balances, non-securitised money market instruments and money market funds EUR 2,241,649.59 5.65

Bank balances EUR 2,241,649.59 5.65

EUR — Credit balances at:

BNP Paribas Securities Services S.C.A. – Frankfurt am Main branch EUR 1,327,518.56 % 100.000 1,327,518.56 3.35

Balances in other EU/EEA currencies DKK 1,030,719.78 % 100.000 138,561.82 0.35 NOK 409,227.65 % 100.000 38,978.15 0.10 SEK 2,412,269.29 % 100.000 239,633.37 0.60

Balances in non-EU/EEA currencies CHF 34,252.83 % 100.000 31,546.17 0.08 GBP 414,160.52 % 100.000 458,395.70 1.16 USD 8,628.76 % 100.000 7,015.82 0.02

Page 10 Annual report Commerzbank Market Neutral Europe

Other assets EUR 80,991.28 0.20

Dividend claims EUR 23,698.63 23,698.63 0.06 Withholding tax claims EUR 57,292.65 57,292.65 0.14

Other liabilities EUR -55,980.51 -0.14

Interest payable EUR -813.00 -813.00 0.00 Management fee EUR -41,522.91 -41,522.91 -0.10 Custodian fee EUR -3,364.61 -3,364.61 -0.01 Custody costs EUR -3,480.00 -3,480.00 -0.01 Audit expenses EUR -5,999.99 -5,999.99 -0.02 Publication expenses EUR -800.00 -800.00 0.00

Fund assets EUR 39,678,391.69 100.00 1)

Commerzbank Market Neutral Europe AK S

Unit value EUR 9.84 Issuing price EUR 9.84 Redemption price EUR 9.84 Number of units Quantity 4,031,483

Footnotes:

1) Small rounding differences may exist due to rounding of percentage figures.

Page 11 Annual report Commerzbank Market Neutral Europe

Securities prices or market rates

The Investment Fund’s assets have been valued on the basis of the most recent prices determined/market rates.

Foreign exchange rates (in equivalent quantities) as at 30/12/2020 CHF (CHF) 1.0858000 = 1 EUR (EUR) DKK (DKK) 7.4387000 = 1 EUR (EUR) GBP (GBP) 0.9035000 = 1 EUR (EUR) NOK (NOK) 10.4989000 = 1 EUR (EUR) SEK (SEK) 10.0665000 = 1 EUR (EUR) USD (USD) 1.2299000 = 1 EUR (EUR)

Market code b) Futures markets 185 Eurex Germany 352 Chicago - CME Globex

Page 12 Annual report Commerzbank Market Neutral Europe

Transactions concluded during the reporting period that no longer appear in the statement of assets: - Purchases and sales of securities, investment units and borrower’s note loans (“Schuldscheindarlehen”) (market allocation as at the reporting date): Description ISIN Units or shares Purchases Sales Volume Currency in ,000 or or in ,000 Additions Disposals

Exchange-traded securities

Equities

A2A S.p.A. Azioni nom. EO 0.52 IT0001233417 Quantity 179,278 179,278 Ackermans & van Haaren N.V. Actions Nom. o.N. BE0003764785 Quantity 4,308 4,566 Adecco Group AG Namens-Aktien SF 0.1 CH0012138605 Quantity 7,128 7,913 Admiral Group PLC Registered Shares LS 0.001 GB00B02J6398 Quantity 12,214 12,214 Aedifica S.A. Actions au Port. o.N. BE0003851681 Quantity 7,231 7,548 AGEAS SA/NV Actions Nominatives o.N. BE0974264930 Quantity 10,574 10,574 Ahold Delhaize N.V., Konkinkl. Aandelen aan toonder EO 0.01 NL0011794037 Quantity 12,219 12,219 AIB Group PLC Registered Shares EO -,625 IE00BF0L3536 Quantity 381,534 381,534 Air France-KLM S.A. Actions Port. EO 1 FR0000031122 Quantity 19,757 22,865 Aker BP ASA Navne-Aksjer NK 1 NO0010345853 Quantity 7,349 9,168 Alfa Laval AB Namn-Aktier SK 2,5 SE0000695876 Quantity 0 1,959 alstria office REIT-AG Inhaber-Aktien o.N. DE000A0LD2U1 Quantity 27,265 29,395 Alten S.A. Actions au Porteur EO 1,05 FR0000071946 Quantity 4,704 4,704 Altice Europe N.V. Aandelen aan toonder EO 0.01 NL0011333752 Quantity 115,478 121,627 Ambu A/S Navne-Aktier B DK -,50 DK0060946788 Quantity 14,044 14,044 Amplifon S.p.A. Azioni nom. EO -,02 IT0004056880 Quantity 16,084 16,084 Anheuser-Busch InBev S.A./N.V. Actions au Port. o.N. BE0974293251 Quantity 6,094 6,094 ArcelorMittal S.A. Actions Nouvelles Nominat. oN LU1598757687 Quantity 59,329 61,460 Aroundtown SA Bearer Shares EO 0.01 LU1673108939 Quantity 73,934 73,934 ASM International N.V. Bearer Shares EO 0.04 NL0000334118 Quantity 4,883 4,883 Atlantia S.p.A. Azioni Nom. o.N. IT0003506190 Quantity 9,016 10,676 BAE Systems PLC Registered Shares LS -,025 GB0002634946 Quantity 60,812 67,353 Banco BPM S.p.A. Azioni o.N. IT0005218380 Quantity 328,904 328,904 Banco de Sabadell S.A. Acciones Nom. Serie A EO -,125 ES0113860A34 Quantity 1,556,207 1,556,207 BANKIA S.A. Acciones Nom.Para Contras.EO 1 ES0113307062 Quantity 333,384 333,384 Banque Cantonale Vaudoise Namens-Aktien SF 1 CH0531751755 Quantity 3,466 3,466 Barratt Developments PLC Registered Shares LS -,10 GB0000811801 Quantity 68,884 68,884 Bayerische Motoren Werke AG Stammaktien EO 1 DE0005190003 Quantity 6,981 6,981 Bechtle AG no-par bearer shares DE0005158703 Quantity 6,779 7,148 bioMerieux Actions au Porteur (P.S.) o.N. FR0013280286 Quantity 2,542 2,542 Britvic PLC Registered Shares LS 0.20 GB00B0N8QD54 Quantity 25,240 28,260

