h2o lux invest - fundsquare

as at 31/05/19

Société d'Investissement à Capital Variable

Database Publishing System: CO-Reporter® by CO-Link, Belgium.

Annual Report and Audited Financial Statements

H2O LUX INVEST

R.C.S. Luxembourg B 186.321

H2O LUX INVEST

Table of Contents

Page Management and Administration 3 Management report 5 Independent auditor’s report 7 Financial Statements Combined 10 Statement of Net Assets as at 31/05/19 11 Statement of Operations and Changes in Net Assets from 01/06/18 to 31/05/19 12 H2O LUX INVEST – Global EM Macro Fund 13 Statement of Net Assets as at 31/05/19 14 Statistical information 14 Statement of Operations and Changes in Net Assets from 01/06/18 to 31/05/19 15 Securities portfolio as at 31/05/19 16 H2O LUX INVEST – Global L/S Opportunities 17 Statement of Net Assets as at 31/05/19 18 Statistical information 18 Statement of Operations and Changes in Net Assets from 01/06/18 to 31/05/19 19 Securities portfolio as at 31/05/19 20 Notes to the financial statements – Schedule of derivative instruments 22 Other notes to the financial statements 29 Other Information to Shareholders (unaudited information) 36

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H2O LUX INVEST

Management and Administration

REGISTERED OFFICE 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg MANAGEMENT COMPANY Luxcellence Management Company S.A. 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg DEPOSITARY, PAYING AGENT, DOMICILIARY AGENT, ADMINISTRATIVE AND REGISTRAR AND TRANSFER AGENT

CACEIS Bank, Luxembourg Branch 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg

INDEPENDENT AUDITOR Ernst & Young S.A. 35E, Avenue J. F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg INVESTMENT MANAGER H2O Asset Management LLP 10 Old Burlington Street London, W1S 3AG United Kingdom SUB-INVESTMENT MANAGER H2O (Monaco) SAM

24, boulevard Princesse Charlotte Monte-Carlo, 98000 Monaco

LEGAL ADVISER IN LUXEMBOURG Elvinger Hoss Prussen, société anonyme 2, Place Winston Churchill L-1340 Luxembourg GLOBAL DISTRIBUTOR

Grand Duchy of Luxembourg H2O Asset Management LLP 10 Old Burlington Street

London, W1S3AG United Kingdom

H2O LUX INVEST

Management and Administration

Board of Directors CHAIRMAN Mr Bruno Crastes, CEO of H2O Asset Management LLP (until April 27, 2020)

10 Old Burlington Street, London W1S 3AG, United Kingdom Mr Loïc Guilloux, ExCo member, in charge of Strategy & Development at H2O AM LLP & CEO of H2O AM Europe (since April 28, 2020) 39 Avenue Pierre 1er de Serbie, 75 008 Paris, France

DIRECTORS Mr Jérôme Wigny, Partner, Elvinger Hoss Prussen, société anonyme (until October 8, 2019) 2, Place Winston Churchill, L-1340 Luxembourg, Grand Duchy of Luxembourg

Mr Paul-Georges Moucan, Director of H2O (Monaco) S.A.M. (since July 12, 2019) 24 Boulevard Princesse Charlotte, 98000 Monaco, Monaco

Mr Gonzague Legoff, Partner, H2O Asset Management LLP (until July 11, 2019) 10 Old Burlington Street, London W1S 3AG, United Kingdom

Mr François Carlotti, Partner, Quadra Capital Partners LLP

9 -10 Savile Row, London W1S 3PF, United Kingdom

Mr Pascal Delaunay, Independent Director, (since May 26, 2020) 28 Ter, Avenue de Brimont, 78400 Chatou, France

Mr Frank Willaime, Independent Director Member of ILA, (since March 2, 2020) 11 Boulevard Price Henri L-1724 Luxembourg, Grand Duchy of Luxembourg

Mr Loïc Guilloux, ExCo member, in charge of Strategy & Development at H2O AM LLP & CEO of H2O AM Europe (from March 2, 2020 to April 27, 2020)39 Avenue Pierre 1er de Serbie, 75 008 Paris, France

H2O LUX INVEST

Management report

H2O Global Macro EM Over the reviewed period the fund delivered a net performance of +2.0% while a Euro unhedged blended benchmark (50% local/50% external) performed +8.8%. EM assets have experienced a strong performance during this period, notably since the beginning of 2019. The outperformance came mostly from EM hard currency assets, supported by growing expectations of FED changing direction on its monetary policy stance. After its December meeting, market participants started to expect a pause in the hiking cycle, then anticipated up to five cuts in the next 24 months. As a consequence, the carry offered by US rates was not considered to be as attractive as in 2018, the hunt for yield helped EM assets, especially high-yielders, to outperform. On the macro side, China did not show any signs of rebound and, apart from few technical rebounds in Argentina and Turkey (due to 2018’s sharp recessions). EM growth momentum has been sluggish particularly in the manufacturing sector. EM also showed signs of short term stabilisation that had alleviated short term bearishness. As we have long argued, EM has not entered into a secular bull trend in 2015/2016 as many headwinds would remain as a long as DM growth outperforms. But our moderate constructive view on EM comes from the fact that conditions are set for carry to perform in selective countries. One good candidate was TRY, which recovered significantly after two periods of very high volatility in summer 2018 and also around the local mayor elections in March 2019. But the very high carry offered by the CB hiking rates and maintaining its hawkish stance stopped the currency from depreciating much more, and the currency performed +11.6% in total return over the period. Performance review: We mainly concentrated our investments in value/carry positions that provide decent cushion and display a decent gap to “fair value”. In addition to this, we noticed that long positioning in countries like TRY & MXN has been significantly reduced by the RM community. While EM assets performed strongly, our choice was to maintain defensive stance as the strength of the US dollars or the upside surprise in US data could rapidly derail the global dovishness impacting all EM assets. From a top-down point of the view: Our bet placed on local debt that Russia & Indonesia CB would turn dovish was proven right, in addition to our core long Mexico’s Mbonos on the back of carry and slowing inflation did well in this dovish environment. In hard currency debt, we initiated a long Turkey position during the summer ‘18 crisis in relative basis but we gradually reduced it gradually as valuations were no longer distressed in absolute and relative terms. We also added to some frontier markets such as Sri Lanka, Tunisia and Jordan (on top of our existing Senegal, Nigeria, Egypt and Lebanon) as we assessed valuations and positioning attractive for that segment of the market at the beginning of the year. Our long position in Latam block in FX versus Asia and fairly neutral in CIS/MEA did well too. On the other side, our constructive view on the US economic cycle through short positions in US duration underperformed, on the back of risk aversion and more cuts being priced in and did offset the gains in local & eternal debt. H2O LUX INVEST – Global L/S Opportunities Despite of the political uncertainty, risks of rising protectionism, and some moderation in business sentiment indicators warrant a less bullish outlook. Nevertheless, summer 2018 was quite strong on the global equity market. A combination of ongoing concerns surrounding the potential impact of a US-led “trade war” coupled with geopolitical tensions in Turkey caused volatility to rise slightly at the beginning of August. However, outside of the global geopolitical situation, the fundamentals surrounding equity markets globally appear firm, with the economic growth indicators showing encouraging signs, while the earnings season has been quite resilient. The third quarter of 2018 has provided investors with fresh challenges. October served as a clear reminder to investors that volatility and market rotations can return at haste as we move later in the cycle. However, the global economic

H2O LUX INVEST

Management report (continued)

expansion goes on despite lower growth momentum and the proliferation of political risks / uncertainties and idiosyncratic shocks. Until the end of the year 2018 geopolitical events and fears of a global economic slowdown continued to dominate financial markets. Gains were essentially generated by the main transatlantic country-arbitrage, as European stocks markedly outperformed their American counterparts. Sector arbitrages proved mixed. EMU banks tanked vs. the EuroStoxx 50. Finally, the short view on low-volatility European equities took the brunt for the collapse in risk appetite. After a horrid end to 2018, 2019 has started on a very bullish note for the MSCI World. However, the sectors rotation remains at play, where the market was dominated by defensive in Q4 2018, and then more mixed early 2019. March recorded another rise of the equity markets, despite tensions at the end of the month following disappointing economic data. The market was anticipating a favourable deal between China and US. In the UK, the Brexit was on the front page with a delay of the due date following a third reject. April was the 4th consecutive positive month, coming back to the highest levels printed during summer 2018 when valuations were peeking out. Following a strong start in 2019, market actors successfully took their profits in May. Geopolitical risk is back on the table with US’s announcements increasing: Chinese importation’s tariff and Huawei’s ban. Moreover, the Chinese reaction was not helping to cool down the situation. In addition, tariffs on European cars and the unexpected tax on Mexican importations add some concerns In Europe, even if the Brexit was postponed to October, the resignation of Theresa May brought back the subject, with a hard Brexit closer than before. Finally, economic data in general were mitigated and rates slightly contracted. Performance Review The fund was flat during the first four months of the period (from June to September 2018), with a total performance of -0.3%, compared to 5.5% for the MSCI World (TR EUR). The following two months (October and November) were positive in a complicated market, with a performance of +2%, compare to -3.9% for the MSCI World (TR EUR). This was thanks to a good reaction of the short book and the good management in the Exposure overlay. However, the quarter finished flat because the market surprises everyone by further plummeting by -8.50% (MSCI World (TR EUR)). In December, the fund was only down -2.20%. 2019 started well in January and February, registering a performance of +3.8%. In March, by anticipating a degradation of the market, we finished by being against it, and been hit with a negative performance of -2.8%. Finally, the fund was flat for the rest of the period (April and May) with a total performance of 0.1%, while the MSCI World (TR EUR) was down -1.7%. Note: The information stated in this report is historical and not necessarily indicative of future performance.

