audited annual report as of december 31, 2014...equities to those of acmbernstein sicav – global...

Audited Annual Report

as of December 31, 2014

CGS FMS (formerly SAXO INVEST, SICAV)

Société d’Investissement à Capital Variable

Administrative Agent:

R.C.S. LuxembourgB 157.442

Organisation 4

Report of the Board of Directors 5 - 6

Global Exposure 7 - 8

Risk Management 8

Report of the Investment Managers 9 - 26

CGS FMS - SICAV (formerly SAXO INVEST, SICAV)

Combined Statement of Net Assets 27

Combined Statement of Operations 28 - 29

Combined Statement of Changes in Net Assets 30

CGS FMS - Global Evolution Frontier Markets (formerly SAXO INVEST - Global Evolution Frontier Markets)

Fund Structure 31

Statement of Net Assets 32 - 40

Statement of Forward Transactions 41 - 44

Statement of Swaps 44

Statement of Operations 45 - 46

Statement of Changes in Net Assets 47

Statistical Information 48 - 58

CGS FMS - Global Evolution EM Debt (formerly SAXO INVEST - Global Evolution EM Debt)

Fund Structure 59


Statement of Forward Transactions 65




CGS FMS - Global Evolution EM Local Debt (formerly SAXO INVEST - Global Evolution EM Local Debt)

Fund Structure 71



Statement of Option Rights 76




CGS FMS - Global Evolution EM Blended Debt (formerly SAXO INVEST - Global Evolution EM Blended Debt)

Fund Structure 82



Table of Contents

2

Table of Contents




CGS FMS - CPH Capital Global Equities (formerly SAXO INVEST - CPH Capital Global Equities)

Fund Structure 94





CGS FMS - Global Evolution EM Debt and FX (formerly SAXO INVEST - Global Evolution EM Debt and FX)

Fund Structure 106


Statement of Forward Transactions 111 - 113




CGS FMS - Global Evolution Emerging Frontier (formerly SAXO INVEST - Global Evolution Emerging Frontier)

Fund Structure 119





Statistical Information 129

SAXO INVEST - CPH Capital Consumer Equities

Fund Structure 130

Statement of Net Assets 131

Statement of Operations 132


Statistical Information 134

Notes to the Financial Statements 135 - 143

Report of the Réviseur d’Entreprises agréé 144

Local Centralizing, Paying, Facilities, Information or Representative Agents 145

3

CGS FMS (formerly SAXO INVEST)

Registered Office Custodian Bank

CGS FMS (formerly SAXO INVEST) The Bank of New York Mellon SA/NV, Luxembourg Branch

Vertigo Building - Polaris, 2 - 4, rue Eugène Ruppert, L - 2453 Luxembourg Vertigo Building - Polaris, 2 - 4, rue Eugène Ruppert, L - 2453 Luxembourg

R.C.S. Luxembourg B 157.442

Domiciliary, Paying, Registrar and Transfer AgentBoard of Directors

The Bank of New York Mellon (Luxembourg) S.A.

Chairman of the Board of Directors Vertigo Building - Polaris, 2-4, rue Eugène Ruppert, L - 2453 Luxembourg

Mr. Eric Chinchon Investment ManagersME Business Solutions S.à.r.l.

16, rue Jean-Pierre Brasseur, L - 1258 Luxembourg Global Evolution Fondsmæglerselskab A/S

Kokholm 3A, DK - 6000 Kolding

Directors CPH Capital Fondsmæglerselskab A/S (until December 29, 2014)Tuborg Havnevej 19, DK - 2900 Hellerup

Mr. Bjørn Krog Andersen

Head of Legal and Compliance of Saxo Bank A/S (Denmark) Legal AdvisorPhilip Heymans Allé 15, DK - 2900 Hellerup

Elvinger, Hoss & Prussen

Mrs. Priscilla Hardison 2, place Winston Churchill, L - 1340 Luxembourg

Head of Investment Funds and Client Management of CGS FMS SICAV

16, rue Jean-Pierre Brasseur, L - 1258 Luxembourg Auditor

Mr. Søren Rump KPMG Luxembourg, Société coopérative

CEO Global Evolution Cabinet de révision agréé

Fondsmæglerselskab A/S, Kokholm 3A, DK - 6000 Kolding 39, avenue John F. Kennedy, L - 1855 Luxembourg

Management Company

Universal-Investment-Luxembourg S.A.

15, rue de Flaxweiler, L - 6776 Grevenmacher

Organisation

4


Share class ISIN Net asset value of the share class

in currency

Performance of

the share price in %

CGS FMS - Global Evolution Frontier Markets I EUR LU0501220262 405,823,923.14 4.83

CGS FMS - Global Evolution Frontier Markets R EUR LU0501220429 148,175,111.47 3.75

CGS FMS - Global Evolution Frontier Markets E EUR LU0697197597 12,292,754.35 3.18

CGS FMS - Global Evolution Frontier Markets R USD LU0735966888 117,860,532.45 3.84

CGS FMS - Global Evolution Frontier Markets R SEK LU0875246554 279,348,666.74 4.63

CGS FMS - Global Evolution Frontier Markets R CHF LU0875244427 1,878,177.15 3.57

CGS FMS - Global Evolution Frontier Markets I USD (17/03/2014 until 31/12/2014) LU1034966249 41,062,841.17 4.58

CGS FMS - Global Evolution Frontier Markets R CL CHF (25/03/2014 until 31/12/2014) LU1034967130 3,413,648.59 3.80

On January 27, 2014, SAXO INVEST CPH Capital Consumer Equities R EUR share class, respectively the sub-fund, was liquidated and thereafter the sub-fund was removed from the prospectus.

On December 2, 2014, the Company convened an extraordinary general meeting for shareholders. At the meeting, the shareholders resolved to proceed with the transfer of assets and liabilities of the assets of CGS FMS – CPH Capital Global

Equities to those of ACMBernstein SICAV – Global Core Equity Portfolio with effective date as of December 29, 2014.

On 29 December 2014 (the “Transfer Date”), accordingly, the assets and liabilities of CGS FMS – CPH Capital Global Equities were transferred to the ACMBernstein SICAV – Global Core Equity Portfolio. In exchange for the transfer of the assets

and liabilities, ACMBernstein SICAV issued to the shareholders of the CGS FMS – CPH Capital Global Equities (for the shares of each class of shares that they held) an equal number of shares in the ACMBernstein SICAV – Global Core Equity

Portfolio on the Transfer Date.

The launch of new share classes of the sub-funds are stated in the section “Statistical Information”.

As at December 31, 2014, the net asset value and the performance of the share price of the sub-funds during the reporting period was as follows:

Report of the Board of Directors

Dear Shareholders,

With this report, we would like to give you an overview of the general economic environment and the performance of the CGS FMS, SICAV (formerly SAXO INVEST, SICAV) and its respective sub-funds Global Evolution Frontier Markets, Global

Evolution EM Debt, Global Evolution EM Local Debt, Global Evolution EM Blended Debt, CPH Capital Global Equities, Global Evolution EM Debt and FX and Global Evolution Emerging Frontier and SAXO INVEST - CPH Capital Consumer

Equities.

CGS FMS, SICAV (formerly SAXO INVEST, SICAV) ("the fund") was established in the Grand Duchy of Luxembourg on December 3, 2010 in the form of an investment company governed by the Law of Luxembourg. The fund is subject to Part 1

of the Law of December 17, 2010 on undertakings for collective investment ("UCI").

On January 29, 2014 the Company's reconvened extraordinary general meeting of shareholders (the "EGM") decided to change the name of the Company from "SAXO INVEST" to "CGS FMS" from 7 February 2014. We would like to briefly

explain why it decided to ask the EGM to change the Company's name. In 2013, Saxo Bank A/S fully divested from the Company's investment managers CPH Capital Fondsmæglerselskab A/S ("CPH Capital FMS") and Global Evolution

Fondsmæglerselskab A/S ("Global Evolution FMS"). In so doing, it reduced its commercial interest (stakeholding) in the Company. To reflect the new shared interest in the Company, the Company's name was changed to "CGS FMS".

