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MEDIOLANUM FUND OF HEDGE FUNDS

ANNUAL REPORT &

AUDITED FINANCIAL STATEMENTS

FOR THE YEAR ENDED 31 DECEMBER 2014


TABLE of CONTENTS Table of Contents 1 Trust Information 2 Statement of Manager’s Responsibilities 4 Trustee’s Report 5 Depositary Report 6 Schedule of Investments 7-9 Investment Manager’s Report 10-11 Independent Auditor’s Report 12 Statement of Net Assets 13 Income Statement 14 Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Units 15 Statement of Cash Flows 16 Notes to the Financial Statements 17-33 Fund of Funds Disclosure (unaudited) 34-35 Appendix Additional Information (unaudited) 36

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TRUST INFORMATION MANAGER and AIFM1 Mediolanum International Funds Limited 2 Shelbourne Buildings Shelbourne Road

Ballsbridge Dublin 4

Ireland

TRUSTEE and DEPOSITORY Northern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2 Ireland DIRECTORS of THE MANAGER Andrew Bates (Chairperson)2 Furio Pietribiasi (Managing Director)3 Corrado Bocca2 John L Mahon4 (resigned 31 May 2014) Vittorio Gaudio2

Wyndham Williams4 (resigned 31 May 2014) Bronwyn Wright4

Paul O’Faherty4 (appointed 21 July 2014) Des Quigley4 (appointed 21 July 2014)

ADMINISTRATOR, REGISTRAR and TRANSFER AGENT

Northern Trust International Fund Administration Services (Ireland) Limited

Georges Court 54-62 Townsend Street Dublin 2 Ireland INVESTMENT MANAGER Mediolanum Asset Management Limited

2 Shelbourne Buildings Shelbourne Road

Ballsbridge Dublin 4

Ireland DELEGATE INVESTMENT MANAGER

Tages Capital SGR S.p.A. (ceased 1 July 2014) Corso Venezia 18 – 20121 Milano Italy

1 Mediolanum International Funds Limited was authorised by the Central Bank as an Alternative Investment Fund Manager (“AIFM”) on 21 July 2014.

2Non-executive Directors 3Executive Director 4Independent Non-executive Directors

2


TRUST INFORMATION (CONTINUED)

DELEGATE INVESTMENT MANAGER

Tages Capital LLP (appointed 1 July 2014). 39 St James’ Street London SW1A1D United Kingdom

GLOBAL DISTRIBUTOR Mediolanum International Funds Limited 2 Shelbourne Buildings Shelbourne Road

Ballsbridge Dublin 4 Ireland IRISH LEGAL ADVISORS

Dillon Eustace

33 Sir John Rogerson's Quay Dublin 2

Ireland

INDEPENDENT AUDITORS Deloitte & Touche Deloitte & Touche House

Chartered Accountants and Statutory Audit Firm 29 Earlsfort Terrace Dublin 2 Ireland

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STATEMENT OF MANAGER’S RESPONSIBILITIES For the year ended 31 December 2014 The Manager is required to prepare financial statements for each financial year, which give a true and fair view of the state of affairs of the Trust and of the profit or loss of the Trust for that period. In preparing those financial statements the Manager is required to: • select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; and • prepare the financial statements on the going concern basis unless it is inappropriate to presume that the

Trust will continue in business. The Manager is responsible for keeping proper books of account which disclose with reasonable accuracy at any time the financial position of the Trust and to enable it to ensure that the financial statements are prepared in accordance with accounting standards generally accepted in Ireland and comply with the Trust Deed and the Unit Trusts Act, 1990. The Manager is also responsible for safeguarding the assets of the Trust and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. Corporate Governance Statement On 14 December 2011, The Irish Funds Industry Association (“IFIA”) published a corporate governance code (“IFIA Code”) that may be adopted on a voluntary basis by Irish authorised collective investment schemes. Mediolanum International Funds Limited, as Manager of the Trust, has adopted the code. Connected Party Transactions The directors of the Manager are satisfied that transactions with connected parties entered into during the year complied with the obligations set out in Chapter 1, Part 1, Section 1, xii of the AIF Rulebook, namely any such transactions be carried out as if negotiated at arm’s length and in the best interest of the unitholders. On behalf of the Manager: Director Director 22 April 2015

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TRUSTEE’S REPORT TO THE UNITHOLDERS OF MEDIOLANUM FUND OF HEDGE FUNDS For the period 1 January 2014 to 20 July 2014 Report of the Trustee to the Unitholders We have enquired into the conduct of the Manager in respect of the Mediolanum Fund of Hedge Funds (‘the Trust’) for the period 1 January 2014 to 20 July 2014, in our capacity as Trustee to the Trust. This report including the opinion, has been prepared for and solely for the unitholders in the Trust as a body, in accordance with the Central Bank’s Non - UCITS Notice 7 and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown. Responsibilities of the Trustee Our duties and responsibilities are outlined in the Central Bank’s Non - UCITS Notice 7. One of those duties is to enquire into the conduct of the Trust in each annual accounting period and report thereon to the unitholders. Our report shall state whether, in our opinion, the Trust has been managed, in that period, in accordance with the provisions of the Trust’s Trust Deed and the Non – UCITS Notices. It is the overall responsibility of the Manager to comply with these provisions. If the Manager has not so complied, we as Trustee must state why this is the case and outline the steps which we have taken to rectify the situation. Basis of Trustee Opinion The Trustee conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Non - UCITS Notice 7 and to ensure that, in all material respects, the Trust has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the Trust’s constitutional documentation and the appropriate regulations. Opinion In our opinion, the Mediolanum Fund of Hedge Funds has been managed during the period, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Trust by the Trust Deed and by the Central Bank under the powers granted to the Central Bank by the Unit Trusts Act, 1990; and

(ii) otherwise in accordance with the provisions of the Trust Deed and the Unit Trusts Act, 1990.

On behalf of

Northern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend Street

Dublin 2 Ireland 22 April 2015

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REPORT OF THE DEPOSITARY TO THE UNITHOLDERS MEDIOLANUM FUND OF HEDGE FUNDS For the period 21 July 2014 to 31 December 2014 We have enquired into the conduct of the Manager in respect of the Mediolanum Fund of Hedge Funds (the “Trust”) for the period 21 July 2014 to 31 December 2014, in our capacity as Depositary to the Trust. This report including the opinion has been prepared for and solely for the unitholders in the Trust as a body, in accordance with the Central Bank of Ireland AIF Rulebook, Chapter 6 iii, and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown. Regulatory obligations of the Depositary Our regulatory obligations are outlined in:

• AIFM Regulations – European Union (Alternative Investment Fund Managers) Regulations 2013 (SI No 257 of 2013) which implemented Directive 2011/61/EU into Irish Law: Chapter 4.

• Commission Delegated Regulation (EU) No 231/2013: Articles 83 -102 • Chapter 6: AIF Depositary Requirements: AIF Rulebook

One of those obligations is to enquire into the conduct of the AIFM and the Trust in each annual accounting period and report thereon to the unitholders. Our report shall state whether, in our opinion, the Trust has been managed in that period in accordance with the provisions of the constitutional documentation and the investment funds legislation. It is the overall responsibility of the AIFM and the Investment Manager to comply with these provisions. If the AIFM and the Investment Manager has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation. Basis of Depositary Opinion The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its obligations and to ensure that, in all material respects, the Trust has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations and (ii) otherwise in accordance with the constitutional documentation and the appropriate regulations. Opinion In our opinion, the Trust has been managed during the period, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Trust by the constitutional document and by the Central Bank of Ireland under the powers granted to the Central Bank of Ireland by the investment fund legislation; and

(ii) otherwise in accordance with the provisions of the constitutional document and the investment

fund legislation. On behalf of

Northern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend Street

Dublin 2 Ireland 22 April 2015

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SCHEDULE OF INVESTMENTS As at 31 December 2014

Fair Value % ofFinancial assets at fair value through profit or loss Holdings Curency (EUR) € Net Assets

Collective Investment Schemes: 99.40% (2013: 84.11% )

Cayman Islands: 83.91% (2013: 81.55% )

Civic Cap Currency Offshore Fund Class B Series 0613 11,226 USD 9,748,741 5.98 Civic Cap Currency Offshore Fund Class F2 - Initial 2,783 USD 2,643,268 1.62 GAM Talentum Enhanced Europe L/S A EUR 2014 Series 1 119,207 EUR 12,342,704 7.56 Metacapital Rising Rates Fund Class A1 2014-03 10,000 USD 7,563,514 4.64 Metacapital Rising Rates Fund Class A1 2014-06 1,350 USD 1,059,004 0.65 MKM Longboat Multi Strategy Fund USD Class R* 2,877 USD - - MS Alkeon Ucits Fund Class C EUR Share 9,812 EUR 12,874,352 7.89 New Peak Enhanced Fund Class BR EUR 179,023 EUR 18,622,801 11.41 Palmerston Credit Feeder Fund Founder EUR Series 11/2014 70,000 EUR 7,132,382 4.37 Palmerston Credit Feeder Fund Founder EUR Series 12/2014 20,000 EUR 2,014,573 1.23 Pentwater Equity Opportunities Fund Class C Series Initial 12,938 USD 19,520,272 11.96 Pine River Liquid Rates Class C Series 2 Dec 13 9,450 USD 8,001,453 4.90 Pine River Liquid Rates Class C Series 3 Jan 14 5,400 USD 4,586,029 2.81 Rockhampton Fund Class A Usd Restricted Series 2 August 2003 5,029 USD 14,825,849 9.08 Trient Global Macro Fund USD F Class 110,937 USD 9,145,080 5.60 TT Mid-Cap Europe Long/Short Fund Class A EUR 19,486 EUR 6,873,522 4.21