EYErnst & YoungSociete anonyme

35E, Avenue john F. KennedyL-1855 Luxembourg

Tel: +35242 124 1

B.P.780L-2017 Luxembourg

R.C.S. Luxembourg B 47 771TVA LU 16063074Building a better

working world www.ey.com/luxembourg

Independent auditor's report

To the Shareholders ofH20 LUX INVEST5, Allee SchefferL-2520 Luxembourg

Opinion

We have audited the financial statements of H20 LUX INVEST (the "SICAV") and of each of its sub-funds,which comprise the statement of net assets, the securities portfolio and the notes to the financial statements- Schedule of derivative instruments as at May 31, 2019, and the statement of operations and changes innet assets for the year then ended, and the other notes to the financial statements, including a summary ofsignificant accounting policies.

In our opinion, the accompanying financial statements give a true and fair view of the financial position of theSICAV and of each of its sub-funds as at May 31,2019, and of the results of their operations and changes intheir net assets for the year then ended in accordance with Luxembourg legal and regulatory requirementsrelating to the preparation and presentation of the financial statements.

Basis for Opinion

We conducted our audit in accordance with the Law of July 23, 2016 on the audit profession (the "Law ofJuly 23, 2016") and with International Standards on Auditing ("ISAs") as adopted for Luxembourg by the"Commission de Surveillance du Secteur Financier" ("CSSF"). Our responsibilities under the Law ofJuly 23, 2016 and ISAs are further described in the "responsibilities of the "reviseur d'entreprises agree" forthe audit of the financial statements" section of our report. We are also independent of the SICAV inaccordance with the International Ethics Standards Board for Accountants' Code of Ethics for ProfessionalAccountants ("IESBA Code") as adopted for Luxembourg by the CSSF together with the ethical requirementsthat are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilitiesunder those ethical requirements. We believe that the audit evidence we have obtained is sufficient andappropriate to provide a basis for our opinion.

Other information

The Board of Directors of the SICAV is responsible for the other information. The other informationcomprises the information included in the annual report but does not include the financial statements and ourreport of the "reviseur d'entreprises agree" thereon.

Our opinion on the financial statements does not cover the other information and we do not express any formof assurance conclusion thereon.

A member firm of Ernst & Young Global Limited

EYBuilding a betterworking world

In connection with our audit of the financial statements, our responsibility is to read the other informationand, in doing so, consider whether the other information is materially inconsistent with the financialstatements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, basedon the work we have performed, we conclude that there is a material misstatement of this other information,we are required to report this fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the SICAV for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financialstatements in accordance with Luxembourg legal and regulatory requirements relating to the preparation andpresentation of the financial statements, and for such internal control as the Board of Directors of the SICAVdetermines is necessary to enable the preparation of financial statements that are free from materialmisstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the SICAV is responsible for assessing theSICAV's and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, mattersrelated to going concern and using the going concern basis of accounting unless the Board of Directors ofthe SICAV either intends to liquidate the SICAV or any of its sub-funds or to cease operations, or has norealistic alternative but to do so.

Responsibilities of the "reviseur d'entreprises agree" for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole arefree from material misstatement, whether due to fraud or error, and to issue a report of the "reviseurd'entreprises agree" that includes our opinion. Reasonable assurance is a high level of assurance, but is nota guarantee that an audit conducted in accordance with the Law of July 23,2016 and with ISAs as adoptedfor Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements canarise from fraud or error and are considered material if, individually or in the aggregate, they couldreasonably be expected to influence the economic decisions of users taken on the basis of these financialstatements.

As part of an audit in accordance with the Law of July 23,2016 and with ISAs as adopted for Luxembourg bythe CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. Wealso:

Identify and assess the risks of material misstatement of the financial statements, whether due to fraudor error, design and perform audit procedures responsive to those risks, and obtain audit evidence thatis sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a materialmisstatement resulting from fraud is higher than for one resulting from error, as fraud may involvecollusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

Obtain an understanding of internal control relevant to the audit in order to design audit procedures thatare appropriate in the circumstances, but not for the purpose of expressing an opinion on theeffectiveness of the SICAV's internal control.

Evaluate the appropriateness of accounting policies used and the reasonableness of accountingestimates and related disclosures made by the Board of Directors of the SICAV.


EYBuilding a betterworking world

Conclude on the appropriateness of Board of Directors of the SICAV use of the going concern basis ofaccounting and, based on the audit evidence obtained, whether a material uncertainty exists related toevents or conditions that may cast significant doubt on the SICAV's or any of its sub-funds' ability tocontinue as a going concern. If we conclude that a material uncertainty exists, we are required to drawattention in our report of the "reviseur d'entreprises agree" to the related disclosures in the financialstatements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based onthe audit evidence obtained up to the date of our report of the "reviseur d'entreprises agree". However,future events or conditions may cause the SICAV or any of its sub-funds to cease to continue as a goingconcern.

Evaluate the overall presentation, structure and content of the financial statements, including thedisclosures, and whether the financial statements represent the underlying transactions and events in amanner that achieves fair presentation.

We communicate with the Board of Directors regarding, among other matters, the planned scope and timingof the audit and significant audit findings, including any significant deficiencies in internal control that weidentify during our audit.

Ernst & YoungSociete anonyme

Cabinet de revision agree

Jean-Marc Cremer

Luxembourg, July 6, 2020


10Page

H2O LUX INVESTCombined

The accompanying notes form an integral part of these financial statements

11Page

157,474,809.08Assets122,850,440.28Securities portfolio at market value 2.1Note122,105,243.80Investments in securities at cost

745,196.48Unrealised profit on the securities portfolio284,087.23Options purchased at market value 2.1Note537,899.98Options purchased at cost

28,148,351.94Cash at banks and liquidities256,617.76Interest receivable18,581.35Formation expenses 2.4Note39,391.45Subscriptions receivable77,264.12Net unrealised profit on forward foreign exchange contracts 2.1Note

5,800,074.95Receivable on contracts for difference 2.1Note

4,360,960.20Liabilities312,055.13Options sold at market value 2.1Note273,500.45Options sold at cost247,317.39Bank overdrafts

4,142.81Taxe d'abonnement payable 5Note168,415.49Performance fees payable 6Note63,272.81Redemptions payable

243,171.30Net unrealised loss on forward foreign exchange contracts 2.1Note331,864.02Net unrealised loss on financial futures 2.1Note146,176.24Investment manager fees payable 3Note

6,431.93Depositary, paying, domiciliary agent fees payable 4Note24,974.02Accrued professional fees

2,696,279.44Payable on contracts for difference 2.1Note116,859.62Other liabilities

153,113,848.88Net asset value

H2O LUX INVEST

Financial Statements as at 31/05/19

Expressed in EUR

Statement of Net Assets as at 31/05/19

Combined


12Page

1,709,034.21Income301,246.79Net dividends679,888.29Net interest on bonds53,163.61Bank interest on cash account33,990.08Other financial income

640,745.44Interest received on contracts for difference

3,693,806.03Expenses43,894.56Amortisation of formation expenses 2.4Note

1,521,483.06Investment manager fees 3Note24,805.80Depositary and paying fees 4Note19,703.47Taxe d'abonnement 5Note66,961.03Administrative expenses

168,415.09Performance fees 6Note9,000.00Domiciliation fees 4Note

21,178.14Professional fees76,629.26Bank interest on overdrafts99,240.47Legal fees

551,378.83Transaction fees 2.3Note936,412.04Interest paid on contracts for difference154,704.28Other expenses

-1,984,771.82Net loss from investments

Net realised profit / loss on:2,407,243.82- sales of investment securities

-2,201,651.33- options-1,284,577.46- forward foreign exchange contracts1,617,223.23- financial futures-330,581.10- contracts for difference654,458.69- foreign exchange