On August 6, 2014, the sub-fund CGS FMS Global Evolution EM Debt and FX, which was dormant since September 28, 2012, was reactivated with the simultaneous launching of the institutional and retail share classes.

Effective April 1, 2014, the Company adopted a new performance fee calculation methodology for the sub-funds CGS FMS – Global Evolution EM Debt and FX, CGS FMS – Global Evolution EM Debt, CGS FMS – Global Evolution EM Local Debt

and CGS FMS – Global Evolution EM Blended Debt.

5


Report of the Board of Directors

Share class ISIN Net asset value of the share class

in currency

Performance of

the share price in %

CGS FMS - Global Evolution Frontier Markets R CL EUR (27/06/2014 until 31/12/2014) LU1034966678 6,296,580.77 -0.30

CGS FMS - Global Evolution Frontier Markets R DD EUR (04/09/2014 until 31/12/2014) LU1034966751 3,858,418.58 -0.79

CGS FMS - Global Evolution Frontier Markets E USD (04/12/2014 until 31/12/2014) LU0735966961 49,780.23 -0.44

CGS FMS - Global Evolution EM Debt I EUR LU0616502026 132,238,635.56 8.19

CGS FMS - Global Evolution EM Debt E EUR (01/01/2014 until 10/07/2014) LU0699624671 529.32 7.32

CGS FMS - Global Evolution EM Local Debt I EUR LU0616502372 94,099,623.24 8.22

CGS FMS - Global Evolution EM Local Debt R EUR LU0616502455 2,152,766.80 7.24

CGS FMS - Global Evolution EM Blended Debt R EUR LU0616502612 24,390,450.83 -0.25

CGS FMS - Global Evolution EM Blended Debt I EUR (08/07/2014 until 31/12/2014) LU0616502539 5,488,674.71 -5.86

CGS FMS - CPH Capital Global Equities R EUR (01/01/2014 until 29/12/2014) LU0616502885 56,740,503.12 13.54

CGS FMS - CPH Capital Global Equities I EUR (01/01/2014 until 29/12/2014) LU0616502703 95,944,931.94 14.93

CGS FMS - CPH Capital Global Equities X EUR (01/01/2014 until 29/12/2014) LU0725851603 180,148,189.91 15.22

CGS FMS - CPH Capital Global Equities X GBP (01/01/2014 until 29/12/2014) LU0875249731 29,688,100.96 8.65

CGS FMS - Global Evolution EM Debt and FX I (06/08/2014 until 31/12/2014) LU0501220775 25,096,583.82 3.51

CGS FMS - Global Evolution EM Debt and FX R (06/08/2014 until 31/12/2014) LU0501220858 12,450,607.42 3.03

CGS FMS - Global Evolution Emerging Frontier Z USD LU0914716807 267,160,309.71 5.28

SAXO INVEST - CPH Capital Consumer Equities R EUR (01/01/2014 until 27/01/2014) LU0735967183 37,942.85 -1.44

6


1. Commitment approach

Sub-Fund


CGS FMS - CPH Capital Global Equities (formerly SAXO INVEST - CPH Capital Global Equities)

CGS FMS - Global Evolution Emerging Frontier (formerly SAXO INVEST - Global Evolution Emerging Frontier)

SAXO INVEST - CPH Capital Consumer Equities*

* The period of operation for this sub-fund was less than one calendar year. The sub-fund was only active from the 1 January - 27 January 2014.

2. Relative VaR approach

Confidence level : 99% Holding Period: 1 day Observation Period: 1 year

Sub-Fund Reference Portfolio Minimum Maximum Average

CGS FMS - Global Evolution EM Debt

(formerly SAXO INVEST - Global Evolution EM Debt) 0.42% 1.24% 0.82%

CGS FMS - Global Evolution EM Local Debt

(formerly SAXO INVEST - Global Evolution EM Local

Debt)

0.80% 1.71% 1.16%

CGS FMS - Global Evolution EM Blended Debt

(formerly SAXO INVEST - Global Evolution EM Blended

Debt)

0.57% 1.14% 0.79%

100% JPM Emerging Markets Bond Index (EMBI Global Diversified USD)

100% JPM EMBI Global Total Return USD

Global Exposure (not audited)The global exposure is calculated for all sub-funds regardless of their investment strategies. The methods used to measure the global exposure for the sub-funds are the commitment

approach and VaR approach according to the CSSF Circular 11/512.

The commitment approach is used for the sub-funds that do not use financial derivative instruments to a large extent and in a systematic way as part of complex investment strategies.

The sum of the underlying equivalents must not exceed the net asset value of the fund.

The VaR approach is considered for sub-funds that use financial derivative instruments to a large extent and in a systematic way as part of complex investment strategies. The relative

VaR approach was used for the following sub-funds (listed below) because a derivative-free benchmark (Reference Portfolio), which reflects the investment policy and investment

strategy, could be defined.

The Sub-Fund’s VaR was calculated using historical simulation based on these figures:

20% JP Morgan GBI-EM Global Div Asia Traded In- dex Total Return Index Level

US $ (Morgan Markets), 25% JP Morgan GBI-EM Global Div Middle East & Africa

Traded Index Total Return Index Level US $ (Morgan Markets), 25% JP Morgan

GBI-EM Global Div Latin America Traded Index Total Return Index Level US $

(Morgan Markets) and 30% JP Morgan GBI-EM Global Div Europe Traded Index

Total Return Index Level US $ (Morgan Markets)

7


Sub-Fund Reference Portfolio Minimum Maximum Average

CGS FMS - Global Evolution EM Debt and FX

(formerly SAXO INVEST - Global Evolution EM Debt and

FX)*

0.31% 1.06% 0.80%

* The period of measurement is less than a calendar year. The sub-fund was only active from 6 August - 31 December 2014

Risk Management (not audited)Derivatives Exposure and Leverage (not audited)

Sub-Funds Derivative

Exposure in %

128.00

97.00

34.00

102.00

0.00

254.00

17.00

0.00

For sub-funds using relative VaR, the leverage (sum of notionals of derivatives) is shown below.

Sub-Funds Leverage %

CGS FMS - Global Evolution EM Debt 200.00

CGS FMS - Global Evolution EM Local Debt 154.00

CGS FMS - Global Evolution EM Blended Debt 220.00

CGS FMS - Global Evolution EM Debt and FX 338.00

SAXO INVEST - CPH Capital Consumer Equities (01/01/2014 until 27/01/2014)

100% JPM Emerging Markets Bond Index (EMBI Global Diversified USD)

CGS FMS - Global Evolution EM Debt and FX

CGS FMS - Global Evolution EM Local Debt

CGS FMS - Global Evolution EM Blended Debt

CGS FMS - CPH Capital Global Equities (01/01/2014 until 29/12/2014)

CGS FMS - Global Evolution Emerging Frontier

CGS FMS - Global Evolution Frontier Markets

CGS FMS - Global Evolution EM Debt

The derivative exposure (as per reporting period end) is shown in the following table.

8


Report of the Investment Managers

CGS FMS - Global Evolution Frontier Markets (former SAXO INVEST - Global Evolution Frontier Markets)

Investment Objective

The objective of the frontier markets strategy is to create attractive returns by utilizing a non-benchmark focused and diversified strategy within sovereign frontier emerging markets globally. The sub-fund invests in hard currency and local currency

instruments as well as foreign exchange contracts. To achieve the investment objective Global Evolution Frontier Markets will use a range of financial instruments (local currency debt instruments, hard currency debt instruments and foreign

exchange) and derivative financial instruments (interest rate futures, interest rate swaps, total return swaps, credit default swaps, FX forwards, FX options and non-deliverable forwards).

Past Year’s Market Environment

2014 proved a year to remember. The consensus call for the US economy and the dollar to gain strength proved right but the concurrent consensus call for 10yr US treasury yields to rise to 3.30% and above in 2014 certainly proved wrong despite

better US macro data and bellwether US stock index S&P500 going from one record high to another and with the Federal Reserve (Fed) unwinding its quantitative easing (QE)-program. The Fed's go-it-alone approach on monetary policy tightening

became obvious as the ECB and the Bank of Japan (BOJ) shifted into overdrive on monetary easing leaving ECB's deposit rate negative and BOJ's target for annual monetary base expansion at JPY 80trn. The dovish camp was joined by the People's

Bank of China that unexpectedly cut in its benchmark interest rates for the first time since 2012.