Page 13 Annual report Commerzbank Market Neutral Europe

Burberry Group PLC Registered Shares LS 0.0005 GB0031743007 Quantity 22,924 22,924 Caixabank S.A. Acciones Port. EO 1 ES0140609019 Quantity 176,468 176,468 Capita PLC Reg. Shares LS -,02066666 GB00B23K0M20 Quantity 1,168,378 1,168,378 Carl Zeiss Meditec AG no-par bearer shares DE0005313704 Quantity 3,717 3,717 Castellum AB Namn-Aktier o.N. SE0000379190 Quantity 26,078 28,338 Cellnex Telecom S.A. Acciones Port. EO -,25 ES0105066007 Quantity 9,357 9,357 Cembra Money Bank AG Namens-Aktien SF 1 CH0225173167 Quantity 2,644 3,009 Centrica PLC Reg. Shares LS 0.061728395 GB00B033F229 Quantity 205,552 256,401 Chocoladef. Lindt & Sprüngli vink.Namens-Aktien SF 100 CH0010570759 Quantity 4 4 Cineworld Group PLC Registered Shares LS -,01 GB00B15FWH70 Quantity 1,059,580 1,079,392 Close Brothers Group PLC Registered Shares LS 0.25 GB0007668071 Quantity 0 1,984 Cofinimmo S.A. Actions Porteur o.N. BE0003593044 Quantity 2,335 2,598 Compass Group PLC Registered Shares LS -,1105 GB00BD6K4575 Quantity 0 1,971 Covivio S.A. Actions Port. EO 3 FR0000064578 Quantity 7,802 7,802 CTS Eventim AG & Co. KGaA no-par bearer shares DE0005470306 Quantity 28,012 28,012 Daimler AG, no par reg. shr. DE0007100000 Quantity 4,978 4,978 Danske Bank AS Navne-Aktier DK 10 DK0010274414 Quantity 14,756 18,670 Derwent London PLC Registered Shares LS 0.05 GB0002652740 Quantity 5,351 6,185 Deutsche Telekom AG, no-par reg. shr. DE0005557508 Quantity 24,292 26,475 Diploma PLC Registered Shares LS -,05 GB0001826634 Quantity 15,765 15,765 Direct Line Insurance Grp PLC Reg.Shares LS 0.109090909 GB00BY9D0Y18 Quantity 232,063 241,732 Dufry AG Nam.-Aktien SF 5 CH0023405456 Quantity 2,108 2,480 Electricité de France (E.D.F.) Actions au Porteur EO 0.50 FR0010242511 Quantity 18,920 22,492 Electrocomponents PLC Registered Shares LS -,10 GB0003096442 Quantity 45,819 45,819 Elia Group Actions au Port. o.N. BE0003822393 Quantity 4,255 4,720 Endesa S.A. Acciones Port. EO 1.20 ES0130670112 Quantity 18,016 18,016 ENI S.p.A. Azioni nom. no par nom. IT0003132476 Quantity 13,828 16,237 Epiroc AB Namn-Aktier A o.N. SE0011166933 Quantity 37,627 41,795 Equinor ASA Navne-Aksjer NK 2.50 NO0010096985 Quantity 10,832 12,793 EssilorLuxottica S.A. Actions Port. EO 0.18 FR0000121667 Quantity 3,301 3,301 Eurazeo SE Actions au Porteur o.N. FR0000121121 Quantity 4,349 4,918 Euronext N.V. Aandelen an toonder WI EO 1.60 NL0006294274 Quantity 9,060 10,211 Eutelsat Communications Actions Port. EO 1 FR0010221234 Quantity 14,762 17,986 Evraz PLC Registered Shares DL 0.05 GB00B71N6K86 Quantity 84,852 103,431 EXOR N.V. Aandelen aan toonder o.N. NL0012059018 Quantity 2,731 3,208