-1,122,655.972.2NoteNet realised loss

Movement in net unrealised appreciation / depreciation on:2,730,396.63- investments-399,933.26- options-187,255.69- forward foreign exchange contracts-337,178.06- financial futures-625,137.28- contracts for difference

58,236.37Increase in net assets as a result of operations

83,834,616.11Subscription capitalisation shares-33,641,303.59Redemption capitalisation shares

50,251,548.89Increase in net assets

102,862,299.99Net assets at the beginning of the year

153,113,848.88Net assets at the end of the year

EUR

Statement of Operations and Changes in Net Assets from 01/06/18 to 31/05/19

H2O LUX INVESTCombined

Expressed in

13Page

H2O LUX INVEST- Global EM Macro Fund


14Page


-73,945.20Unrealised loss on the securities portfolio2,259.28Options purchased at market value 2.1Note

10,229.93Options purchased at cost763,768.38Cash at banks and liquidities193,903.65Interest receivable77,264.12Net unrealised profit on forward foreign exchange contracts 2.1Note

171,929.79Liabilities2,255.13Options sold at market value 2.1Note

13,800.45Options sold at cost38,296.24Bank overdrafts

301.49Taxe d'abonnement payable 5Note8,630.83Performance fees payable 6Note

66,139.02Net unrealised loss on financial futures 2.1Note12,649.16Investment manager fees payable 3Note1,069.93Depositary, paying, domiciliary agent fees payable 4Note2,789.79Accrued professional fees

39,798.20Other liabilities



Expressed in EUR


H2O LUX INVEST - Global EM Macro Fund

Statistical information

Total Net Assets 10,145,617.93 10,666,034.16 12,191,358.98

31/05/1731/05/1831/05/19Year ending as at:

EURClass S capitalisation

1,006.098,102.129 7,832.353

986.756,800.0001,007.52

Number of sharesNet asset value per share EUR

Class A capitalisation

987.192,020.002 3,018.907

973.025,346.905

998.76Number of sharesNet asset value per share EUR


15Page

Statement of Operations and Changes in Net Assets from 01/06/18 to 31/05/19Expressed in EUR


620,169.40Income600,090.27Net interest on bonds19,927.42Bank interest on cash account

151.71Other financial income

382,151.05Expenses34,098.90Amortisation of formation expenses 2.4Note

187,219.02Investment manager fees 3Note3,518.14Depositary and paying fees 4Note2,221.88Taxe d'abonnement 5Note

15,000.00Administrative expenses8,630.43Performance fees 6Note4,500.00Domiciliation fees 4Note5,232.48Professional fees4,856.30Bank interest on overdrafts

29,321.07Legal fees22,109.61Transaction fees 2.3Note65,443.22Other expenses

238,018.35Net income from investmentsNet realised profit / loss on:

-105,254.37- sales of investment securities-23,242.09- options606,289.79- forward foreign exchange contracts

-142,450.39- financial futures-482,795.55- foreign exchange

90,565.742.2NoteNet realised profitMovement in net unrealised appreciation / depreciation on:

328,934.36- investments-17,323.87- options

-120,428.72- forward foreign exchange contracts-64,348.03- financial futures

217,399.48Increase in net assets as a result of operations6,999,997.31Subscription capitalisation shares

-7,737,813.02Redemption capitalisation shares

-520,416.23Decrease in net assets




16Page

ARGENTINA 5.00 16-27 15/01A300,000 201,852.00 1.99EUR

Transferable securities admitted to an official stock exchange listing 8,779,904.66 86.54

Bonds 8,779,904.66 86.54

Argentina 496,185.22 4.89

ARGENTINA REPUBLIC 05-33 31/12S140,204 95,589.22 0.94USDREPUBLIC OF ARGENT 6.25 17-47 09/11A300,000 198,744.00 1.96EUR

FRANCE TREASURY BILL ZCP 130619400,000 400,455.45 3.95EURFrance 400,455.45 3.95

ALLEMAGNE 3.50 09-19 04/07A30,000 30,102.90 0.30EURGermany 170,408.10 1.68

ALLEMAGNE FED TN 0.00 17-19 14/06A40,000 40,007.20 0.39EURGERMANY 0.25 14-19 11/10A100,000 100,298.00 0.99EUR

INDONESIA 5.625 12-23 15/05S10,500,000,000 620,068.37 6.11IDRIndonesia 620,068.37 6.11

LEBANESE REPU OF 6.10 10-22 04/10S500,000 383,331.09 3.78USDLebanon 383,331.09 3.78

MEX BONOS DESARR FIX 10.00 05-24 05/12S270,000 1,352,761.27 13.34MXNMexico 2,572,122.21 25.36

MEXICAN BONOS 7.50 06-27 03/06S25,000 111,002.05 1.09MXNMEXICAN BONOS 7.75 11-31 29/05S210,000 932,032.89 9.19MXNPEMEX 2.75 15-27 21/04A200,000 176,326.00 1.74EUR

NIGERIA 7.625 17-47 28/11S200,000 162,403.19 1.60USDNigeria 162,403.19 1.60

MINISTRY RUSSIA 6.9 18-29 07/03S28,000,000 363,142.93 3.58RUBRussia 1,056,290.01 10.41

RUSSIA 6207 8.15 12-27 03/02S49,000,000 693,147.08 6.83RUB

SENEGAL 6.75 18-48 13/03S400,000 313,065.02 3.09USDSenegal 313,065.02 3.09

SOUTH AFRICA 6.50 10-41 28/02S10,000,000 435,269.06 4.29ZARSouth Africa 435,269.06 4.29

BQUE CENTL DE TUNISIE 5.625 17-24 17/02A400,000 382,768.00 3.77EURTunesia 382,768.00 3.77

REPUBLIC OF TURKEY 4.875 13-43 16/04S800,000 528,394.14 5.20USDTurkey 1,671,410.26 16.47

TURKEY (REP OF) 4.875 16-26 09/10S200,000 153,321.67 1.51USDTURKEY (REP OF) 5.625 10-21 30/03S400,000 354,107.78 3.49USDTURKEY(REP.OF) 6.00 17-27 25/03S200,000 161,848.61 1.60USDTURQUIE 6.125 18-28 24/10S400,000 321,855.79 3.17USDTURQUIE 5.125 18-28 17/02S200,000 151,882.27 1.50USD

REPUBLIC OF ZAMBIA 8.97 15-27 30/07S200,000 116,128.68 1.14USDZambia 116,128.68 1.14

CASA LONDRES ZCP 080819500,000 500,447.63 4.93EUR

Money market instruments 500,447.63 4.93

Bonds 500,447.63 4.93

United Kingdom 500,447.63 4.93

Total securities portfolio 9,280,352.29 91.47

Securities portfolio as at 31/05/19EURExpressed in


Quantity Denomination Quotationcurrency

% of netassetsMarket value

17Page

H2O LUX INVEST- Global L/S Opportunities


18Page


819,141.68Unrealised profit on the securities portfolio281,827.95Options purchased at market value 2.1Note527,670.05Options purchased at cost

27,384,583.56Cash at banks and liquidities62,714.11Interest receivable18,581.35Formation expenses 2.4Note39,391.45Subscriptions receivable

5,800,074.95Receivable on contracts for difference 2.1Note

4,189,030.41Liabilities309,800.00Options sold at market value 2.1Note259,700.00Options sold at cost209,021.15Bank overdrafts

3,841.32Taxe d'abonnement payable 5Note159,784.66Performance fees payable 6Note63,272.81Redemptions payable

243,171.30Net unrealised loss on forward foreign exchange contracts 2.1Note265,725.00Net unrealised loss on financial futures 2.1Note133,527.08Investment manager fees payable 3Note

5,362.00Depositary, paying, domiciliary agent fees payable 4Note22,184.23Accrued professional fees

2,696,279.44Payable on contracts for difference 2.1Note77,061.42Other liabilities



Expressed in EUR


H2O LUX INVEST - Global L/S Opportunities

Statistical information

Total Net Assets 142,968,230.95 92,196,265.83 29,239,239.19

31/05/1731/05/1831/05/19Year ending as at:

EURClass P capitalisation

1,111.484,850.594 4,937.887

1,105.451,758.8911,125.32


Class S capitalisation

1,111.4183,049.643 70,522.389

1,105.8714,948.3291,124.80


Class A capitalisation

1,126.2519,413.538 5,039.856

1,132.968,976.8051,163.51


Class I capitalisation

1,011.5723,142.579 3,012.998

1,008.770.0000.00



19Page

Statement of Operations and Changes in Net Assets from 01/06/18 to 31/05/19Expressed in EUR


1,088,864.81Income301,246.79Net dividends79,798.02Net interest on bonds33,236.19Bank interest on cash account33,838.37Other financial income

