# Zebra Kante™ 80 Protect
Investment manager’s report for the financial year ended 31 July 2022 (continued)

## Investment Outlook and Strategy (continued)
Measures of high popularity can signal a level of disagreement about what is a fair price for a stock. Year on year the SPX is only down 4.66% after rising over 9.00% through year end 2021, then up over 8.00% during July 2022. The over-all market environment beginning with the rally in April of 2020 (but reversed during Q1 2022) has been a period marked by strong investor preferences, particularly in the US, for those stocks where disagreement and uncertainty are highest. In other words, investors have rewarded those stocks where it is most unclear what lies ahead. All of that being said, in aggregate, the style factors have been positively influencing the relative performance of the portfolio while stock selection has been slightly negative.
As discussed above, during the period, Stock Selection has been slightly negative offset by strong Factor performance. The best performing sectors in the S&P 500 were Energy (+44.67%) and Utilities (+4.81%) while the worst were Communication Services (-27.61%), Consumer Discretionary (-20.13%) and Information Technology (-16.95%).

## The Sub-Fund was launched on 25 March 2021.
From 25 March 2021 (its inception) to 31 July 2022, the performance of the A USD share class is -5.93%. From 13 July 2021 (its inception) to 31 July 2022, the performance of the B USD share class is -7.77%. From 13 July 2021 (its inception) to 31 July 2022, the performance of the B EUR share class is -9.05%. From 13 July 2021 (its inception) to 31 July 2022, the performance of the D EUR share class is -9.05%. From 12 August 2021 (its inception) to 31 July 2022, the performance of the A EUR share class is -10.07%. From 31 July 2021 to 31 July 2022, the performance of the A USD share class is -8.74%.
From 31 July 2021 to 31 July 2022, the performance of the B USD share class is -8.74%. From 31 July 2021 to 31 July 2022, the performance of the B EUR share class is -9.97%. From 31 July 2021 to 31 July 2022, the performance of the D EUR share class is -9.97%. From 12 August 2021 to 31 July 2022, the performance of the A EUR share class is -10.07%.
From 25 March 2021 (its inception) to 31 July 2022, annualised volatility of A USD share class is 9.21%. From 13 July 2021 (its inception) to 31 July 2022, annualised volatility of B USD share class is 9.17%. From 13 July 2021 (its inception) to 31 July 2022, annualised volatility of B EUR share class is 9.18%. From 13 July 2021 (its inception) to 31 July 2022, annualised volatility of D EUR share class is 9.18%. From 12 August 2021 (its inception) to 31 July 2022, annualised volatility of A EUR share class is 9.10%.
Zebra Kante™ 80 Protect
Schedule of investments as at 31 July 2022
| Holdings | Financial assets at fair value through profit or loss | Fair value US$ |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Equities: 96.33% (2021: 93.09%) |  |  |  |
|  | Netherlands: 0.00% (2021: 7.09%) | – |  | – |
|  | Consumer, cyclical: 0.00% (2021: 7.09%) | – |  | – |
|  | Sweden: 0.66% (2021: 0.00%) |  |  |  |
|  | Consumer, non-cyclical: 0.66% (2021: 0.00%) |  |  |  |
| 28,365 | Aprea Therapeutics | 27,230 |  | 0.66 |
|  | Total Sweden | 	27,230 |  | 	0.66 |
|  | United States: 95.67% (2021: 86.00%) |  |  |  |
|  | Basic materials: 8.44% (2021: 3.72%) |  |  |  |
| 4,665 | AdvanSix | 183,288 |  | 4.44 |
| 5,465 | Arconic | 165,098 |  | 4.00 |
|  | Communications: 0.03% (2021: 6.65%) |  |  |  |
| 542 | Marchex | 1,084 |  | 0.03 |
|  | Consumer, cyclical: 1.02% (2021: 1.98%) |  |  |  |
| 1,036 | Chuy's Holdings | 23,030 |  | 0.56 |
| 2,567 | Mesa Air | 5,801 |  | 0.14 |
| 3 | NVR | 13,179 |  | 0.32 |
|  | Consumer, non-cyclical: 50.99% (2021: 28.07%) |  |  |  |
| 49,447 | 89bio | 175,537 |  | 4.26 |
| 16,928 | Adicet Bio | 285,914 |  | 6.93 |
| 15,862 | Adverum Biotechnologies | 23,159 |  | 0.56 |
| 5,783 | Aerie Pharmaceuticals | 40,539 |  | 0.98 |
| 2,603 | Akero Therapeutics | 26,655 |  | 0.65 |
| 6,961 | Alector | 71,141 |  | 1.72 |
| 2,677 | Alico | 97,550 |  | 2.37 |
| 23,570 | Altimmune | 283,076 |  | 6.86 |
| 27,392 | Amicus Therapeutics | 272,824 |  | 6.61 |
| 12,000 | Applied Molecular Transport | 22,800 |  | 0.55 |
| 8,932 | Aravive | 7,798 |  | 0.19 |
| 81,928 | Assertio Holdings | 319,519 |  | 7.74 |
| 309 | Biogen | 66,454 |  | 1.61 |
| 24,840 | Information Services Group | 185,306 |  | 4.49 |
| 9,775 | NGM Biopharmaceuticals | 141,542 |  | 3.43 |
| 5,318 | Opiant Pharmaceuticals | 54,616 |  | 1.32 |
| 8,080 | Personalis | 29,815 |  | 0.72 |
|  | Energy: 5.43% (2021: 10.28%) |  |  |  |
| 20,079 | Aemetis | 147,581 |  | 3.58 |
| 830 | Gulfport Energy | 76,393 |  | 1.85 |
|  | Financial: 7.91% (2021: 10.31%) |  |  |  |
| 6,846 | Alerus Financial | 168,685 |  | 4.09 |
| 4,556 | Atlantic Union Bankshares | 157,592 |  | 3.82 |
|  | Industrial: 9.16% (2021: 12.19%) |  |  |  |
| 16,451 | Advanced Emissions Solutions | 80,445 |  | 1.95 |
| 5,204 | Allied Motion Technologies | 140,196 |  | 3.40 |