Page 14 Annual report Commerzbank Market Neutral Europe

Fabege AB Namn-Aktier SK 15.41 SE0011166974 Quantity 27,423 30,528 Fastighets AB Balder Namn-Aktier B SK 1 SE0000455057 Quantity 12,305 12,305 Faurecia S.A. Actions Port. EO 7 FR0000121147 Quantity 0 680 Ferrovial S.A. Acciones Port. EO -,20 ES0118900010 Quantity 13,890 13,890 Flughafen Zürich AG Namens-Aktien SF 10 CH0319416936 Quantity 1,624 1,842 Fraport AG Ffm.Airport.Ser.AG Inhaber-Aktien o.N. DE0005773303 Quantity 0 566 freenet AG, no par reg. shr. DE000A0Z2ZZ5 Quantity 10,371 12,635 Galapagos N.V. Actions Nom. o.N. BE0003818359 Quantity 2,206 2,206 Gecina S.A. Actions Nom. EO 7.50 FR0010040865 Quantity 3,052 3,052 Getinge AB Namn-Aktier B (fria) SK 2 SE0000202624 Quantity 21,727 21,727 GlaxoSmithKline PLC Registered Shares LS -,25 GB0009252882 Quantity 19,697 21,838 Glencore PLC Registered Shares DL 0.01 JE00B4T3BW64 Quantity 0 11,466 Grand City Properties S.A. Actions au Porteur EO 0.10 LU0775917882 Quantity 12,213 13,849 Great Portland Estates PLC Reg.Shares LS 0.152631578 GB00BF5H9P87 Quantity 48,404 52,126 Greggs PLC Registered Shares LS -,02 GB00B63QSB39 Quantity 17,642 17,642 Grpe Bruxelles Lambert SA(GBL) Actions au Porteur o.N. BE0003797140 Quantity 0 477 Halma PLC Registered Shares LS 0.10 GB0004052071 Quantity 12,712 12,712 Hannover Rück SE Registered Shares o.N. DE0008402215 Quantity 2,751 2,751 Hays PLC Registered Shares LS -,01 GB0004161021 Quantity 380,895 380,895 Heineken N.V. Aandelen aan toonder EO 1.60 NL0000009165 Quantity 4,218 4,686 Hexpol AB Namn-Aktier B o.N. SE0007074281 Quantity 51,931 51,931 Holmen AB Namn-Aktier Cl. B SK 25 SE0011090018 Quantity 24,320 24,320 HSBC Holdings PLC Registered Shares DL 0.50 GB0005405286 Quantity 100,738 107,815 HUGO BOSS AG Registered Shares o.N. DE000A1PHFF7 Quantity 14,280 14,280 Iberdrola S.A. Acciones Port. EO 0.75 ES0144580Y14 Quantity 33,356 33,356 Icade S.A. Actions au Porteur o.N. FR0000035081 Quantity 4,412 4,412 IG Group Holdings PLC Registered Shares LS 0.00005 GB00B06QFB75 Quantity 35,263 35,263 IMCD N.V. Aandelen op naam EO 0.16 NL0010801007 Quantity 5,139 5,719 Immofinanz AG Inhaber-Aktien o.N. AT0000A21KS2 Quantity 17,816 19,244 Imperial Brands PLC Registered Shares LS 0.10 GB0004544929 Quantity 9,502 11,897 Inchcape PLC Registered Shares LS -,10 GB00B61TVQ02 Quantity 58,459 58,459 Industria de Diseño Textil SA Acciones Port. EO 0.03 ES0148396007 Quantity 13,336 13,336 Inmobiliaria Colonial SOCIMI Acciones Port. EO 2.50 ES0139140174 Quantity 45,240 45,240 Internat. Cons. Airl. Group SA Acciones Nom. EO -,10 ES0177542018 Quantity 25,666 30,757 Intesa Sanpaolo S.p.A. Azioni nom. o.N. IT0000072618 Quantity 91,286 112,058

Page 15 Annual report Commerzbank Market Neutral Europe

Investec PLC Registered Shares LS -,0002 GB00B17BBQ50 Quantity 218,969 218,969 Italgas SpA IT0005211237 Quantity 48,749 54,903 JD Sports Fashion PLC Registered Shares LS -,0025 GB00BYX91H57 Quantity 201,439 201,439 John Wood Group PLC Registered Shares LS-,04285714 GB00B5N0P849 Quantity 44,871 56,013 Jupiter Fund Management PLC Registered Shares LS -,02 GB00B53P2009 Quantity 140,880 140,880 Just Eat Takeaway.com N.V. Registered Shares EO -,04 NL0012015705 Quantity 5,450 5,450 K+S AG DE000KSAG888 Quantity 17,208 20,424 Koninklijke Philips N.V. Aandelen aan toonder EO 0.20 NL0000009538 Quantity 9,243 10,286 Kühne & Nagel Internat. AG Namens-Aktien SF 1 CH0025238863 Quantity 2,354 2,354 L E Lundbergföretagen AB Namn-Aktier B (fria) SK 10 SE0000108847 Quantity 9,163 9,163 Lagardère S.C.A. Actions Nom. EO 6.10 FR0000130213 Quantity 22,494 24,158 Leonardo S.p.A. Azioni nom. EO 4,40 IT0003856405 Quantity 61,555 61,555 London Stock Exchange GroupPLC Reg. Shares LS 0.069186047 GB00B0SWJX34 Quantity 4,052 4,052 M&G PLC Registered Shares LS -.05 GB00BKFB1C65 Quantity 219,117 219,117 Marks & Spencer Group PLC Registered Shares LS 0.25 GB0031274896 Quantity 312,890 312,890 Merlin Properties SOCIMI S.A. Acciones Nominativas EO 1 ES0105025003 Quantity 37,981 37,981 Metso Outotec Oyj Registered Shares o.N. FI0009014575 Quantity 41,039 41,039 Moncler S.p.A. Azioni nom. o.N. IT0004965148 Quantity 10,532 10,532 Münchener Rückvers.-Ges. AG, vink. no par reg. shr. DE0008430026 Quantity 1,767 1,767 Natixis S.A. Actions Port. EO 11.20 FR0000120685 Quantity 54,471 67,091 Naturgy Energy Group S.A. Acciones Port. EO 1 ES0116870314 Quantity 19,975 19,975 Neles Oyj Registered Shares o.N. FI4000440664 Quantity 9,544 9,544 Nestlé S.A. Registered Shares SF 0.10 CH0038863350 Quantity 3,161 3,628 Nordea Bank Abp Registered Shares o.N. FI4000297767 Quantity 30,122 37,511 Ocado Group PLC Registered Shares LS -,02 GB00B3MBS747 Quantity 13,080 13,080 OMV AG no-par bearer shares AT0000743059 Quantity 3,827 4,461 Orange S.A. Actions Port. EO 4 FR0000133308 Quantity 31,193 33,426 Orsted A/S Indehaver Aktier DK 10 DK0060094928 Quantity 4,950 5,476 Partners Group Holding AG Namens-Aktien SF 0.01 CH0024608827 Quantity 540 540 Pennon Group PLC Registered Shares New LS -,407 GB00B18V8630 Quantity 24,790 28,059 Porsche Automobil Holding SE bearer non-vot. no par pref. shr. DE000PAH0038 Quantity 12,458 12,458 ProSiebenSat.1 Media SE Namens-Aktien o.N. DE000PSM7770 Quantity 15,288 18,797 Proximus S.A. Actions au Porteur o.N. BE0003810273 Quantity 0 1,612 PSP Swiss Property AG Nam.-Aktien SF 0.10 CH0018294154 Quantity 6,725 6,725 Randstad N.V. Aandelen aan toonder EO 0.10 NL0000379121 Quantity 7,334 8,167