640,745.44Interest received on contracts for difference

3,311,654.98Expenses9,795.66Amortisation of formation expenses 2.4Note

1,334,264.04Investment manager fees 3Note21,287.66Depositary and paying fees 4Note17,481.59Taxe d'abonnement 5Note51,961.03Administrative expenses

159,784.66Performance fees 6Note4,500.00Domiciliation fees 4Note

15,945.66Professional fees71,772.96Bank interest on overdrafts69,919.40Legal fees

529,269.22Transaction fees 2.3Note936,412.04Interest paid on contracts for difference89,261.06Other expenses

-2,222,790.17Net loss from investmentsNet realised profit / loss on:

2,512,498.19- sales of investment securities-2,178,409.24- options-1,890,867.25- forward foreign exchange contracts1,759,673.62- financial futures-330,581.10- contracts for difference

1,137,254.24- foreign exchange

-1,213,221.712.2NoteNet realised lossMovement in net unrealised appreciation / depreciation on:

2,401,462.27- investments-382,609.39- options-66,826.97- forward foreign exchange contracts

-272,830.03- financial futures-625,137.28- contracts for difference

-159,163.11Decrease in net assets as a result of operations76,834,618.80Subscription capitalisation shares

-25,903,490.57Redemption capitalisation shares

50,771,965.12Increase in net assets




20Page

CK HUTCHISON100,000 847,530.37 0.59HKD

Transferable securities admitted to an official stock exchange listing 93,579,823.79 65.46

Shares 44,564,310.66 31.17

Cayman Islands 1,966,888.51 1.38

TENCENT HLDG30,000 1,119,358.14 0.79HKD

SOQUIMICH SPONSORED ADR REPR 1 -B- PREF150,000 4,082,649.08 2.85USDChile 4,082,649.08 2.85

NOVO NORDISK55,000 2,317,828.47 1.62DKKDenmark 2,317,828.47 1.62

DELIVERY HERO SE20,000 771,000.00 0.54EURGermany 12,804,012.92 8.95

JUMIA TECHNOLOGIES AG90,200 2,154,730.56 1.51USDKION GROUP58,054 2,835,357.36 1.98EURK+S115,000 1,747,425.00 1.22EUROSRAM LICHT140,000 3,739,400.00 2.61EURSCOUT2435,000 1,556,100.00 1.09EUR

PENTAIR PLC90,000 2,812,222.37 1.97USDIreland 2,812,222.37 1.97

NEXI S.P.A.75,000 652,500.00 0.46EURItaly 2,517,500.00 1.76

SALVATORE FERRAGAMO S.P.A.100,000 1,865,000.00 1.30EUR

DISCO CO LTD7,500 940,362.31 0.66JPYJapan 3,954,542.75 2.77

KOMATSU LTD75,000 1,497,946.95 1.05JPYTAKEDA PHARMA CO LTD50,000 1,516,233.49 1.06JPY

BEFESA SA91,913 3,377,802.75 2.36EURLuxembourg 3,377,802.75 2.36

NEINOR HOMES BEARER SHS65,000 713,700.00 0.50EURSpain 713,700.00 0.50

TEMENOS AG NAM.AKT10,000 1,555,961.99 1.09CHFSwitzerland 1,555,961.99 1.09

CNH INDUSTRIAL NV200,000 1,559,600.00 1.09EURThe Netherlands 2,842,141.39 1.99

CORE LABORATORIES30,000 1,282,541.39 0.90USD

ATLANTICA YIELD PLC150,000 2,887,333.42 2.02USDUnited Kingdom 2,887,333.42 2.02

COGNIZANT TECHNOLOGY SOLUTIONS -A-15,000 833,624.98 0.58USDUnited States of America 2,731,727.01 1.91

COMMVAULT SYSTEMS15,000 619,868.08 0.43USDSHUTTERFLY INC30,000 1,278,233.95 0.90USD

BELG TREA BILL ZCP 12-09-1913,000,000 13,023,912.71 9.11EUR

Bonds 49,015,513.13 34.29

Belgium 13,023,912.71 9.11

FRANCE TREASURY BILL ZCP 2310195,500,000 5,512,294.37 3.87EURFrance 14,533,582.30 10.18

FRANCE TREASURY BILL ZCP 2407194,500,000 4,505,862.08 3.15EURFRENCH REP ZCP 09-10-194,500,000 4,515,425.85 3.16EUR

ALLEMAGNE 3.50 09-19 04/07A240,000 240,823.20 0.17EURGermany 8,984,137.19 6.28

ALLEMAGNE FED TN 0.00 17-19 14/06A345,000 345,062.10 0.24EURGERM TREA BILL ZCP 19-06-197,880,000 7,896,761.89 5.52EURGERMANY 0.25 14-19 11/10A500,000 501,490.00 0.35EUR

HELLENIC T-BILL ZCP 1303205,000,000 4,967,771.88 3.47EURGreece 4,967,771.88 3.47

DUTC TREA CERT ZCP 27-06-197,500,000 7,506,109.05 5.25EURThe Netherlands 7,506,109.05 5.25

NASPERS -N- SPONS ADR REPR 1/5 SH -N-36,200 1,460,864.18 1.02USD

Other transferable securities 8,059,864.18 5.64

Shares 8,059,864.18 5.64

South Africa 1,460,864.18 1.02

AVATERAMEDICAL N.V1,310,000 3,799,000.00 2.66EURThe Netherlands 6,599,000.00 4.62






21Page

LA PERLA FASHION FINANCE B.V2,000,000 2,800,000.00 1.96EUR

ANNAPURNA -I- 3 DEC40,000 4,057,600.00 2.84EUR

Shares/Units of UCITS/UCIS 10,282,600.00 7.19

Shares/Units in investment funds 10,282,600.00 7.19

France 4,057,600.00 2.84

H2O LARGO I C EUR60,000 6,225,000.00 4.35EURUnited Kingdom 6,225,000.00 4.35

ALLEMAGNE ZCP 14-08-19345,000 345,954.02 0.24EUR

Money market instruments 1,647,800.02 1.15

Bonds 1,647,800.02 1.15

Germany 345,954.02 0.24

PORTUGUESE OT'S 4.75 09-19 14/06A1,300,000 1,301,846.00 0.91EURPortugal 1,301,846.00 0.91

Total securities portfolio 113,570,087.99 79.44





22Page

Notes to the financial statements - Schedule of derivativeinstruments

H2O LUX INVEST

23Page

1,000,000.00 USD(P)/KRW(C)OTC JUN 1155 05.06.19 PUT USD 897,384.13 4.15 -2,325.79Options on currency

OTC options

Purchase

Quantity DenominationCommitment

CurrencyMarket value

(in EUR)(in absolute value)Unrealised

(in EUR)


700,000.00 USD(P)/TRY(C)OTC AUG 5.500 26.08.19 PUT USD 628,168.89 2,255.13 -5,644.86

2,259.28 -7,970.65Total Purchase

700,000.00 USD(P)/TRY(C)OTC AUG 5.500 26.08.19 PUT USD 628,169.89 -2,255.13 11,545.32Options on currency

OTC options

Sale

-2,255.13 11,545.32Total Sale

The counterparties of all these contracts are Morgan Stanley and Co. International and Société Générale. Related deposit margins/margin calls foroptions are included under “Cash at banks and liquidities” or “Bank overdraft” in the Statement of Net Assets.

OPTIONS

As at 31/05/19, the following option contracts were outstanding :

150.00 CYBERARKSOFTWAR JUL 135.00 19.07.19 CALL USD 866,805.76 86,148.88 -29,504.70Options on equities

Listed options

Purchase of options

Quantity DenominationCommitment

CurrencyMarket value

(in EUR)(in absolute value)Unrealised

(in EUR)


1,000.00 OSRAM LICHT N SEP 32.00 20.09.19 CALL EUR 908,800.00 108,000.00 -69,000.00

500.00 SP 500 EMINI JUN 2980.0 21.06.19 CALL USD 267,420.47 4,486.92 -66,668.47Options on futures

400.00 SP 500 EMINI JUN 3000.0 21.06.19 CALL USD 161,529.14 2,692.15 -57,789.931,000.00 VSTOXX INDEX FU JUN 15.50 19.06.19 CALL EUR 1,196,600.00 70,000.00 70,000.00

1,400.00 DJ EUR STOXX 50 JUN 3500.0 21.06.19 CALL EUR 882,000.00 8,400.00 -67,000.00Options on index

700.00 ESTX50 EUR P JUN 3550 21.06.19 CALL EUR 248,500.00 2,100.00 -25,879.00

281,827.95 -245,842.10Total Purchase of options

1,000.00 OSRAM LICHT N SEP 26.00 20.09.19 PUT EUR 1,115,400.00 -238,000.00 -61,000.00Options on equities

Listed options

Sale of options

1,000.00 VSTOXX INDEX FU JUN 19.00 19.06.19 CALL EUR 714,400.00 -20,000.00 -20,000.00Options on futures

200.00 EURO STOXX JUN 3200.0 21.06.19 PUT EUR 1,932,800.00 -51,800.00 30,900.00Options on index

-309,800.00 -50,100.00Total Sale of options

The counterparties of all these contracts is Société Générale. Related deposit margins/margin calls for options are included under “Cash at banks andliquidities” or “Bank overdraft” in the Statement of Net Assets.