Total Cayman Islands 136,953,544 83.91

Ireland: 6.34% (2013: 0.00% )

GFS UCITS Trend Macro EUR Class C 109,964 EUR 10,345,702 6.34

Total Ireland 10,345,702 6.34

Luxembourg: 9.15% (2013: 2.56% )

Alpha UCITS Anavon Global Equity Long Short Fund E EUR 4,839 EUR 5,189,580 3.18 S.A. Amber Equity Fund A EUR 9,306 EUR 9,741,436 5.97

Total Luxembourg 14,931,016 9.15

Virgin Islands: 0.00% (2013: 0.00% )

Kingate Global Fund - Vi*** 10,750 USD - -

Total Virgin Islands - -

Total Collective Investment Schemes 162,230,262 99.40

Total Forward Foreign Exchange Contracts(note 9) (2013: (0.54% ) - -

Total Financial Assets at fair value through Profit or Loss 162,230,262 99.40

* In Voluntary Liquidation *** Fair value of investment written down to zero on 30 November 2009

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ALTERNATIVE STRATEGY COLLECTION SCHEDULE OF INVESTMENTS (continued) As at 31 December 2014

Fair Value % ofFinancial assets at fair value through profit or loss (EUR) € Net Assets

Total Forward Foreign Exchange Contracts(note 9) (2013: (0.01% )) (2,252,039) (1.38)

Total Financial Liabilities at fair value through Profit or Loss (2,252,039) (1.38)

Total Net Assets at fair value through Profit or Loss 159,978,223 98.02

Cash (2013: 4.48% ) 8,906,977 5.46

Other (Net Liabilities)/Net Assets (2013: 2.09% ) (5,671,583) (3.48)

Net Assets Attributable to Holders of RedeemableParticipating units 163,213,617 100.00

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MEDIOLANUM HIGH VOLATILITY FUND SIDE POCKET SCHEDULE OF INVESTMENTS (continued) As at 31 December 2014

* Investment subject to restrictions on redemptions ** Investment in side pocket shares

Fair Value % ofFinancial assets at fair value through profit or loss Holdings Currency (EUR) € Net Assets

Collective Investment Schemes: 76.35% (2013: 97.61% )

Cayman Islands: 76.35% (2013: 97.61% )

GLG Emerging Markets Growth Fund Class E* 5,183 EUR 241,955 11.37 PNT Spv Ltd** 682 USD 1,382,787 64.98

Total Cayman Islands 1,624,742 76.35

Total Collective Investment Schemes 1,624,742 76.35

Total Net Assets at fair value through Profit or Loss 1,624,742 76.35

Cash (2013: 4.48% ) 521,023 24.48

Other Net Liabilities (2013: (2.09% )) (17,638) (0.83)

Net Assets Attributable to Holders of RedeemableParticipating units 2,128,127 100.00

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INVESTMENT MANAGER’S REPORT For the year ended 31 December 2014 Mediolanum High Volatility Fund Side Pocket Performance Fund* 31/12/13 – 31/12/14 8.12% * Performance is stated in euro, net of management fee, performance fee and costs. The Mediolanum High Volatility Side Pocket returned +8.12% in 2014. Throughout the year the portfolio was composed of two assets: Panton and GLG Emerging Markets Growth. The largest asset in the Panton portfolio is TI Automotive, which counts for about 85% of the assets (the rest being 5% in cash, 10% in a Lyondell claim). TI Automotive is one of the largest global players in automotive parts, providing fuel tank systems for manufacturers such as Mercedes and other parts for Audi, Volkswagen, Seat and Skoda. The company implemented a 2-year turnaround plan in 2009 after it hit financial trouble and had to be bailed out by its lenders. TI’s shareholders are a group of hedge funds led by Oaktree, which took control of the car parts manufacturer in 2009 (among them is Panton). In the summer 2014, the company decided the distribution of a special dividend to shareholders, which was paid in September and amounted to about 24% of the portfolio value. The company was planning an IPO in the first half of 2015. As per the remaining assets in the Panton portfolio, there were originally two different claims related to Lyondell, a plastics, chemical and refining company which filed for Chapter 11 bankruptcy protection in 2009 and emerged from bankruptcy in 2010. The first litigation ended negatively for Panton and therefore the position was written off at the end of last year. The second litigation (about 10% of the current portfolio) is still ongoing and there have been contradicting rulings by the lower and the upper courts. GLG Emerging Markets Growth remains exclusively invested in a single asset: Sibanthracite, a Russian anthracite mining company. In accordance with the pricing policies of the Fund, the carrying value of the Fund’s minority position in Sibanthracite was marked down three times over the course of the year to reflect a downturn in the realisable valuations of coal mining companies. Losses from this position were however limited to 3.76% as the underlying asset is denominated in US dollars and thus the portfolio benefited from the US dollar appreciation against the Euro. On 7 March 2014, following the receipt of dividends from Sibanthracite, the Fund also resolved to compulsorily redeem approximately 5% of the outstanding shares and a corresponding cash payment has been paid to investors. Alternative Strategy Collection Performance Fund* 31/12/13 – 31/12/14 -1.21% * Performance is stated in euro, net of management fee, performance fee and costs. The Fund ended 2014 with a performance of -1.21% which compares to a yearly return of -0.58% for the HFRX Global Hedge Fund Index. The Fund started the year with an overall “risk-on” positioning as the manager was expecting the global economy to accelerate and maintain a certain momentum during the year. Significant weight was therefore placed on Equity Hedge and Event Driven strategies. Cognisant of the risks of this positioning, the equity allocation was balanced with significant exposures to Global Macro and Fixed Income. The manager’s conviction in Global Macro relied on the regional economic differences and growing divergences in monetary policies, which these managers were supposed to take advantage of through interest rate and FX trading. Although this outlook proved to be broadly correct, Global Macro managers were the worst contributors to the portfolio in 2014. Their performance was particularly weak during the first half of the year when two of their most important market calls did not work out as expected: rising rates in the US and strengthening of the US dollar, mainly against the Euro and a group of Emerging Market currencies. The significant volatility exhibited by these managers led the manager to reduce the strategy weighting and reshuffle some names in the portfolio. Also March and April proved to be very challenging for the Equity Market Neutral and Long/Short funds given the huge sector rotation that happened in the market. The last quarter of the year was quite mixed with a very challenging month in October, probably the worst for the industry since 2008. Four major factors contributed negatively to the performance of hedge funds in October:

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INVESTMENT MANAGER’S REPORT (continued) For the year ended 31 December 2014 Alternative Strategy Collection (continued)

1) Government-Sponsored Enterprises (GSEs): a US District Court dismissed claims from investors in preferred shares of Fannie Mae and Freddie Mac that they have unlawfully been denied access to their shares of the corporate profits. On the announcement, preferred shares prices collapsed over 50%.

2) Termination of the AbbVie/Shire: AbbVie was expected to lower its tax burden by buying Shire and moving its legal address to the U.K. but amidst US tax rule changes aiming at making tax inversion deals more difficult, AbbVie decided to withdraw the bid, causing the shares of Shire to tumble over 30%.

3) General market weakness. Losses caused by 1) and 2) prompted many investors to de-risk their portfolios. The lack of liquidity in the market exacerbated losses, causing more deleveraging and pain.

4) Oil prices. Weakness in the general markets was compounded by fears that global economies are slowing down and deflationary concerns. This caused energy prices in particular to fall precipitously.

Towards year end, the fund performed positively, thanks to the contribution of Global Macro funds being short JPY and long USD, and Event Driven managers, which took advantage of October dislocations to increase positions and benefited from the normalisation of the market. 2015 Market Outlook The manager expects 2015 to begin with a mild acceleration in growth in the US, driven by rising domestic demand. In Japan, growth should be supported by the postponement of the consumption tax increase and higher confidence around the government’s actions. In both countries, inflation pressures should remain subdued, thanks to a still large under utilisation gap and a downward trajectory of commodity prices. The manager expects the Euro area to continue to post sub-par growth numbers, pressuring the ECB to implement full-scale QE, while in China growth should remain roughly unchanged, with the authorities ready to intervene if necessary. The path of oil and commodity prices will continue to be a key driver for Emerging and Frontier Markets, but as always, there will be beneficiaries (e.g. China, India, Turkey) and losers (e.g. Russia, GCC countries, Nigeria) from lower energy prices. Meanwhile, the decline in oil prices and the subsequent fall in headline inflation should help central banks in taking unconventional measures more quickly than previously expected. Geopolitical risk will also be at the forefront of investors’ minds in 2015, with the potential for further deterioration in the relations between the West and Russia, the destabilisation effects of the elections in Greece, and the impact of lower oil prices and changing strategic alliances in the Middle East. In terms of hedge fund strategies, Global Macro should offer asymmetric and uncorrelated returns, particularly if divergences in central bank policies continue to grow. The manager believes that the Event Driven space, given the recent widening of M&A spreads, remains one of the strategies with the best opportunity set, even if some crowding across managers means that allocations need to be managed carefully. Equity Long/Short, still backed by the central banks’ implicit put option, remains interesting, but long exposure to developed markets should be measured as valuations are in most cases stretched. Fixed Income Arbitrage remains a victim of low volatility and central bank manipulation, while credit sensitive strategies (with a long bias) offer worsening risk rewards as investors continue to go down the quality spectrum in their chase for yield. Managed Futures remain vulnerable to corrections in fixed income and equity markets, lacking the correlation benefits historically provided to hedge fund portfolios. Lastly, the manager thinks that there are some very interesting opportunities in some Emerging and Frontier Markets following the significant sell-off in the last quarter of 2014. Mediolanum Asset Management Limited January 2015