Zebra Kante™ 80 Protect
Schedule of investments as at 31 July 2022 (continued)
| Holdings | Financial assets at fair value through profit or loss |  |  | Fair value US$ |  | % of net assets |
| --- | --- | --- | --- | --- | --- | --- |
| Equities: 96.33% (2021: 93.09%) (continued) |
| United States: 95.67% (2021: 86.00%) (continued) |
| Industrial: 9.16% (2021: 12.19%) (continued) |
| 1,563 | Applied Industrial Technologies |  |  |  | 157,222 |  | 3.81 |
| Technology: 12.69% (2021: 12.80%) |
| 2,889 | 8x8 |  |  |  |  |  | 14,127 |  | 0.34 |
| 9,566 | ACM Research |  |  |  |  |  | 161,474 |  | 3.91 |
| 292 | ACV Auctions |  |  |  |  |  | 2,158 |  | 0.05 |
| 10,449 | Aehr Test Systems |  |  |  |  | 119,223 |  | 2.89 |
| 9,290 | Allscripts Healthcare Solutions |  |  |  | 146,968 |  | 3.56 |
| 4,256 | Amtech Systems |  |  |  |  | 33,282 |  | 0.81 |
| 5,510 | Benefitfocus |  |  |  |  |  | 46,670 |  | 1.13 |
|  | Total United States |  |  |  |  | 3,947,741 |  | 95.67 |
|  |  |  |  |  |  |  |  |  |
|  | Total equities |  |  |  |  |  | 3,974,971 |  | 96.33 |
| Financial derivative instruments: 2.45% (2021: 6.14%) |
| Counterparty | Total return swaps - unrealised gains: 2.45% (2021: 5.87%) | Notional US$ | Unrealised gain US$ |  | % of net assets |
| Morgan Stanley Swap |
| Morgan Stanley | Zebra Kante™ 80 Protect Reference Portfolio Leg |  | 4,132,225 | 100,907 |  | 2.45 |
|  | Total total return swaps - unrealised gains |  |  | 100,907 |  | 2.45 |
| Forward currency contracts - unrealised gains: 0.00% (2021: 0.27%) |
|  | Total financial derivative instruments |  |  |  | 100,907 |  | 2.45 |
|  |  |  |  |  |  |  |  |
|  | Total financial assets at fair value through profit or loss |  | 4,075,878 |  | 98.78 |
| Financial liabilities at fair value through profit or loss |
| Financial derivative instruments: (1.85%) (2021: 0.00%) |
| Counterparty | Total return swaps - unrealised losses: (1.68%) (2021: 0.00%) | Notional US$ | Unrealised loss US$ |  | % of net assets |
| Morgan Stanley Swap |
| Morgan Stanley | Zebra Kante™ 80 Protect Financing Leg |  |  | (3,975,044) | (69,158) |  | (1.68) |
|  | Total total return swaps - unrealised losses |  |  | (69,158) |  | (1.68) |
| Forward currency contracts - unrealised losses: (0.17%) (2021: 0.00%) |
| Counterparty | Currency buys |  | Currency sells |  |  | Maturity date | Unrealised loss US$ |  | % of net assets |
| Northern Trust | EUR | 666,500 | USD | 684,520 | 0.9737 | 22/08/2022 | (4,173) |  | (0.10) |
| Northern Trust | EUR | 395,470 | USD | 406,162 | 0.9737 | 22/08/2022 | (2,476) |  | (0.06) |
| Northern Trust | EUR | 81,370 | USD | 83,570 | 0.9737 | 22/08/2022 | (509) |  | (0.01) |
| Northern Trust | EUR | 18,200 | USD | 18,584 | 0.9793 | 22/08/2022 | (6) |  | – |
| Northern Trust | EUR | 10,700 | USD | 10,926 | 0.9793 | 22/08/2022 | (4) |  | – |

