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NIKKO SKILL INVESTMENTS TRUST (LUX) Unaudited Semi-Annual Report

for the period from September 1, 2010 to February 28, 2011

NIKKO SKILL INVESTMENTS TRUST (LUX)

Table of contents Nikko Skill Investments Trust (Lux) Page(s) Administration of the Fund 3 General information 6 Statement of net assets Combined statement 10 Japanese Long Short Equity 11 L Plus Tangent 12 Statement of operations and changes in net assets Combined statement 13 Japanese Long Short Equity 15 L Plus Tangent 17 Statistical information 19 Notes to the financial statements 20 Japanese Long Short Equity Statement of investments 28 Classification of investments 35 L Plus Tangent Statement of investments 37 Classification of investments 38


Administration of the Fund Management Company SMBC Nikko Investment Fund Management Company S.A. (formerly known as Total Alpha Investment Fund Management Company S.A.) 9A, Rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Board of Directors of the Management Company Chairman : Mr. Masashi KAMO, Deputy Managing Director SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) Luxembourg Directors : Mr. John Pierre HETTINGER, Managing Director SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) Luxembourg Mr. Jacques ELVINGER, Partner Elvinger, Hoss & Prussen, Luxembourg Investment manager SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) 9A, Rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Custodian and paying agent SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) 9A, Rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Investment adviser for L Plus Tangent Nikko Asset Management Americas, Inc. 535 Madison Avenue, Suite 2500, New York, NY 10022, United States of America


Administration of the Fund (continued) Investment adviser for Japanese Long Short Equity J.H Whitney Investment Management LLC. 711 5th Avenue, Suite 402, New York, NY 10022, United States of America Auditor of the Fund Deloitte S.A. 560, Rue de Neudorf, L-2220 Luxembourg, Grand Duchy of Luxembourg Auditor of the Management Company K.P.M.G. S.à.r.l., 9, allée Scherrer, L-2520 Luxembourg, Grand Duchy of Luxembourg Administrative agent, domiciliary, registrar and transfer agent SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) 9A, Rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg Distributor and agent member company in Japan SMBC Nikko Securities Inc. (formerly known as Nikko Cordial Securities Inc.) 3-1, Marunouchi 3-chome, Chiyoda-ku, Tokyo, 100-8325, Japan Distributor outside Japan SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) 9A, Rue Robert Stümper, L-2557 Luxembourg, Grand Duchy of Luxembourg


Administration of the Fund (continued) Legal advisers In Luxembourg : Elvinger, Hoss & Prussen, 2, Place Winston Churchill, L-1340 Luxembourg, Grand Duchy of Luxembourg In Japan : Mori Hamada & Matsumoto Marunouchi Park Building, 6-1, Marunouchi, 2-Chome, Chiyoda-ku, Tokyo 100-8222, Japan


General information NIKKO SKILL INVESTMENTS TRUST (LUX) (hereinafter referred to as the “Fund”), organised in

and under the laws of the Grand-Duchy of Luxembourg as a mutual investment umbrella fund (“fonds commun de placement à compartiments multiples”), is an unincorporated co-proprietorship of its securities (hereinafter referred to as the “securities”), managed in the interest of its co-owners (hereinafter referred to as the “Unitholders”) by SMBC Nikko Investment Fund Management Company S.A. (formerly known as Total Alpha Investment Fund Management Company S.A.) (hereinafter referred to as the “Management Company”), a company incorporated under the laws of Luxembourg and having its registered office in Luxembourg. The assets of the Fund are separated from those of the Management Company and from those of other funds managed by the Management Company. The Fund is managed by the Management Company in accordance with the Management Regulations, which became effective on September 28, 2001 and which was published on October 22, 2001 (the “Management Regulations”) in the Memorial, Recueil des Sociétés et Associations (the “Memorial”). The Management Regulations are deposited with the Luxembourg Trade and Companies Registry, where they may be inspected and copies obtained. The Management Regulations have been amended for the last time on February 4, 2010, effective on March 4, 2010 and that amendment to the Management Regulations was published in the Memorial on February 15, 2010. The Fund has been authorised as an undertaking for collective investment under part II of the Luxembourg law of December 20, 2002 regarding undertakings for collective investment. As at February 28, 2011, the two following sub-funds were operational : Nikko Skill Investments Trust (Lux) - Japanese Long Short Equity (hereinafter referred to as “Japanese Long Short Equity”) Nikko Skill Investments Trust (Lux) - L Plus Tangent (hereinafter referred to as “L Plus Tangent”) both denominated in Japanese Yen (JPY). Investment Manager The Management Company has appointed SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) (the “Investment Manager”) to act as investment manager and, subject to the overall control supervision and responsibility by the Board of Directors of the Management Company, control the Investment Advisers (as defined below) with respect to the investment and reinvestment of the assets of each sub-fund in accordance with the applicable investment objective and restrictions.


General information (continued) Investment Advisers

For L Plus Tangent : The Management Company and the Investment Manager have appointed Nikko Asset Management Americas, Inc. as the investment adviser (the “Investment Adviser”) to act as investment adviser with respect to the investment and reinvestment of the assets of the above sub-fund. Nikko Asset Management Americas, Inc. renders investment advisory services and also assures, under the overall control, supervision and responsibility of the Investment Manager, the day-to-day management of the investments of the sub-fund. For Japanese Long Short Equity : The Management Company and the Investment Manager have appointed J.H Whitney Investment Management, LLC. as the investment adviser (the “Investment Adviser”) to act as investment adviser with respect to the investment and reinvestment of the assets of the above sub-fund. JH Whitney Investment Management, LLC renders investment advisory services with the help of its wholly owned subsidiary, Asian Management Singapore Pte. Ltd. which provides operational support and trading functionalities. JH Whitney Investment Management, LLC also assures, under the overall control, supervision and responsibility of the Investment Manager, the day-to-day management of the investments of the sub-fund. Custody of assets and administration SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) has been appointed as custodian (the “Custodian”) of the assets of the Fund. SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) also acts as paying agent of the Fund. SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) has also been appointed as domiciliary, registrar, transfer agent and administrative agent (the “Administrator”). In such capacity, the Administrator is responsible for the general administrative functions required by Luxembourg law, such as processing the issue and repurchase of units, calculation of the net asset value of the units and the maintenance of accounting records.


General information (continued) Investment objectives

Japanese Long Short Equity investment objective is to provide investors with enhanced risk-adjusted returns by investing primarily in selected Japanese, and to a limited extent, certain other Asian-based, public equity and equity-linked securities. Japanese Long Short Equity makes equity and equity-linked investments, principally in Japan, through a hedged approach by taking long as well as short positions. Long positions are principally taken in growth stage public companies. Short positions, which are concentrated in overvalued stocks, are taken both to mitigate against general market risk and to enhance performance. The Investment Adviser seeks to preserve capital and mitigate market risk to the portfolio through the selective use of futures and options. As a result, Japanese Long Short Equity may from time to time purchase and sell spot and forward contracts, currency options, and currency futures contracts to hedge against risk for the portfolio. Derivatives are utilized only to hedge existing portfolio positions and do not skew the principal investment policy. Japanese Long Short Equity invests the majority of its portfolio in public companies, the securities of which are traded on a Japanese exchange. Japanese Long Short Equity may also invest a portion of its portfolio in opportunities in Asia-ex Japan and in non-Japanese public companies with revenues and earnings, which are largely influenced and derived from Japan. In addition, Japanese Long Short Equity may also invest up to 5% of Japanese Long Short Equity total assets (calculated at the time a position is acquired) in private companies primarily located in Japan or Asia. Under normal conditions, to enhance performance and mitigate overall market risk, Japanese Long Short Equity invests in a portfolio of long and short positions in publicly traded Japanese companies, including participation in IPOs. L Plus Tangent seeks a stable capital growth by employing primarily long/short relative value strategy and which typically provides returns that have a low correlation to global equity, fixed income markets. The strategy uses primarily instruments that provide sufficient liquidity to allow L Plus Tangent to open or close a position in any given trading session. The performance objective of L Plus Tangent is to achieve excess return over one month Japanese yen Libor. For the purpose of achieving excess return, the L Plus Tangent Sub-Fund invests primarily in currencies and government bonds of well-developed OECD countries. To obtain its exposure to these asset classes, the Sub-fund enters spot and forward currency agreements with major financial institutions and trades highly liquid exchange-traded government bond futures contracts. The L Plus Tangent Sub-Fund may also invest in cash and cash equivalents, including, but not limited to, US Treasury and Agency securities, commercial paper, time deposits, and government or agency securities issued by other OECD nations. In case the Sub-Fund might invest in non-Yen denominated securities, these securities would be hedged into Yen. The Sub-Fund does not invest in any equity or equity related instruments.