Page 16 Annual report Commerzbank Market Neutral Europe

Renault S.A. Actions Port. EO 3.81 FR0000131906 Quantity 32,497 34,350 Rotork PLC Registered Shares LS -,005 GB00BVFNZH21 Quantity 103,953 103,953 Royal Mail PLC Registered Shares LS 0.01 GB00BDVZYZ77 Quantity 148,357 180,890 RTL Group S.A. Actions au Porteur o.N. LU0061462528 Quantity 0 1,099 Sage Group PLC, The Registered Shares LS-,01051948 GB00B8C3BL03 Quantity 86,462 91,401 Sainsbury PLC, J. Registered Shs LS -,28571428 GB00B019KW72 Quantity 68,318 81,263 Samhallsbyggnadsbola.I Nord AB Namn-Aktier B o.N. SE0009554454 Quantity 211,745 211,745 Sampo OYJ Registered Shares Cl.A o.N. FI0009003305 Quantity 5,461 6,760 Segro PLC Registered Shares LS -,10 GB00B5ZN1N88 Quantity 38,548 38,548 Siemens Gamesa Renew. En. S.A. Acciones Port. EO -,17 ES0143416115 Quantity 29,563 29,563 Signify N.V. Registered Shares EO -,01 NL0011821392 Quantity 14,234 15,863 Skandinaviska Enskilda Banken Namn-Aktier A (fria) SK 10 SE0000148884 Quantity 25,562 31,702 Smith & Nephew PLC Registered Shares DL -,20 GB0009223206 Quantity 18,413 20,564 Sofina S.A. Actions Nom. o.N. BE0003717312 Quantity 1,208 1,208 Sonova Holding AG Namens-Aktien SF 0.05 CH0012549785 Quantity 1,967 2,178 Spectris PLC Registered Shares LS 0.05 GB0003308607 Quantity 10,156 10,156 Spirax-Sarco Engineering PLC Reg. Shares LS -,26923076 GB00BWFGQN14 Quantity 3,155 3,155 SSE PLC Shs LS 0.50 GB0007908733 Quantity 0 3,112 STMicroelectronics N.V. Aandelen aan toonder EO 1.04 NL0000226223 Quantity 13,413 13,413 Suez S.A. Actions Port. EO 4 FR0010613471 Quantity 32,774 32,774 Sunrise Communications Gr. AG Nam.-Aktien SF 1 CH0267291224 Quantity 7,604 8,102 Svenska Cellulosa AB Namn-Aktier B (fria) SK 10 SE0000112724 Quantity 27,465 27,465 Swedbank AB Namn-Aktier A o.N. SE0000242455 Quantity 16,086 20,119 Swedish Match AB Namn-Aktier o.N. SE0000310336 Quantity 5,199 5,199 TAG Immobilien AG Inhaber-Aktien o.N. DE0008303504 Quantity 17,050 18,665 Tate & Lyle PLC Registered Shares LS 0.25 GB0008754136 Quantity 29,128 33,253 Taylor Wimpey PLC Registered Shares LS -,01 GB0008782301 Quantity 407,912 407,912 Telecom Italia S.p.A. Azioni nom. o.N. IT0003497168 Quantity 1,791,736 1,849,818 Telefónica Deutschland Hldg AG Namens-Aktien o.N. DE000A1J5RX9 Quantity 0 17,345 Telefónica S.A. Acciones Port. EO 1 ES0178430E18 Quantity 30,997 35,797 Telia Company AB Namn-Aktier SK 3.20 SE0000667925 Quantity 90,868 90,868 Topdanmark AS Navne-Aktier DK 1 DK0060477503 Quantity 5,949 6,782 Tritax Big Box REIT PLC Registered Shares LS 0.01 GB00BG49KP99 Quantity 305,905 325,966 Tullow Oil PLC Registered Shares LS 0.10 GB0001500809 Quantity 3,280,900 3,301,908 UBS Group AG Namens-Aktien SF -,10 CH0244767585 Quantity 16,579 19,582