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INDEPENDENT AUDITOR’S REPORT TO THE UNIT HOLDERS OF MEDIOLANUM FUND OF HEDGE FUNDS For the year ended 31 December 2014 We have audited the financial statements of Mediolanum Fund of Hedge Funds for the year ended 31 December 2014 which comprise the Statement of Net Assets, the Income Statement, the Statement of Changes in Net Assets Attributable to Holders of Participating Redeemable Units, the Statement of Cash Flows and the related notes 1 to 21. The financial reporting framework that has been applied in their preparation is Irish law and accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland (Generally Accepted Accounting Practice in Ireland). This report is made solely to the Trust's unit holders, as a body in accordance with the requirements of the Unit Trusts Act, 1990 and the Trust Deed. Our audit work has been undertaken so that we might state to the unit holders those matters we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Trust’s unit holders as a body, for our audit work, for this report, or for the opinions we have formed. Respective responsibilities of the Trustee/Depositary, the Manager and the Auditors As explained more fully in the Statement of Manager’s Responsibilities, the Manager is responsible for the preparation of the financial statements giving a true and fair view. Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s (APB’s) Ethical Standards for Auditors. The Trustee/Depositary is responsible for safeguarding the assets of the Trust. Scope of the audit of the financial statements. An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: whether the accounting policies are appropriate to the Trust’s circumstances and have been consistently applied and adequately disclosed; the reasonableness of significant accounting estimates made by the directors; and the overall presentation of the financial statements. In addition, we read all the financial and non-financial information in the Annual Report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report. Opinion on financial statements In our opinion the financial statements:

• give a true and fair view, in accordance with Generally Accepted Accounting Practice in Ireland, of the state of the affairs of the Trust as at 31 December 2014 and of the loss for the year ended; and

• have been properly prepared in accordance with the Unit Trusts Act, 1990 and the Trust Deed. Deloitte & Touche Chartered Accountants and Statutory Audit Firm Dublin 22 April 2015

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MEDIOLANUM FUND OF HEDGE FUNDS STATEMENT OF NET ASSETS as at 31 December 2014

Mediolanum Mediolanum Mediolanum Alternative Strategy Alternative Strategy High Volatility High Volatility* Low Volatility** Collection Collection

Fund Fund Fund Total Total 31 Dec 2014 31 Dec 2013 31 Dec 2013 31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013

Assets Note EUR € EUR € EUR € EUR € EUR € EUR € EUR €Cash at bank 4 521,023 88,135 27,039 8,906,977 12,616,335 9,428,000 12,731,509Financial assets at fair value through profit or loss 1,624,742 1,921,264 - 162,230,262 151,184,474 163,855,004 153,105,738Sundry receivables and prepayments 6 - - - - 15,755,836 - 15,755,836Total assets 2,145,765 2,009,399 27,039 171,137,239 179,556,645 173,283,004 181,593,083

LiabilitiesFinancial liabilities at fair value through profit or loss - - - 2,252,039 27,616 2,252,039 27,616Redemptions payable - - - 5,000,000 149,727 5,000,000 149,727Administration fee payable 3 8,000 2,573 - 45,932 11,929 53,932 14,502Management fee payable 3 5,268 5,090 485 426,745 460,772 432,013 466,347Investment manager fee payable 3 - - - 82,863 89,470 82,863 89,470Performance fee payable - - - - 196,959 - 196,959Trustee fee payable 3 - - - 30,415 8,947 30,415 8,947Auditors remuneration payable - 10,541 8,000 - 5,083 - 23,624Accrued interest payable - - - 1,124 - 1,124 - Sundry payables and accrued expenses 7 4,370 22,824 18,554 84,504 9,521 88,874 50,899Total liabilities 17,638 41,028 27,039 7,923,622 960,024 7,941,260 1,028,091

Net assets attributable to holders of redeemable participating units 2,128,127 1,968,371 - 163,213,617 178,596,621 165,341,744 180,564,992

* Classes SA and SB of the Mediolanum High Volatility Fund were fully redeemed on 1 November 2013 and two of the Sub Funds’ investments were transferred to a Side Pocket (see the schedule of investments on page 9) which was created on 1 November 2013. Any balances for the Mediolanum High Volatility Fund represent the value of the Side Pocket. **The Mediolanum Low Volatility Fund was fully redeemed on 1 November 2013. On behalf of the Manager Director Director 22 April 2015

The accompanying notes form an integral part of the financial statements

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MEDIOLANUM FUND OF HEDGE FUNDS INCOME STATEMENT For the year ended 31 December 2014



Income Note EUR € EUR € EUR € EUR € EUR € EUR € EUR €Interest income - 10 155,977 - - - 155,987Miscellaneous income - 106 48,339 - - - 48,445Net realised gain/(loss) on financial assets and liabilities at fair value through profit or loss and foreign exchange 18 51,439 15,420,570 7,699,929 1,662,758 (998,194) 1,714,197 22,122,305

Net realised gain/(loss) on forward foreign exchange contracts and currency exchange 17,951 1,808,135 6,455 (8,166,498) 1,321,805 (8,148,547) 3,136,395Net change in unrealised gain/(loss):- financial assets and liabilities at fair value through profit or loss and foreign exchange 18 137,531 (7,494,490) (2,980,171) 11,183,721 1,293,568 11,321,252 (9,181,093)- open forward foreign exchange contracts - (695,025) (378,386) (3,190,462) 938,423 (3,190,462) (134,988)Total investment income 206,921 9,039,306 4,552,143 1,489,519 2,555,602 1,696,440 16,147,051

ExpensesManagement fee 3 30,649 1,111,595 1,349,530 2,674,210 460,772 2,704,859 2,921,897Investment management fee 3 - 214,855 262,045 519,264 89,470 519,264 566,370Performance fee 3 - - - 60,175 196,960 60,175 196,960Administration fee 3 12,000 31,337 36,016 69,228 11,929 81,228 79,282Trustee/depositary fee 3 - 21,263 26,096 65,198 8,947 65,198 56,306Interest expenses 16 - 5,467 3,417 199 3,433 5,666Auditors remuneration - 12,997 10,455 13,534 5,083 13,534 28,535Other expenses 4,500 19,386 27,144 244,393 9,615 248,893 56,145Total expenses 47,165 1,411,433 1,716,753 3,649,419 782,975 3,696,584 3,911,161 Increase/(decrease) in net assets from operations attributable to holders of redeemable participating units 159,756 7,627,873 2,835,390 (2,159,900) 1,772,627 (2,000,144) 12,235,890

*Classes SA and SB of the Mediolanum High Volatility Fund were fully redeemed on 1 November 2013 and two of the Sub Funds investments were transferred to a Side Pocket (see the schedule of investments on page 9) which was created on 1 November 2013. Any balances for the Mediolanum High Volatility Fund represent the value of the Side Pocket. **The Mediolanum Low Volatility Fund was fully redeemed on 1 November 2013. All profit and loss account items arose solely from continuing operations during the year except for the Mediolanum Low Volatility Fund which was fully redeemed on 1 November 2013. The Trust has no recognized gains and losses other than the results for the financial year above. On behalf of the Manager Director Director 22 April 2015


14

MEDIOLANUM FUND OF HEDGE FUNDS STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING UNITS For the year ended 31 December 2014



EUR € EUR € EUR € EUR € EUR € EUR € EUR €

Net assets attributable to holders of redeemable participating units at start of year 1,968,371 87,956,949 111,356,028 178,596,621 - 180,564,992 199,312,977

Increase/(decrease) in net assets from operations attributable to holders of redeemable participating units 159,756 7,627,873 2,835,390 (2,159,900) 1,772,627 (2,000,144) 12,235,890

Proceeds from the issue of units - 2,029,246 - 7,104,000 176,973,722 7,104,000 179,002,968

Payments on the redemption of units - (95,645,697) (114,191,418) (20,327,104) (149,728) (20,327,104) (209,986,843)

Net assets attributable to holders of redeemable participating units at end of year 2,128,127 1,968,371 - 163,213,617 178,596,621 165,341,744 180,564,992

* Classes SA and SB of the Mediolanum High Volatility Fund were fully redeemed on 1 November 2013 and two of the Sub Funds’ investments were transferred to a Side Pocket (see the schedule of investments on page 9 which was created on 1 November 2013. Any balances for the Mediolanum High Volatility Fund represent the value of the Side Pocket. **The Mediolanum Low Volatility Fund was fully redeemed on 1 November 2013.


