# SciBeta HFE EM Equity 6F UCITS ETF
Investment manager’s report for the financial year ended 31 July 2021
The Sub-Fund’s investment objective is to seek medium to long term capital appreciation by providing Shareholders with a return equivalent to the performance of the Scientific Beta Emerging ex-India HFI Multi-Beta Multi-Strategy (Six-Factor) EW Market Beta Adjusted (Leverage) Index Net Return denominated in EUR (the “Index”) before all fees and expenses charged to, or incurred by, the Sub-Fund.
The Scientific Beta Emerging ex-India HFI Multi-Beta Multi-Strategy (Six-Factor) EW Market Beta Adjusted (Leverage) Index Net Return is an index designed to have allocation to a portfolio of equities and equity related securities that are listed or traded on any stock exchange that is located in an emerging markets country through equally-weighted allocations to 6 sub-indices. Each sub-index will reflect one of the six following investment styles: Value, Momentum, Low Volatility, Size, Profitability and Investment.
From Inception to 19 April 2018, the Sub-fund was exposed to Scientific Beta Emerging HFE Multi Beta Multi Strategy Equal Weight (Six Factor) Index and thereafter to Scientific Beta Emerging ex-India HFI Multi-Beta Multi-Strategy (Six-Factor) EW Market Beta Adjusted (Leverage) Index.
From 6 December 2017 (its inception) to 19 April 2018 (change of the underlying Index), the performance of the Sub-Fund is
2.41%, compared to 2.69% for the Scientific Beta Emerging HFE Multi Beta Multi Strategy Equal Weight (Six Factor) Index.
From 19 April 2018 (change of the underlying Index) to 31 July 2021, the performance of the Sub-Fund is 0.16%, compared to 3.47% for the Index.
From 31 July 2020 to 31 July 2021, the performance of the Sub-Fund is 20.06%, compared to 21.25% for the Index.
From 19 April 2018 (change of the underlying Index) to 31 July 2021, the Sub-Fund has an annualised volatility of 19.39% compared to 19.32% for the Index.
In terms of tracking error (annualised standard deviation of the difference in performance between the return of the Sub- Fund and its benchmark) the Sub-Fund has achieved a low tracking error at 0.04% versus the Index.
SciBeta HFE EM Equity 6F EW UCITS ETF Schedule of investments as at 31 July 2021
| Holdings | Financial assets at fair value through profit or loss | Fair value € |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Equities: 97.44% (2020: 93.89%) |  |  |  |
|  | Denmark: 27.61% (2020: 10.18%) |  |  |  |
|  | Consumer, non-cyclical: 0.00% (2020: 2.22%) | – |  | – |
|  | Financial: 19.61% (2020: 7.96%) |  |  |  |
| 14,522 | Alm Brand | 88,927 |  | 5.08 |
| 1,470 | Jyske Bank | 60,196 |  | 3.44 |
| 7,588 | Spar Nord Bank | 76,916 |  | 4.40 |
| 4,533 | Sydbank | 117,067 |  | 6.69 |
|  | Industrial: 8.00% (2020: 0.00%) |  |  |  |
| 31 | AP Moller - Maersk Class A | 69,890 |  | 3.99 |
| 30 | AP Moller - Maersk Class B | 70,237 |  | 4.01 |
|  | Total Denmark | 	483,233 |  | 	27.61 |
|  | Germany: 16.49% (2020: 39.92%) |  |  |  |
|  | Basic materials: 0.00% (2020: 6.80%) | – |  | – |
|  | Consumer, cyclical: 9.74% (2020: 6.23%) |  |  |  |
| 12,394 | Borussia Dortmund GmbH | 75,975 |  | 4.34 |
| 2,197 | Leifheit | 94,471 |  | 5.40 |
|  | Financial: 0.00% (2020: 16.59%) | – |  | – |
|  | Industrial: 6.75% (2020: 5.75%) |  |  |  |
| 59,800 | Heidelberger Druckmaschinen | 117,686 |  | 6.72 |
| 1 | Sartorius | 524 |  | 0.03 |
|  | Utilities: 0.00% (2020: 4.55%) | – |  | – |