As to geopolitical and idiosyncratic market drivers, the Russian annexation of Crimea and the ongoing conflict in eastern Ukraine kept investors busy and defensive through most of the second half of 2014. As Western-imposed sanctions on Russia

began to bite, capital outflows became a notable drag on the Ruble and the performance of Russian assets in general. Elsewhere, despite US led airstrikes in Iraq and Syria, Islamic state continued to question the balance of power, not only in Iraq

and Syria but also in much of the Arab world. Africa for a while became the epicenter for scary global headlines as Ebola took its toll in primarily three West African countries. However, global media soon lost interest as Ebola seemed contained and

with crude oil entering a freefall following the game changer decision by OPEC to keep output unchanged and defend market shares amid booming US shale output, the global media and investors had found a new focus area.

Performance Drivers for 2014

Performance-wise, a few notable investment themes dominated 2014. Going into 2014 Fed's tapering and the call for higher US yields saw the so-called twin deficit "fragile five" countries (Brazil, South Africa, Indonesia, India and Turkey) in the firing

line. Later on, in late spring and early summer the very same "fragile five" were back in vogue as the previous fear was replaced by complacency thanks to the unexpected low volatility/low yield environment ruling the US treasury market. The

Russian/Ukrainian crisis and the downing of a Malaysian airliner over rebel held eastern Ukraine was a wake-up call. Chinese slow down worries came and went and the Brazilian presidential election caused some market volatility locally but it was the

collapse in oil prices in Q4 that proved decisive for the full year overall emerging markets (EM) performance as investors questioned the sustainability of oil exporters' fiscal and external positions.

A 86bps dollar debt supportive decline in 10yr US treasury yields, broad based dollar strength that left most local currencies behind and the steep decline in oil prices were the dominant performance drivers in 2014. For a while Ebola took its toll on

risk sentiment towards frontier Africa, but it was the sudden slump in oil prices that in earnest saw local fixed income and FX as well as dollar denominated debt backed by oil exporters in the firing line. Being the most extreme example of an oil

dependent economy in dire need of structural reforms, Venezuela suffered thereby causing headwinds to overall sub-fund performance. Ukraine fared even worse leaving the credit down 29.77% on the year as the ongoing armed conflict with pro-

Russian separatists in the eastern regions of Ukraine and sanctions on Ukrainian exports to Russia led to fiscal distress and with debt restructuring only being averted by international donor support. However, our longstanding zero-weight in Ukrainian

hard currency debt as well as local currency debt spared the sub-fund for negative performance. In Africa, fiscal underperformance ruled in Ghana leaving investor sentiment negative and the Cedi (GHS) under pressure. At some point the Cedi was

trading as weak as 3.8876 to the dollar in August having started the year in 2.3750. With its back against the wall the Ghanaian government finally turned to the IMF and the Cedi recovered to 3.25 - 3.26. Still, the Cedi was down almost 30% on the

year contributing negatively to overall sub-fund performance. The 65/35 split between local currency debt and hard currency debt was slightly changed as the year progressed to 60/40. In Nigeria (oil dependent exporter), we cut the local market

exposure to zero in December on concerns that ongoing depressed pricing of oil would leave fiscal performance strained in the run-up to presidential and parliamentary elections due in February 2015.

9


Frontier FX spot performance, % against USD, 2014 (sample)

Source: Bloomberg

To the contrary, our exposure to Argentina (hard currency debt) and Sri Lanka (local currency debt) performed very well, with Argentina (EMBIGD component) up 19.07% on the year despite being in selective default. Also, although most currencies in

the sub-fund were down against the dollar in 2014, we benefitted from a generous carry primarily in local fixed income.

Frontier sub-fund 2014 return attribution

Source: Bloomberg

10


Outlook for 2015

On the threshold of 2015, following two years of negative returns (against the dollar), local currency debt - or rather local FX - is an unloved under-owned asset class that is not given the benefit of doubt in an environment of depressed commodity

prices (read oil prices) and with most forecasters calling for eminent QE by the ECB while predicting ongoing dollar strength. As to hard currency debt, the appetite is more plain sailing; credit premiums are roughly 50bps wider than a year ago and

therefore more attractive, and with the oil price slump and its deflationary impact, it is hard to envision a major jump in US treasury yield that could jeopardize the appeal of hard currency debt anytime soon. For various reasons Ukraine, Venezuela

and Argentina remain risk factors with potentially adverse impact on investors sentiment towards EM debt and FX. On the other hand, provided that the ECB delivers on QE and that risk free German yields stay record low and even negative, any hike

of the US Fed sub-funds rate is likely to be a one-off and the rise in US treasury yields probably to be modest. In the second half of 2015, we expect crude oil prices and the hard commodity complex to recover from the current depressed pricing in H2

2015. In the meantime we are biased to keep the exposure to oil dependent exporters low to the benefit of oil importers and manufacturing exporters.

A stronger US dollar may pose a headwind for local curry performance again in 2015, but this is as much about broad based dollar strength as it is about local currency weakness. In fact, we expect frontier currencies to do relatively well against the

euro and the yen.

Portfolio composition as of December 31, 2014, % of AUM

Source: Global Evolution

11


SAXO INVEST - CPH Capital Consumer Equities


The sub-fund invested in publicly listed equities including ordinary and preference shares primarily in the consumer staples sector and secondary the consumer discretionary sector. Issuers of these securities may be located in any country.

Material Changes

The sub-fund has been liquidated as of January 27, 2014.

CGS FMS - Global Evolution EM Debt (former SAXO INVEST - Global Evolution EM Debt )


The objective of the emerging markets debt strategy is to create attractive returns by utilizing a diversified strategy within emerging markets focusing primarily on sovereign hard currency debt, but also on strategies that include sovereign local

currency denominated debt and currency instruments.











Performance-wise, a few notable investment themes dominated 2014. Going into 2014, Fed's tapering and the call for higher US yields saw the so-called twin deficit "fragile five" countries in the firing line. Later on, in late spring and early summer the

very same "fragile five" were back in vogue as the previous fear was replaced by complacency thanks to the unexpected low volatility/low yield environment ruling the US treasury market. The Russian/Ukrainian crisis and the downing of a Malaysian

airliner over rebel held eastern Ukraine was a wake-up call. Chinese slowdown worries came and went and the Brazilian presidential election caused some market volatility locally but it was the collapse in oil prices in Q4 that proved decisive for the

full year overall EM performance as investors questioned the sustainability of oil exporters' fiscal and external positions. As it turned out, hard currency debt index EMBIGD made a full year return of 7.43% after recording a 8.67% return in H1, 2014. In

spite of the negative return in H2, 2014 the full-year return compares favorably to local currency debt benchmark GBIEMGD (unhedged against USD) that suffered a negative 5.72% full-year return after being up 5.99% by end H1. The sub-fund

performance was influenced by the downtrend in US treasury yields and our reluctance towards long duration, which - in hindsight - proved a bad call. On a positive note, by taking off-benchmark positions in euro denominated emerging markets

bonds we successfully took advantage of the support that was lend to these bonds by low yielding/no yielding government bonds in the Euro-area and the extraordinary easing measures put in place by the ECB. Furthermore, our decision to keep both

Ukraine and Russia as zero-weights contributed very significantly to relative performance. Despite Argentina in selective default as a consequence of US court rulings and the ongoing legal stand-off with debt hold-outs, our exposure to Argentina was

a positive contributor to overall sub-fund performance, absolute as well as relative. Still in Latin America, as oil prices nosedived in Q4 a slight overweight position in Venezuela was a drag on overall sub-fund performance. To the contrary, an

overweight/long duration in oil importing Turkey and in Indonesia paid off well and in the end, as the general sentiment towards emerging markets turned really bad in December and spreads generally widened, we actually gained from being overall

low on duration.