H2O LUX INVEST

24Page

EUR 749,885.51 ILS 3,000,000.00 18/06/19 8,091.97 Société Générale, Paris


Currencypurchased

Maturitydate

Unrealised(in EUR) Counterparty

Quantitypurchased

Currencysale

Quantitysale

EUR 1,467,385.32 RUB 108,000,000.00 18/06/19 -15,480.53 JP Morgan SecuritiesUSD 250,000.00 IDR 3,634,612,500.00 13/06/19 -3,171.31 UBS Global Asset ManagementHUF 255,000,000.00 EUR 787,360.34 18/06/19 -2,644.88 BNP ParibasUSD 250,000.00 RUB 16,303,906.00 14/06/19 157.99 UBS Global Asset Management

KRW 25,768,695.00 USD 21,636.29 07/06/19 0.98 Morgan Stanley And CoUSD 21,700.06 KRW 25,768,695.00 03/09/19 0.42 Morgan Stanley And Co

KRW 654,581,950.00 USD 550,000.00 03/07/19 68.24 Morgan Stanley And CoZAR 9,162,411.88 USD 625,000.00 18/06/19 2,939.19 BNP ParibasEUR 250,000.00 CZK 6,467,268.00 17/06/19 -153.16 BNP ParibasUSD 739,984.68 TWD 22,462,235.00 26/07/19 26,111.80 CACIB LondonUSD 250,049.35 KRW 280,311,750.00 11/07/19 12,932.84 Société Générale, ParisUSD 444,760.84 COP 1,390,744,900.00 11/06/19 29,002.73 Société Générale, ParisUSD 625,000.00 HKD 4,879,381.25 19/08/19 1,865.84 Société Générale, ParisUSD 1,269,430.71 KRW 1,439,635,980.00 07/06/19 54,384.40 JP Morgan SecuritiesUSD 360,964.62 PEN 1,198,944.00 18/06/19 4,804.75 CACIB LondonUSD 377,481.51 KRW 426,532,410.00 27/06/19 17,155.87 Société Générale, ParisUSD 483,150.40 TWD 14,876,080.00 03/06/19 11,284.30 Société Générale, Paris

MXN 2,400,000.00 USD 122,517.43 05/08/19 -1,286.30 JP Morgan SecuritiesUSD 755,780.42 MYR 3,144,500.00 19/08/19 7,922.64 CACIB London

KRW 1,297,576,285.00 USD 1,137,675.93 07/06/19 -43,191.97 CACIB LondonBRL 450,491.95 USD 113,199.36 13/06/19 1,608.48 Société Générale, ParisUSD 197,957.31 BRL 795,214.32 26/07/19 -3,842.16 Morgan Stanley And CoUSD 2,351,276.13 ZAR 34,000,000.00 28/06/19 20,569.48 BNP Paribas

KRW 1,439,635,980.00 USD 1,236,513.85 07/06/19 -24,843.75 JP Morgan SecuritiesUSD 124,492.63 MXN 2,400,000.00 05/08/19 3,091.47 JP Morgan SecuritiesUSD 1,236,312.09 KRW 1,439,635,980.00 07/06/19 24,663.42 CACIB London

MXN 2,400,000.00 USD 124,518.58 05/08/19 -3,082.10 UBS Global Asset ManagementKRW 116,291,000.00 USD 100,000.00 07/06/19 -2,111.65 Société Générale, Paris

IDR 3,399,317,000.00 USD 236,417.77 17/06/19 448.09 Société Générale, ParisZAR 37,000,000.00 USD 2,553,186.67 12/07/19 -21,194.87 CACIB LondonUSD 583,870.07 BRL 2,308,447.10 09/07/19 -3,583.23 Morgan Stanley And CoCOP 330,277,000.00 USD 100,000.00 10/06/19 -1,833.40 BNP ParibasEUR 696,192.31 PLN 3,000,000.00 18/06/19 -4,044.33 Société Générale, ParisUSD 1,023,827.24 SGD 1,400,000.00 18/06/19 5,778.71 BNP Paribas

MXN 17,000,000.00 USD 879,493.92 24/06/19 -14,161.96 Morgan Stanley And CoCOP 511,712,950.00 USD 154,488.71 11/06/19 -2,449.04 CACIB LondonEUR 1,123,191.66 CZK 29,000,000.00 18/06/19 1,548.33 CACIB LondonTRY 3,000,000.00 USD 451,561.66 16/09/19 28,872.60 Société Générale, ParisUSD 198,362.22 BRL 795,214.32 15/08/19 -3,182.85 CACIB LondonEUR 90,296.17 CHF 102,200.00 18/06/19 -900.29 CACIB LondonUSD 163,241.80 COP 539,922,250.00 04/06/19 2,733.66 Morgan Stanley And CoUSD 284,961.19 BRL 1,149,732.92 16/09/19 -5,580.87 Morgan Stanley And CoEUR 4,893,785.72 USD 5,500,000.00 18/06/19 -35,942.22 BNP ParibasUSD 245,977.70 INR 17,402,000.00 19/06/19 -2,774.02 Société Générale, ParisPHP 18,346,125.00 USD 349,155.65 20/06/19 1,763.87 Société Générale, ParisUSD 243,273.51 INR 17,225,000.00 15/07/19 -2,374.17 BNP ParibasARS 6,493,750.00 USD 125,000.00 16/08/19 3,431.89 Morgan Stanley And CoUSD 67,464.38 INR 4,716,705.00 24/06/19 -30.67 Société Générale, ParisUSD 488,575.33 IDR 7,128,250,000.00 17/06/19 -7,424.03 Société Générale, ParisUSD 96,656.92 CLP 67,306,113.00 17/06/19 1,331.56 BNP Paribas

TWD 7,615,600.00 USD 241,677.17 13/06/19 -625.50 BNP ParibasBRL 873,970.40 USD 210,956.19 16/09/19 9,282.85 Morgan Stanley And CoEUR 132,713.84 CAD 200,000.00 18/06/19 67.71 Société Générale, ParisEUR 112,068.13 CZK 2,900,000.00 18/06/19 -96.42 BNP ParibasPLN 1,600,000.00 EUR 372,410.92 18/06/19 1,047.02 Société Générale, Paris

TWD 14,876,080.00 USD 472,141.95 03/06/19 -1,405.49 Société Générale, ParisUSD 472,903.92 TWD 14,876,080.00 30/08/19 1,628.63 Société Générale, ParisCOP 539,922,250.00 USD 161,219.43 04/06/19 -918.83 CACIB LondonUSD 160,966.61 COP 539,922,250.00 28/06/19 924.48 CACIB LondonUSD 223,224.72 EUR 200,000.00 18/06/19 77.91 Société Générale, Paris

77,264.12

H2O LUX INVEST

As at 31/05/19, the following forward exchange contracts were outstanding :

FORWARD FOREIGN EXCHANGE CONTRACTS

25Page

EUR 2,679,614.21 DKK 20,000,000.00 19/06/19 1,112.35 CACIB London


Currencypurchased

Maturitydate

Unrealised(in EUR) Counterparty

Quantitypurchased

Currencysale

Quantitysale

EUR 2,159,211.26 HKD 19,000,000.00 18/06/19 -13,190.81 BNP ParibasEUR 2,159,002.14 HKD 19,000,000.00 18/06/19 -13,400.15 BNP ParibasEUR 1,077,893.82 GBP 930,000.00 18/06/19 26,543.37 BNP ParibasEUR 5,275,297.49 JPY 650,000,000.00 18/06/19 -96,680.51 BNP ParibasHKD 19,000,000.00 EUR 2,151,289.36 18/06/19 21,100.88 BNP ParibasEUR 918,865.10 CHF 1,040,000.00 18/06/19 -9,161.46 CACIB LondonEUR 18,684,038.67 USD 21,000,000.00 18/06/19 -138,560.51 BNP ParibasEUR 2,490,011.05 USD 2,800,000.00 18/06/19 -19,670.27 CACIB LondonEUR 1,152,662.12 CHF 1,300,000.00 18/06/19 -7,371.79 CACIB LondonCHF 3,000,000.00 EUR 2,661,563.56 18/06/19 15,440.78 CACIB LondonCHF 2,100,000.00 EUR 1,863,172.68 18/06/19 10,730.36 BNP ParibasUSD 2,084,352.76 CHF 2,100,000.00 21/06/19 -6,250.77 CACIB LondonUSD 4,576,674.98 CHF 4,600,000.00 26/07/19 -17,363.01 BNP ParibasCHF 1,700,000.00 EUR 1,507,919.68 18/06/19 9,049.45 CACIB LondonEUR 447,097.78 USD 500,000.00 18/06/19 -1,056.65 BNP ParibasGBP 1,800,000.00 EUR 2,039,338.85 18/06/19 -4,442.56 CACIB London