Zebra Kante™ 80 Protect
Schedule of investments as at 31 July 2022 (continued)
| Financial liabilities at fair value through profit or loss |
| --- |
| Financial derivative instruments: (1.85%) (2021: 0.00%) (continued) |
| Forward currency contracts - unrealised losses: (0.17%) (2021: 0.00%) (continued) |
| Counterparty | Currency buys |  | Currency sells |  |  | Maturity date | Unrealised loss US$ |  | % of net assets |
| Northern Trust | EUR | 2,200 | USD | 2,247 | 0.9791 | 22/08/2022 | (1) |  | – |
|  | Total forward currency contracts - unrealised losses |  |  | (7,169) |  | (0.17) |
|  |  |  |  |  |  |  |
|  | Total financial derivative instruments |  |  |  | (76,327) |  | (1.85) |
|  |  |  |  |  |  |  |  |
|  | Total financial liabilities at fair value through profit or loss |  | (76,327) |  | (1.85) |
|  |  |  |  |  |  |  | Fair value US$ |  | % of net assets |
|  | Total value of investments |  |  |  |  |  |  |
|  | (Cost: US$ 3,990,460) |  |  |  |  | 3,999,551 |  | 96.93 |
|  | Due from broker |  |  |  |  |  | 127,079 |  | 3.08 |
|  | Other net liabilities |  |  |  |  | (360) |  | (0.01) |
|  | Net assets attributable to holders of redeemable participating shares | 	4,126,270 |  | 	100.00 |

| Analysis of portfolio | Fair value US$ |  | % of total assets |
| --- | --- | --- | --- |
| Transferable securities admitted to official stock exchange listing or dealt in/on another regulated market | 3,974,971 |  | 94.26 |
| Over the counter financial derivative instruments | 100,907 |  | 2.39 |
| Due from broker | 127,079 |  | 3.01 |
| Other assets | 13,894 |  | 0.34 |
| Total assets | 	4,216,851 |  | 	100.00 |