12


Outlook for 2015

On the threshold of 2015, whereas local currency debt - or rather local FX - is an unloved under-owned asset class that is not given the benefit of doubt, the appetite for hard currency debt is more plain sailing; credit premiums are roughly 60bps wider

than a year ago and therefore more attractive, and with the oil price slump and its deflationary impact making headline deflation the more plausible near-term outcome in G3, it is hard to envision a major jump in US treasury yields that could

jeopardize the appeal of hard currency debt anytime soon. For various reasons Russia, Ukraine, Venezuela and Argentina remain risk factors with potentially adverse impact on investors sentiment towards EM debt and FX. On the other hand,

provided that the ECB delivers on QE and that risk free German yields stay record low and even negative, the high grade spectrum of EM hard currency debt as well as local fixed income in CEE EU-member states should see some support from

crossover investors in search for yield. In fact, the attraction of hard currency debt (euro denominated) and perhaps even local currency debt issued by EU member states should prove particularly hard to resist. Consequently, this is something that we

will look to exploit in our hard currency debt investment strategy.



13


CGS FMS - Global Evolution EM Local Debt (former SAXO INVEST - Global Evolution EM Local Debt )


The objective of the emerging markets local debt strategy is to create attractive returns by utilizing a diversified strategy within emerging markets focusing on sovereign local currency denominated debt and currency instruments.










2014 local currency performance against the dollar, % (sample)

Source: Bloomberg

14


2014 local currency performance against the euro, % (sample)

Source: Bloomberg

Source: Bloomberg





full year overall EM performance as investors questioned the sustainability of oil exporters' fiscal and external positions. As it turned out, hard currency debt index EMBIGD made a full year return of 7.43% after recording a 8.67% return in H1, 2014. To

the contrary, local currency debt benchmark GBIEMGD (unhedged against USD) suffered a negative 5.72% full-year return after being up 5.99% by end of the first half of 2014.

As to the sub-fund´s performance, we correctly foresaw the broad based strengthening of the dollar, although the extent of strengthening in Q4 was not part of our initial base scenario for 2014. That being said, we correctly held a CEE-local fixed

income and FX underweight thereby gaining from the decline in EUR/USD. Benefitting relative performance in H2, a significant underweight in Russian local currency debt proved successful. In Asia, we successfully invested in India and Sri Lanka

although a zero weight in China proved a drag on relative performance. Turning to Latin America, our investment strategies in Brazil proved successful for the year as a whole but an overweight exposure was a drag on performance in particular in Q4,

2014 as the real plummeted following the presidential election in October. Also hurting performance, our long exposure to local fixed income and FX in oil exporting Colombia was a drag on overall and relative performance as authorities let the

currency adjust as a counterweight to dwindling hard currency export earnings from oil. In Nigeria, another oil exporter with a high sensitivity to oil prices, we lowered the duration exposure in summer 2014 and avoided a 350bps jump in longer dated

tenors. Later, in November we went zero-weight as oil prices continued to tank and since political and sectarian risks were rising ahead of presidential and parliamentary elections scheduled for February 2015. For the year as a whole we actually

benefitted from our Nigerian investment strategies.

15




Outlook for 2015


prices (read oil prices) and with most forecasters calling for eminent QE by the ECB while predicting ongoing dollar strength. On the other hand, provided that the ECB delivers on QE and that risk free German yields stay record low and even negative,

the high grade spectrum of EM hard currency debt as well as local fixed income in CEE EU-member states should see some support from crossover investors in search for yield.

Admittedly, the case for local FX is not convincing. However, the fact that GBIEMGD unhedged against the euro returned +6.29% in 2014 as the DXY dollar index gained 10.40% is a testimony of broad based dollar strength in contrast to EM currency

weakness. Being the devils advocate, the 2014 consensus call for US yields to move higher proved wrong and we think that the current consensus for crude oil prices to stay depressed and the dollar to continue its advance may prove too emotional

and herd-like. This is not to say that we are near-term euro and commodity bulls, but we can come up with a few potential surprises that would rock consensus.

Given the outlook (at least near term) for ongoing dollar strength most emerging markets currencies will face a hard time to keep track with the greenback. Add to this that the weakness in hard commodities and the deterioration in exporters' terms of

trade, these are strong arguments for local policy makers to let currencies adjust and most investors will probably agree that commodity exporters are to be avoided/kept underweight to the benefit of commodity importers. Eastern European low

yielding local markets are kept underweight (due to EUR/USD sensitivity and in some cases a high US ownership) to the benefit of selective Latin American markets (Mexico should benefit from US growth, Brazil offer significant carry), Asia (energy

importers) and selective African names. Finally, despite many frontier economies being commodity exporters we remain a fan of frontier markets due to these markets' idiosyncratic risk profile, the benign sensitivity to global headlines/the relatively low

foreign participation and the carry offered.

16


CGS FMS - Global Evolution EM Blended Debt (former SAXO INVEST - Global Evolution EM Blended Debt)


The sub-fund objective is to create attractive returns by utilizing a diversified strategy within emerging markets focusing on sovereign hard currency debt, local currency denominated debt and currency instruments in a dynamic and very actively

managed format. To achieve the investment objective Global Evolution will dynamically manage the exposure to sovereign hard currency debt, local currency instruments and frontier markets.











Performance wise, a few notable investment themes dominated 2014. Going into 2014, Fed's tapering and the call for higher US yields saw the so-called twin deficit "fragile five" countries in the firing line. Later on, in late spring and early summer the



full year overall EM performance as investors questioned the sustainability of oil exporters' fiscal and external positions. The performance of the sub-fund was influenced by our reluctance towards long duration dollar debt and - in hindsight - a local

currency exposure that proved too high especially in early Q1 and the slump in oil prices and the ongoing broad based dollar strength in late Q3 and Q4. That being said, in our local currency debt bucket we correctly held a CEE-local fixed income and

FX underweight thereby gaining from the decline in EUR/USD. Also benefitting relative performance, a zero weight in Ukrainian hard currency debt, a zero weight in Russian hard currency debt and a significant underweight in Russian local currency

debt all proved successful. However, an overweight exposure to local fixed income and FX in Brazil was a drag on performance in H2, 2014 and in particular as the real plummeted following the presidential election in October. Also hurting

performance, our long exposure to local fixed income and FX in Colombia was a drag on overall and relative performance as authorities let the currency adjust as a counterweight to dwindling hard currency export earnings from oil. Finally, a slight

overweight in Venezuela's dollar debt was both a negative absolute and relative return.

Allocation between hard currency debt and local currency debt, % of AuM


17


Outlook for 2015



therefore more attractive, and with the oil price slump and its deflationary impact making headline deflation the more plausible near-term outcome in G3, it is hard to envision a major jump in US treasury yield that could jeopardize the appeal of hard

currency debt anytime soon. For various reasons Russia, Ukraine, Venezuela and Argentina remain risk factors with potentially adverse impact on investors sentiment towards EM debt and FX. On the other hand, provided that the ECB delivers on QE

and that risk free German yields stay record low and even negative, the high grade spectrum of EM hard currency debt as well as local fixed income in CEE EU-member states should see some support from crossover investors in search for yield.

Admittedly, the case for local FX is not convincing. However, the fact that GBIEMGD unhedged against the euro returned 6.29% in 2014 as the DXY dollar index gained 10.40% is a testimony of broad based dollar strength as much as EM currency

weakness. Being the devils advocate, the 2014 consensus call for US yields to move higher proved wrong and we think that the current consensus for crude oil prices to stay depressed and for the dollar to continue its advance may prove too

emotional and herd-like. This is not to say that we are near-term euro and commodity bulls, but we can come up with a few potential surprises that would rock consensus.

Given the outlook (at least near term) for ongoing dollar strength most emerging markets currencies will face a hard time to keep track with the greenback. Add to this that the weakness in hard commodities and the deterioration in exporters' terms of

trade are strong arguments for local policy makers to let currencies adjust and most investors will probably agree that commodity exporters are to be avoided/kept underweight to the benefit of commodity importers. Eastern European low yielding local

markets are kept underweight (due to EUR/USD sensitivity and in some cases a high US ownership) to the benefit of selective Latin American markets (Mexico should benefit from US growth, Brazil offer significant carry), selective Asian countries

(high yielding/energy importers) and selective African names.