Page 17 Annual report Commerzbank Market Neutral Europe

Unibail-Rodamco-Westfield SE Stapled Shares EO-,05 FR0013326246 Quantity 1,518 1,856 Uniper SE Namens-Aktien o.N. DE000UNSE018 Quantity 26,081 27,581 Unite Group PLC Registered Shares LS 0.25 GB0006928617 Quantity 87,943 90,348 Valéo S.A. Actions Port. EO 1 FR0013176526 Quantity 6,745 6,745 Virgin Money UK PLC Registered Shares LS 0,10 GB00BD6GN030 Quantity 754,935 754,935 Vodafone Group PLC Registered Shares DL 0.2095238 GB00BH4HKS39 Quantity 108,519 127,082 voestalpine AG Inhaber-Aktien o.N. AT0000937503 Quantity 7,556 8,925 Warehouses De Pauw N.V. Actions Nom. o.N. BE0974349814 Quantity 12,996 12,996 Wendel SE Actions Port. EO 4 FR0000121204 Quantity 2,523 2,523 WH Smith PLC Registered Shares LS-,220895 GB00B2PDGW16 Quantity 8,410 9,620 Wihlborgs Fastigheter AB Namn-Aktier SK 1,25 SE0011205194 Quantity 23,467 23,467 Wirecard AG no-par bearer shares DE0007472060 Quantity 3,299 3,299

Other securities

Banco Santander S.A. Anrechte ES06139009S5 Quantity 131,149 131,149 Cellnex Telecom S.A. Anrechte ES0605066929 Quantity 5,118 5,118 Iberdrola S.A. rights ES06445809K4 Quantity 29,553 29,553

Securities admitted to or included in organised markets

Equities

Warehouses De Pauw N.V. Actions Nom. o.N. BE0003763779 Quantity 0 219

Other securities

Rolls Royce Holdings PLC Anrechte GB00BJP49W43 Quantity 401,150 401,150

Page 18 Annual report Commerzbank Market Neutral Europe

Unlisted securities

Equities

Bolsas y Mercados Espanoles Acciones Nominativas EO 3 ES0115056139 Quantity 8,695 8,695 Cellnex Telecom S.A. Acciones Port. Em 7/20 EO -,25 ES0105066031 Quantity 1,340 1,340 Hammerson PLC Registered Shares LS 0.25 GB0004065016 Quantity 57,214 70,761 Ingenico Group S.A. Actions Port. EO 1 FR0000125346 Quantity 6,859 7,313 Metso Corp. Registered Shares o.N. FI0009007835 Quantity 12,551 12,551 Rolls Royce Holdings PLC Registered Shs LS0.20 Em.11/20 GB00BJP4B286 Quantity 401,149 401,149 Sunrise Communications Gr. AG Nam.-Akt.2te Linie SF 1 CH0565630669 Quantity 2,936 2,936 Sweco AB Namn-Aktier B SK 1,- SE0000489098 Quantity 7,340 7,340 Unilever N.V. Aandelen op naam EO 0.16 NL0000388619 Quantity 6,356 6,356 Unio.di Banche Italiane S.p.A. Azioni nom. EO 2.50 IT0003487029 Quantity 144,931 144,931

Derivatives (Option premiums received in opening transactions or volume of option transactions, purchases and sales in the case of warrants)

Futures contracts

Futures contracts on a share index

Sold contracts: (Underlying asset(s): ESTX 50 PR.EUR) EUR 134,707.07

Currency futures contracts

Purchased contracts: (Underlying asset(s): CROSS RATE EO/LS, CROSS RATE EO/SF, CROSS RATE EO/SK) EUR 77,296.00

The company ensures that investor interests are not adversely affected by transaction costs by setting a limit for transaction costs based on average Fund volume, and for the portfolio turnover rate, taking into account the investment objectives of this Fund. The company monitors compliance with the threshold values and takes further measures if they are exceeded.

Page 19 Annual report Commerzbank Market Neutral Europe AK S

Statement of operations (including income equalisation) for the period from 01/01/2020 to 31/12/2020 Total Per unit I. Income 1. Dividends from domestic issuers (before corporation/capital gains tax) EUR 46,219.72 0.01 2. Dividends from foreign issuers (before withholding tax) EUR 728,318.64 0.18 3. Interest from domestic securities EUR 0.00 0.00 4. Interest from foreign securities (before withholding tax) EUR 0.00 0.00 5. Interest from domestic liquidity investments EUR 114.60 0.00 6. Interest from foreign liquidity investments (before withholding tax) EUR 0.00 0.00 7. Income from investment units EUR 0.00 0.00 8. Income from securities, lending and repurchase agreements EUR 0.00 0.00 9. Deduction of domestic corporation/capital gains tax EUR -6,932.97 0.00 10. Deduction of foreign withholding tax EUR -68,028.25 -0.02 11. Other income EUR 0.00 0.00

Total income EUR 699,691.73 0.17 II. Expenses 1. Interest on borrowings EUR -1,820.66 0.00 2. Management fee EUR -157,704.94 -0.04 - Management fee EUR -157,704.94 - Consultancy fee EUR 0.00 - Asset management fee EUR 0.00 3. Custodian fee EUR -30,487.33 -0.01 4. Auditing and publication expenses EUR -8,281.94 0.00 5. Other expenses EUR -117,964.52 -0.03 - Custodial fees EUR -64,679.79 - Balance of ordinary expenses EUR -37,956.81 - Other costs EUR -15,327.92

Total expenses EUR -316,259.39 -0.08 III. Ordinary net income EUR 383,432.34 0.09 IV. Disposals 1. Realised gains EUR 19,572,125.84 4.85 2. Realised losses EUR -23,244,068.37 -5.76

Gain or loss on disposals EUR -3,671,942.53 -0.91 V. Realised net income for the financial year EUR -3,288,510.19 -0.82

Page 20 Annual report Commerzbank Market Neutral Europe AK S

1. Net change in unrealised gains EUR 4,732,937.00 1.17 2. Net change in unrealised losses EUR -1,750,631.01 -0.43

VI. Unrealised net income for the financial year EUR 2,982,305.99 0.74 VII. Net income for the financial year EUR -306,204.20 -0.08