-243,171.30

H2O LUX INVESTFORWARD FOREIGN EXCHANGE CONTRACTS

26Page

EURO BUND FUTURE 06/19 -15,080.00-4 EUR 673,360.00 CACEIS Bank, ParisFutures on bonds

(purchase/(sale)) DenominationQuantity

Currency(in EUR)

Broker(in absolute value)

Commitment

(in EUR)Unrealised


EURO BUND FUTURE 09/19 40.00-1 EUR 170,780.00 CACEIS Bank, ParisUS 2 YEARS NOTE- CBT 09/19 -1,682.60-4 USD 770,572.53 CACEIS Bank, ParisUS 5 YEARS NOTE-CBT 09/19 -49,416.42-77 USD 8,109,905.72 CACEIS Bank, Paris

-66,139.02

Related deposit margins/margin calls for futures are included under “Cash at banks and liquidities” or “Bank overdraft” in the Statement of NetAssets.

DJ STOXX 600 FOOD 06/19 -265,725.00-200 EUR 7,397,000.00 CACEIS Bank, ParisFutures on index

-265,725.00

(purchase/(sale)) DenominationQuantity

Currency(in EUR)

Broker(in absolute value)

Commitment

(in EUR)Unrealised


Related deposit margins/margin calls for futures are included under “Cash at banks and liquidities” or “Bank overdraft” in the Statement of NetAssets.

As at 31/05/19, the following futures contracts were outstanding :

H2O LUX INVESTFUTURES

H2O LUX INVEST

Contracts For Difference

As at 31/05/19, the following contracts for difference were outstanding: H2O LUX INVEST – Global L/S Opportunities.

Notional Currency Maturity Sub-fund pays Sub-fund receives

140 070 000 JPY 28/06/2019 SECOM CO LTD JPY LIBOR EQS 1 MONTH

157 850 000 JPY 28/06/2019 NIDEC CORP XOSE_JP JPY LIBOR EQS 1 MONTH

3 515 000 CHF 28/06/2019 BB BIOTECH NAM.AKT XSWX_CH CHF LIBOR EQS 1 MONTH

3 958 500 CHF 28/06/2019 GIVAUDAN SA REG.SHS XVTX_CH CHF LIBOR EQS 1 MONTH

6 324 000 EUR 28/06/2019 KERING EUR LIBOR EQS 1 MONTH

2 456 000 CHF 28/06/2019 JULIUS BAER GROUP NAMEN XVTX_CH CHF LIBOR EQS 1 MONTH

4 194 000 EUR 28/06/2019 ZALANDO SE EUR LIBOR EQS 1 MONTH

5 632 351 EUR 28/06/2019 KORIAN SA EUR LIBOR EQS 1 MONTH

1 473 600 EUR 28/06/2019 CONTINENTAL AG EUR LIBOR EQS 1 MONTH

2 415 000 EUR 28/06/2019 FE NEW XFRA_DE EUR LIBOR EQS 1 MONTH

5 703 000 EUR 28/06/2019 SIEMENS HEALTHINEERS EUR LIBOR EQS 1 MONTH

6 127 500 EUR 28/06/2019 L OREAL SA XPAR_FR EUR LIBOR EQS 1 MONTH

2 176 800 EUR 28/06/2019 ADYEN --- PARTS SOCIALES EUR LIBOR EQS 1 MONTH

3 656 400 EUR 28/06/2019 EUROPEAN AERONAUTIC DEFENSE AND EUR LIBOR EQS 1 MONTH

1 604 350 EUR 28/06/2019 DAIMLER AG REG SHS XETR_DE EUR LIBOR EQS 1 MONTH

2 352 600 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH ASOS PLC

2 683 200 GBP 28/06/2019 PERSIMMON PLC GBP LIBOR EQS 1 MONTH

2 414 000 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH VODAFONE GR GBP

3 037 050 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH SOPHOS GROUP PLC

4 053 000 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH INTL CONS AIRLINES GROUP

1 232 250 GBP 28/06/2019 ROYAL DUTCH SHELL PLC -B- GBP LIBOR EQS 1 MONTH

1 831 000 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH MERLIN ENTERTAINMENTS PLC

2 168 950 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH RECKITT BENCKISER GROUP PLC

2 006 700 USD 28/06/2019 APPLE INC XNAS_US USD LIBOR EQS 1 MONTH

2 846 800 USD 28/06/2019 AMERICAN STATES WATER CO USD LIBOR EQS 1 MONTH

4 277 500 USD 28/06/2019 AMERICAN ELECTRIC POWER CO INC USD LIBOR EQS 1 MONTH

3 622 800 USD 28/06/2019 CHECK POINT SOFTWARE TEC XNAS_US USD LIBOR EQS 1 MONTH

2 042 448 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH ADYEN --- PARTS SOCIALES


2 460 984 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH FE NEW XFRA_DE

2 454 264 EUR 28/06/2019 FE NEW XFRA_DE EUR LIBOR EQS 1 MONTH

1 350 540 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH CONTINENTAL AG

1 861 962 USD 28/06/2019 USD LIBOR EQS 1 MONTH APPLE INC XNAS_US

2 478 924 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH PERSIMMON PLC

1 760 690 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH SIEMENS HEALTHINEERS

1 448 103 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH DAIMLER AG REG SHS XETR_DE

943 203 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH ZALANDO SE

3 451 548 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH KERING

392 890 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH KORIAN SA

2 578 533 CHF 28/06/2019 CHF LIBOR EQS 1 MONTH BB BIOTECH NAM.AKT XSWX_CH

788 103 CHF 28/06/2019 CHF LIBOR EQS 1 MONTH BB BIOTECH NAM.AKT XSWX_CH

1 716 650 GBP 28/06/2019 GBP LIBOR EQS 1 MONTH VODAFONE GR GBP

H2O LUX INVEST

52 092 GBP 28/06/2019 SOPHOS GROUP PLC GBP LIBOR EQS 1 MONTH

4 402 260 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH UBISOFT ENTERTAINMENT XPAR_FR

1 037 622 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH WORLDLINE SA



1 023 614 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH WORLDLINE SA

1 650 086 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH KORIAN SA



1 018 163 CHF 28/06/2019 CHF LIBOR EQS 1 MONTH JULIUS BAER GROUP NAMEN XVTX_CH





1 687 637 EUR 28/06/2019 LVMH MOET HENNESSY LOUIS XPAR_FR EUR LIBOR EQS 1 MONTH

1 172 530 GBP 28/06/2019 EXPERIAN GROUP XLON_GB GBP LIBOR EQS 1 MONTH

1 202 481 EUR 28/06/2019 EUR LIBOR EQS 1 MONTH L OREAL SA XPAR_FR

1 133 400 GBP 28/06/2019 INTL CONS AIRLINES GROUP GBP LIBOR EQS 1 MONTH

1 298 500 GBP 28/06/2019 VODAFONE GR GBP GBP LIBOR EQS 1 MONTH

847 117 EUR 28/06/2019 LVMH MOET HENNESSY LOUIS XPAR_FR EUR LIBOR EQS 1 MONTH

2 230 062 EUR 28/06/2019 SAP AG XETR_DE EUR LIBOR EQS 1 MONTH

The counterparty of all these contracts is Goldman Sachs International. The unrealised on contracts for difference at the year-end is nil since the contracts were reset as at May 31, 2019.

29Page

H2O LUX INVESTOther notes to the financial statements

H2O LUX INVEST

Other notes to the financial statements (continued)

NOTE 1 - GENERAL H2O LUX INVEST (the “SICAV”) is an open-ended investment company (société d’investissement à capital variable - SICAV) incorporated on April 8, 2014 and registered under number B 186.321 with the Registre de Commerce et des Sociétés de Luxembourg. The SICAV is registered under Part I of the Luxembourg law of December 17, 2010 relating to undertakings for collective investment (the "Law"), as amended. The duration of the SICAV is indefinite. The initial capital on incorporation was EUR 31,000. The Board of Directors has appointed Luxcellence Management Company S.A. (the “Management Company”) as the Management Company of the SICAV. The Articles were published in the Mémorial, Recueil Electronique des Sociétés et Associations (the "RESA") on April 29, 2014. The purpose of the SICAV is to offer investors access to a world-wide selection of markets and a variety of investment techniques via a range of specialised products included under a same and single structural umbrella with multiple Sub-Funds. As at May 31, 2019, the following Sub-Funds were active: - H2O LUX INVEST – Global EM Macro Fund ; - H2O LUX INVEST – Global L/S Opportunities. The following shares classes are offered:

- Class P Share (reserved to investors who are approved by the Board of Directors or who are investing through certain distributors wich have a specific arrangement with the Global Distributors. - Class S Share (reserved to institutional investors who are approved by the Board of Directors or who are investing through certain distributors wich have a specific arrangement with the Global Distributors. - Class I Share (reserved to institutional investors), - Class A Share (open to all investors). Class P Shares, Class S Shares, Class I Shares and Class A Shares may be issued in capitalisation and in distribution form. The reference currency of the SICAV is EUR.