General information (continued) Unitholders’ information

Audited annual reports shall be published within 4 months following the end of the accounting year and unaudited semi-annual reports shall be published within 2 months following the end of period to which they refer. The reference currency of the Fund is the YEN. The aforesaid reports comprise consolidated accounts of the Fund expressed in YEN as well as information relating to each sub-fund expressed in the reference currency of that sub-fund. Audited annual reports and un-audited semi-annual reports are made available to the Unitholders at no cost to them at the address of the Fund and the address of the Custodian and any paying agent. Any other financial information to be published concerning the Fund or the Management Company, including the net asset value of each sub-fund and any suspension of such net asset value calculation will be made available at the registered office of the Management Company, or its appointed agents, and the Custodian. All notices to Unitholders are sent to them at their address indicated in the register of Unitholders and, to the extent required by the Luxembourg law, are published in the Memorial.


Combined statement of net assets at February 28, 2011 (Expressed in Japanese Yen) Notes Combined JPY Assets Investments (long position) At cost 17,159,210,746 At market value 2.1 17,147,888,367 Cash at banks 8,518,347,436 Unrealised appreciation on forward foreign exchange contracts 2.8, 14 291,665,691 Unrealised appreciation on futures contracts 2.1, 15 23,181,002 Interest receivable on bonds 31,316,111 Option purchased 2.1, 13 4,032,000 Total assets 26,016,430,607 Liabilities Investments (short position) At cost 4,141,186,491 At market value 2.1 4,134,564,120 Performance fee payable 5 43,156,783 Investment manager fee payable 4 29,531,182 Agent Member Company fee payable 9 16,577,351 Unrealised depreciation on forward foreign exchange contracts 2.8, 14 10,727,080 Unrealised depreciation on futures contracts 2.1, 15 7,284,759 Professional expenses payable 2,701,328 Administration fee payable 7 2,184,151 Legal fee payable 1,869,574 "Taxe d'abonnement" payable 10 1,795,493 Printing and publishing expenses payable 1,685,544 Custodian fee payable 6 1,102,101 Management fee payable 3 358,396 Transaction fee payable 350,000 Total liabilities 4,253,887,862 Total net assets 21,762,542,745 The accompanying notes are an integral part of these financial statements.


Statement of net assets at February 28, 2011 Japanese Long Short Equity (Expressed in Japanese Yen) Notes JPY Assets Investments (long position) At cost 4,637,501,744 At market value 2.1 4,855,662,536 Cash at banks 4,518,713,673 Interest receivable on bonds 594,794 Options purchased 2.1, 13 4,032,000 Total assets 9,379,003,003 Liabilities Investments (short position) At cost 4,141,186,491 At market value 2.1 4,134,564,120 Performance fee payable 5 43,156,783 Investment manager fee payable 4 12,779,318 Agent Member Company fee payable 9 2,854,559 Professional expenses payable 938,719 Administration fee payable 7 730,181 Legal fee payable 587,281 "Taxe d'abonnement" payable 10 427,455 Printing and publishing expenses payable 613,038 Custodian fee payable 6 361,036 Management fee payable 3 83,942 Transaction fee payable 350,000 Total liabilities 4,197,446,432 Total net assets 5,181,556,571 Number of units outstanding 505,000 Net assets per unit 10,260.51 The accompanying notes are an integral part of these financial statements.


Statement of net assets at February 28, 2011 L Plus Tangent (Expressed in Japanese Yen) Notes JPY Assets Investments (long position) At cost 12,521,709,002 At market value 2.1 12,292,225,831 Cash at banks 3,999,633,763 Unrealised appreciation on forward foreign exchange contracts 2.8, 14 291,665,691 Unrealised appreciation on futures contracts 2.1, 15 23,181,002 Interest receivable on bonds 30,721,317 Total assets 16,637,427,604 Liabilities Investment manager fee payable 4 16,751,864 Agent Member Company fee payable 9 13,722,792 Unrealised depreciation on forward foreign exchange contracts 2.8, 14 10,727,080 Unrealised depreciation on futures contracts 2.1, 15 7,284,759 Professional expenses payable 1,762,609 Administration fee payable 7 1,453,970 Legal fee payable 1,282,293 "Taxe d'abonnement" payable 10 1,368,038 Printing and publishing expenses payable 1,072,506 Custodian fee payable 6 741,065 Management fee payable 3 274,454 Total liabilities 56,441,430 Total net assets 16,580,986,174 Number of units outstanding 1,700,000 Net assets per unit 9,753.52 The accompanying notes are an integral part of these financial statements.


Combined statement of operations and changes in net assets for the period ended February 28, 2011 (Expressed in Japanese Yen) Notes Combined JPY Income Interest income on securities, net 2.7 104,295,181 Dividends on long positions 56,874,285 Total income 161,169,466 Expenses Investment Manager fees 4 93,832,317 Dividends on short positions 58,569,020 Agent Member Company fees 9 50,558,871 Security lending fees 8 45,073,790 Performance fees 5 43,156,783 Other expenses 7,862,766 Administration fees 7 6,830,973 "Taxe d'abonnement" 10 5,315,742 Custodian fees 6 3,444,074 Professional expenses 2,605,866 Transaction fees 1,963,159 Printing and publishing expenses 1,539,886 Legal fees 1,538,204 Bank interest 2.7 1,247,740 Management fees 3 1,103,825 Safekeeping fees 627,371 Total expenses 325,270,387 Net investment loss (164,100,921) Net realised result: Loss on investments (85,254,826) Loss on futures contracts (407,036,037) Gain on forward foreign exchange contracts 1,216,423,816 Loss on foreign currencies (248,388,181) Net realised gain for the period 311,643,851 The accompanying notes are an integral part of these financial statements.


Combined statement of operations and changes in net assets for the period ended February 28, 2011 (continued) (Expressed in Japanese Yen) Notes Combined JPY Net realised gain for the period 311,643,851 Net change in unrealised : Depreciation on investments (210,618,145) Depreciation on futures contracts (152,241,866) Depreciation on forward foreign exchange contracts (620,676,504) Appreciation on foreign currencies 268,658,330 Net decrease in net assets as result of operations (403,234,334) Movements in capital Subscription of units 997,888,000 Redemption of units (1,697,322,070) Net movement in capital (699,434,070) Dividend distributed (864,160,000) Net assets at the beginning of the period 23,729,371,149 Net assets at the end of the period 21,762,542,745 The accompanying notes are an integral part of these financial statements.


Statement of operations and changes in net assets for the period ended February 28, 2011 Japanese Long Short Equity (Expressed in Japanese Yen) Notes JPY Income Interest income on securities, net 2.7 1,706,272 Dividends on long positions 56,874,285 Total income 58,580,557 Expenses Investment Manager fees 4 44,119,267 Dividends on short positions 58,569,020 Agent Member Company fees 9 9,846,613 Security lending fees 8 45,073,790 Performance fees 5 43,156,783 Other expenses 6,046,850 Administration fees 7 2,518,270 "Taxe d'abonnement" 10 1,258,696 Custodian fees 6 1,245,427 Professional expenses 762,655 Transaction fees 1,956,473 Printing and publishing expenses 446,216 Legal fees 453,693 Bank interest 2.7 493,787 Management fees 3 289,572 Total expenses 216,237,112 Net investment loss (157,656,555) Net realised results: Gain on investments 555,035,844 Loss on futures contracts (1,098,778) Loss on foreign currencies (124,644) Net realised gain for the period 396,155,867 The accompanying notes are an integral part of these financial statements.