Change in the value of the Fund 2020 I. Value of the Fund at the start of the financial year EUR 5,109,408.74 1. Distribution for the previous year/tax deduction for the previous year EUR 0.00 2. Interim distributions EUR 0.00 3. Inflow/outflow of funds (net) EUR 35,106,950.61 a) Cash inflows from unit certificate sales EUR 45,538,660.95 b) Cash outflows from unit certificate redemptions EUR -10,431,710.34 4. Income/expense equalisation EUR -231,763.46 5. Net income for the financial year EUR -306,204.20 of which, unrealised gains EUR 4,732,937.00 of which, unrealised losses EUR -1,750,631.01

II. Value of the Fund at the end of the financial year EUR 39,678,391.69

Utilisation of Fund earnings

Calculation of the reinvestment, total and per unit Total Per unit I. Available for reinvestment 1. Realised net income for the financial year EUR -3,288,510.19 -0.82 2. Transfer from the Fund *) EUR 3,288,510.19 0.82 3. Tax deduction for the financial year EUR 0.00 0.00 II. Reinvestment EUR 0.00 0.00

*) The transfer from the Fund was performed to account for realised losses.

Page 21 Annual report Commerzbank Market Neutral Europe AK S

Commerzbank Market Neutral Europe AK S Comparative overview since inception

Financial year Units in circulation at the Fund assets at the Unit value at the end of the financial year end of the financial year end of the financial year

2018 *) Quantity 3,542,369 EUR 34,747,513.07 EUR 9.81

2019 Quantity 513,105 EUR 5,109,408.74 EUR 9.96

2020 Quantity 4,031,483 EUR 39,678,391.69 EUR 9.84

*) Date of issue 15/10/2018

Page 22 Annual report Commerzbank Market Neutral Europe

Notes pursuant to Section 7(9) of the German Capital Investment Accounting and Valuation Ordinance (“KARBV”)

Information according to the German Derivatives Ordinance (DerivateV) underlying exposure obtained through derivatives EUR 38,923,871.15

Counterparties in derivative transactions J.P. Morgan Sec PLC (Broker) GB

Securities holdings as a percentage of Fund assets (in %) 95.46 Derivatives holdings as a percentage of Fund assets (in %) -1.17

Since 15/10/2018, the company has used the qualified approach as defined in the German Derivatives Ordinance (Derivate-V) using reference assets, when determining the extent of the market risk for this Fund. The value at risk figures were calculated using the historical simulation method with a 99% confidence level and 1-day holding period, using an effective historical observation period of one year. Market risk means the risk to which the Fund is exposed due to possibly unfavourable changes in market prices.

Potential exposure to market risk in accordance with Section 37(4) Derivate-V

Smallest potential value at risk 0.49 % Largest potential value at risk 1.90 % Average potential value at risk 1.26 %

Average leverage achieved using derivatives transactions during the financial year: 2.14

Composition of the reference portfolio at the reporting date STOXX Europe 600 Net Return Index (Bloomberg: SXXR INDEX) 100.00 %

Other disclosures

Commerzbank Market Neutral Europe AK S Unit value EUR 9.84 Issuing price EUR 9.84 Redemption price EUR 9.84 Number of units Quantity 4,031,483

Page 23 Annual report Commerzbank Market Neutral Europe

Notes pursuant to Section 7(9) of the German Capital Investment Accounting and Valuation Ordinance (“KARBV”)

Specification of procedures for the valuation of assets

Valuation

The procedures outlined below for the valuation of assets take account of any market effects resulting from the COVID-19 pandemic. No additional valuation adjustments were necessary.

For currencies, shares, bonds and derivatives that can be traded on a stock exchange or another organised market or can be included within this category, the last available trading price will be taken as a basis in accordance with Section 27 of the KARBV.

In accordance with Section 29 of the KARBV, the current values are used as the basis for investment fund units, and the par value or redemption amount is used as the basis for bank balances and liabilities.

Assets that are not admitted to trading on a stock exchange or on another organised market, or included in the regulated market or OTC trading of a stock exchange, or for which no tradeable price is available, are valued pursuant to Section 28 KARBV in conjunction with Section 168(3) of the German Capital Investment Code (KAGB) at a market value that is reasonable upon careful estimation in accordance with suitable valuation models, taking the current market conditions into account. Market value is considered to be the amount for which the asset concerned could be exchanged in a transaction between knowledgeable, willing and independent counterparties .

Information about transparency and the total expense ratio

Total expense ratio The total expense ratio (excluding transaction costs) for the preceding financial year amounts to 0.73 %

The total expense ratio expresses all of the expenses and payments (excluding transaction costs) made by the Fund during the course of the year as a percentage of the average net asset value of the Fund.

No performance fee was incurred during this period.

Remuneration paid to the management company or third parties EUR 0.00

Notice as required under Section 101(2) No. 3 KAGB (cost transparency) The company receives a management fee due to it from the Fund assets. A significant portion of the management fee is used to compensate agents selling units in the Fund. The company receives no portion of the fees and expense reimbursements provided to the Custodian and third parties by the Fund. The company has not received any non-cash benefits from trading partners in connection with trading activities performed for the Fund.