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The financial statements are prepared in accordance with Luxembourg generally accepted accounting principles relating to undertakings for collective investment. 1 – Valuation of investments The value of assets which are listed or dealt in on any stock exchange is based on the last available price on the stock exchange which is normally the principal market for such assets. The value of assets dealt in on any other Regulated Market is based on the last available price. In the event that any assets are not listed or dealt in on any stock exchange or on any other Regulated Market, or if, with respect to assets listed or dealt in on any stock exchange, or other Regulated Market, the price is not representative of the fair market value of the relevant assets, the value of such assets will be based on the reasonably foreseeable sales price determined prudently and in good faith by the Board of Directors. Units or shares of open-ended UCI will be valued at their last determined and available net asset value or, if such price is not representative of the fair market value of such assets, then the price shall be determined by the Board of Directors of the SICAV on a fair and equitable basis. Units or shares of a closed-ended UCI will be valued at their last available stock market value. Liquid assets and money market instruments will be valued at nominal value plus any accrued interest or on an amortised cost basis.

H2O LUX INVEST


NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) 1 – Valuation of investments (continued) Outstanding forward foreign exchange contracts are valued at the closing date by reference to the rate of exchange applicable to the outstanding life of the contract. Net unrealised gains and losses on forward foreign exchange contracts are disclosed in the Statements of Net Assets under the heading “Net unrealised profit/loss on forward foreign exchange contracts”. Open financial futures are valued at their last known price on the valuation date or on the closing date. Net unrealised gains and losses on financial futures are disclosed in the Statements of Net Assets under the heading “Net unrealised profit/loss on financial futures”. Options traded on a regulated market are valued at their last known price on the valuation date. The OTC derivatives are valued by the Board of Directors based on the probable realisation value, which shall be estimated in good faith and in accordance with generally accepted principles and procedures. A contract for difference is a bilateral contract essentially between the client (the “buyer”) and his broker (the “seller”), whereby the buyer receives or pays the difference between the current value of a determined underlying asset and its value at the entry in the agreement, according if its value is positive or negative. Contracts for difference are marked to market at each Net Asset Value calculation date. The market value is based on the valuation elements laid down in the contracts and is obtained from third party pricing agents, market makers or internal models. The unrealized gains/losses on contract for difference are reset at each month end. For the details of outstanding, forward foreign exchange contracts, financial futures, options contracts and contracts for difference please refer to section “Notes to the financial statements – Schedule of derivative instruments”. 2 – Realised profit and loss on investments, options, financial futures, contracts for difference and forward foreign exchange contracts The profits and losses on sales of investments, options, financial futures, contracts for difference and forward foreign exchange contracts are disclosed in the Statement of Operations and Changes in Net Assets under the headings “Net realised profit/loss on sales of investment securities”, “Net realised profit/loss on options”, “Net realised profit/loss on financial futures”, “Net realised profit/loss on contracts for difference” and “Net realised profit/loss on forward foreign exchange contracts”. 3 – Transaction fees The transaction fees, i.e. fees charged by the brokers and the Custodian for securities transactions and similar transactions are presented separately in the caption “Transaction fees” in the Statement of Operations and Changes in Net Assets. 4 – Formation expenses The Sub-Funds will bear the formation and launch expenses (including but not limited to legal fees related to the set-up of the SICAV, travel expenses, etc.) incurred on behalf of, or in connection with, the formation of the SICAV and the launch of the Sub-Funds. These expenses are being written off over a period not exceeding five years. 5 – Currency translation The market value of the investments and other assets and liabilities expressed in currencies other than the reporting currency of the related Sub-Fund, have been converted at the rates of exchange prevailing at the end of the year. The cost of investments in currencies other than the reporting currency of the related Sub-Fund has been converted at the rates of exchange prevailing at the date of purchase. Exchange profits and losses resulting from the sale of investments are taken to the Statement of Operations and Changes in Net Assets in the account “Net realised profit/loss on foreign exchange”. The various items in the combined statements correspond to the sum of the corresponding items in the financial statements of each Sub-Fund.

H2O LUX INVEST


NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) 6 – Swing pricing A Sub-Fund may suffer a reduction in value as a result of the transaction costs incurred in the purchase and sale of its underlying investments and the spread between the buying and selling prices of such investments caused by subscriptions, redemptions and/or switches in and out of the Sub-Fund. This is known as "dilution". In order to counter this and to protect Shareholders’interests, the Board of Directors may apply "swing pricing" as part of its daily valuation policy. This will mean that in certain circumstances the Board of Directors may make adjustments in the calculations of the Net Asset Values per Share, to counter the impact of dealing and other costs on occasions when these are deemed to be significant. The Board of Directors may alternatively decide to charge a dilution levy on subscription or redemption, as described below. Swing Pricing If on any Valuation Day the aggregate transactions in Shares of a Sub-Fund result in a net increase or decrease of the Net Asset Value of the Sub-Fund which exceeds a threshold set by the Board of Directors from time to time for that Sub-Fund (relating to the cost of market dealing for that Sub-Fund), a swing factor will be applied (not exceeding 2% of that Net Asset Value) which reflects both the estimated fiscal charges and dealing costs that may be incurred by the Sub-Fund and the estimated bid/offer spread of the assets in which the Sub-Fund invests. The adjustment will be an addition when the net movement results in an increase of all Shares of the Fund and a deduction when it results in a decrease. Dilution Levy The value of the property of a Sub-Fund may be reduced as a result of the costs incurred in the dealings in the Sub-Fund’s investments, including stamp duty and any difference between the buying and selling price of such investments. In order to mitigate against such ‘dilution’ and consequent potential adverse effect on remaining Shareholders, the Fund has the power to charge a ‘dilution levy’ of up to 1% of the applicable NAV when Shares are subscribed for or redeemed, such ‘dilution levy’ to accrue to the affected Sub-Fund. Any dilution levy must be fair to all Shareholders and potential Shareholders and the Fund will operate this measure in a fair and consistent manner to reduce dilution and only for that purpose and will not be applied if the swing pricing mechanism is used. The Board of Directors does not apply swing pricing and dilution levy to the different active Sub-Funds during the year ended May 31, 2019.

H2O LUX INVEST


NOTE 3 - INVESTMENT MANAGER The Investment Manager is entitled to an aggregate fee, payable on a monthly basis at an annual rate which could vary for classes of shares. The effective rates during the year ended 31 May 2019 are the following: Sub-Funds Classes of shares Investment Manager Fee * H2O LUX INVEST – Global EM Macro Fund

Class S shares

1.50% **

Class A shares 2.00% **

Sub-Funds Classes of shares Investment Manager Fee * H2O LUX INVEST – Global L/S Opportunities

Class P shares

1.00% **

Class S shares Class I shares Class A shares

1.00% **

1.20% **

1.75% **

* The Investment Management fee is payable monthly and is accrued and calculated as of each Valuation Day. ** The effective rates are calculated on the average total net assets of the Class.

NOTE 4 - DEPOSITARY, PAYING AND DOMICILIARY AGENT The Depositary, the Paying Agent and the Domiciliary Agent are entitled to fees, payable on a monthly basis, which shall in aggregate not exceed 0.10% of the average net asset value of the SICAV (excluding any taxes).

NOTE 5 - TAXE D’ABONNEMENT The SICAV is liable in Luxembourg to an annual duty (“taxe d'abonnement”) at the rate of 0.05% (0.01% in case of classes reserved to Institutional Investors) of its net assets calculated and payable at the end of each quarter.

NOTE 6 - PERFORMANCE FEE The Performance Fee of 20% is payable to the Investment Manager and/or the Advisory Company on a semi-annual basis by the Sub-Fund H2O LUX INVEST – Global EM Macro Fund in the event that the Net Asset Value per Share exceeds the High Water Mark. The Class P Share bears no performance fees. The Performance Fee of 20% for Classes A Shares, Performance Fee of 15% for Class I Shares and Performance Fee of 10% for Classes P and S Shares is payable by the Sub-Fund H2O LUX INVEST – Global L/S Opportunities in the event that the Net Asset Value per Share exceeds the High Water Mark. The performance fee paid during the year amounted to EUR 8,630.43 for the Sub-Fund H2O Lux Invest – Global EM Macro Fund. The performance fee paid during the year amounted to EUR 159,784.66 for the Sub-Fund H2O Lux Invest – Global L/S Opportunities.