Statement of operations and changes in net assets for the period ended February 28, 2011 (continued) Japanese Long Short Equity (Expressed in Japanese Yen) Notes JPY Net realised gain for the period 396,155,867 Net change in unrealised : Depreciation on investments (382,978,260) Appreciation on futures contracts 2,980,000 Depreciation on foreign currencies (95,767) Net increase in net assets as result of operations 16,061,840 Movements in capital Redemption of units (1,697,322,070) Net movement in capital (1,697,322,070) Dividend distributed (384,160,000) Net assets at the beginning of the period 7,246,976,801 Net assets at the end of the period 5,181,556,571 The accompanying notes are an integral part of these financial statements.


Statement of operations and changes in net assets for the period ended February 28, 2011 L Plus Tangent (Expressed in Japanese Yen) Notes JPY Income Interest income on securities, net 2.7 102,588,909 Total income 102,588,909 Expenses Investment Manager fees 4 49,713,050 Agent Member Company fees 9 40,712,258 Other expenses 1,815,916 Administration fees 7 4,312,703 "Taxe d'abonnement" 10 4,057,046 Custodian fees 6 2,198,647 Professional expenses 1,843,211 Transaction fees 6,686 Printing and publishing expenses 1,093,670 Legal fees 1,084,511 Bank interest 2.7 753,953 Management fees 3 814,253 Safekeeping fees 627,371 Total expenses 109,033,275 Net investment loss (6,444,366) Net realised result: Loss on investments (640,290,670) Loss on futures contracts (405,937,259) Gain on forward foreign exchange contracts 1,216,423,816 Loss on foreign currencies (248,263,537) Net realised loss for the period (84,512,016) The accompanying notes are an integral part of these financial statements.


Statement of operations and changes in net assets for the period ended February 28, 2011 (continued) L Plus Tangent (Expressed in Japanese Yen) Notes JPY Net realised loss for the period (84,512,016) Net change in unrealised : Appreciation on investments 172,360,115 Depreciation on futures contracts (155,221,866) Depreciation on forward foreign exchange contracts (620,676,504) Appreciation on foreign currencies 268,754,097 Net decrease in net assets as result of operations (419,296,174) Movements in capital Subscription of units 997,888,000 Net movement in capital 997,888,000 Dividend distributed (480,000,000) Net assets at the beginning of the period 16,482,394,348 Net assets at the end of the period 16,580,986,174 The accompanying notes are an integral part of these financial statements.


Statistical information Japanese Long

Short Equity L Plus

Tangent Number of units outstanding at the end of the year/period Year ended August 31, 2009 750,000 1,600,000 Year ended August 31, 2010 686,000 1,600,000 Number of units purchased 0 100,000 Number of units redeemed (181,000) (0) Period ended February 28, 2011 505,000 1,700,000 Net asset value at the end of the year/period Year ended August 31, 2009 JPY 7,524,439,511 16,073,903,799 Year ended August 31, 2010 JPY 7,246,976,801 16,482,394,348 Period ended February 28, 2011 JPY 5,181,556,571 16,580,986,174 Net asset value per unit at the year/period Year ended August 31, 2009 JPY 10,032.59 10,046.19 Year ended August 31, 2010 JPY 10,564.11 10,301.50 Period ended February 28, 2011 JPY 10,260.51 9,753.52


Notes to the financial statements

(As of February 28, 2011) Note 1 - General NIKKO SKILL INVESTMENTS TRUST (LUX) organised in and under the laws of the Grand-Duchy of

Luxembourg as a mutual investment umbrella fund, is an unincorporated co-proprietorship of its securities, managed in the interest of its Unitholders by the Management Company. SMBC Nikko Bank (Luxembourg) S.A. (formerly known as Nikko Bank (Luxembourg) S.A.) has been appointed as Custodian of the assets of the Fund. The Fund has been authorized as an undertaking for collective investment under part II of the Luxembourg law of December 20, 2002 regarding undertakings for collective investment. As at February 28, 2011, the two following sub-funds were operational :

Nikko Skill Investments Trust (Lux) - Japanese Long Short Equity (hereinafter referred to as “ Japanese Long Short Equity”) Nikko Skill Investments Trust (Lux) - L Plus Tangent (hereinafter referred to as “L Plus Tangent”)

all denominated in Japanese Yen (JPY) The Fund is managed by the Management Company in accordance with the Management Regulations, as amended from time to time.

Note 2 - Significant accounting policies 2.1 - Valuation of the investments in securities Securities listed on a stock exchange or traded on any other regulated market are valued at the last

available price on such stock exchange or market. If a security is listed on several stock exchanges or markets, the closing price at the stock exchange or market which constitutes the main market for such securities is determining; Securities not listed on any stock exchange or traded on any regulated market will be valued at their last available market price; Securities for which no price quotation is available or for which the price referred to above is not representative of the fair market value, will be valued prudently and in good faith on the basis of their reasonable foreseeable sales prices; The value of any cash on hand, on loan or on deposit, bills, demand notes, promissory notes and accounts receivable, prepaid expenses, cash dividends, interest and such other payments shall be deemed to be the full amount thereof (less any applicable withholding tax) unless the Management Company shall have determined that any such asset is not worth the full amount thereof, in which event the value thereof shall be deemed to be such value as the Management Company shall deem to be the reasonable value thereof;


Notes to the financial statements (continued)

(As of February 28, 2011) Note 2 - Significant accounting policies (continued) 2.1 - Valuation of the investments in securities (continued) If a sub-fund has sold or granted a call option over a security that it owns the final date for the

exercise of which has not passed, there shall be taken into account the market value of such security regardless of the option position;. Any interest-bearing instruments with a remaining maturity of less than one year at the time of purchase could be valued at cost plus accrued interest from its date of acquisition, adjusted by an amount equal to the algebraic sum of (i) any accrued interest paid on its acquisition and (ii) any premium or discount from its face amount paid or credited at the time of its acquisition, multiplied by a fraction the numerator of which is the number of days elapsed from its date of acquisition to the relevant valuation date and the denominator of which is the number of days between such acquisition date and the maturity date of such instruments; Any interest-bearing instruments with a remaining maturity of more than one year at the time of purchase shall be valued at their market price. When their remaining maturity falls under one year, the Management Company, upon decision of the adviser, may decide to value them as stipulated above with written instructions given to the administrative agent. Futures and options shall be valued at their liquidating value based upon the settlement price on the exchange on which the particular future or option is traded, provided that if a future or option could not be liquidated on the days as of which the net asset value is determined due to the operation of daily limits or other rules of such exchange or other-wise, the settlement price on the first subsequent day on which such future or option could be liquidated shall be the basis for determining the liquidating value of such future or option for such day; In the case of any security, derivative instrument or other property which in the opinion of the Management Company would not be appropriately valued as above provided, the value thereof shall be determined from time to time in such manner as the Management Company shall from time to time determine; In the case of any asset realised or contracted to be realised at a known value, the net proceeds of such realisation shall be taken into account in lieu of any other method of determining the value of such asset; The value of any units or shares in investment funds shall be the most recently reported net asset value or repurchase price, if different, of such units or shares; The value of any assets shall be determined having regard to the full amount of any currency premium or discount which may be relevant; In relation to any other asset the value of such asset shall be based on a determination by the Management Company with advice from the Investment Adviser as to the broadest and most representative market for such asset; and In relation to any asset (or liability) the value of such asset or liability shall be the amount which the Management Company determines represents the fair value thereof as determined in accordance with generally accepted accounting principles or otherwise determined in good faith.



(As of February 28, 2011) Note 2 - Significant accounting policies (continued) 2.2 - Net realised gain or loss on sales of investments Realised gains or losses on sales of investments are calculated on the basis of the average cost of

investments sold. 2.3 - Conversion of foreign currencies The net asset values of the 2 different sub-funds are expressed in Japanese Yen (JPY). All assets,

which are valued in a currency other than the currency in which units of the relevant sub-fund are expressed, are converted into the relevant currency at the exchange rate prevailing as at February 28, 2011.