15

MEDIOLANUM FUND OF HEDGE FUNDS STATEMENT OF CASH FLOWS For the year ended 31 December 2014

Mediolanum Mediolanum Mediolanum Mediolanum Alternative Strategy Alternative StrategyHigh Volatility High Volatility* Low Volatility** Low Volatility** Collection Collection

Fund Fund Fund Fund Total Total31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013

EUR € EUR € EUR € EUR € EUR € EUR € EUR € EUR €Cash flows from operating activities

Change in net assets attributable to holders of redeemable participating units from operations 159,756 7,627,873 - 2,835,390 (2,159,900) 1,772,627 (2,000,144) 12,235,890 Adjustments to reconcile to net cash generated by operating activities - - - - - Movement in financial assets and liabilities at fair value through profit or loss 296,522 82,566,549 - 108,890,591 (8,821,365) (151,156,858) (8,524,843) 40,300,282 Movement in receivables and prepaid investments - 1,062 - - 15,755,836 (15,755,836) 15,755,836 (15,754,774) Movement in payables and accrued expenses (23,390) (289,674) (27,039) (387,047) (260,825) 932,408 311,254- 255,687 Net cash generated by/(used in) operating activities 432,888 89,905,810 (27,039) 111,338,934 4,513,746 (164,207,659) 4,919,595 37,037,085

Cash flow from financing activitiesProceeds from issue of redeemable participating units - 2,029,246 - - 7,104,000 176,973,722 7,104,000 179,002,968 Payments on redemption of redeemable participating units - (95,645,697) - (114,191,418) (15,327,104) (149,728) (15,327,104) (209,986,843) Net cash (used in)/generated by financing activities - (93,616,451) - (114,191,418) (8,223,104) 176,823,994 (8,223,104) (30,983,875)

Net increase/(decrease)in cash and cash equivalents 432,888 (3,710,641) (27,039) (2,852,484) (3,709,358) 12,616,335 (3,303,509) 6,053,210 Opening cash and cash equivalents 88,135 3,798,776 27,039 2,879,523 12,616,335 - 12,731,509 6,678,299 Ending cash and cash equivalents 521,023 88,135 - 27,039 8,906,977 12,616,335 9,428,000 12,731,509

* Classes SA and SB of the Mediolanum High Volatility Fund were fully redeemed on 1 November 2013 and two of the Sub Funds investments were transferred to a Side Pocket (see the schedule of investments on page 9) which was created on 1 November 2013. Any balances for the Mediolanum High Volatility Fund represent the value of the Side Pocket. **The Mediolanum Low Volatility Fund was fully redeemed on 1 November 2013.


16

MEDIOLANUM FUND OF HEDGE FUNDS NOTES TO THE FINANCIAL STATEMENTS For the year ended 31 December 2014

1. General

Mediolanum Fund of Hedge Funds (the “Trust”), constituted on 11 April 2005, is an open-ended umbrella unit trust and is authorised by the Central Bank pursuant to the provisions of the Unit Trusts Act, 1990. In accordance with Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and the European Union (Alternative Investment Fund Managers) Regulations 2013 (S.I.257 of 2013) Mediolanum International Funds Limited has been authorised as the Alternative Investment Fund Manager (“AIFM”) of the AIF effective 21 July 2014. In addition Northern Trust Fiduciary Services (Ireland) Limited has been appointed as Depositary to the Trust effective 21 July 2014. Unitholders were circulated on 22 July 2014 notifying them of the changes to the Prospectus the Trust Deed and increases to the Trustee and Administrator fees following the implementaiton of the AIFMD directive. The Trust is structured as an umbrella scheme and the following Sub-Funds have been authorised by the Central Bank. Mediolanum High Volatility Fund (Side Pocket created 1 November 2013) Mediolanum Low Volatility Fund (fully redeemed 1 November 2013) Mediolanum Medium Volatility Fund was renamed Alternative Strategy Collection Alternative Strategy Collection is currently the only sub-fund actively trading. Classes SA and SB of the Mediolanum High Volatility Fund and the Mediolanum Low Volatility Fund were fully redeemed on 1 November 2013. A Side Pocket for illiquid securities was created on 1 November 2013. Two investments from the Mediolanum High Volatility Fund were transferred to the Side Pocket (please see the schedule of investments on page 9). Amounts in the Income Statement and the Statement of Cash Flows represents the Mediolanum High Volatility Fund as at 31 December 2013, and as at 31 December 2014 represents the Side Pocket only. The investment objective of Mediolanum High Volatility Fund was to achieve medium to long term capital appreciation while attempting to limit investment risk and the year-on-year volatility rate to less than that of the global equity markets. In seeking to achieve the Sub-Fund’s investment objective, the Sub-Fund invested primarily in open-ended regulated and non-regulated collective investment schemes which pursued a range of alternative investment strategies thus allowing diversification by the investment manager, investment strategy and/or financial assets held, with the aim of lowering overall risk. The investment objective of the Alternative Strategy Collection seeks to achieve medium to long term capital appreciation while attempting to limit investment risk and the year-on-year volatility rate to less than that of the global equity markets. The Sub-Fund will invest primarily in open-ended regulated and non-regulated collective investment schemes which pursue a range of alternative investment strategies thus allowing diversification of financial assets held, with the aim of lowering overall risk. The annualised volatility of the Sub Fund is expected to range between 2.00% and 10.00%. The average is expected to be 8.00 %. “SA” Units automatically reinvest all earnings, dividend and other distributions of whatever kind and “SB” Units may distribute earnings back to unitholders.

17

MEDIOLANUM FUND OF HEDGE FUNDS NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) For the year ended 31 December 2014

2. Principal accounting policies

(a) Accounting convention These financial statements have been prepared under the historical cost convention, as modified by the revaluation of financial assets and liabilities held at fair value through profit or loss.

(b) Basis of preparation The financial statements have been prepared in accordance with accounting standards generally accepted in Ireland and Irish statute comprising the Unit Trusts Act, 1990. Accounting standards generally accepted in Ireland in preparing financial statements giving a true and fair view are those published by Chartered Accountants Ireland and issued by the Financial Reporting Council. The preparation of financial statements in conformity with Generally Accepted Accounting Practice in Ireland requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the year. Actual results could differ from those estimates. The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the year in which the estimate is revised if the revision affects only that year or in the year of the revision and future years if the revision affects both current and future years. (c) Valuation of investments Investments which are quoted, listed or normally traded, in or on a regulated market are valued at the last traded price. Where the last traded price is not available, the latest bid price is used for long positions and offer in the case of short positions. If an investment is quoted, listed or normally traded on more than one market, the Manager may, in its absolute discretion select any one of such markets for the foregoing purposes and once selected, this market shall be used for future calculations of the Net Asset Value unless the Manager otherwise determines. In the case of any investment which is quoted, listed or normally traded, on a market but in respect of which for any reason, prices on that market may not be available, the value is the probable realisable value, estimated by a person, firm or associate making a market in such investment, appointed by the Manager and approved by the Trustee/Depositary. The value of any investment which is not quoted, listed or normally traded on a regulated market is the probable realisable value, estimated by a competent person, firm or associate making a market in such investment, appointed by the Manager and approved by the Trustee/Depositary. The fair value of investments in collective investment schemes is based on the latest available net asset value provided by the relevant fund manager or administrator. (d) Accounting for investments Investment transactions are accounted for on the trade date. Realised gains and losses on investment disposals are calculated using average cost method.

18

MEDIOLANUM FUND OF HEDGE FUNDS NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) For the year ended 31 December 2014

2. Principal accounting policies (continued)

(e) Foreign Currency Translation (i) Functional and presentation currency Items included in the Trust’s financial statements are measured using the Euro, as in the opinion of the Directors of the Manager, the Euro best represents the economic effects of the underlying transactions, events and conditions applicable to the Trust. The Trust has also adopted the Euro as its presentation currency. (ii) Transactions and balances Monetary assets and liabilities denominated in currencies other than the presentation currency are translated to the presentation currency at the closing rates of exchange at year end. Transactions during the year, including purchases and sales of securities, income and expenses, are translated at the rate of exchange prevailing on the date of the transaction. Foreign currency transaction gains and losses are included in the Income Statement. (f) Income Income arising from investments is accounted for on an accruals basis and is shown gross of irrecoverable withholding taxes, where applicable. (g) Forward Currency Contracts The unrealised gain or loss on open forward currency contracts is calculated as the difference between the original contracted rate and the rate to close out the contract. Realised gains or losses on currency as reflected in the Income Statement include net gains and losses on forward currency contracts that have not settled. (h) Taxation The Trust qualifies as an investment undertaking as defined in Section 739B (1) of the Taxes Act. Under current Irish Law and practice, it is not chargeable to Irish tax on its income and capital gains. Tax may arise on the happening of a chargeable event. A chargeable event includes any distribution payments to Unitholders or any encashment, redemption or transfer of units. No tax will arise on the Trust in respect of chargeable events in respect of: (i) a Unitholder who is not Irish resident and not ordinarily resident in Ireland for tax purposes at the time of

the chargeable event, or (ii) certain exempted Irish resident investors who have provided the Trust with the necessary signed statutory

declarations, or (iii) units held in a recognised clearing system as designed by the order of the Irish Revenue Commissioners.

Distributions and interest on securities issued in countries other than Ireland may be subject to taxes including withholding taxes imposed by such countries. The Trust may not be able to benefit from a reduction in the rate of withholding tax by virtue of the double taxation agreement in operation between Ireland and other countries. The Trust may not, therefore, be able to reclaim withholding tax suffered by it in particular countries. To the extent that a chargeable event arises in respect of an Irish Unitholder, the Trust may be required to deduct tax in connection with that chargeable event and pay the tax to the Irish Revenue Commissioners. A chargeable event can include dividend payments to unitholders, appropriation, cancellation, redemption, repurchase or transfer of units, or a deemed disposal of units every 8 years beginning from the date of acquisition of those units. Certain exemptions can apply to tax exempt Irish investors to the extent that these Unitholders have appropriate tax declarations in place with the Trust in which case there may be no requirement to deduct tax.