H2O LUX INVEST


NOTE 7 - PORTFOLIO MOVEMENT The details of the changes in portfolio composition are held at the disposal of the shareholders at the registered office of the SICAV and are available upon request free of charge.

NOTE 8 - EXCHANGE RATES AS AT MAY 31, 2019

As at 31 May 2019, the exchange rates used were as follows :

1 EUR = 49.95105 ARS 1 EUR = 1327.079 KRW 1 EUR = 1.60835 AUD 1 EUR = 21.8541 MXN 1 EUR = 4.362 BRL 1 EUR = 4.6697 MYR 1 EUR = 1.5065 CAD 1 EUR = 9.75475 NOK 1 EUR = 1.12085 CHF 1 EUR = 1.7095 NZD 1 EUR = 787.87335 CLP 1 EUR = 3.7537 PEN 1 EUR = 7.72595 CNH 1 EUR = 58.1256 PHP 1 EUR = 3755.8 COP 1 EUR = 4.2808 PLN 1 EUR = 25.8325 CZK 1 EUR = 4.7441 RON 1 EUR = 7.46755 DKK 1 EUR = 72.59015 RUB 1 EUR = 0.88415 GBP 1 EUR = 10.6055 SEK 1 EUR = 8.73715 HKD 1 EUR = 1.5337 SGD 1 EUR = 324.89 HUF 1 EUR = 6.503 TRY

1 EUR = 15904.561 IDR 1 EUR = 35.2274 TWD 1 EUR = 4.0431 ILS 1 EUR = 1.11435 USD 1 EUR = 77.66045 INR 1 EUR = 16.22215 ZAR 1 EUR = 120.9906 JPY

NOTE 9 - SUBSEQUENT EVENTS

Sale of AVATERAMEDICAL N.V. Regarding the AVATERAMEDICAL N.V. security (Isin NL0011354956) held in the portfolio of H2O Lux Invest – Global L / S Opportunities sub-fund, the delegated sub-fund manager, H2O AM LLP (hereafter H2O), with the aim of selling the position, has started a discussion at the end of 2019 with an Asset Manager (hereinafter the buyer) who could be interested in companies in the so-called medical sphere 2.0, the sector concerned by AVATERAMEDICAL N.V.. This buyer, a German company with more than € 2 billion in assets under management as well as with an excellent reputation seemed to be for H2O a relatively natural candidate. A security sales contract was signed on January 14, 2020 with a forward delivery settlement date to give the buyer time to confirm such interest with its investors. The settlement operation was therefore due to take place on March 16, 2020, about 15 days after the start of the crisis when the DAX, for example, had lost almost 40% and that the only asset that was in favour in the eyes of many stakeholders on the financial markets was "cash". Like all investors around the world, those of the buyer have asked that the transaction be first suspended.

H2O LUX INVEST


NOTE 9 - SUBSEQUENT EVENTS (continued) Sale of AVATERAMEDICAL N.V. (continued) Preferring the dialogue to a legal race, H2O sought a solution which, while adapting the price to the recent market stress, postponed the date of settlement delivery to the end of September 2020 and strengthened the position of H2O from a legal point of view. H2O and the SICAV, not wishing to experiment the winding path of a lawsuit, agreed for this extension and it was decided to accept a price reduction in line with what is the new reality. Impact on the SICAV´s activity of COVID-19 pandemic The Covid-19 epidemic is expected to have significant negative impacts on the world economy, which would worsen if the epidemic were not contained quickly. It leads to supply and demand shocks, resulting in a marked slowdown in activity, due to the impact of containment measures on consumption and the distrust of economic agents, as well as production difficulties, supply chain disruptions in some sectors; and slower investment. The result would be a marked drop in growth, or even technical recessions in several countries. These consequences may impact the performance of the SICAV and the market value of its assets. Luxcellence Management Company is also concerned by the containment measures which apply to its staff, thus, since Monday, March 23, 2020, 100% of the staff work from their home, the technological and material means implemented by Luxcellence and its delegate nonetheless allow us to ensure the activity and services of our customer without any particular problem up to now. The extent and duration of these impacts are impossible to determine at this stage.

H2O LUX INVEST

Other Information to Shareholders (unaudited information)

SECURITIES FINANCING TRANSACTIONS AND OF REUSE REGULATION (“SFTR”) The Regulation on Transparency of Securities Financing Transactions and of Reuse (the « SFTR ») entered into force on January 12, 2016 aiming to improve transparency in securities and commodities lending, repurchase transactions, margin loans and certain collateral arrangements. The disclosure requirements of the SFTR include the following details on Contracts for difference transactions:

There is no reuse of cash collateral related on CFDs transactions. All trades open at the end of the year have been transacted through bilateral settlement.

CONTRACTS FOR DIFFERENCE TRANSACTIONS

H2O LUX INVEST – Global L/S Opportunities

Assets used as at 31/05/19 In EUR In absolute terms 8,496,354.39

As a % of total net asset value 5.94% Transactions classified according to residual maturities In EUR

Less than 1 day - From 1 day to 1 week -

From 1 week to 1 month 8,496,354.39 From 1 month to 3 months -

From 3 months to 1 year - Above 1 year -

Open maturity - The 10 largest counterparties

First Name

Gross volumes for open trades First country of domicile

In EUR

Goldman Sachs International Ltd

8,496,354.39 United Kingdom

Collateral received as at 31/05/19 Type: Cash

Quality

Currency

Classification according to residual maturities :

Less than 1 day From 1 day to 1 week

From 1 week to 1 month From 1 month to 3 months

From 3 months to 1 year Above 1 year

Open maturity

In EUR

-

-

-

EUR - - - - - - -

Revenue and expenditure components In EUR

Revenue component of the fund: In absolute amount

In % of gross revenue 42,528,955.11

100.00% Expenditure component of the fund 43,577,292.04

H2O LUX INVEST


INFORMATION CONCERNING THE REMUNERATION POLICY

The remuneration Policy

The Management Company has established and applies a remuneration policy and practices that are consistent with, and promote, sound and effective risk management and that does not encourage risk taking which is inconsistent with the risk profiles, rules, prospectus or the Articles nor impair compliance with the Management Company’s obligation to act in the best interest of the Company.

The Management Company is required to make quantitative disclosures of remuneration. These disclosures are made in line with the Management Company’s interpretation of currently available regulatory guidance in relation to quantitative remuneration disclosures. As regulatory practice evolves the Management Company may consider it appropriate to make changes to the way in which quantitative remuneration disclosures are calculated and in case such changes are made, this may result in disclosures in relation to the Fund not being comparable to the disclosures made in the prior year, or in relation to other Funds for which Luxcellence Management Company acts as Management Company. Methodology: The figures disclosed are a sum of each individual’s portion of remuneration attributable to the Fund according to an objective apportionment methodology which acknowledges the multiple-service nature of the Management Company. Accordingly the figures are not representative of any individual’s actual remuneration or their remuneration structure. Quantitative Disclosure: The total amount of such remuneration paid in respect of the financial year ending December. 31, 2018 by the Management Company to its staff (i.e. 30 beneficiaries as of 31/12/2018) and in relation to the activity taken for this Fund is 92.9 k€, which is comprised of a fixed remuneration of 82.6 k€ and a variable remuneration of 10.3 k€. The amount of the aggregate remuneration awarded by the Management Company, which has been attributed to their senior management in relation to the Fund was 33.3 k€ (7 beneficiaries as of 31/12/2018).

H2O LUX INVEST


DETERMINATION OF THE GLOBAL EXPOSURE The Sub-Funds H2O LUX INVEST – Global EM Macro Fund and Global L/S Opportunities use the absolute Value at Risk (VaR) approach in order to monitor and measure the global exposure. The VaR limit of the sub-funds including at least the lowest, the highest and the average utilization of the VaR limit calculated during the financial year. The VaR figures have been calculated based on the following input data :

- Model used : Historical Simulations - Confidence level : 99% - Holding period : 20 days - Length of data history : 1 year

H2O LUX INVEST – Global EM Macro Fund

Leverage levels Min: 432.70 % Max :1,391.07 % Average : 740.75 %

VaR / Internal VaR limit

Min : 34.03% Max : 108.53% Average : 64.99%

H2O LUX INVEST – Global L/S Opportunities

Leverage levels Min : 50.15 % Max :290.49 % Average : 181.36 %

VaR / Internal VaR limit

Min : 15.47% Max : 53.36% Average : 26.35%