2.4 - Acquisition cost of investments in securities Acquisition cost of securities expressed in currencies other than the currency of the sub-funds is

converted into the currency of the sub-funds at the exchange rate prevailing as of the relevant purchase date.

2.5 - Formation expenses Formation expenses are fully amortised. 2.6 - Combined statements The combined statement of net assets and the combined statement of changes in net assets have

been prepared in JPY. For the purpose of preparing the combined statements, assets, liabilities, income and expenses of the sub-funds have been converted into JPY at the applicable exchange rate as at the date of these financial statements.

2.7 - Income Interest income is accrued on a daily basis. Dividends are recorded on accrual basis at ex-date. 2.8 - Forward foreign exchange contracts Forward foreign exchange contracts are valued at the forward rate applicable at the date of the

statement of net assets for the remaining period until maturity. Gains or losses resulting from forward foreign exchange contracts are recognised in the statement of operations and changes in net assets.



(As of February 28, 2011) Note 3 - Management fee The Management Company is entitled to a fee payable quarterly, out of the assets of each sub-fund,

at an annual rate of 0.01% calculated on the basis of the total average daily net assets of each sub-fund during the relevant quarter.

Note 4 - Investment manager fee The Investment Manager is entitled to a fee payable quarterly, out of the assets of each sub-fund, at

an annual rate of 1.52% and 0.61% calculated on the basis of the total average daily net assets of each sub-fund for respectively Japanese Long Short Equity and L Plus Tangent during the relevant quarter.

Note 5 - Performance fee The Investment Manager is also entitled to a performance fee calculated as the fee to be paid to the

Investment Manager at 25% for Japanese Long Short Equity and 20% for L Plus Tangent and of the excess of the net asset value prior to imputation of the performance fee of the sub-fund over the Hurdle Value (as defined below). The performance fee is calculated for each valuation date. It is realised and paid to the Investment Manager at the end of the accounting period of the sub-fund and upon the dissolution of the sub-fund. The performance fee is also realised at the time of repurchases of units for the number of units repurchased. Such performance fee is paid to the Investment Manager at the end of the relevant quarter. “Hurdle Value” is the weighted average subscription price of units adjusted for dividend payment (if any) multiplied by the Hurdle Value Rate Index (as defined below). Weighted Average subscription price means, for example, if, on the day X-1, the net asset value per unit is 10,000 yen and the number of units is 100, and on the day X, the net asset value per unit is 9,000 yen and 100 units are subscripted at this net asset value then the amount to be multiplied by the Hurdle Rate Index to determine the Hurdle Value on X becomes 9,500 yen per unit (as defined below). The amounts so determined are accumulated. “Hurdle Rate Index” on the day X is an index that is calculated by multiplying the previous Hurdle Rate Index on the day X-1, by 1 plus the Hurdle Rate. Initial Hurdle Rate Index is 1.00. “Hurdle Rate” is One Month Japanese Yen LIBOR at 11:00 a.m. (London time) as appears on page 3750 of Telerate or page BBAM1 on Bloomberg on the last London business day of the previous quarter for L Plus Tangent. “Hurdle Rate” is 0% for the sub-fund Japanese Long Short Equity.

Note 6 - Custodian fee The Custodian is entitled to a fee payable quarterly, out of the assets of each sub-fund of the Fund,

at an annual rate of 0.043% and 0.027% calculated on the basis of the average daily net asset value of each sub-fund for respectively Japanese Long Short Equity and L Plus Tangent during the relevant quarter.



(As of February 28, 2011) Note 7 - Administration fee The Administrator is entitled to a fee payable quarterly, out of the assets of each sub-fund of the

Fund, at an annual rate of 0.087% and 0.053% calculated on the basis of the average daily net asset value of each sub-fund for respectively Japanese Long Short Equity and L Plus Tangent during the relevant quarter.

Note 8 - Security lending fee Security lending fees are paid to Goldmann Sachs (the “prime broker”) by the Japanese Long Short

Equity sub-fund on a daily basis and based on the value of the securities sold short and the agreed rates.

Note 9 - Agent Member Company fee The agent member company is entitled to a fee payable quarterly in arrears, out of the assets of

each sub-fund, at an annual rate of 0.34% and 0.50 % calculated on the basis of the total average daily net assets of respectively Japanese Long Short Equity and L Plus Tangent during the relevant quarter. Any reasonable disbursements and out-of-pocket expenses (including without limitation telephone, telex, cable and postage expenses) incurred by the agent member company are borne by the sub-fund.

Note 10 - “Taxe d’abonnement” Under the prevailing laws and regulations, the Fund is subject to a "taxe d’abonnement" at an annual

rate of 0.05% calculated and payable quarterly on the basis of the Fund's net assets prevailing on the last valuation day of each quarter.



(As of February 28, 2011) Note 11 - Exchange rates

The following exchange rates are used in order to calculate the unrealised gain and loss on forward exchange contracts as at February 28, 2011.

Maturity date Currency Rate Currency

March 15, 2011 USD 81.741345 JPY March 25, 2011 AUD 82.794669 JPY March 25, 2011 CAD 83.699869 JPY March 25, 2011 CHF 88.154736 JPY March 25, 2011 EUR 112.709626 JPY March 25, 2011 GBP 131.846161 JPY March 25, 2011 NOK 14.526620 JPY March 25, 2011 SEK 12.808493 JPY March 25, 2011 USD 81.738843 JPY

The following exchange rates are used in order to convert in JPY the investments done in currencies other than JPY as at February 28, 2011. 1 USD = 81.745101 JPY

Note 12 - Statement of changes in portfolio for the period ended February 28, 2011 Upon request to be addressed to the registered office of the Management Company, a statement

giving the changes in portfolio investments incurred during the period ended February 28, 2011 can be obtained free of charge.

Note 13 - Options contracts Japanese Long Short Equity As at February 28, 2011, the following open option on futures were outstanding : Currency Description Maturity date Strike price Quantity Cost Fair value

JPY JPY

JPY PUT NIKKEI INDX.OSE. March 2011 10,250 84 15,372,000 2,688,000 JPY PUT NIKKEI INDX.OSE. March 2011 10,250 42 6,930,000 1,344,000

Total 22,302,000 4,032,000



(As of February 28, 2011) Note 14 - Forward exchange contracts L Plus Tangent As at February 28, 2011, the following forward exchange contracts were outstanding : Delivery

date Ccy Net amount bought Ccy Net amount sold Unrealised

appreciation/(depreciation)

JPY

25/03/2011 AUD 21,000,000 JPY 1,740,879,000 (2,190,951) 15/03/2011 JPY 10,044,000,000 USD 120,000,000 235,038,557 15/03/2011 JPY 2,491,500,000 USD 30,000,000 39,259,639 25/03/2011 JPY 421,150,500 CAD 5,000,000 2,651,204 25/03/2011 JPY 794,224,800 CHF 9,000,000 832,265 25/03/2011 JPY 536,924,800 GBP 4,000,000 9,540,155 25/03/2011 JPY 567,892,000 EUR 5,000,000 4,343,871 25/03/2011 NOK 30,000,000 JPY 438,972,000 (3,173,469) 25/03/2011 SEK 20,000,000 JPY 258,628,000 (2,458,181) 25/03/2011 USD 2,432,242 JPY 201,713,100 (2,904,479)

Total Forward foreign exchange contracts 280,938,611



(As of February 28, 2011) Note 15 - Futures contracts L Plus Tangent As at February 28, 2011, the following futures contracts on interest rates were outstanding :

Sell/Buy Quantity Futures denomination Currency Net unrealisedappreciation/

(depreciation)

