# Swisscanto (LU)
## General Information

### Investment fund under Luxembourg “Umbrella Structure” Law

## is subject to the legal provisions set forth in the first part of Luxembourg law regarding undertakings for collective investment of 17 December 2010.

### The contractual conditions of the investment fund were established by the management company on 5 December 2006.

### The current versions of the management company’s articles of association and the contractual conditions and their amendments have been deposited at the Registry of the District Court of Luxembourg.
The contractual conditions, the detailed sales prospectus, the key investor information, and the annual and semiannual reports may be obtained directly and free of charge in printed form from Swisscanto Fondsleitung AG, the head office of the management company, the custodian bank and the representative in Switzerland, from the German payment and information agent, from any branch of the Cantonal Banks and any payment and sales office. The information i also available on the Swisscanto website (www.swisscanto.com), where additional current information on the fund is available.
Subscriptions to fund units solely on the basis of the annual and semi-annual reports are not accepted. Subscriptions shall only be made after consulting the current sales prospectus and the most recent annual report, as well as, where available, any subsequent semi-annual report.

### Sales restrictions
Units in the fund may not be offered, sold or delivered within the US or to persons considered US persons within the meaning of Regulation S of the US Securities Act of 1933 or in accordance with the US Commodity Exchange Act, as amended.

### Guidelines of the Swiss Funds and Asset Management Association (SFAMA) on duties regarding the charging and use of fees and costs (22 May 2014)
Compensation for the marketing of the investment fund is paid out of the flat-rate administrative commission. The fund management also intends to offer remuneration to institutional investors holding fund units for third parties from the flat-rate administrative commission.

### Risk management process
The management company applies a risk management process to the fund and each subfund that complies with the law of 17 December 2010 and other applicable regulations, in particular CSSF circular 11/512. As part of the risk management process, the total risk for each subfund is measured and checked using the so-called commitment approach.

## Activity Report

## Equity Fund Sustainable Emerging Markets Market overview
Emerging market equities performed negatively (in USD) in the twelve months to March 2022, significantly underperforming global equity markets. The coronavirus crisis was an ever-present companion, leading to peaks and troughs in market sentiment. Once the pandemic situation had eased, many economies recovered in the second half of the reporting period. One exception was China, which maintained its strict zero-Covid policy, which continued to have a negative impact on supply chains, driving up costs for consumers and businesses. Tighter regulatory measures in China have also created uncertainty. These regulatory measures are linked to the five-year plan, which aims, among other things, to create "equal opportunities" for the people of China. Rising inflation rates, partly due to higher commodity prices and disrupted supply chains, led financial markets to expect central banks to tighten monetary policy more decisively than previously hoped. Moreover, Russia’s military aggression against Ukraine is not only having a short-term negative impact on the global economy, but could also accelerate de-globalisation, which could lead to lower corporate profit margins.

### Overview of the relevant categories
At regional level, emerging markets in Latin America were by far the best performing region, particularly in the last three and six months of the reporting period. Eastern Europe, the Middle East and Africa and Asia all underperformed emerging markets. At country level, India, Brazil, South Africa, Saudi Arabia, Mexico and Indonesia performed best in the twelve months to the end of March 2022. By contrast, Chinese equities suffered from a tighter regulatory regime, and South Korea was also among the countries posting below-average performance.
At sector level, financials, utilities, industrials and materials recorded positive absolute returns, while cyclical consumer goods, real estate, healthcare and communications services suffered above-average setbacks.

### Performance overview
The Fund underperformed its MSCI Emerging Markets Index (benchmark) during the reporting period. Our positions in China, Indonesia, Mexico, Chile and Thailand were the largest relative contributors at regional level. India, Taiwan, Saudi Arabia and South Africa's contributions were negative.
At equity level, our positions in industrial values (e.g. Sungrow Power (China), Nari Technology (China), Zhuzhou CRRC Times (China) and WEG S.A. (Brazil)) and information technology (e.g. Longi Green (China), Infosys (India), HCL Technologies (India) and Fabrinet (Thailand)) delivered positive contributions.
Positions in financial stocks (e.g. Sberbank (Russia), Ping An (China), HDFC Bank (India)), utilities (e.g. Indraprashta Gas (India), China Gas (China)), healthcare (e.g. Qualicorp (Brazil), Jiangsu Hengrui (China)) all brought negative contributions, as did refraining from investing in the energy sector.