Page 24 Annual report Commerzbank Market Neutral Europe

Notes pursuant to Section 7(9) of the German Capital Investment Accounting and Valuation Ordinance (“KARBV”)

Issuing surcharges and redemption fees charged to the Fund for the purchase and redemption of investment units EUR 0.00

Management fee rates for investment units held by the Fund

Investment units Identification Management fee rate p.a. in %

Investment units from outside the Group iShsIV-Edge MSCI Eu.Mult.U.ETF Registered Shares EUR (Acc)o.N IE00BZ0PKV06 0.450

Other significant income and expenses

Commerzbank Market Neutral Europe AK S

Others significant income: EUR 0.00

Other significant expenses: EUR 0.00

Transaction costs (total of additional acquisition costs (incidental acquisition costs) and costs from the sale of assets)

Transaction costs EUR 399,824.42

The transaction costs take into account all costs that were shown or settled separately for the account of the fund in the financial year and are directly related to the purchase or sale of assets.

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Notes pursuant to Section 7(9) of the German Capital Investment Accounting and Valuation Ordinance (“KARBV”)

Information about employee remuneration

Total employee remuneration paid by the CMC in the past financial year in EUR millions 60.1 of which fixed salary in EUR millions 51.6 of which variable compensation in EUR millions 8.5

Number of employees of the CMC 658 Amount of carried interest paid in EUR 0

Total employee remuneration paid to risk takers by the CMC in the past financial year in EUR millions 4.6 of which managers in EUR millions 4.1 of which other risk takers in EUR millions 0.6

Remuneration system of the capital management company

Universal-Investment-Gesellschaft mbH is subject to the supervisory requirements applicable to capital management companies in relation to the design of its remuneration system. The company has regulated the detailed design in remuneration guidelines, the aim of which is to ensure a sustainable remuneration system and to prevent false incentives to enter into excessive risks.

The capital management company’s remuneration system is reviewed at least once a year by Universal-Investment’s Remuneration Committee with regard to its suitability and compliance with all legal requirements. It comprises fixed and variable elements of the remuneration. The definition of bandwidths for the total target compensation ensures that there is no significant dependency on the variable remuneration and that there is an appropriate ratio of variable to fixed remuneration. Special rules apply to the management of the capital management company and employees whose activities have a significant impact on the overall risk profile of the capital management company and the investment assets it manages (Risk Taker). As a result, 40% of the variable remuneration is deferred over a period of three years for these risk-taking employees. The deferred portion of the compensation is risk-based during this period, i.e. it may be reduced in the event of negative performance contributions by the employee or the capital management company as a whole. At the end of each year during the waiting period, the deferred portion of the remuneration is vested pro rata and paid out on the respective payment date.

Insofar as portfolio management is outsourced, no employee remuneration is paid directly from the fund.

Information according to Section 101 Para. 2 No. 5 KAGB

Significant medium to long-term risks The information on the main medium to long-term risks is provided within the activity report.

Composition of the portfolio, portfolio turnover and portfolio turnover costs Information on the composition of the portfolio is provided within the statement of assets. The information on portfolio sales is provided within the statement of assets and within the reporting of transactions concluded during the reporting period. The transaction costs are specified in the Notes.

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Notes pursuant to Section 7(9) of the German Capital Investment Accounting and Valuation Ordinance (“KARBV”)

Consideration of the medium to long-term development of the company in the investment decision The selection of individual securities depends on the investment strategy. The contractual basis for the investment decision can be found in the agreed Terms and Conditions of Investment and, if applicable, investment guidelines. The medium to long-term development of the portfolio companies is taken into account if this is stipulated in the contractual terms.

Use of proxy advisers The company has been supported by external service providers in the exercise of voting rights relating to equities belonging to the Investment Fund. The company has commissioned IVOX Glass Lewis GmbH, Karlsruhe and Glass, Lewis & Co., LLC, San Francisco (USA) for this purpose. Taking into account the company's voting rights guidelines, IVOX Glass Lewis GmbH makes recommendations to the company with respect to voting behaviour, based on analyses of general meeting documents. It assumes responsibility for the exercise of voting rights and is obligated to report on voting behaviour. The functionality of the Viewpoint platform operated by Glass, Lewis & Co. LLC is used for voting management and reporting in this regard.

Management of securities lending and the handling of conflicts of interest within the framework of participation in the companies, in particular through the exercise of shareholder rights With regard to the basic management of securities lending and the handling of conflicts of interest within the framework of the Company’s participation, in particular through the exercising of shareholder rights, we refer to our current participation policy on the homepage https://www.universal-investment.com/en/permanent/compliance-en/participation-policy.

Frankfurt am Main, 2 January 2021 Universal-Investment-Gesellschaft mbH The Management Board

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INDEPENDENT AUDITOR’S REPORT

To: Universal-Investment-Gesellschaft mbH, Frankfurt am Main

Audit opinion

We have audited the annual report of the Commerzbank Market Neutral Europe Fund, which comprises the activity report for the financial year from 1 January 2020 to 31 December 2020, the balance sheet and statement of assets as at 31/12/2020, the statement of operations, the statement of appropriation, the statement of changes in the value of the Fund for the financial year from 01/01/2020 to 31/12/2020 and the comparative overview for the last three financial years, the statement of transactions concluded during the reporting period to the extent that they are no longer included in the statement of assets, and the notes.

In our opinion, based on the findings of our audit, the accompanying annual report complies in all material respects with the provisions of the German Investment Code (KAGB) and the relevant European regulations and allows a comprehensive view of the actual circumstances and performance of the investment fund in accordance with the provisions of the German KAGB and the relevant European regulations.

Basis for the audit opinion

We conducted our audit of the annual report in accordance with Section 102 of the KAGB and generally accepted German standards for the audit of financial statements promulgated by the Institut der Wirtschaftsprüfer (IDW). Our responsibility under these rules and principles is further described in the section “Auditor’s responsibility for the audit of the annual report” of our report. We are independent of Universal-Investment-Gesellschaft mbH in accordance with German commercial law and professional regulations and have fulfilled our other German professional obligations in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion on the annual report.