Futures on interest rates JPY

BUY 1 US T-NOTES 10YR.CBT.JUN11 USD 44,704 BUY 1 US T-NOTES 10YR.CBT.JUN11 USD 38,318 BUY 2 US T-NOTES 10YR.CBT.JUN11 USD 97,072 BUY 2 US T-NOTES 10YR.CBT.JUN11 USD 74,081 BUY 5 US T-NOTES 10YR.CBT.JUN11 USD 236,292 BUY 5 GILT.LIFFE.JUN11 GBP 428,634 BUY 9 EURO BUND.EURX.MAR11 EUR 1,715,129 BUY 9 US T-NOTES 10YR.CBT.JUN11 USD 448,317 BUY 11 EURO BUND.EURX.MAR11 EUR 421,734 BUY 19 EURO BUND.EURX.MAR11 EUR 664,175 BUY 30 GILT.LIFFE.JUN11 GBP 2,769,638 BUY 32 EURO BUND.EURX.MAR11 EUR 1,190,780 BUY 48 US T-NOTES 10YR.CBT.JUN11 USD 1,594,029 BUY 57 GILT.LIFFE.JUN11 GBP 4,961,604 BUY 58 EURO BUND.EURX.MAR11 EUR 1,962,080 BUY 98 US T-NOTES 10YR.CBT.JUN11 USD 2,878,920 BUY 106 US T-NOTES 10YR.CBT.JUN11 USD 3,655,495 SELL (32) AUSTR.10YT-BD 6pc.SFE.MAR11 AUD (3,627,260) SELL (16) AUSTR.10YT-BD 6pc.SFE.MAR11 AUD (1,846,855) SELL (10) AUSTR.10YT-BD 6pc.SFE.MAR11 AUD (954,938) SELL (9) AUSTR.10YT-BD 6pc.SFE.MAR11 AUD (855,706)

Total futures contracts 15,896,243


Statement of investments at February 28, 2011 Japanese Long Short Equity (Expressed in Japanese Yen)

Quantity Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market A. Shares - Long position JPY JPY %

91,200 ABLE CHINTAI HOLDINGS INC JPY 36,869,223 40,492,800 0.78770 ACCORDIA GOLF CO LTD JPY 51,765,260 52,745,000 1.02

9,800 AIDA ENGINEERING JPY 3,409,373 4,312,000 0.0891,000 AIR WATER INC JPY 93,859,739 98,462,000 1.9010,000 AJINOMOTO CO INC JPY 9,321,226 9,390,000 0.18

116,100 ALPS ELECTRIC CO LTD JPY 120,395,219 126,897,300 2.4526,600 AOC HOLDINGS INC JPY 12,658,015 15,986,600 0.311,237 AREALINK CO LTD JPY 6,212,612 5,640,720 0.11

22,500 ASAHI CO LTD JPY 28,138,615 30,870,000 0.603,900 ASTELLAS PHARMA INC JPY 12,599,514 12,499,500 0.242,600 AUTOBACS SEVEN CO LTD JPY 8,704,274 8,619,000 0.172,600 CANON ELECTRONICS INC JPY 6,383,147 6,505,200 0.135,700 CAPCOM CO LTD JPY 8,624,238 8,988,900 0.17

16,900 CITIZEN HOLDINGS CO LTD JPY 9,376,283 8,906,300 0.1778,900 CKD CORP JPY 60,996,894 71,483,400 1.3847,000 DAIDO METAL CO LTD JPY 36,607,434 40,843,000 0.7929,500 DAIFUKU CO LTD JPY 18,602,995 19,411,000 0.37

81 DAIICHI LIFE INSURANCE CO JPY 11,784,617 11,923,200 0.2315,800 DAITO TRUST CONST CO LTD JPY 106,633,855 105,386,000 2.0316,300 DENA CO LTD JPY 48,245,238 51,426,500 0.99

626,000 DIC CORP JPY 130,226,717 135,842,000 2.6213 DRECOM CO LTD JPY 4,126,747 4,160,000 0.08

5,400 DYDO DRINCO INC JPY 18,465,908 18,522,000 0.365,000 EAGLE INDUSTRY CO LTD JPY 5,217,469 5,095,000 0.10

200 EKITAN AND CO LTD JPY 556,000 556,000 0.0150,000 ENSHU LT JPY 5,794,558 5,850,000 0.11

33 FAN COMMUNICATIONS INC JPY 3,949,101 4,158,000 0.0833,100 FERROTEC CORP JPY 43,697,642 46,637,900 0.90

281,000 FUJIBO HOLDINGS IN JPY 46,995,590 49,456,000 0.954,200 FUSO CHEMICAL CO LTD JPY 10,915,849 10,605,000 0.20

25,000 GODO STEEL LTD JPY 4,565,011 4,275,000 0.0846,400 GREE INC JPY 61,529,920 61,665,600 1.196,800 HAJIME CONSTRUCTION CO LTD JPY 18,083,870 18,496,000 0.36

11,700 HIKARI TSUSHIN INC JPY 24,197,986 23,341,500 0.459,000 HITACHI KOKUSAI ELECTRIC JPY 6,846,174 7,083,000 0.14

32,000 HITACHI LTD JPY 15,187,718 15,840,000 0.313,900 HONDA MOTOR CO JPY 13,533,770 13,825,500 0.27

106,000 HOWA MACHINERY JPY 10,288,916 11,554,000 0.228,900 IINO KAIUN KAISHA LTD JPY 4,021,512 3,951,600 0.083,100 IMPERIAL HOTEL LTD JPY 6,459,268 7,347,000 0.14

74,500 INES CORP JPY 48,844,787 51,330,500 0.99204 INTERNET INITIATIVE JAPAN JPY 48,106,737 55,998,000 1.08

21,000 ITOHAM FOODS INC JPY 6,520,986 6,552,000 0.1317,800 IZUMI CO LTD JPY 22,252,090 21,342,200 0.4131,000 JANOME SEWING MACHINE JPY 2,608,543 2,604,000 0.05

22 JAPAN OFFICE INVEST CORP JPY 2,253,813 2,354,000 0.05217 JAPAN RETAIL FD INVESTMENT JPY 30,559,142 30,466,800 0.59


Statement of investments at February 28, 2011 (continued) Japanese Long Short Equity (Expressed in Japanese Yen)

Quantity Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market (continued) A. Shares - Long position (continued) JPY JPY %

16,000 JAPAN STEEL WORKS LTD JPY 14,155,489 13,632,000 0.266,500 JSR CORP JPY 11,826,362 11,368,500 0.22

421,000 JUKI CORP JPY 74,174,163 81,674,000 1.58554,100 JVC KENWOOD HOLDINGS INC JPY 230,389,780 247,128,616 4.78

5,600 KADOKAWA GROUP HOLDINGS INC JPY 12,578,504 11,922,400 0.2313,000 KANSAI PAINT CO LTD JPY 10,163,986 10,101,000 0.195,800 KATAKURA INDUSTRIES CO LTD JPY 5,092,807 4,970,600 0.10

70 KDDI CORP JPY 37,408,939 37,100,000 0.728,000 KIRIN HOLDINGS CO JPY 9,310,487 9,328,000 0.184,400 KOHNAN SHOJI CO LTD JPY 4,669,723 4,928,000 0.10

47,000 KURIMOTO LTD JPY 6,430,029 6,815,000 0.1318,000 MAKINO MILLING MACHINE CO JPY 13,014,515 13,770,000 0.27

159,900 MARUI GROUP CO LTD JPY 116,939,273 117,046,800 2.2613,000 MATSUMOTOKIYOSHI HOLDINGS JPY 23,587,543 23,816,000 0.46

38 MESSAGE CO LTD JPY 9,218,058 8,835,000 0.1746,800 MIMASU SEMICONDUCTOR INDS. JPY 45,664,860 46,940,400 0.91

126,000 MITSUBISHI MATERIALS CORP JPY 38,113,351 39,690,000 0.776,000 MITSUI FUDOSAN CO LTD JPY 10,607,473 10,404,000 0.20

14,000 MITSUI SUGAR CO LTD JPY 4,975,406 4,788,000 0.0913 MORI HILLS REIT INVESTMENT JPY 3,586,416 3,679,000 0.07

13,000 NACHI-FUJIKOSHI CORP JPY 5,548,148 5,954,000 0.1165,000 NICHIAS CORP JPY 33,235,900 32,890,000 0.638,500 NICHI-IKO PHARMACEUTICAL CO JPY 19,337,404 19,465,000 0.38