As to hard currency debt, the credit premium offered by benchmark EMBIGD is now far more attractive than in early 2014/summer 2014 and as such offers better protection against any rise in US treasury yields. Also, with the high grade bracket of

EMBIGD offering a credit premium of 245bps this category of emerging markets hard currency debt should gain a lot more attention from Euro-area based investors that up until now predominantly have been investing in core Euro-area government

debt but are now looking for return enhancements. The attraction of hard currency debt (euro denominated) and perhaps even local currency debt issued by EU member states should prove particularly hard to resist. Consequently, this is something

that we will look to exploit.

Portfolio composition (PF) as of December 31, 2014, % of AUM vs. benchmark (BM)


18


CGS FMS - CPH Capital Global Equities (former SAXO INVEST - CPH Capital Global Equities)


The sub-fund aims to deliver returns in excess of the broad global market through a combination of active stock selection and risk-controlled portfolio construction. We use a bottom-up approach to find and invest in attractively-priced companies with

sustainable returns on invested capital. The portfolio has a high active share and is diversified by sector, region, market cap and style, maintaining market-like risk characteristics.

As fundamental stock-pickers we aim to ensure that the majority of relative risk is stock specific by limiting factor and style risk exposures. We construct our portfolio with a focus on minimizing unintended risk exposures to different factors relative to

the benchmark. This means the strategy has a very high active share (above 90%) with a low tracking-error of 3-4% and a beta which is targeted to be between 0.95 and 1.05. The stock selection process is based upon an extensive quantitative

screening process that identifies investment candidates that meet our requirements for quality and valuation (both as described above). Candidates from this continuously updated short list is put through a due diligence review for fundamental and

financial viability and a cash flow based valuation estimate is performed. Each investment candidate clearing these steps is proposed to our investment board that takes the final transaction decision.

The sub-fund’s investing activities expose it to various types of financial risks that are associated with the financial instruments and markets in which it invests. These financial risks include liquidity risk and market risk (including currency risk and

stock price risk). Our overall risk management process focuses on keeping absolute risk levels in line with our benchmark. This is done by risk measurement including neutral market exposure (Beta) and relative risk (tracking-error) below 6%.

Furthermore, risk is measured by +/-5% limit on relative sector exposures, and 6% limit on single stock exposure.

The sub-fund targets being fully invested with cash levels kept to a minimum. The sub-fund does not use derivatives to hedge risk.

These risk metrics have allowed the strategy historically to keep overall risk levels close to those of the benchmark while generating an attractive long term outperformance based on stock selection.

No material changes occured during the period.

Past Year´s Market Environment

Global equity markets remained largely resilient in the face of new challenges in 2014. Oil prices tumbled, the US dollar strengthened significantly and geopolitical risks from Russia to the Middle East added new threats. US large-cap stocks led the

gains in 2014 as a resilient economic recovery fueled earnings growth. Emerging markets trailed the global index. Investors favored defensive stocks, while resources stocks fell as plunging oil prices dragged down shares of energy companies.


When constructing the portfolio, we try to ensure that idiosyncratic stock risk drives returns in the portfolio, and we aim to minimise unintended factor biases. However, as we are high conviction stock pickers, we do run intended over and under-

weights to countries and sectors in the portfolio, depending on where we are able to source our best ideas.

All sectors remained within our limit of +/-5% relative to the MSCI ACWI index throughout 2014. We were consistently underweight in energy and materials, which contributed to returns, as did our overweight in technology. We did not own any

telecoms which contributed to returns. Although two of our top contributors, Teva Pharmaceutical and UnitedHealth Group were in the healthcare sector, at the overall level we were underweight the index and this detracted from returns. Looking at

stock selection within sectors, technology, industrials and health care were the strongest and consumer staples and discretionary names the weakest sector.

Our significant holding in Teva Pharmaceutical and KazMunaiGas meant we had an overweight in Israel and Kazakhstan, respectively and these positions contributed to returns. Our holdings in Sberbank and Lukoil produced an overweight to Russia,

which detracted.

During the year 2014, the sub-fund has been fully invested across all regions. At year end, the sub-fund was 98.2% invested in equities and 0.3% in cash. Within equities, the composition was 46% North American, 21% in Europe, 0.8% in Japan, 8%

in Non-Japan Asia, 12.2% United Kingdom and 9.8% in Emerging Market. The charts below illustrate our year-end positions vs. the benchmark.

Essential sources of capital gains have been stock price increases and dividends received.

19


Portfolio composition (PF) as of December 31, 2014

Outlook for 2015

In both Europe and the U.S., we have seen signs of improvement for some time, albeit at unimpressive levels. We hope to see such gains continue, although drastic fiscal changes could potentially disrupt the meager recovery.

Although valuations have risen, stocks remain attractive as rates normalize. Intra-market correlations have declined making conditions favourable for active managers. We remain focused on finding companies that are able to generate strong, stable

returns on invested capital into the future.

20


CGS FMS - Global Evolution EM Debt and FX (former SAXO INVEST - Global Evolution EM Debt and FX)


The objective is to achieve capital appreciation through well diversified investments in emerging and frontier market debt and FX.










2014 local currency performance against the dollar, % (sample)

Source: Bloomberg

21


2014 local currency performance against the euro, % (sample)

Source: Bloomberg





full year overall EM performance as investors questioned the sustainability of oil exporters' fiscal and external positions.

As to the sub-fund performance, the sub-fund was launched in early August. For 2014, we correctly foresaw the broad based strengthening of the dollar - a strengthening that gained momentum as the ECB and the Bank of Japan further loosened

their monetary policies and as crude oil and the hard commodity complex nosedived. This was successfully executed in the strategy as long positions in emerging markets currencies were balanced via short positions in EUR, JPY and CHF. In local

fixed income markets, we believe that some high yielders offered value; consequently we were long; in most cases currency hedged. Also, we actively played the falling oil price theme by being short in currencies backed by oil exports while being long

currencies benefitting from lower oil prices. Malaysian Ringit (one of a very few Asian currencies backed by fossil fuel exports) was a short that made notable positive contribution to performance in December, but a long position in Turkish lira

(benefitting from lower oil prices) went somewhat against us.



22


Outlook for 2015


prices (read oil prices) and with most forecasters calling for eminent QE by the ECB while predicting ongoing dollar strength. On the other hand, provided that the ECB delivers on QE and that risk free German yields stay record low and even negative,

the high grade spectrum of EM hard currency debt as well as local fixed income in CEE EU-member states should see some support from crossover investors in search for yield.

Admittedly, the case for being long in local FX is not convincing. However, the fact that in 2014, the most used emerging markets local currency bond index (JPMorgan GBI-EM Global Diversified) unhedged against the Euro returned +6.29% in 2014

as the DXY dollar index gained 10.40% are testimonies of broad based dollar strength as much as EM currency weakness. Given the outlook (at least near term) for ongoing dollar strength most emerging markets´ currencies will face a hard time to

keep track with the greenback. Add to this that the weakness in hard commodities and the deterioration in exporters' terms of trade, these are strong arguments for local policy makers to let currencies adjust and most investors will probably agree that

commodity exporters are to be avoided/kept underweight or short to the benefit of commodity importers. Eastern European low yielding local markets are not the obvious long positions due to EUR/USD sensitivity and in some cases a high US

ownership whereas selective Latin American markets (Mexico should benefit from US growth, Brazil offer significant carry), Asia (energy importers) and selective African names (south Africa) make sense as long positions in our opinion. Finally,

despite many frontier economies being commodity exporters we remain a fan of frontier markets due to these markets' idiosyncratic risk profile, the benign sensitivity to global headlines/the relatively low foreign participation and not least the carry

offered.

23


CGS FMS - Global Evolution Emerging Frontier (former SAXO INVEST - Global Evolution Emerging Frontier)


The objective of the Global Evolution Emerging Frontier strategy is to create attractive returns by utilizing a non-benchmark focused and diversified strategy within sovereign frontier emerging markets globally. The sub-fund invests in hard currency

and local currency instruments as well as in foreign exchange. To achieve the investment objective, Global Evolution Emerging Frontier will use a range of financial instruments (local currency debt instruments, hard currency debt instruments and

foreign exchange) and derivative financial instruments (interest rate futures, interest rate swaps, total return swaps, credit default swaps, FX forwards, FX options and non-deliverable forwards).