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MEDIOLANUM FUND OF HEDGE FUNDS NOTES TO THE FINANCIAL STATEMENTS (continued) For the year ended 31 December 2014

2. Principal accounting policies (continued) (i) Equalisation on Investments Many investment funds operate an equalisation policy that applies to the purchase of units made on a dealing day during the accounting year. When the net asset value per unit is more than the value at the beginning of the accounting year (“peak net asset value”), the offering price of units in the Fund is the sum of the net asset value per unit and the “equalisation factor”. The Trust does not operate an equalisation policy on the issue and redemption of units to its unitholders. (j) Redeemable Participating Units Redeemable Participating Units are redeemable at the unitholder’s option and are classified as financial liabilities. Any distributions on these participating units are recognised in the Income Statement as finance costs. (k) Classification of Redeemable Participating Units The Trust provides it’s Unitholders with the right to redeem their interest in the Sub-Funds at any dealing date for cash equal to their proportionate share of the net asset value of the Sub-Funds. Under Financial Reporting Standards – Financial Instruments: Disclosure and presentation (FRS 25), this right represents in substance a liability of the Funds to Unitholders.

3. Fees and expenses

(a) Management fees Mediolanum International Funds Limited, the Manager, is entitled to an annual fee accrued and payable monthly in arrears of 1.50% of the Net Asset Value of each relevant Sub-Fund. The Manager is also entitled to be repaid all of its Administration Expenses out of the assets of each Sub-Fund, which include an annual fee accrued at each valuation point and payable monthly in arrears of up to 0.045% of the Net Asset Value of each relevant Sub-Fund. A fee of €10 is charged (gross of any relevant taxes) per Class in which a Unitholder holds less than 25 Units. The appropriate number of Units of each such Unitholder will be automatically redeemed to pay these administrative charges. If a Unitholder holds a number of Units in any class with a value of less than €10 (gross of any relevant taxes), then his/her entire holding shall be automatically redeemed and paid to the Manager. This administrative charge shall be adjusted periodically in accordance with the Eurostat All Items Harmonised Index of Consumer Prices (HICP). This administrative charge is chargeable on the first Dealing Day in December of each year. The Manager received management fees of €2,704,859 (31 December 2013: €2,921,897) for the year ended 31 December 2014. (b) Investment Manager fees Mediolanum Asset Management Limited, the Investment Manager, is entitled to receive out of the assets of each relevant Sub-Fund an annual fee, accrued at each Valuation Point and payable monthly in arrears of 0.30% of the Net Asset Value of the relevant Sub-Fund (plus VAT, if any), subject to a minimum annual fee of €75,000 per Sub-Fund. The Investment Manager received management fees of €519,264 (31 December 2013: €566,370) for the year ended 31 December 2014. The investment management fees for the Mediolanum High Volatility Fund Side Pocket have been waived. The Investment Manager is not entitled to be repaid for any out-of pocket expenses out of the assets of a Sub-Fund.

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3. Fees and expenses (continued)

(b) Investment Manager fees (continued) The fees relating to the Delegate Investment Manager appointed in respect of the Sub-Funds shall be borne by the Investment Manager and shall not be charged to the Sub-Funds. A Delegate Manager shall not be entitled to be repaid for any out of pocket expenses out of the assets of the Sub-Funds. (c) Performance fees The Investment Manager is also entitled to a performance fee of up to 10% of the increase in the Net Asset Value of each Sub-Fund, calculated on a monthly basis. The calculation of the performance fee will be verified by the Trustee/Depositary. The Investment Manager received performance fees for the year ended 31 December 2014 of €60,175 (31 December 2013: €196,960) in relation to the Alternative Strategy Collection. Performance fees for the Mediolanum High Volatility Fund Side Pocket have been waived. (d) Administration fees Northern Trust International Fund Administration Services (Ireland) Limited, the Administrator, is entitled to receive out of the assets of the Sub-Fund an annual fee accrued at each Valuation Point at the following rates €0 – 200 million the fee shall be 0.04% per annum of the Net Asset Value of the Fund, €200 - 400 million the fee shall be 0.03% per annum of the Net Asset Value of the Sub-Fund, in excess of €400 million the fee shall be 0.025% per annum of the Net Asset Value of the Sub-Fund and payable monthly in arrears. Such a fee is subject to a minimum monthly fee of €3,000 per Sub-Fund or, where the relevant Sub-Fund has multiple Classes, a minimum monthly fee of €3,250 applies. If at any time during a calendar year there are ten or more Unitholders in each Sub-Fund, the following transfer agency fees will apply: i) an annual Unitholder register fee of €25 per Unitholder; and ii) a transaction fee of €25 for each subscription, conversion, redemption or transfer of Units. The Administrator is entitled to receive a termination fee of €2,500 for the termination of each and any Sub Fund within the Trust and a monthly fee of €1,000 for the establishment and maintenance of any Side Pocket within the Trust. The Administrator is entitled to be repaid out of the assets of each Sub-Fund all of its reasonable out-of-pocket expenses incurred on behalf of each Sub-Fund which shall include legal fees, couriers’ fees and telecommunications costs and expenses. Each Sub-Fund will bear its proportion of the fees and expenses of the Administrator. The Administrator received fees of €81,228 (31 December 2013: €79,282) for the year ended 31 December 2014. (e) Trustee/Depositary fees For the period 1 January 2014 to 21 July 2014 Northern Trust Fiduciary Services (Ireland) Limited, the Trustee, is entitled to receive out of the assets of the Sub-Fund an annual fee accrued at each Valuation Point at the following rates €0 – 200 million and the fee shall be 0.03% per annum of the Net Asset Value of the Sub-Fund, in excess of €200 million the fee shall be 0.02% per annum of the Net Asset Value of the Sub-Fund as a whole and payable monthly in arrears. The Trustee is entitled to a transaction charge of €125 per Sub-Fund Hedge Fund investment transaction and telegraphic transfer charge of €25 per transaction. Each Sub-Fund is responsible for sub-custodian fees and charges (which will be charged at normal commercial rates).

The Trustee shall be entitled to be repaid all of its disbursements out of the assets of each Sub-Fund.

21


3. Fees and expenses (continued)

(e) Trustee/Depositary fees (continued)

For the period 22 July 2014 to 31 December 2014 Northern Trust Fiduciary Services (Ireland) Limited, the Depositary, is entitled to receive out of the assets of the Sub-Fund an annual fee accrued at each Valuation Point at the following rates €0 – 200 million and the fee shall be 0.04% per annum of the Net Asset Value of the Sub-Fund, in excess of €200 million the fee shall be 0.03% per annum of the Net Asset Value of the Sub-Fund as a whole and payable monthly in arrears. The Depositary is entitled to a transaction charge of €150 per Sub-Fund Hedge Fund investment transaction and telegraphic transfer charge of €25 per transaction. Each Sub-Fund is responsible for sub-custodian fees and charges (which will be charged at normal commercial rates).

The Depositary shall be entitled to be repaid all of its disbursements out of the assets of each Sub-Fund. The Depositary received fees of €65,198 (31 December 2013: €56,306) for the year ended 31 December 2014. (f) Underlying fund fees Both the Alternative Strategy Collection and Mediolanum High Volatility Fund Side Pocket are invested in underlying funds which incur their own fees. The details of the fees charged by the underlying funds are detailed in the Fund of Funds Disclosure (unaudited) on pages 34 to 35.

4. Bank balances

The Depositary to the Trust is Northern Trust Fiduciary Services (Ireland) Limited, an indirect wholly-owned subsidiary of Northern Trust Corporation ("TNTC"). TNTC is publicly traded and a constituent of the S&P 500. TNTC has a credit rating of A+ from Standard & Poors. Northern Trust Company ("TNTCO") is also wholly owned by TNTC. TNTCO has a credit rating of AA- from Standard & Poors and A1 from Moodys. All of the cash assets are held with The Northern Trust Company (London Branch) (NTCL). As at 31 December 2014, the Alternative Strategy Collection had a cash balance representing less than 10% of the Net Assets of the Sub-Fund and the Mediolanum High Volatility Fund had a cash balance representing 24% of Net Assets of the Sub-Fund. As at 31 December 2013, none of the Sub-Funds had a cash balance greater than 10% of Net Assets except for the Mediolanum Low Volatility Fund which was fully redeemed on 1 November 2013.