9 NIFTY CORP JPY 835,559 1,152,900 0.0245,000 NIHON NOHYAKU CO LTD JPY 21,709,626 20,295,000 0.392,000 NIKKISO CO LTD JPY 1,460,030 1,414,000 0.03

22 NIPPON ACCOMODATIONS FUND JPY 13,065,184 13,156,000 0.25600 NIPPON KODOSH JPY 1,364,599 1,434,000 0.03

31,200 NIPPON PAPER GROUP INC JPY 70,463,763 70,012,800 1.353,000 NIPPON SEIKI CO LTD JPY 3,511,709 3,270,000 0.06

523,000 NIPPON SHEET GLASS CO LTD JPY 120,168,505 122,382,000 2.364,000 NIPPON SIGNAL CO JPY 2,834,341 2,588,000 0.05

439,000 NIPPON SODA CO JPY 159,300,838 190,087,000 3.68148,000 NIPPON SYNTHETIC CHEMICAL JPY 79,453,848 86,136,000 1.6610,000 NKSJ HOLDINGS INC JPY 6,279,759 6,170,000 0.1216,000 NORITAKE CO LTD JPY 5,483,118 5,680,000 0.119,900 NORITZ CORP JPY 13,839,189 13,711,500 0.261,900 OBARA CORP JPY 2,111,259 2,014,000 0.045,500 ORIENTAL LAND CO LTD JPY 44,228,599 44,990,000 0.87

45,000 ORIGIN ELECTRIC CO LTD JPY 20,947,766 25,605,000 0.4942,000 OSAKI ELECTRIC CO LTD JPY 32,696,293 32,550,000 0.6354,200 PROMISE CO LTD JPY 37,659,893 43,360,000 0.84

215,200 RESONA HOLDINGS INC JPY 92,839,958 95,979,200 1.8535,800 RINNAI CORP JPY 177,962,675 179,358,000 3.4710,700 RYOHIN KEIKAKU CO LTD JPY 42,013,303 41,623,000 0.805,000 SAKAI CHEMICAL INDUSTRY C JPY 2,442,467 2,330,000 0.043,000 SANGETSU CO LTD JPY 5,511,816 6,090,000 0.12

13,000 SANKEN ELECTRIC CO LTD JPY 6,742,155 7,111,000 0.14



Quantity Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market (continued) A. Shares - Long position (continued) JPY JPY %

10,000 SANKYU INC JPY 3,854,504 3,860,000 0.0726,000 SANYO DENKI CO LTD JPY 14,320,517 16,796,000 0.3265,000 SEKISUI HOUSE LTD JPY 55,481,963 54,925,000 1.065,200 SENSHU ELECTRIC CO JPY 4,744,154 5,564,000 0.113,900 SEVEN I HOLDINGS CO LTD JPY 8,697,888 8,880,300 0.17

157,000 SHIMADZU CORP JPY 108,605,909 113,825,000 2.2118,000 SHINDENGEN ELECTRIC MFG JPY 8,171,182 7,884,000 0.1526,900 SHISEIDO CO LTD JPY 44,176,560 44,707,800 0.86

111,300 SHOWA CORP JPY 62,750,201 77,910,000 1.50176 SIMPLEX HOLDINGS INC JPY 7,364,921 6,855,200 0.13

2,600 SMC CORP JPY 35,454,494 36,270,000 0.704,000 SOGO MEDICAL CO LTD JPY 9,544,469 9,664,000 0.193,800 SONY CORP JPY 11,251,963 11,373,400 0.22

62 STAR MICA CO LTD JPY 6,868,758 7,446,200 0.1454,500 STAR MICRONICS CO LTD JPY 53,943,014 50,630,500 0.98

101,000 SUMITOMO BAKELITE CO LTD JPY 56,050,798 54,540,000 1.0576,000 SUMITOMO METAL IND JPY 15,606,305 15,732,000 0.30

412,000 SUMITOMO OSAKA CEMENT CO JPY 93,075,743 87,344,000 1.6910,300 SUMITOMO RUBBER INDUSTRIES JPY 9,534,464 9,084,600 0.18

52 SUN FRONTIER FUDOUSAN CO JPY 624,920 654,680 0.0147,000 T RAD CO LTD JPY 19,129,000 19,364,000 0.3754,000 TAIKO BANK JPY 11,326,525 11,340,000 0.22

228,000 TAIYO NIPPON SANSO CORP JPY 162,638,694 165,984,000 3.219,000 TAIYO YUDEN CO LTD JPY 11,906,476 12,024,000 0.23

54,800 TAKARA LEBEN CO LTD JPY 31,879,910 37,373,600 0.7274,000 TATSUTA ELEC WIRE AND CABLE JPY 25,277,127 27,306,000 0.537,200 TERA PROBE INC JPY 18,144,181 20,959,200 0.403,900 THK CO LTD JPY 8,285,186 8,385,000 0.16

24,000 TOAGOSEI CO LTD JPY 9,429,685 10,032,000 0.1959,800 TOC CO LTD JPY 20,949,097 21,348,600 0.41

118,000 TODA KOGYO CORP JPY 95,002,815 101,244,000 1.95341,000 TOKYO ROPE MFG CO LTD JPY 82,115,088 95,480,000 1.84

1,600 TOMOE ENGINEERING CO LTD JPY 2,354,688 2,320,000 0.0437,000 TOSHIBA MACHINE CO LTD JPY 17,894,585 18,130,000 0.3521,700 TOYOTA MOTOR CORP JPY 80,768,412 82,894,000 1.604,300 UKC HOLDINGS CORP JPY 4,858,619 5,379,300 0.106,700 UNIPRES CORP JPY 13,881,905 13,788,600 0.27

600 UNIVERSAL ENTERTAINMT CORP JPY 1,568,151 1,560,000 0.03132 UT HOLDINGS JPY 7,659,455 9,900,000 0.1963 V TECHNOLOGY CO LTD JPY 30,753,428 41,958,000 0.81

3,100 WATAMI CO LTD JPY 5,380,422 5,301,000 0.1058 WEBMONEY CORP JPY 11,697,368 12,064,000 0.23

6,000 YAMAGUCHI FINANCIAL GROUP JPY 5,231,476 5,076,000 0.106,300 YAMATAKE CORP JPY 12,967,155 13,041,000 0.256,400 YAMATO HOLDINGS CO LTD JPY 8,207,000 8,384,000 0.16

Total shares - Long position 4,301,377,638 4,509,025,716 87.02 (*) Weight of the market value against the total net assets expressed in %.



Quantity Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market (continued) B. Shares - Short position JPY JPY %

(41,000) ADVANTEST CORP JPY (73,670,416) (69,454,000) (1.34)(58,000) AICHI STEEL CORP JPY (34,007,587) (34,162,000) (0.66)

(141,000) AKEBONO BRAKE INDUSTRY CO JPY (73,857,349) (70,500,000) (1.36)(2,600) ALFRESA HOLDINGS CORP JPY (8,522,367) (8,229,000) (0.16)

(28,000) ALL NIPPON AIRWAYS CO LTD JPY (8,365,053) (8,260,000) (0.16)(24,000) ANRITSU CORP JPY (17,287,658) (18,360,000) (0.35)

(242,000) AOZORA BANK LTD JPY (43,327,654) (44,528,000) (0.86)(37,000) ASAHI DIAMOND INDUSTRIAL JPY (56,861,870) (58,386,000) (1.13)(8,000) ASAHI GLASS CO LTD JPY (8,559,685) (9,104,000) (0.18)

(25) BLIFE INVESTMENT CORP JPY (14,455,870) (14,425,000) (0.28)(195) BROADBAND TOWER INC JPY (18,402,529) (17,160,000) (0.33)

(1,100) COOKPAD INC JPY (2,302,684) (2,341,900) (0.05)(52,800) CSK HOLDINGS CORP JPY (20,744,442) (15,628,800) (0.30)(21,900) DAIBIRU CORP JPY (15,497,939) (15,286,200) (0.30)(22,000) DAIHATSU MOTOR CO LTD JPY (28,456,831) (28,336,000) (0.55)(35,500) DAIICHI SANKYO CO LTD JPY (63,999,237) (62,196,000) (1.20)(3,500) DAI-ICHI SEIKO CO LTD JPY (16,336,869) (16,975,000) (0.33)