## Activity Report (cont.)
| ISIN number: | Class AT: | LU0338548034 |
| --- | --- | --- |
| ISIN number: | Class BT: | LU0999461055 |
| ISIN number: | Class DT: | LU0338548117 |
| ISIN number: | Class GT: | LU0866273294 |
| ISIN number: | Class JT: | LU1458526925 |
| ISIN number: | Class MT: | LU2099034824 |
| ISIN number: | Class NT: | LU0866272569 |
| Security number: | Class AT: | 3650277 |
| Security number: | Class BT: | 23115375 |
| Security number: | Class DT: | 3650280 |
| Security number: | Class GT: | 20252840 |
| Security number: | Class JT: | 33386918 |
| Security number: | Class MT: | 51747447 |
| Security number: | Class NT: | 20252839 |
| Subfund performance 1 April 2021 - 31 March 2022 | Class AT: | -14.85% |
|  | Class BT: | -14.19% |
|  | Class DT*: | -14.21% |
|  | Class GT*: | -14.09% |
|  | Class JT*: | -14.30% |
|  | Class MT: | -13.14% |
|  | Class NT*: | -13.39% |

* The performance of the institutional unit classes is calculated using the net asset value assessment (unswung net asset value). By contrast, the remaining classes are calculated using the modified net asset value (swung net asset value).

## Activity Report (cont.)

## Portfolio Fund Sustainable Protection* General comments
The Swisscanto (LU) Portfolio Fund Dynamic 0-50 was repositioned as of 18/10/2021. The repositioned fund is now called Swisscanto (LU) Portfolio Fund Sustainable Protection. As part of the repositioning process, the following adjustments were made:
- No compliance with a target volatility of 5%.
- Introduction of a benchmark with a share ratio of 25%, a bond ratio of 70% and 5% liquidity.
- Conversion to the Swisscanto "sustainable" approach to sustainability.
- Introduction of a systematic collar strategy on the equity proportion in order to hedge equity tail risks.
- The collar strategy allows for a higher equity and a lower bond ratio than the benchmark but with a similar risk pro- file.


### Market overview
The second quarter of 2021 saw continued economic recovery from the pandemic. Robust economic data characterised this quarter. Equity and bond markets performed positively. However, global inflation figures reached new highs. Most market participants assumed that inflation was a temporary phenomenon.
Some uncertainty set in on the markets during the third quarter of 2021. The Fed announced that it would raise interest rates earlier than expected. Overall, equities and bonds saw sideways movement, with the exception of emerging markets equities. The latter recorded significant losses due to concerns about the Chinese Evergrande real estate group. Raw materials, on the other hand, performed very well as a result of the global economic bottleneck.
The fourth quarter of 2021 stood out due to high and persistent inflation figures. Despite news of the spreading Omicron virus variant, the stock markets saw very positive development, especially in Switzerland and the US. This is also due to indications from the Fed that the return of loose monetary policy is not yet imminent.
Global interest rates rose sharply in the first quarter of 2022. This was due to the realisation that the Fed will raise interest rates more rapidly than anticipated due to the high inflation figures. In addition to bonds, this also had a major impact on equity markets, some of which were very highly valued. The bearish market sentiment was underpinned by the Russian war in Ukraine. Raw material prices rose sharply as the war went on.

### Review of categories relevant to the Fund
Global interest rates on government bonds rose sharply during the reporting period, particularly in the first quarter of 2022. The FTSE World Government Bond Index CHF hedged lost around 5.1% (in CHF) of ground over the course of the reporting period. This negative performance is fully attributable to the first quarter of 2022. The picture was no better for corporate bonds: the FTSE World BIG Index CHF hedged lost around 5.4% (in CHF) during the reporting period.
MSCI World saw positive growth over the reporting period (+7.8% in CHF), but there were major regional differences. North American stocks (+13.2%) and Swiss stocks (+10.9) achieved the strongest performances. The performance of European equities (-5.8%) and especially emerging markets equities (-13%) was, however, notably negative.
On the foreign currency side, most foreign currencies depreciated against the Swiss franc. The US dollar (-2.1%) and the Canadian dollar (-1.4%) were the best performers. The Japanese yen (-10.9%) depreciated sharply. However, the euro (-7.7%) and the British pound (-6.8%) also fell sharply compared to the Swiss franc.
* See note 11

## Activity Report (cont.)

### Performance review
The absolute performance of the Swisscanto (LU) Portfolio Fund Dynamic 0-50 was +2.59% in the second quarter of 2021. The fund, which started the quarter with a share ratio of around 34%, benefited from the positive performance of risky assets (in particular equities).
At the beginning of the third quarter, the fund's equity ratio was around 36%. Due to the negative contributions of the Swiss and emerging markets equity regions, the third quarter saw performance of -0.7% (gross). Positive contributors to performance included Pacific equities, North American equities and commodities.
The repositioning took place in the fourth quarter of 2021. From 30 September to 15 October, Swisscanto (LU) Portfolio Fund Dynamic 0-50 achieved a gross performance of +0.62%. Swisscanto (LU) Portfolio Fund Sustainable Protection returned +0.85% (benchmark +0.91%) from 15 October to the end of the year.