Performance Drivers in 2014

Performance-wise, a few notable investment themes dominated 2014. Going into 2014, Fed's tapering and the call for higher US yields saw the so-called twin deficit "fragile five" countries (Brazil, South Africa, Indonesia, India and Turkey) in the firing

line. Later on, in late spring and early summer the very same "fragile five" were back in vogue as the previous fear was replaced by complacency thanks to the unexpected low volatility/low yield environment ruling the US treasury market. The

Russian/Ukrainian crisis and the downing of a Malaysian airliner over rebel held eastern Ukraine was a wake-up call. Chinese slow down worries came and went and the Brazilian presidential election caused some market volatility locally but it was the

collapse in oil prices in Q4 that proved decisive for the full year overall EM performance as investors questioned the sustainability of oil exporters' fiscal and external positions.

A 86bps dollar debt supportive decline in 10yr US treasury yields, broad based dollar strength that left most local currencies behind and the steep decline in oil prices were the dominant performance drivers in 2014. For a while Ebola took its toll on

risk sentiment towards frontier Africa, but it was the sudden slump in oil prices that in earnest saw local fixed income and FX as well as dollar denominated debt backed by oil exporters in the firing line. Being the most extreme example of an oil

dependent economy in dire need of structural reforms, Venezuela suffered thereby causing headwinds to overall sub-fund performance as the credit lost 28.74% over the course of the year. Ukraine fared even worse leaving the credit down 29.77%

on the year as the ongoing armed conflict with pro-Russian separatists in the eastern regions of Ukraine and sanctions on Ukrainian exports to Russia led to fiscal distress and with debt restructuring only being averted by international donor support.

However, our longstanding zero-weight in Ukrainian hard currency debt as well as local currency debt spared the sub-fund for negative performance. In Africa, fiscal underperformance ruled in Ghana leaving investor sentiment negative and the Cedi

(GHS) under pressure. At some point the Cedi was trading as weak as 3.8876 to the dollar in August having started the year in 2.3750. With its back against the wall the Ghanaian government finally turned to the IMF and the Cedi recovered to 3.25-

3.26. Still, the Cedi was down almost 30% on the year contributing negatively to overall sub-fund performance. The 65/35 split between local currency debt and hard currency debt was slightly changed as the year progressed to 60/40. In Nigeria (oil

dependent exporter), we cut the local market exposure to zero in December on concerns that ongoing depressed pricing of oil would leave fiscal performance strained in the run-up to presidential and parliamentary elections due in February 2015.

24


Frontier FX spot performance, % against USD, 2014 (sample)

Source: Bloomberg

To the contrary, our exposure to Argentina (hard currency debt), Sri Lanka (local currency debt) and Bangladesh (local currency debt) performed very well, with Argentina (EMBIGD component) up 19.07% on the year despite being in selective default

and with Sri Lanka and Bangladesh benefitting from being less exposed to global headline news and capital flows and with both being oil importers. Also, although most currencies in the sub-fund were down against the dollar in 2014 we were

compensated via a generous carry primarily in local fixed income.

Emerging Frontier sub-fund, 2014 return attribution


25


Outlook for 2015



therefore more attractive, and with the oil price slump and its deflationary impact making headline deflation the more plausible near-term outcome in G3 (USA, Europe and Japan), it is hard to envision a major jump in US treasury yield that could

jeopardize the appeal of hard currency debt anytime soon. For various reasons Ukraine, Venezuela and Argentina remain risk factors with potentially adverse impact on investors sentiment towards EM debt and FX. On the other hand, provided that

the ECB delivers on QE and that risk free German yields stay record low and even negative, any hike of the US Fed sub-funds rate is likely to be a one-off and the rise in US treasury yields likely to be modest. We expect crude oil prices and the hard

commodity complex to recover from the current depressed pricing in H2, 2015. In the meantime we are biased to keep the exposure to oil dependent exporters low to the benefit of oil importers and manufacturing exporters. A stronger US dollar may

pose a headwind for local curry performance again in 2015, but this is as much about broad based dollar strength as it is about local currency weakness. In fact, we expect frontier currencies to do relatively well against the Euro and the Yen.



26


Combined Statement of Net Assets as of December 31, 2014EUR %

Assets

Portfolio at market value 1,155,038,652.03 91.78

Options rights 396.73 0.00

Unrealised result on forward transactions -10,010,991.04 -0.80

Unrealised result on swap transactions -391,605.92 -0.03

Cash at banks 96,100,924.68 7.64

Interest receivables 18,663,021.98 1.48

Incorporation cost, net 74,865.14 0.01

Performance fee receivable 43,446.18 0.00

Other receivables 3,195,603.60 0.26

Total Assets 1,262,714,313.38 100.34

Liabilities

Administration fee payable -505,028.39 -0.04

Custodian Bank fee payable -48,201.69 0.00

Asset Management fee payable -3,238,573.06 -0.26

Audit fee payable -72,177.14 -0.01

Performance fee payable -79,166.84 -0.02

Other payables (incl. interest payables) -297,406.45 -0.02

Total Liabilities -4,240,553.57 -0.34

Total Net Assets as of December 31, 2014 1,258,473,759.81 100.00

The accompanying notes form an integral part of the financial statements.27


Combined Statement of Operations (including income equalisation)

for the period from 01/01/2014 to 31/12/2014Total

I. Income

Dividends EUR 9,481,145.33

Interest on securities EUR 90,377,625.76

Interest on liquidity investments EUR 2,277.96

Other income EUR 6.26

Total income EUR 99,861,055.31

II. Expenses

Interest on bank overdraft EUR -10,964.74

Administration fee EUR -2,437,250.48

Asset Management fee EUR -14,748,522.29

Custodian Bank fee EUR -1,404,541.42

Performance fee EUR -3,452,555.70

Auditing and publication expenses EUR -266,004.20

Subscription tax ("Taxe d`Abonnement") EUR -285,438.61

Registrar and Transfer Agent fee EUR -217,001.43

Legal fee *) EUR -746,867.63

Foreign withholding taxes EUR -2,724,626.12

Equalisation of ordinary expenses EUR -327,078.90

Other expenses EUR -691,121.06

Total expenses EUR -27,311,972.58

III. Ordinary net income EUR 72,549,082.73

*) The position includes legal fees, advisory fees and notary fees.



Combined Statement of Operations (including income equalisation)

for the period from 01/01/2014 to 31/12/2014Total

IV. Realised profit/loss on

1. Realised profit on EUR 125,260,837.76

- Securities EUR 76,672,138.70

- Forward exchange transactions EUR 46,230,865.91

- Option transactions EUR 259,843.93

- Swap transactions EUR 222,782.41

- Foreign exchange transactions EUR 1,875,206.80

2. Realised loss on EUR -165,829,426.54

- Securities EUR -48,867,778.05

- Forward exchange transactions EUR -105,487,953.32

- Option transactions EUR -1,418,063.69

- Futures transactions EUR -67.22

- Swap transactions EUR -1,419.18

- Foreign exchange transactions EUR -10,054,145.08

Total realised profit/loss EUR -40,568,588.78

V. Net change in unrealised profit/loss on

- Securities EUR 104,153,787.87

- Forward exchange transactions EUR -20,688,268.17

- Option transactions EUR -35,246.84

- Swap transactions EUR -450,933.44

- Foreign exchange transactions & other transactions EUR 26,351,156.36

Total net change in unrealised profit/loss EUR 109,330,495.78

VI. Result of operations for the period EUR 141,310,989.73



Combined Statement of Changes in Net Assets 2014I. Net assets at the beginning of the period EUR 1,403,705,221.16

1. Distribution for the previous year/tax reduction for the previous year EUR 0.00

2. Interim distributions EUR 0.00

3. Net cash flow EUR -290,739,746.59

a) Proceeds from shares issued EUR 511,201,214.62

b) Proceeds from shares redeemed EUR -801,940,961.21 *)

4. Income/expense equalisation EUR 4,197,295.51

5. Result of operations for the period EUR 141,310,989.73

II. Net assets at the end of the period EUR 1,258,473,759.81

*) The amount includes EUR 558,162,745.13 from the CPH Capital Global Equities of which EUR 370,696,271.27 is due to the merger of this sub-fund with ACMBernstein SICAV-Global Core Equity Portfolio and

EUR 187,466,473.86 is due to shareholder redemptions. Furthermore the last NAV for CPH Capital Consumer Equities which amounted to EUR 37.942,85 is included in the proceeds from shares redeemed.