(10,600) DAIKIN INDUSTRIES LTD JPY (29,469,404) (29,277,200) (0.57)(13) DAIWA OFFICE INVESTMENT CO JPY (3,865,106) (3,814,200) (0.07)

(25,000) DAIWA SECURITIES GROUP IN JPY (11,179,672) (11,000,000) (0.21)(23,000) DENKI KAGAKU KOGYO KK JPY (9,013,693) (10,074,000) (0.19)(16,000) DON QUIJOTE CO LTD JPY (45,920,497) (45,584,000) (0.88)(90,000) DOWA HOLDINGS CO LTD JPY (51,944,115) (51,660,000) (1.00)(13,000) EBARA CORP JPY (6,255,596) (6,188,000) (0.12)(25,900) ELPIDA MEMORY INC JPY (30,036,147) (31,753,400) (0.61)(32,000) FUJI HEAVY INDUSTRIES LTD JPY (21,631,504) (22,432,000) (0.43)(48,200) FUJIFILM HOLDINGS CORP JPY (139,058,508) (137,852,000) (2.66)(2,900) FUKUI COMPUTER INC JPY (1,173,786) (1,226,700) (0.02)

(23,000) FURUKAWA ELECTRIC CO LTD JPY (8,155,543) (7,981,000) (0.15)(12,000) GS YUASA CORP JPY (6,906,300) (7,068,000) (0.14)(26,500) HEIWA REAL ESTATE CO LTD JPY (6,497,015) (6,307,000) (0.12)(85,000) HINO MOTORS LTD JPY (38,262,678) (38,335,000) (0.74)(2,900) HISAMITSU PHARMACEUTICAL CO JPY (9,646,032) (9,570,000) (0.18)(6,000) HITACHI METALS LTD JPY (6,565,295) (6,696,000) (0.13)

(52,000) HITACHI ZOSEN CORP JPY (6,456,302) (6,500,000) (0.13)(3,800) HOKUTO CORP JPY (7,180,098) (7,189,600) (0.14)(7,300) HULIC CO LTD JPY (5,394,234) (5,475,000) (0.11)(7,600) IDEMITSU KOSAN CO LTD JPY (71,722,314) (73,188,000) (1.41)

(6) INDUST.+ INFRAST.FUND INVES JPY (2,336,005) (2,538,000) (0.05)(505,000) ISUZU MOTORS LTD JPY (189,706,992) (185,335,000) (3.58)(22,500) IT HOLDINGS CORP JPY (20,394,389) (20,992,500) (0.41)(2,900) ITOCHU TECHNO-SOLUTIONS JPY (8,754,556) (8,378,100) (0.16)

(54,000) JACCS CO LTD JPY (15,001,351) (16,308,000) (0.31)(5,500) JAPAN DRILLING CO LTD JPY (20,117,312) (20,295,000) (0.39)

(12) JAPAN HOTEL AND RESORT INC JPY (3,142,173) (3,068,400) (0.06)(54,200) JX HOLDINGS INC JPY (30,745,579) (31,056,600) (0.60)(32,000) KAJIMA CORP JPY (6,825,828) (6,976,000) (0.13)



Quantity Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market (continued) B. Shares - Short position (continued) JPY JPY %

(6,500) KANTO TSUKUBA BANK LTD JPY (1,736,975) (1,989,000) (0.04)(26,000) KAWASAKI HEAVY INDS LTD JPY (8,307,637) (8,554,000) (0.17)(52,000) KAYABA INDUSTRY CO JPY (34,260,816) (37,076,000) (0.72)(9,400) KEWPIE CORP JPY (9,561,223) (9,766,600) (0.19)

(25,600) KIMOTO CO LTD JPY (19,702,301) (19,532,800) (0.38)(16,300) KOMATSU LTD JPY (39,628,556) (40,668,500) (0.78)(14,700) K'S HOLDINGS CORP JPY (39,727,403) (40,513,200) (0.78)(10,000) KUBOTA CORP JPY (8,700,387) (8,380,000) (0.16)(45,700) KURARAY CO LTD JPY (51,567,946) (52,692,100) (1.02)(3,600) KURITA WATER INDUSTRIES LTD JPY (8,488,256) (8,344,800) (0.16)(5,200) KURODA ELECTRIC CO LTD JPY (5,462,964) (5,902,000) (0.11)

(32,400) KYUSHU ELECTRIC POWER CO JPY (60,046,687) (61,495,200) (1.19)(39,000) MAZDA MOTOR CORP JPY (9,175,129) (8,190,000) (0.16)

(192,000) MEIDENSHA CORP JPY (72,695,694) (72,192,000) (1.39)(129,000) MINEBEA CO LTD JPY (63,454,352) (62,307,000) (1.20)(184,000) MITSUBISHI CHEMICAL HOLDGS JPY (110,685,794) (109,848,000) (2.12)(194,000) MITSUI CHEMICALS INC JPY (57,882,574) (59,170,000) (1.14)

(6,400) MODEC INC JPY (9,503,523) (9,625,600) (0.19)(324) MONEX GROUP INC JPY (7,239,981) (7,341,840) (0.14)

(12,900) MORI SEIKI CO LTD JPY (12,987,911) (13,506,300) (0.26)(27,000) NEW JAPAN RADIO CO LTD JPY (8,051,184) (8,262,000) (0.16)(6,500) NICHII GAKKAN CO JPY (4,545,135) (4,881,500) (0.09)

(50,000) NIDEC CORPORATION JPY (387,767,051) (380,000,000) (7.33)(700) NIKON CORP JPY (1,320,691) (1,339,100) (0.03)

(65,000) NIPPON ELECTRIC GLASS CO JPY (85,662,250) (88,530,000) (1.71)(26,000) NIPPON EXPRESS CO LTD JPY (8,855,694) (9,152,000) (0.18)(5,200) NISHIMATSUYA CHAIN CO LTD JPY (3,987,989) (3,874,000) (0.07)

(127,000) NISHI-NIPPON CITY BANK JPY (31,058,828) (34,671,000) (0.67)(39,000) NISSHINBO HOLDINGS INC JPY (34,650,102) (34,866,000) (0.67)(1,300) NITORI CO LTD JPY (9,226,730) (9,412,000) (0.18)

(32,300) NOK CORP JPY (51,067,242) (52,326,000) (1.01)(19,000) NTN CORP JPY (8,290,279) (8,322,000) (0.16)(14,000) ODAKYU ELECTRIC RAILWAY CO JPY (10,673,849) (10,654,000) (0.21)(2,500) OHARA INC JPY (2,698,759) (2,660,000) (0.05)

(10,100) OHSHO FOOD SERVICE CORP JPY (18,691,500) (22,260,400) (0.43)(40,200) OLYMPUS CORP JPY (97,229,592) (95,997,600) (1.85)(15,100) OSG CORP JPY (17,778,852) (18,044,500) (0.35)(21,300) OTSUKA HOLDINGS CO LTD JPY (42,846,289) (43,601,100) (0.84)

(77) PREMIER INVESTMENT CO JPY (31,231,525) (30,646,000) (0.59)(21,000) RICOH JPY (22,414,783) (22,638,000) (0.44)(35,000) SANDEN CORP JPY (13,309,000) (13,090,000) (0.25)

(388) SBI HOLDINGS INC JPY (4,631,750) (5,009,080) (0.10)(6,400) SCROLL CORP JPY (2,300,366) (2,329,600) (0.04)

(346,500) SENSHU IKEDA HOLDINGS INC JPY (58,371,846) (44,698,500) (0.86)(130,000) SHARP CORP JPY (112,967,284) (115,050,000) (2.22)

(1,200) SHIMAMURA CO LTD JPY (9,151,528) (9,480,000) (0.18)(6,700) SHIMANO INC JPY (27,154,114) (27,202,000) (0.52)