Zebra Kante™ 80 Protect
Schedule of significant portfolio movements for the financial year ended 31 July 2022
| Total purchases in the year |  | US$ 15,990,748 |
| --- | --- | --- |
| Material purchases | Nominal holdings | Cost US$ |
| Altimmune | 120,762 | 798,011 |
| ATN International | 13,286 | 530,505 |
| American Software | 24,231 | 524,009 |
| AlloVir | 72,265 | 502,966 |
| Amicus Therapeutics | 58,784 | 481,218 |
| ACM Research | 12,566 | 430,907 |
| Alico | 11,240 | 429,536 |
| AdvanSix | 8,777 | 374,146 |
| Alphabet | 129 | 363,966 |
| Westlake Chemical | 4,087 | 356,999 |
| ACV Auctions | 24,847 | 356,306 |
| Ramaco Resources | 21,725 | 344,776 |
| ASGN | 3,201 | 343,627 |
| Alerus Financial | 12,643 | 327,493 |
| BCB Bancorp | 17,549 | 313,714 |
| Ameris Bank | 7,017 | 305,520 |
| Adicet Bio | 25,863 | 291,993 |
| Assertio Holdings | 101,903 | 279,295 |
| Aemetis | 27,439 | 253,495 |
| Aehr Test Systems | 19,197 | 250,587 |
| Albany International | 2,863 | 235,883 |
| Annexon | 37,806 | 183,871 |
| Lowe's | 865 | 182,195 |
| ACADIA Pharmaceuticals | 9,265 | 180,575 |
| Nevro | 2,052 | 180,514 |
| AFC Gamma | 8,988 | 179,760 |
| ADMA Biologics | 133,563 | 178,974 |
| aTyr Pharma | 20,223 | 178,974 |
| Chipotle Mexican Grill | 94 | 178,553 |
| Arko | 19,197 | 178,148 |
| Arconic | 7,131 | 178,132 |
| Appfolio | 1,590 | 178,064 |
| Airbnb | 1,168 | 177,256 |
| Northfield Bancorp | 9,800 | 172,382 |
| Amerant Bank | 5,384 | 172,073 |
| a.k.a. Brands | 20,369 | 171,711 |
| Pfizer | 3,473 | 171,254 |
| Bristol-Myers Squibb | 2,521 | 171,252 |
| HEICO | 1,344 | 171,226 |
| T-Mobile US | 1,224 | 171,152 |
| Acutus Medical | 54,167 | 169,543 |
| Acumen Pharmaceuticals | 29,427 | 167,734 |
| Atea | 28,381 | 167,732 |
| Arlo Technologies | 19,733 | 167,731 |
| Banc of California | 8,527 | 167,726 |
| A10 Networks | 12,716 | 167,724 |
| Accel Entertainment | 12,728 | 164,446 |
| ACI Worldwide | 6,045 | 164,061 |
| NGM Biopharmaceuticals | 12,343 | 160,212 |

The statement of material purchases reflect the aggregate purchases of a security exceeding one per cent of the total value of purchases for the financial year. If there were fewer than twenty positions exceeding one per cent, the top twenty positions