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5. Redeemable Participating Units

Mediolanum Mediolanum Mediolanum Alternative Strategy Alternative Strategy High Volatility* High Volatility Low Volatility** Collection Collection

Fund Fund Fund31 Dec 2014 31 Dec 2013 31 Dec 2013 31 Dec 2014 31 Dec 2013

Participating units in issue

Class SA Euro UnitsAt the beginning of the year - 5,846,003 6,659,755 9,754,452 - Units issued - - - 714,178 9,769,382Units redeemed - (5,846,003) (6,659,755) (1,133,834) (14,930)Units at the end of the year - - - 9,334,796 9,754,452

Class SB Euro UnitsAt the beginning of the year - 3,073,267 5,722,602 7,927,990 - Units issued - - - - 7,927,990 Units redeemed - (3,073,267) (5,722,602) (905,227) - Units at the end of the year - - - 7,022,763 7,927,990

Side Pocket SP UnitsAt the beginning of the year 405,849 - - - - Units issued - 405,849 - - - Units redeemed - - - - - Units at the end of the year 405,849 405,849 - - -

* Classes SA and SB of the Mediolanum High Volatility Fund were fully redeemed on 1 November 2013 and two of the Sub-Funds investments were transferred to a Side Pocket (see the schedule of investments on page 9) which was created on 1 November 2013. Any balances for the Mediolanum High Volatility Fund represent the value of the Side Pocket. **The Mediolanum Low Volatility Fund was fully redeemed on 1 November 2013. Units of each Sub-Fund are all freely transferable, designated as ‘A’ or ‘B’ units and, subject to such designation, are all entitled to participate equally in the profits and distributions (if any) of that Sub-Fund and in its assets in the event of termination. The Units, which are of no par value and which must be fully paid for upon issue, carry no preferential or pre-emptive rights. Fractions of Units may be issued up to three decimal places. Units of the Mediolanum High Volatility Fund Side Pocket may only be redeemed once sufficient liquidity has been raised from the underlying securities. Due to the current illiquid nature of the underlying securities in the Side Pocket, investors should note that it may potentially be several years before such securities become liquid. The fair value of securities held in the Side Pocket may differ to their actual realisable value. As a result there can be no assurances that unitholders will not experience substantial or complete losses upon the disposition of such investments. A Unit in a Sub-Fund represents the beneficial ownership of one undivided unit in the assets of the relevant Sub-Fund attributable to the relevant Class.

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5. Redeemable Participating Units (continued) The Trust is made up of the two Sub-Funds, each Sub-Fund being a single pool of assets, and the Side Pocket. The Manager may, whether on the establishment of a Sub-Fund or from time to time, create more than one Class of Units in a Sub-Fund to which different levels of subscription fees and expenses (including the management fee), minimum holding, designated currency, hedging strategy (if any) applied to the designated currency of the Class, distribution policy, Minimum Subscription and such other features as the Manager may determine may be applicable. Creation of further Classes in a Sub-Fund must be notified in advance to the Central Bank. A separate pool of assets will not be maintained for each Class. Units shall be issued to investors as Units in a Class. The net assets attributable to holders of redeemable participating units are at all times equal to the net asset value of the Sub-Fund. The participating units are in substance a liability of the Sub-Fund to Unitholders under FRS 25 as they can be redeemed at the option of the Unitholder.

6. Sundry receivables and prepayments

Mediolanum Mediolanum Alternative Strategy Alternative Strategy High Volatility High Volatility Collection Collection

Fund Fund Total Total31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013

EUR € EUR € EUR € EUR € EUR € EUR €

Receivable for sale of investments - - - 186,971 - 186,971 Prefunded trades - - - 15,568,865 - 15,568,865

- - - 15,755,836 - 15,755,836

7. Sundry payables and accrued expenses

Mediolanum Mediolanum MediolanumHigh High Low Alternative Strategy Alternative Strategy

Volatility Volatility Volatility Collection CollectionFund Fund Fund Total Total

31 Dec 2014 31 Dec 2013 31 Dec 2013 31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013EUR € EUR € EUR € EUR € EUR € EUR € EUR €

Legal fees payable 3,654 14,468 6,876 44,326 5,083 47,980 26,427Other payables 716 8,356 11,678 40,178 4,438 40,894 24,472

4,370 22,824 18,554 84,504 9,521 88,874 50,899

8. Distributions The income and gains will be accumulated and reinvested in the Sub-Fund on behalf of Unitholders. The Manager may make distributions in respect of “SB” units out of that proportion of the Net Asset value of the Sub-Fund attributable to “SB” Units. No distributions were paid to Class “SB” unitholders for the year ended 31 December 2014 and 31 December 2013.

9. Derivatives and other financial instruments A Sub-Fund may invest in collective investment schemes ("underlying schemes") which are unregulated and which will not provide a level of investor protection equivalent to funds authorised by the Central Bank of Ireland. Risks for the Sub-Funds arise both directly from the investment in financial instruments and indirectly from investing in underlying schemes. Therefore all risks listed below may arise not only at Sub-Fund level but also at the underlying scheme level.

24


9. Derivatives and other financial instruments (continued) Market price risk Market Price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the relevant Sub-Fund might suffer through holding market positions in the face of price movements. The Investment Manager and the Delegate Investment Manager consider the asset allocation of the portfolio of invested funds in order to minimize the risk associated with particular countries to follow the relevant Sub-Fund’s investment objective. The fair value of the non-listed collective investment schemes in funds are valued on the basis of the latest available unaudited net asset value provided by the relevant fund manager or independent administrators. If the price of each of the securities and to which the Mediolanum High Volatility Fund has exposure to at 31 December 2014 had increased by 5%, with all other variables held constant, this would have increased net assets attributable to holders of redeemable participating units of the Mediolanum High Volatility Fund by approximately €81,237 (2013: €96,063) and on a per unit basis by €0.20 (2013: €0.24). Conversely, if the price of each of the securities to which the Mediolanum High Volatility Fund had exposure had decreased by 5%, this would have decreased net assets attributable to holders of redeemable participating units of the Mediolanum High Volatility Fund by €81.237 (2013: €96,063) and on a per unit basis by €0.20 (2013: €0.24). If the price of each of the securities and derivatives to which the Mediolanum Alternative Strategy Fund has exposure to at 31 December 2014 had increased by 5%, with all other variables held constant, this would have increased net assets attributable to holders of redeemable participating units of the Mediolanum Alternative Strategy Fund by approximately €7,998,911 (2013: €7,557,843) and on a per unit basis by €0.49 (2013: €0.43). Conversely, if the price of each of the securities and derivatives to which the Mediolanum Alternative Strategy Fund had exposure had decreased by 5%, this would have decreased net assets attributable to holders of redeemable participating units of the Mediolanum Alternative Strategy Fund by €7,998,911 (2013: €7,557,843) and on a per unit basis by €0.49 (2013: €0.43). Credit risk Financial assets which potentially expose the relevant Sub-Fund to credit risk consist principally of investments and cash balances held with the Depositary. The extent of the relevant Sub-Fund’s exposure to credit risk in respect of these financial assets approximates their carrying value as recorded in the relevant Sub-Fund’s balance sheet. The relevant Sub-Fund will be exposed to a credit risk on parties with whom it trades and will also bear the risk of settlement default. Credit risk exposure can also arise indirectly through the investment in financial instruments at the underlying fund level. Such risk is to a certain extent diversified away by investing in number of underlying funds that can be diversified in terms of investment style, asset selection, geographic allocation etc. It is important to note that by investing in underlying funds that can have brokerage and custody accounts that are not segregated; the Sub-Funds can be indirectly exposed to additional credit and custody risks. Substantially all of the cash assets are held with the Northern Trust Company, London Branch (“NTCL”). Cash deposited with NTCL is deposited as banker and is held on its Balance Sheet. Accordingly, in accordance with usual banking practice, NTCL’s liability to the Sub-Fund in respect of such cash deposits shall be that of debtor and the Sub-Fund will rank as a general creditor of NTCL. The financial assets are held with the Depositary, Northern Trust Fiduciary Services (Ireland) Limited. These assets are held distinct and separately from the proprietary assets of the Depositary. Securities are clearly recorded to ensure they are held on behalf of the Sub-Fund. Bankruptcy or insolvency of the Depositary and or one of its agents or affiliates may cause the Sub-Fund’s rights with respect to the securities held by the Depositary to be delayed. Both Northern Trust Fiduciary Services (Ireland) Limited and the Northern Trust Company, London Branch are wholly owned subsidiaries of Northern Trust Corporation. As at 31 December 2014 Northern Trust Corporation had a long term rating from Standard & Poor’s of AA-.

25


9. Derivatives and other financial instruments (continued) Credit risk (continued) Risk is managed by monitoring the credit quality and financial positions of the Depositary the Sub-Fund uses. Northern Trust acts as its own sub-custodian in the U.S., the U.K., Ireland and Canada. In all other markets Northern Trust appoints a local sub - custodian. Northern Trust continually reviews its sub-custodian network to ensure clients have access to the most efficient, creditworthy and cost-effective provider in each market. There were no significant concentrations of credit risk to counterparties at 31 December 2014 or 31 December 2013 other than to the Northern Trust Company (London Branch) Limited. Foreign currency risk The relevant Sub-Fund invests in securities denominated in currencies other than its reporting currency (Euro). Consequently, the relevant Sub-Fund is exposed to risks that the exchange rate of its currency relative to other currencies may change in a manner which has an adverse effect on the value of that portion of the relevant Sub-Fund’s assets or units which are denominated in currencies other than its own currency. The Investment Manager and the Delegate Investment Manager may follow a policy of hedging its foreign currency exposure of the portfolio into Euro in order to limit the risk of this exposure. The foreign currency risk listed below is substantially made up of foreign currency denominated securities. A positive balance represents a net asset foreign currency exposure while a negative balance represents a net liability foreign currency exposure. As at 31 December 2014 and 31 December 2013 the total exposure to foreign currency risk was as follows:

Mediolanum MediolanumHigh High Alternative Strategy Alternative Strategy

Volatility Volatility Collection CollectionFund Fund Total Total

31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013 31 Dec 2014 31 Dec 2013EUR € EUR € EUR € EUR € EUR € EUR €

US Dollar 1,870,767 1,530,537 938,378 (438,903) 2,809,145 1,091,634 1,870,767 1,530,537 938,378 (438,903) 2,809,145 1,091,634

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9. Derivatives and other financial instruments (continued) Foreign currency risk (continued) The currency exposure of each sub fund as at 31 December 2014 and 31 December 2013 is as follows: Mediolanum High Volatility Fund

Foreign Currency Foreign Currency Net Foreign Currency

Monetary AssetsMonetary Liabilities

Monetary Assets/Liabilities Sensitivity *

As at 31 December 2014 EUR € EUR € EUR € EUR €

US Dollar 1,870,767 - 1,870,767 93,538 1,870,767 - 1,870,767 93,538





US Dollar 1,503,537 - 1,503,537 75,177 1,503,537 - 1,503,537 75,177

Mediolanum Alternative Strtegy Fund





US Dollar 77,116,827 (76,178,449) 938,378 46,919 77,116,827 (76,178,449) 938,378 46,919





US Dollar 87,156,331 (87,595,234) (438,903) (21,945)87,156,331 (87,595,234) (438,903) (21,945)

*The effect of a 5% increase/decrease in the exchange rate between the Euro and the other currencies to which the Sub-Fund is exposed with all other variables held constant. Foreign currency forward exchange contracts As at 31 December 2014, the Mediolanum High Volatility Fund held no foreign currency forward exchange contracts. As at 1 November 2013, the date the Sub-Fund was fully redeemed, the Mediolanum High Volatility Fund held no foreign currency forward exchange contracts. As at 1 November 2013, the date the Sub-Fund was fully redeemed, the Mediolanum Low Volatility Fund held no foreign currency forward exchange contracts.