Quantity Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market (continued) B. Shares - Short position (continued) JPY JPY %

(95,500) SHINKO ELECTRIC INDUSTRIES JPY (91,845,539) (90,534,000) (1.75)(70,700) SHINKO PLANTECH CO LTD JPY (52,312,932) (61,862,500) (1.19)

(217,000) SHINSEI BANK LTD JPY (22,321,944) (22,568,000) (0.44)(476,000) SHOWA DENKO JPY (87,536,909) (85,204,000) (1.64)(37,500) SHOWA SHELL SEKIYU KK JPY (26,855,256) (27,712,500) (0.53)

(146) STARTS PROCEED INVESTMENT C JPY (16,956,843) (18,804,800) (0.36)(212,000) SUMITOMO CHEMICAL CO LTD JPY (89,665,642) (93,280,000) (1.80)

(5,000) SUMITOMO REALTY AND DEV. JPY (10,622,883) (10,945,000) (0.21)(9,500) SUZUKI MOTOR CORP JPY (18,483,289) (18,344,500) (0.35)

(26,000) TAISHO PHARMACEUTICAL JPY (48,101,483) (46,488,000) (0.90)(3,500) TAKATA CORP JPY (8,620,453) (9,082,500) (0.18)(2,600) TANAKA CHEMICAL CORP JPY (3,661,004) (3,104,400) (0.06)

(29,700) TDK CORP JPY (162,458,372) (163,053,000) (3.16)(15,600) TOKYO TOMIN BANK LTD JPY (17,739,235) (18,142,800) (0.35)(89,720) TOKYU CONSTRUCTION CO LTD JPY (22,434,159) (21,981,400) (0.42)(54,000) TOKYU LAND CORP JPY (23,836,972) (25,272,000) (0.49)(14,500) TOKYU LIVABLE INC JPY (14,339,413) (14,311,500) (0.28)

(18) TORIDOLL CORP JPY (2,510,748) (2,064,600) (0.04)(90,000) TOTO LTD JPY (59,748,265) (61,380,000) (1.18)

(634,000) TOYOBO CO LTD JPY (94,581,278) (85,590,000) (1.65)(4,900) TOYODA GOSEI CO LTD JPY (9,495,729) (9,388,400) (0.18)

(13,000) TSUBAKIMOTO CHAIN CO JPY (6,303,138) (6,565,000) (0.13)(8,200) TV TOKYO HOLDINGS CORP JPY (9,837,576) (10,569,800) (0.20)

(10,300) UNI-CHARM CORP JPY (32,045,999) (32,496,500) (0.63)(168) UNITED URBAN INVEST CORP JPY (18,203,672) (18,009,600) (0.35)

(58,200) YAKULT HONSHA CO LTD JPY (135,903,373) (134,267,400) (2.59) Total shares - Short position (4,141,186,491) (4,134,564,120) (79.79) The accompanying notes are an integral part of these financial statements.


Statement of investments at February 28, 2011 (continued) Japanese Long Short Equity (Expressed in Japanese Yen) I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market (continued)

Nominal Description Currency Cost Market value Ratio* C. Bonds JPY JPY %

65,000,000 ORIX CORP CV 1.0 31MAR14 SERIES 3 JPY 87,100,000 92,300,000 1.78130,000,000 TOSHIBA CORP 0.00 CV 21JUL11 JPY 129,870,000 131,655,420 2.5530,000,000 YAMATO HOLDINGS 0.00 CV 07MAR16 JPY 30,750,000 31,848,900 0.61

Total bonds 247,720,000 255,804,320 4.94 Total transferable securities admitted to an official stock exchange or dealt in on another regulated market 407,911,147 630,265,916 12.17

II. Unlisted securities A. Bonds JPY JPY %

162,500,000 TAKEFUJI CORP 10 14APR11 SER EXCH 19,229,165 0 0.0055,000,000 UNIPRES CORP 0 CV 10MAR11 69,174,941 90,832,500 1.75

Total Bonds 88,404,106 90,832,500 1.75 Total unlisted securities 88,404,106 90,832,500 1.75 Total investments 496,315,253 721,098,416 13.92 (*) Weight of the market value against the total net assets expressed in %. The accompanying notes are an integral part of these financial statements.


Classification of investments Japanese Long Short Equity Classification of investments by country and by economical sector Country Economical sector Ratio (%) * Japan - Long position Chemicals 17.12 Electrical Engineering & Electronic 15.49 Building Materials & Trade 9.79 Machine & Apparatus Construction 9.46 Real Estate Companies 5.36 Miscellaneous Services 5.12 Retail Trade & Department Stores 4.29 Road Vehicles 4.24 Banks & Other Credit Institutions 3.95 Medical And Healthcare Services 2.38 Miscellaneous Consumer Goods 2.11 Office Supplies & Computing 1.89 Software Companies 1.72 Pharmaceuticals & Cosmetics 1.48 Paper & Forest Products 1.38 Communications 1.20 Textiles & Garments 1.05 Transportation 0.92 Holding & Finance Companies 0.84 Non-Ferrous Metals 0.77 Foodstuffs & Non-Alcoholic Drinks 0.76 Coal Mining & Steel Industry 0.51 Rubber & Tires 0.40 Insurance 0.35 Petroleum 0.31 Hotels & Restaurants 0.24 Graphics & Publishing 0.23 Tobacco & Alcoholic Drinks 0.18 Watch Industry 0.17 93.71 Total investments 93.71 (*) Weight of the market value against the total net assets expressed in %.


Classification of investments (continued) Japanese Long Short Equity (continued) Classification of investments by country and by economical sector (continued) Country Economical sector Ratio (%) * Japan - Short position Electrical Engineering & Electronic (20.42) Road Vehicles (9.15) Chemicals (6.95) Machine & Apparatus Construction (5.86) Photographic & Optics (4.59) Pharmaceuticals & Cosmetics (3.75) Banks & Other Credit Institutions (3.74) Textiles & Garments (3.52) Real Estate Companies (3.27) Petroleum (2.93) Foodstuffs & Non-Alcoholic Drinks (2.82) Building Materials & Trade (2.07) Miscellaneous Services (2.01) Retail Trade & Department Stores (1.95) Energy & Public Utilities (1.19) Non-Ferrous Metals (1.00) Miscellaneous Consumer Goods (0.90) Coal Mining & Steel Industry (0.79) Software Companies (0.59) Transportation (0.55) Office Supplies & Computing (0.44) Hotels & Restaurants (0.43) Communications (0.25) Rubber & Tires (0.18) Medical And Healthcare Services (0.16) Agriculture & Fishery (0.14) Holding & Finance Companies (0.14) (79.79) Total investments (79.79) (*) Weight of the market value against the total net assets expressed in %.


Statement of investments at February 28, 2011 L Plus Tangent (Expressed in Japanese yen)

Nominal Description Currency Cost Market value Ratio* I. Transferable securities admitted to an official stock exchange or dealt in on another regulated market A. Bonds JPY JPY %

30,000,000 US T-BILL 0.00 23JUN11 USD 2,490,109,175 2,451,296,065 14.7830,000,000 US T-NOTE 0.875 30APR11 USD 2,529,251,407 2,455,227,187 14.8130,000,000 US T-NOTE 0.875 31MAY11 USD 2,506,172,642 2,456,664,273 14.8130,000,000 US T-NOTE 1 30SEP11 USD 2,518,277,830 2,463,849,661 14.8630,000,000 US T-NOTE 1 31OCT11 USD 2,477,897,948 2,465,188,645 14.87

Total bonds 12,521,709,002 12,292,225,831 74.13 Total transferable securities admitted to an official stock exchange or dealt in on another regulated market 12,521,709,002 12,292,225,831 74.13

Total investments 12,521,709,002 12,292,225,831 74.13 (*) Weight of the market value against the total net assets expressed in %. The accompanying notes are an integral part of these financial statements.


Classification of investments L Plus Tangent Classification of investments by country and by economical sector Country Economical sector Ratio (%) * USA Central government 74.13 74.13 Total investments 74.13 (*) Weight of the market value against the total net assets expressed in %.

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