Fund Structure as at 31/12/2014

Investment Focus

Market Value

in EUR % of Fund Assets

I. Assets 744,638,996.23 100.39

1. Bonds 685,237,084.22 92.38

2. Derivatives -8,641,925.89 -1.16

3. Bank balances 54,460,782.28 7.34

4. Other Assets 13,583,055.62 1.83

II. Liabilities -2,894,467.13 -0.39

III. Fund Assets 741,744,529.10 100.00



Statement of Net Assets as at 31/12/2014

Description ISIN Commitment Units / Holdings Currency Price Market Value %

in EUR % in 1,000 31/12/2014 in EUR of the sub-fund-

assets

Portfolio holdings EUR 685,237,084.22 92.38

Exchange-traded securities EUR 96,915,431.79 13.07

Interest-bearing securities EUR 96,915,431.79 13.07

0.9375% Federation of Bosnia and Herzegovina DM-FLR Bds 1997(10-21) Reg.S BXS0082227546 % 29,300 DEM 83.250 7,275,076.32 0.99

0.9375% Federation of Bosnia and Herzegovina DM-FLR Bds 97(98/05-17)Reg.S AXS0082227462 % 22,000 DEM 90.500 3,868,332.11 0.52

17.0000% ABSA Bank Ltd. NM/DL-FLR Cred. Lkd MTN 12(16) XS0721890357 % 4,981 USD 137.430 5,657,949.60 0.76

6.8750% Egypt, Arab Republic DL-Notes 2010(40) Reg.S XS0505478684 % 17,000 USD 103.672 14,566,691.46 1.96

8.2800% Argentina, Republic DL-Bonos 2005(24-33) Disc. ARARGE03E113 % 4,750 USD 83.182 4,578,606.02 0.62

7.0000% Argentina, Republic DL-Bonos 2007(17) ARARGE03F441 % 12,000 USD 96.405 9,561,616.66 1.29

8.7500% Argentina, Republic DL-Bonos 2014(19-24) ARARGE03H413 % 11,500 USD 97.870 9,302,463.01 1.25

11.7500% Buenos Aires, Province of... DL-Bonds 2010(15) Reg.S XS0546539486 % 3,800 USD 98.406 3,090,691.79 0.42

1.5489% Dominican Republic DL-FLR Notes 1994(24) XS0052684601 % 2,500 USD 103.500 2,138,606.50 0.29

5.1250% Mongolia DL-Med.-Term Nts 2012(22)Reg.S US60937GAB23 % 13,750 USD 87.253 9,915,933.13 1.34

5.3750% Zambia, Republic DL-Bonds 2012(22) Reg.S XS0828779594 % 8,000 USD 92.629 6,124,737.58 0.83

8.5000% Zambia, Republic DL-Bonds 2014(24) Reg.S XS1056386714 % 1,000 USD 109.959 908,827.18 0.12

8.7500% Senegal, Republic DL-Bonds 2011(21) Reg.S XS0625251854 % 6,200 USD 110.671 5,671,214.15 0.76

5.0000% Seychelles, Republic DL-Notes 2010(16-26) XS0471464023 % 6,174 USD 96.000 4,898,785.02 0.66

5.0000% Uruguay, Republic PU/DL-Infl.lkd Bonds 2006(18) US760942AT98 % 143,000 UYU 102.676 9,355,901.26 1.26

Securities admitted to or included in organised markets EUR 498,146,167.53 67.14


Frontera Capital B.V. DL-Zo Credit Lkd MTN 14(14-16) XS1111166366 **) % 14,600 USD 86.270 10,410,298.37 1.40

Frontera Capital B.V. DL-Zo Credit Lkd MTN 14(14-17) XS1116569838 **) % 16,400 USD 87.000 11,792,710.14 1.59

Frontera Capital B.V. DL-Zo Credit Lkd MTNs 2014(15) XS1088133266 **) % 14,500 USD 102.070 12,232,539.88 1.65

Frontera Capital B.V. DL-Zo Credit Lkd MTNs 2014(23) XS1086068274 **) % 22,380 USD 106.700 19,736,722.04 2.66

Frontera Capital B.V. DL-Zo Credit Lkd NTNs 2014(15) XS1086070338 **) % 8,400 USD 100.710 6,992,015.87 0.94

3.9750% Macedonia, Republic EO-Bonds 2014(21) Reg.S XS1087984164 % 5,700 EUR 100.710 5,740,470.00 0.78

21.0000% Ghana, Republic of... CG-Bonds 2012(15) GHGGOG029117 % 20,500 GHS 97.386 5,140,352.04 0.70

**) The last available market price as of December 31, 2014 is dated December 29, 2014.






assets






12.0000% Kenya, Republic KS-Treasury Bonds 2011(15-23) KE2000002242 % 3,312,500 KES 103.159 31,242,440.00 4.21

11.0000% Kenya, Republic KS-Treasury Bonds 2013(17-25) KE3000008130 % 600,000 KES 99.507 5,458,669.71 0.74

6.4000% Citigroup Inc. CR/DL-Credit Lkd MTN 2013(16) XS0922219117*) % 900,000 LKR 102.000 5,785,286.47 0.78

10.6000% Citigroup Inc. CR/DL-Credit Lkd MTN 2014(19) XS1057555978*) % 600,000 LKR 117.000 4,424,042.59 0.60

8.5000% Citigroup Inc. CR/DL-FLR Cr.Lkd MTN 2013(18) XS0876274621*) % 1,000,000 LKR 105.961 6,677,720.47 0.90

0.0000% Citigroup Inc. CR/DL-FLR Cr.Lkd MTN 2014(19) XS1055190877 % 1,050,000 LKR 117.000 7,742,074.54 1.04

0.0000% Citigroup Inc. PR/DL-FLR Cr.Lkd MTN 2014(16) XS1074140374 % 1,342,000 PKR 106.570 11,761,745.14 1.59

10.0000% Citigroup Inc. SJ/EO-Cred.Linked MTN 2013(18) XS0880306138 % 1,275,000 RSD 107.410 11,331,396.88 1.53

5.8000% Citigroup Inc. CR-Credit Linked MTN 2012(17) XS0834224593 *) % 820,000 LKR 99.500 5,141,846.65 0.69

7.5000% Citigroup Inc. CR/DL-Cr.Lkd M.-T.Nts 2012(18) XS0861554516 *) % 650,000 LKR 103.250 4,229,466.64 0.57

0.0000% Creative Africa B.V. DL-FLR Cred.Lkd Nts 2013(15) XS0957105819 **) % 9,450 USD 108.290 8,458,058.52 1.14

10.7500% Uganda, Republic UG-Bonds 2011(16) UG0000000972 % 5,500,000 UGX 96.427 1,588,191.20 0.21


14.1250% Uganda, Republic UG-Bonds 2013(16) UG0000001368 % 1,000,000 UGX 101.080 302,695.99 0.04



6.6250% Ethiopia, Democratic Federal Republic DL-Notes 2014(24) Reg.S XS1151974877 % 20,400 USD 99.037 16,698,527.15 2.25

10.8750% Buenos Aires, Province of... DL-Bonds 2011(19-21) Reg.S XS0584493349 % 6,000 USD 91.000 4,512,769.65 0.61

0.0000% Citigroup Inc. DL-FLR Credit Lkd MTN 2014(16) XS1122013193 % 3,200 USD 102.890 2,721,282.75 0.37

Citigroup Inc. DL-Zo Cred.Lkd MTN 2014(15) XS1143714167 % 9,500 USD 100.200 7,867,592.36 1.06

12.3750% Córdoba, Province of... DL-Nts 2010(10/17) Reg.S USP79171AB31 % 3,700 USD 91.808 2,807,584.10 0.38