27


9. Derivatives and other financial instruments (continued) Foreign currency forward exchange contracts (continued) As at 31 December 2014, the Alternative Strategy Collection held the following foreign currency forward exchange contracts: 31 December 2014Purchase Amount Sale Amount Maturity date ValueCurrency CurrencyEUR 23,530,241 USD 30,050,000 30/01/2015 (1,296,030)EUR 25,763,527 USD 32,140,000 27/02/2015 (783,295)EUR 24,632,642 USD 30,040,000 31/03/2015 (172,714)

(2,252,039)

As at 31 December 2013, the Alternative Strategy Collection held the following foreign currency forward exchange contracts: 31 December 2013Purchase Amount Sale Amount Maturity date ValueCurrency CurrencyEUR 39,924,934 USD 54,250,000 31/01/2014 554,336EUR 29,583,186 USD 40,200,000 28/02/2014 408,989EUR 365,577 USD 500,000 31/01/2014 2,714EUR 18,659,961 USD 25,750,000 31/03/2014 (27,616)

938,423

Liquidity risk Under certain circumstances the markets in which the portfolios of each Sub-Fund will trade may become illiquid making it difficult to acquire or sell contracts at the price quoted on different markets. Many of the schemes in which the portfolios shall invest do not provide for frequent redemptions. Accordingly, the portfolios ability to respond to market movements may be impaired, and the portfolios may experience adverse price movements upon liquidation of its investments. At the 31 December 2014 and 31 December 2013, the Trust was advised of the following investments in collective investment schemes which may be illiquid and subject to restrictions on redemptions.

Total % of Total % ofEUR € NAV EUR € NAV

31 Dec 2014 31 Dec 2014 31 Dec 2013 31 Dec 2013Mediolanum High Volatility Fund Side PocketInvestments with supended/gated redemptions 1,382,787 64.98 1,530,537 77.76 Investments in side pocket shares 241,955 11.37 390,727 19.85

1,624,742 76.35 1,921,264 97.61

There were no suspended/gated redemptions or investments in side pockets in the Mediolanum Low Volatility Fund as at 1 November 2013, the date the Sub-Fund was fully redeemed. There were no suspended/gated redemptions or investments in side pockets in the Alternative Strategy Collection as at 31 December 2014 or 31 December 2013 except for Kingate which was written down to zero on 30 November 2009 (please see the Schedule of Investments on page 7).

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9. Derivatives and other financial instruments (continued) Interest rate risk Interest rate risk arises from the possibility that changes in interest rates will affect future cash flows or the fair values of financial instruments. Interest rate risk in the Sub-Funds arose from cash balances that were held and fixed income securities that were held in the Alternative Strategy Collection and the Mediolanum High Volatility Side Pocket Sub-Funds. The majority of the Sub-Fund’s financial assets and liabilities were non-interest bearing and as a result the Sub- Fund was not subject to significant amounts of risk due to fluctuations in the prevailing levels of market interest rates. Any excess cash and cash equivalents of the Sub-Funds were invested at short-term market interest rates. Layering of Fees The Sub-Funds’ portfolios are subject to a level of fees payable both directly by the portfolios and by the portfolios as an investor in other schemes.

10. Related Party Transactions The Trust is constituted by means of a Trust Deed to which Mediolanum International Funds Limited is party, as Manager. Mediolanum Asset Management Limited was appointed as Investment Manager by way of an Investment Management agreement. The fees paid to these parties are outlined in Note 3. Northern Trust Fiduciary Services (Ireland) Limited is the Trustee/Depositary of the Trust and received the fees as outlined in Note 3. Northern Trust International Fund Administration Services (Ireland) Limited is the Administrator of the Trust and received the fees as outlined in Note 3. The Directors, the AIFM, the Investment Manager, the Administrator and the Trustee/Depositary and their respective affiliates, officers, directors and unitholders, employees and agents (collectively the "Parties") are or may be involved in other financial, investment and professional activities which may on occasion cause a conflict of interest with the management of the Trust and/or their respective roles with respect to the Trust. These activities may include managing or advising other funds (including other collective investment schemes), purchases and sales of securities, banking and investment management services, brokerage services, valuation of unlisted securities (in circumstances in which fees payable to the entity valuing such securities may increase as the value of assets increases) and serving as directors, officers, advisers or agents of other funds or companies, including funds or companies in which the Unit Trust may invest. In particular, the AIFM and other companies within the Mediolanum Group may be involved in advising or managing other investment funds (including other collective investment schemes) or other real estate portfolios which have similar or overlapping investment objectives to or with the Unit Trust. Subject to the next succeeding paragraphs, each of the Parties will use its reasonable endeavours to ensure that the performance of their respective duties will not be impaired by any such involvement they may have and that any conflicts which may arise will be resolved fairly and in the best interests of Unitholders. The underlying Unitholders in both Sub-Funds, Mediolanum International Life Limited & Banca Mediolanum are connected to the Investment Manager. As at 31 December 2014 Mediolanum International Life Limited holds 100% (31 December 2013: 100%) of the Class SA units in the Alternative Strategy Collection & Banca Mediolanum S.p.A. holds 100% (31 December 2013: 100%) of the Class SB units in the Alternative Strategy Collection. Mediolanum International Life Limited holds 100% (31 December 2013: 100%) of the Class SA units in the Mediolanum High Volatility Fund Side Pocket and Banca Mediolanum S.p.A. holds 100% (31 December 2013:100%) of the Class SB units in the Mediolanum High Volatility Fund Side Pocket. Andrew Bates is a Partner at Dillon Eustace and sits on the Board of Directors of Mediolanum International Funds Limited in a non-executive capacity. During the year total legal fees paid to Dillon Eustace were €62,068 (31 December 2013: €41,976).

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11. Soft commission arrangements There were no soft commission arrangements in operation during the year under review. Underlying Funds in which the Sub-Funds invest may engage in soft commission arrangements.

12. Exchange rates The following exchange rates were used to translate assets and liabilities into the reporting currency (Euro) at 31 December 2014 and 31 December 2013: Currency EUR € Rate EUR € Rate

31 Dec 2014 31 Dec 2013GBP 1.2886 1.2020USD 0.8264 0.7257

13. Changes in the portfolio

A list, specifying for each investment the total purchases and sales which took place during the year under review may be obtained, upon request, at the registered office of the Manager.

14. Contingent Liabilities There were no significant contingent liabilities at the balance sheet date. (There were no significant contingent liabilities as at 31 December 2013).

15. Prospectus An updated prospectus was issued on 10 March 2014. The main change was that the Mediolanum Fund of Hedge Funds – Alternative Strategy Collection was renamed Alternative Strategy Collection. An updated prospectus was also issued on 22 July 2014, principally to reflect AIFMD changes.

16. Significant Events during the Year On 1 July 2014 the Delegate Investment Management Agreement was novated from Tages Capital SGR S.p.A. to Tages Capital LLP. Mediolanum International Funds Limited (the “Manager”) was authorised as an Alternative Investment Fund Manager (“AIFM”) by the Central Bank on 21 July 2014. John L Mahon and Wyndham Williams resigned as directors of the manager effective 31 May 2014, Paul O’Faherty and Des Quigley were appointed as directors of the manager effective 21 July 2014. An Amended and Restated Trust Deed for Mediolanum Fund of Hedge Funds was approved on 21 July 2014, principally to reflect AIFMD requirements.