Responsibility of the legal representatives for the annual report

The legal representatives of Universal-Investment-Gesellschaft mbH are responsible for the preparation of the annual report, which complies in all material respects with the provisions of the German KAGB and the relevant European regulations, and for ensuring that the annual report provides a comprehensive picture of the actual circumstances and performance of the investment fund in accordance with the provisions of the German KAGB and the relevant European regulations. Furthermore, the legal representatives are responsible for the internal controls that they have determined, in accordance with these regulations, to be necessary to enable the preparation of the annual report that is free from material misstatement, whether due to fraud or error. In preparing the annual report, the legal representatives are responsible for including in their reporting any events, decisions and factors that may significantly influence the further development of the investment fund. This means, inter alia, that the legal representatives must assess the continuation of the investment fund by Universal-Investment-Gesellschaft when preparing the annual report and are responsible for disclosing facts relating to the continuation of the investment fund, if relevant.

Responsibility of the auditor for the audit of the annual report

Our objective is to obtain reasonable assurance about whether the annual report as a whole is free from material misstatement, whether due to fraud or error, and to express an opinion on whether the annual report is consistent with our audit opinion.

Sufficient assurance is a high level of assurance, but not a guarantee, that an audit conducted in accordance with Section 102 of the KAGB and generally accepted German standards for the audit of financial statements promulgated by the Institut der Wirtschaftsprüfer (IDW) will always reveal a material misstatement. Misstatements can result from violations or inaccuracies and are considered material if it is reasonably expected that they will affect, individually or collectively, users’ financial decisions made on the basis of this liquidation report.

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During the audit, we exercise our best judgement and maintain a critical attitude. In addition

- we identify and evaluate the risks of material misstatement, whether intentional or not, in the annual report, plan and perform audit procedures in response to those risks, and obtain audit evidence sufficient and appropriate to provide a basis for our audit opinion. The risk that material misstatements will not be detected is higher for violations than for inaccuracies, as violations may involve fraudulent collusion, falsification, intentional incompleteness, misrepresentation, or the removal of internal controls.

- we gain an understanding of the internal control system relevant to the audit of the annual report in order to plan audit procedures that are appropriate under the circumstances, but not for the purpose of expressing an opinion on the effectiveness of this system used by Universal-Investment-Gesellschaft mbH.

- we evaluate the appropriateness of the accounting policies used by the legal representatives of Universal-Investment-Gesellschaft mbH in preparing the annual report and the reasonableness of the estimates and related disclosures presented by the legal representatives.

- we draw conclusions on the basis of audit evidence obtained as to whether there is any material uncertainty in connection with events or circumstances that could cast significant doubt on the continued existence of the investment fund by Universal-Investment-Gesellschaft mbH. If we conclude that there is a material uncertainty, we are required to draw attention in our report to the relevant disclosures in the annual report or, if the disclosures are inappropriate, to modify our opinion. We draw our conclusions on the basis of the audit evidence obtained up to the date of our audit opinion. However, future events or circumstances may mean that the investment fund will not be continued by Universal-Investment-Gesellschaft mbH.

- we evaluate the overall presentation, structure and content of the annual report, including the disclosures and whether the annual report presents the underlying transactions and events in such a way that the annual report provides a comprehensive picture of the actual circumstances and performance of the investment fund in accordance with the provisions of the German KAGB and the relevant European regulations.

We discuss with those responsible for monitoring, among other things, the planned scope and scheduling of the audit and significant findings of the audit, including any deficiencies in the internal control system that we identify during our audit.

Frankfurt am Main, 1 April 2021 KPMG AG Auditing company

Schobel Rodriguez Gonzalez Auditor Auditor

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Brief overview of the partners

1. Capital management company 2. Custodian Universal-Investment-Gesellschaft mbH BNP Paribas Securities Services S.C.A. Frankfurt am Main branch Street address: Theodor-Heuss-Allee 70 Street address: 60486 Frankfurt am Main Europa-Allee 12 60327 Frankfurt am Main Postal address: PO Box 17 05 48 Tel.: +49 (0)69 / 15205-0 60079 Frankfurt am Main Fax: +49 (0)69 / 15205-550 www.bnpparibas.de Tel.: +49 (0) 69 710 430 Fax: +49 (0) 69 7104 3700 Legal form: Société en commandite par actions www.universal-investment.com (Partnership limited by shares (KGaA) under French law) Liable equity capital: € 977.2 million (as at: 31 December 2018) Founded: 1968 Legal form: Limited liability company Subscribed and paid-up capital: EUR 10,400,000.00 Equity capital: EUR 57,243,165.68 (as at: September 2020) 3. Asset Management and Distributor Commerzbank AG Managing Directors: Frank Eggloff, Munich Postal address: Ian Lees, Leverkusen 60261 Frankfurt am Main Katja Müller, Bad Homburg Markus Neubauer, Frankfurt am Main Tel.: +49 (0)69 136-20 Michael Reinhard, Bad Vilbel www.comerzbank.de Stefan Rockel, Lauterbach (Hesse) Stephan Scholl, Königstein im Taunus Axel Vespermann, Dreieich

Supervisory Board: Prof. Dr Harald Wiedmann (Chairman), Berlin Dr Axel Eckhardt, Düsseldorf Daniel Fischer, Bad Vilbel Daniel F. Just, Pöcking WKN / ISIN: A2JF76/DE000A2JF766

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