Translation (ENFR, 2022-07-31):
# Zebra Kante™ 80 Protect
Rapport du Gestionnaire d’investissement pour l’exercice clos le 31 juillet 2022
L’objectif d’investissement du Compartiment est de fournir aux Actionnaires une exposition à long terme à la performance d’un panier de portefeuilles, 80 % de la Valeur Liquidative la plus élevée étant protégés en tant que Valeur Liquidative minimum de sortie.
Le Portefeuille d’investissement sera exposé à un sous-ensemble d’actions américaines (sélectionnées par le Gestionnaire d’investissement par délégation selon une méthodologie exclusive décrite ci-dessous). Les actions américaines seront de grande capitalisation et seront cotées ou négociées sur les Marchés visés à l’Annexe II du Prospectus (sans accent particulier sur le secteur). Le Compartiment peut également être exposé à des liquidités à certains moments. Le Gestionnaire d’investissement rééquilibre (potentiellement de façon quotidienne) l’exposition entre le Portefeuille d’investissement et les liquidités via le Contrat d’échange de portefeuille, comme convenu avec la Contrepartie approuvée (tel que décrit ci- dessous), selon certaines règles de volatilité résumées ci-dessous. Le rééquilibrage vise à contrôler le risque de volatilité de la Stratégie de portefeuille en réduisant l’allocation au Portefeuille d’investissement dans l’éventualité et au moment où la volatilité réalisée de la Stratégie de portefeuille, telle qu’observée sur certaines périodes, augmente. L’objectif de volatilité, c’est-à-dire le niveau maximum ciblé de la variation annualisée de la valeur de la Stratégie de portefeuille, sera compris entre 9 % et 13 % sur la durée du Contrat d’échange de portefeuille et est déterminé par le Gestionnaire d’investissement par délégation à son entière discrétion.

## 80 % de la Valeur Liquidative par action la plus élevée sont protégés en tant que Valeur Liquidative minimale de sortie par l’acquisition d’une option de vente.

## Au 31 juillet 2022, l’exposition du Compartiment à la Stratégie de portefeuille s’élevait à 61,87 %, avec une exposition moyenne de 84,58 % depuis son lancement.

## Veuillez trouver ci-dessous un extrait du rapport du Gestionnaire d’investissement par délégation sur la stratégie discrétionnaire :

## Perspectives économiques
Le taux de chômage aux États-Unis s’établissait à 3,6 % en juin 2022 (contre 3,5 % en février 2020, avant la pandémie), alors qu’il avait atteint un pic à 14,8 % au cœur de la pandémie en avril 2020 ;

## Les bons du Trésor à dix ans ont terminé juillet sur un rendement à 2,66 %, alors qu’ils avaient atteint leur niveau le plus bas à 0,52 % pendant la pandémie en août 2020 ;

## L’IPC annuel le plus récent s’est établi à 9,1 %, par rapport à un taux plus bas de 0,22 % en mai 2020 durant la pandémie, le taux annuel moyen ayant été de 2,2 % depuis décembre 1999 ;

## Le PMI de décembre s’est établi à 57,6 %, la plupart des composants ayant ralenti, les exceptions notables étant l’augmentation des importations et de l’emploi ;

## Le WTI se négociait à 98,62 USD à la fin du mois de juillet, contre 18,84 USD à la fin du mois d’avril 2020 ;

## L’indice Baltic Dry (coûts d’expédition) était coté à 1 895 à la fin du mois de juillet, contre 487 à la fin du mois de janvier 2020.

## Perspectives et stratégie d’investissement
Sur la période, l’indice S&P 500 Low Volatility a progressé de 4,50 %, tandis que l’indice S&P 500 a reculé de 4,66 %. Depuis le début de l’année 2022, les deux indices ont respectivement perdu 4,72 % et 12,59 %.
Le portefeuille Zebra Kante Equity a sous-performé l’indice S&P 500 Low Volatility de 3,95 %, tout en surperformant le S&P 500 de 5,21 % au cours de la période. Depuis le début de l’année 2022, le portefeuille a sous-performé l’indice S&P 500 Low Volatility de 2,55 % tout en surperformant le SPX de 5,32 %.
Le portefeuille a fait preuve d’une volatilité et d’un bêta nettement inférieurs à ceux du S&P 500 au cours de la période. Le risque global des portefeuilles, tel que mesuré par la valeur à risque (VaR), se situait dans les moyennes historiques et la contribution sectorielle au risque était conforme aux allocations sectorielles.