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17. Net Asset Value

Mediolanum Mediolanum MediolanumHigh Volatility High Volatility High Volatility

Fund Fund Fund31 Dec 2014 31 Dec 2013 31 Dec 2012

EUR € EUR € EUR €

Net assets attributable to holders of redeemable participating units:Class SA Euro Units (€) - - 60,743,555Class SB Euro Units (€) - - 27,213,394Class SP Euro Units (€) 2,128,127 1,968,371 -

Number of redeemable participating units outstanding:Class SA Euro Units - - 5,846,023Class SB Euro Units - - 3,073,267Class SP Euro Units 405,849 405,849 -

Net assets value per redeemable participating unit:Class SA Euro Units (€) - - € 10.39Class SB Euro Units (€) - - € 8.85Class SP Euro Units (€) € 5.24 € 4.85 -

Mediolanum Mediolanum MediolanumLow Volatility Low Volatility Low Volatility

Fund Fund Fund31 Dec 2014 31 Dec 2013 31 Dec 2012

EUR € EUR € EUR €

Net assets attributable to holders of redeemable participating units:Class SA Euro Units (€) - - 62,419,842Class SB Euro Units (€) - - 48,936,186

Number of redeemable participating units outstanding:Class SA Euro Units - - 6,659,755Class SB Euro Units - - 5,722,602

Net assets value per redeemable participating unit:Class SA Euro Units (€) - - € 9.37Class SB Euro Units (€) - - € 8.55

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17. Net Asset Value (continued)

Alternative Strategy Alternative Strategy Alternative Strategy Collection Collection Collection

31 Dec 2014 31 Dec 2013 31 Dec 2012EUR € EUR € EUR €

Net assets attributable to holders of redeemable participating units:Class SA Euro Units (€) 93,141,389 98,522,144 N/AClass SB Euro Units (€) 70,072,228 80,074,477 N/A

Number of redeemable participating units outstanding:Class SA Euro Units 9,334,796 9,754,452 N/AClass SB Euro Units 7,022,763 7,927,990 N/A

Net assets value per redeemable participating unit:Class SA Euro Units (€) € 9.98 € 10.10 N/AClass SB Euro Units (€) € 9.98 € 10.10 N/A

18. Realised and Unrealised Gains in Investments

MediolanumHigh Alternative Strategy

Volatility CollectionFund

31 Dec 2014 31 Dec 2014EUR € EUR €

Realised gain/(loss) on investmentsRealised gain on investments 55,514 1,778,397 Realised loss on investments (4,075) (1,085,725) Realised gain/(loss) on currency contracts and currency exchange

- 970,086

Total realised gain on investments 51,439 1,662,758

Unrealised gain/(loss) on investmentsMovement in unrealised gain on investments 246,216 13,149,151 Movement in unrealised loss on investments (129,236) (1,969,478) Unrealised gain/(loss) on currency contracts and currency exchange 20,551 4,048 Total unrealised gain on investments 137,531 11,183,721

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18. Realised and Unrealised Gains in Investments (continued)

Mediolanum MediolanumHigh Low Alternative Strategy

Volatility Volatility CollectionFund Fund

31 Dec 2013 31 Dec 2013 31 Dec 2013EUR € EUR € EUR €

Realised gain/(loss) on investmentsRealised gain on investments 16,675,393 11,574,387 434,617 Realised loss on investments (1,134,101) (4,761,559) (1,381,803) Realised gain/(loss) on currency contracts and currency exchange (120,722) 887,101 (51,008) Total realised gain/(loss) on investments 15,420,570 7,699,929 (998,194)

Unrealised gain/(loss) on investmentsMovement in unrealised gain on investments 8,455,652 7,367,339 1,579,477 Movement in unrealised loss on investments (952,593) (4,356,256) (607,909) Unrealised gain/(loss) on currency contracts and currency exchange (8,569) (30,912) 322,000 Total unrealised gain on investments 7,494,490 2,980,171 1,293,568

19. Efficient portfolio management techniques The Sub-Funds may employ investment techniques and instruments relating to its investments for the purpose

of efficient portfolio management under the conditions and within the limits stipulated from time to time by the Central Bank under the Non-UCITS Regulation up to 20 July 2014 and the AIF Rulebook from 21 July 2014. The Sub-Funds may use the various investment techniques and instruments for efficient portfolio management such as taking long or short positions in derivative instruments including forward contracts so as to alter the interest rates, credit and or currency exposure of the portfolio. Derivative instruments may be purchased for the purpose of efficient portfolio management only and in accordance with the Central Bank’s guidelines. The Sub-Fund did use these techniques during the year. Details of foreign currency forward exchange contracts held at 31 December 2014 are disclosed on pages 27 to 28. The realised and unrealised gain/(loss) on foreign exchange contracts are disclosed in the Income Statement on page 14.

20. Post balance sheet events The Directors of the Manager have given their approval for the Trust to move from Irish GAAP to FRS102 in relation to the preparation of the financial statements effective from 1 January 2015. No other subsequent events occurred which would have a bearing on the understanding of these financial statements.

21. Approval of the financial statements The financial statements were approved by the Directors of the Manager on 22 April 2015.

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MEDIOLANUM FUND OF HEDGE FUNDS FUND OF FUNDS DISCLOSURE (unaudited) Alternative Strategy Collection Fund Name Domicile Management

fee %Incentive

fee %Alpha UCITS Amber Equity Fund A EUR Luxembourg 2.00% 20%Blackrock European Credit Strategies (Offshore) Class T EUR Series 1 Cayman Islands 1.75% 20%Civic Cap Currency Offshore Fund Class B Series 0613 Cayman Islands 1.50% 15%Civic Capital Currency Offshore Fund Class F2 - Initial Cayman Islands 1.00% 10%GAM Talentum Enhanced Europe L/S A EUR 2014 Series 1 Cayman Islands 1.50% 20%GAM Talentum Enhanced Europe L/S A EUR 2014 Series 6 Cayman Islands 1.50% 20%Kingate Global Fund Ltd USD Shrs*** British Virgin Islands 1.50% 0%Metacapital Rising Rates Fund Class A1 2014-03 Cayman Islands 1.50% 15%Metacapital Rising Rates Fund Class A1 2014-06 Cayman Islands 1.50% 15%MKM Longboat Multi Strategy Fund USD Class R* Cayman Islands 2.00% 20%MKP Enhanced Opportunity Offshore Class A EUR Series - A Cayman Islands 2.25% 20%MS Alkeon Ucits Fund Class C EUR Share Cayman Islands 1.00% 20%New Peak Fund - Class BR EUR Cayman Islands 1.50% 15%Pentwater Equity Opportunities Fund Class C Series Initial Cayman Islands 2.00% 20%Pine River Liquid Rates Class C Series 2 Dec 2013 Cayman Islands 2.00% 20%Pine River Liquid Rates Class C Series 3 Jan 2014 Cayman Islands 2.00% 20%Rockhampton Fund Class A USD Restricted Series 2 August 2003 Cayman Islands 1.50% 20%Trient Global Macro Fund USD F Class Cayman Islands 1.25% 17.5%TT Mid-Cap Europe Long/Short Fund Class A EUR Cayman Islands 1.50% 20%

* In Voluntary Liquidation *** Fair value of investment written down to zero on 30 November 2009

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MEDIOLANUM FUND OF HEDGE FUNDS FUND OF FUNDS DISCLOSURE (unaudited) (continued) Mediolanum High Volatility Fund Side Pocket Fund Name Domicile Management

fee %Incentive

fee %GLG Emerging Markets Growth Fund Class E** Cayman Islands - - PNT SPV Ltd* Cayman Islands - -

* Investment subject to restrictions on redemptions ** Investment in side pocket shares

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MEDIOLANUM FUND OF HEDGE FUNDS APPENDIX ADDITIONAL INFORMATION (UNAUDITED) Leverage Leverage is considered in terms of the Fund’s overall “exposure” and includes any method by which the exposure of the Fund is increased whether through borrowings of cash or securities, or leverage embedded in derivative positions or by any other means. The Investment Manager as the AIFM is required to calculate and monitor the level of leverage by the Fund, expressed as a ratio between the total exposure of the Fund and its net value with exposure values being calculated by both the gross method and commitment method. Exposure values under the Gross Method basis are calculated as the absolute value of all positions of the Fund; this includes all eligible assets and liabilities, relevant borrowings, derivatives (converted into their equivalent underlying positions) and all other positions even those held purely for risk reduction purposes, such as forward foreign exchange contracts held for currency hedging. The gross method of exposure of the Fund requires the calculation to: • Include the sums of all non-derivative assets held at market value, plus the absolute value of all such

liabilities; • Exclude cash and cash equivalents which are highly liquid investments held in the base currency of the

Company. That are readily convertible to a known amount of cash, are subject to an insignificant risk of change in value and provide a return no greater than the rate of a three month high quality bond;

• Derivative instruments are converted into the equivalent position in their underlying assets; • Exclude cash borrowings that remain in cash or cash equivalents and where the amounts payable are known; • Include exposures resulting from the reinvestment of cash borrowings, expressed as the higher of the market

value of the investment realised or the total amount of cash borrowed, and include positions within repurchase or reverse repurchase agreements and securities lending or borrowing or other similar arrangements.

Exposure values under the Commitment Method basis are calculated on a similar basis to the above, but may take into account the effect of netting off instruments to reflect eligible netting and hedging arrangements on eligible assets and different treatment of certain cash and cash equivalents items in line with regulatory requirements. The table below sets out the current maximum limit and actual level of leverage for the Company for the year:

Maximum level of leverage as a percentage of net asset value

Gross CommitmentMethod Method

Maximum level 225.00% 125.00%Actual level at year end 145.45% 104.40% Special Arrangements Mediolanum High Volatility Fund 64.98% (2013 77.76%) of the assets of the Sub-Fund are subject to suspended/gated redemption arrangements and 11.37% (2013: 19.85%) of the assets of the Sub-Fund are in side pocket shares (please see the schedule of investments on page 9). Credit Facility The Trust has a credit facility of up to €20m with the Northern Trust Company London Branch to fund short term liquidity requirements secured by a charge over the assets of the Alternative Strategy Collection. As at 31 December 2014 the facility has not been used.

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