5.7500% Côte d'Ivoire, Republic DL-Bonds 2010(10/16-32) Reg.S XS0496488395 % 33,700 USD 96.268 26,814,047.44 3.61

9.3750% Ecuador, Republic DL-Bonds 2005(15) Reg.S USP8055QDE90 % 21,081 USD 98.473 17,157,693.31 2.31

7.9500% Ecuador, Republic DL-Bonds 2014(14/24) Reg.S XS1080330704 % 6,349 USD 86.133 4,519,880.33 0.61

7.8750% Ghana, Republic of... DL-Bonds 2013(23) Reg.S XS0956935398 % 5,000 USD 92.250 3,812,298.54 0.51

8.7500% Honduras, Republic DL-Notes 2013(20) Reg.S XS1006084211 % 3,000 USD 111.461 2,763,724.27 0.37

7.5000% Honduras, Republic DL-Notes 2013(22-24) Reg.S XS0905659230 % 7,800 USD 104.288 6,723,253.16 0.91

16.1250% ING Bank N.V. DL-Credit Linked MTN 2014(17) XS1122197061 % 8,327 USD 99.891 6,874,892.05 0.93

0.0000% ING Bank N.V. DL-FLR Credit Lkd MTN 2014(17) XS1136231872 % 5,440 USD 101.442 4,561,088.62 0.61

*) The last available market price as of December 31, 2014 is dated December 23, 2014.







assets

ING Bank N.V. DL-Zo Cr.Lkd M.-T.Nts 2014(15) XS1122197145 % 5,732 USD 86.493 4,097,695.42 0.55

ING Bank N.V. DL-Zo Cr.Lkd M.-T.Nts 2014(15) XS1136288716 % 6,008 USD 86.764 4,308,414.81 0.58

7.8750% Pakistan, Republic DL-Notes 2006(36) Reg.S USY8793YAL66 % 14,295 USD 92.170 10,889,909.50 1.47

6.7500% Pakistan, Republic DL-Notes 2014(19) Reg.S XS1147732553 % 2,600 USD 98.877 2,124,811.80 0.29

8.2500% Pakistan, Republic DL-Notes 2014(24) Reg.S XS1056560920 % 7,000 USD 103.439 5,984,569.15 0.81

6.6250% Rwanda, Republic DL-Notes 2013(23) Reg.S XS0925613217 % 18,750 USD 102.401 15,869,204.07 2.14

12.5000% Saderea Ltd. DL-Notes 2014(15-26) XS1136935506 % 16,800 USD 96.751 13,434,293.08 1.81

6.2500% Senegal, Republic DL-Bonds 2014(24) Reg.S XS1090161875 % 3,800 USD 96.613 3,034,378.05 0.41

10.0000% Serbia, Republic SJ-Bonds 2012(17) RSMFRSD16132 % 310,000 RSD 100.262 2,571,724.49 0.35

10.0000% Serbia, Republic SJ-Bonds 2013(16) RSMFRSD17981 % 525,000 RSD 101.041 4,389,205.54 0.59

10.0000% Serbia, Republic SJ-Treasury Bonds 2012(15) RSMFRSD52228 % 300,000 RSD 100.857 2,503,545.10 0.34

10.0000% Serbia, Republic SJ-Treasury Notes 2014(17) RSMFRSD44555 % 610,000 RSD 100.397 5,067,329.21 0.68

4.7324% Standard Bank PLC DL-FLR Cr.Lkd MTN 11(12/13-18) XS0659669484 % 3,750 USD 101.030 2,348,515.37 0.32

11.2300% Standard Chartered Bank DL-Credit Linked MTN 2014(19) XS1020319890 % 5,029 USD 109.487 4,551,135.42 0.61

0.0000% Standard Chartered Bank DL-FLR Cred.Lkd MTN 2013(15) XS0961652699 % 12,485 USD 104.899 10,824,834.64 1.46





11.0000% Zambia, Republic ZK-Bonds 2014(19) ZM1000002239 % 800 ZMW 76.922 79,595.41 0.01

7.0000% Venezuela, Boliv. Republic DL-Bonds 2007(38) Reg.S USP97475AJ95 % 12,900 USD 41.325 4,406,087.28 0.59

9.0000% Venezuela, Boliv. Republic DL-Bonds 2008(23) Reg.S USP17625AA59 % 27,250 USD 45.478 10,242,792.79 1.38

7.7500% Venezuela, Boliv. Republic DL-Bonds 2009(19) Reg.S USP97475AN08 % 10,000 USD 43.250 3,574,675.59 0.48

10.2500% Uruguay, Republic PU-Bonds 2012(15) UYNA00006UY8 % 400,000 UYU 97.140 13,216,056.82 1.78



10.0000% Zambia, Republic ZK-Bonds 2014(17) ZM1000002106 % 45,000 ZMW 87.216 5,076,403.71 0.68

6.3050% Mozambique Ematum Fin. 2020 BV DL-LPN 2013(15-20) Ematum XS0969351450 % 8,500 USD 97.452 6,846,367.47 0.92

5.0000% Nicaragua, Republic DL-Bonds 2001(12-16) Ser.J XS0132444216 % 7,046 USD 96.000 2,402,708.16 0.32

5.0000% Nicaragua, Republic DL-Bonds 2003(14-18) XS0264192393 % 6,505 USD 94.500 4,325,916.46 0.58

11.0000% Singularity Africa PCC DL-Credit Linked Nts 2013(15) XS0953721049 **) % 15,000 USD 113.180 14,031,738.16 1.89

10.0000% Zambia 03.09.2015 ZM1000002106 % 97,705 ZMW 95.505 12,069,530.38 1.63

0.0000% ZAMBIA GOVT BOND 20022017 ZM1000000753 % 4,000 ZMW 90.601 468,749.11 0.06







assets

New issue EUR 27,374,519.81 3.69

Admission to stock exchange EUR 5,637,186.15 0.76


0.0000% ING Bank N.V. DL-FLR Credit Lkd MTN 2014(17) XS1049624833 % 7,385 USD 92.355 5,637,186.15 0.76

Admission or inclusion to an organized market EUR 21,737,333.66 2.93


7.0000% Zambezi B.V. DL-Cred.Lkd MTN 2014(24)Reg.S XS1143243969 % 26,300 USD 100.000 21,737,333.66 2.93

Unlisted securities EUR 62,800,965.09 8.48


9.2000% Costa Rica, Republic CO/DL-Glbl Dep.Nts 12(19)Reg.S US221597BJ58 % 1,000,000 CRC 98.902 1,532,765.97 0.21

9.4300% Costa Rica, Republic CO/DL-Glbl Dep.Nts 12(22)Reg.S XS0834592551 % 2,997,150 CRC 97.030 4,506,976.42 0.61

11.1300% Costa Rica, Republic CO/DL-Glbl.Dep.Nts 12(18)Reg.S XS0853353836 % 800,000 CRC 105.486 1,307,842.92 0.18

16.0000% Dominican Republic DP/DL-Glbl Dep.Nts 10(20)Reg.S US25714PBB31 % 116,000 DOP 119.993 2,599,865.89 0.35

15.5000% Dominican Republic DP/DL-Glbl Dep.Nts 11(18)Reg.S US25714RAK05 % 252,000 DOP 111.696 5,257,450.68 0.71

15.9500% Dominican Republic DP/DL-Glbl Dep.Nts 11(21)Reg.S US25714PBF45 % 374,600 DOP 121.594 8,507,793.96 1.15

16.9500% Dominican Republic DP/DL-Glbl Dep.Nts 12(22)Reg.S US25714PBP27 % 40,000 DOP 127.336 951,367.34 0.13

12.5000% Dominican Republic DP/DL-Glbl Dep.Nts 13(18)Reg.S XS0900686956 % 300,000 DOP 103.869 5,820,284.99 0.78

11.5000% Dominican Republic DP/DL-Glob.Dep.Nts 14(24)Reg.S XS1084826483 % 350,000 DOP 99.462 6,502,229.25 0.88

0.0000% Singularity Africa PCC DL-FLR Cred. Lkd. Nts 2013(15) XS0935359280 **)

audited annual report as of december 31, 2014...equities to those of acmbernstein sicav – global...

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