### In the first quarter of 2022, Swisscanto (LU) Portfolio Fund Sustainable Protection achieved gross performance of
-4.89%, due to falling bond and equity markets. The benchmark performance was -5.01%. As a result, the first quarter saw a slight outperformance in the first quarter. This demonstrates that the fund's concept (a lower bond ratio and a higher equity ratio than the benchmark, but with hedging) has proved its worth to date.
Since its repositioning, Swisscanto (LU) Portfolio Fund Sustainable Protection has performed at -4.08%. During the same period, the benchmark achieved a return of -4.15%. The contribution of sustainable stock selection has been roughly neutral since repositioning.
| ISIN number: ISIN number: ISIN number: | Class AT: Class BT: Class DT: | LU0562145853 LU0999461139 LU0562149921 |
| --- | --- | --- |
| Security number: | Class AT: | 12041875 |
| Security number: | Class BT: | 23115403 |
| Security number: | Class DT: | 12041876 |
| Subfund performance 1 April 2021 - 31 March 2022 | Class AT: | -2.65% |
|  | Class BT: | -2.25% |
|  | Class DT**: | -2.22% |

* See note 11
** The performance of the institutional unit classes is calculated using the net asset value assessment (unswung net asset value). By contrast, the remaining classes are calculated using the modified net asset value (swung net asset value).
| Swisscanto (LU) |  |
| --- | --- |
| Statement of Net Assets |
| as at 31 March 2022 |
|  | Swisscanto (LU) | Swisscanto (LU) | Consolidated |
|  | Equity Fund | Portfolio Fund |  |
|  | Sustainable | Sustainable |  |
|  | Emerging Markets | Protection* |  |
| Note | USD | CHF | CHF |
| ASSETS |  |  |  |
| Investment portfolio at market value	(2) | 389,816,985 | 20,071,914 | 378,801,071 |
| Bank balance | 7,269,365 | 1,016,935 | 7,706,570 |
| Receivable from sales of securities | 0 | 91,341 | 91,341 |
| Outstanding subscription monies | 1,707 | 0 | 1,571 |
| Receivables from securities revenue | 1,748,969 | 61,669 | 1,671,158 |
| Unrealised gain from forward exchange transactions	(7) | 0 | 76,475 | 76,475 |
| Other assets | 0 | 50,000 | 50,000 |
| TOTAL ASSETS | 398,837,026 | 21,368,334 | 388,398,186 |
| LIABILITIES |  |  |  |
| Options (written options) at market value	(8) | 0 | 68,805 | 68,805 |
| Outstanding payments from the repurchase of shares | 621 | 5,420 | 5,991 |
| Other liabilities | 344,521 | 72,474 | 389,520 |
| TOTAL LIABILITIES | 345,142 | 146,699 | 464,316 |
| NET ASSETS AT THE END OF THE |  |  |  |
| FISCAL YEAR | 398,491,884 | 21,221,635 | 387,933,870 |
| Net asset value per unit |  |  |  |
| Class AT | 153.96 | 105.86 |  |
| Class BT | 130.81 | 109.42 |  |
| Class DT | 171.07 | 112.13 |  |
| Class GT | 136.50 | - |  |
| Class JT | 168.00 | - |  |
| Class MT | 109.23 | - |  |
| Class NT | 130.89 | - |  |
| Number of units in circulation |  |  |  |
| Class AT | 140,359 | 194,918 |  |
| Class BT | 6,928 | 609 |  |
| Class DT | 100,444 | 4,650 |  |
| Class GT | 18,743 | - |  |
| Class JT | 17 | - |  |
| Class MT | 11,970 | - |  |
| Class NT | 2,711,601 | - |  |

Translation (ENFR, 2022-03-31):
# Swisscanto (LU)
### Table des matières

#### Page
* Voir note 11