|  | Total Germany | 	288,656 |  | 	16.49 |
|  | Netherlands: 6.98% (2020: 5.55%) |  |  |  |
|  | Consumer, non-cyclical: 6.98% (2020: 0.00%) |  |  |  |
| 5,000 | Sligro Food | 122,250 |  | 6.98 |
|  | Financial: 0.00% (2020: 5.55%) | – |  | – |
|  | Total Netherlands | 	122,250 |  | 	6.98 |
|  | Norway: 17.10% (2020: 0.00%) |  |  |  |
|  | Consumer, cyclical: 0.01% (2020: 0.00%) |  |  |  |
| 33 | Europris | 188 |  | 0.01 |
|  | Energy: 8.94% (2020: 0.00%) |  |  |  |
| 42,441 | Aker Carbon Capture | 79,118 |  | 4.52 |
| 48,212 | Aker Solutions | 77,359 |  | 4.42 |
|  | Financial: 8.15% (2020: 0.00%) |  |  |  |
| 81,487 | ABG Sundal Collier | 76,382 |  | 4.36 |

SciBeta HFE EM Equity 6F EW UCITS ETF
Schedule of investments as at 31 July 2021 (continued)
| Holdings | Financial assets at fair value through profit or loss | Fair value € |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Equities: 97.44% (2020: 93.89%) (continued) |  |  |  |
|  | Norway: 17.10% (2020: 0.00%) (continued) |  |  |  |
|  | Financial: 8.15% (2020: 0.00%) (continued) |  |  |  |
| 7,963 | Sparebanken Vest | 66,356 |  | 3.79 |
|  | Total Norway | 	299,403 |  | 	17.10 |
|  | Portugal: 0.00% (2020: 0.15%) | – |  | – |
|  | Communications: 0.00% (2020: 0.15%) | – |  | – |
|  | Sweden: 10.75% (2020: 31.36%) |  |  |  |
|  | Basic materials: 0.00% (2020: 3.87%) | – |  | – |
|  | Consumer, cyclical: 3.04% (2020: 0.00%) |  |  |  |
| 6,883 | Munters | 53,228 |  | 3.04 |
|  | Consumer, non-cyclical: 3.94% (2020: 3.49%) |  |  |  |
| 12,829 | Karo Pharma | 68,780 |  | 3.93 |
| 5 | Surgical Science Sweden | 135 |  | 0.01 |
|  | Financial: 3.77% (2020: 2.09%) |  |  |  |
| 205 | Amasten Fastighets | 222 |  | 0.01 |
| 16,159 | Resurs | 65,806 |  | 3.76 |
|  | Industrial: 0.00% (2020: 12.82%) | – |  | – |
|  | Technology: 0.00% (2020: 9.09%) | – |  | – |
|  | Total Sweden | 	188,171 |  | 	10.75 |
|  | Switzerland: 18.38% (2020: 6.73%) |  |  |  |
|  | Basic materials: 0.48% (2020: 0.00%) |  |  |  |
| 2 | Givaudan | 8,415 |  | 0.48 |
|  | Consumer, non-cyclical: 4.32% (2020: 3.96%) |  |  |  |
| 8 | Chocoladefabriken Lindt & Spruengli | 75,557 |  | 4.32 |
|  | Financial: 13.58% (2020: 2.77%) |  |  |  |
| 14 | Schweizerische Nationalbank | 68,783 |  | 3.93 |
| 976 | VZ | 74,197 |  | 4.24 |
| 38 | Zug Estates | 68,773 |  | 3.93 |
| 4 | Zuger Kantonalbank | 25,980 |  | 1.48 |
|  | Total Switzerland | 	321,705 |  | 	18.38 |
|  | United States: 0.13% (2020: 0.00%) |  |  |  |
|  | Communications: 0.13% (2020: 0.00%) |  |  |  |
| 1 | Alphabet | 2,279 |  | 0.13 |
|  | Total United States | 	2,279 |  | 	0.13 |
|  | Total equities | 	1,705,697 |  | 	97.44 |

SciBeta HFE EM Equity 6F EW UCITS ETF
Schedule of investments as at 31 July 2021 (continued)
|  | Financial assets at fair value through profit or loss |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | Financial derivative instruments: 0.00% (2020: 2.49%) |  |  |  |  |
|  | Total return swaps - unrealised gains: 0.00% (2020: 2.49%) |  |  |  |  |
|  | Total financial assets at fair value through profit or loss |  | 1,705,697 |  | 97.44 |
|  | Financial liabilities at fair value through profit or loss |  |  |  |  |
|  | Financial derivative instruments: (4.26%) (2020: (2.04%)) |  |  |  |  |
| Counterparty | Total return swaps - unrealised losses: (4.26%) (2020: (2.04%)) | Notional € | Unrealised loss € |  | % of net assets |
|  | Morgan Stanley Swap |  |  |  |  |
| Morgan Stanley | SciBeta HFE EM Equity Index 6F EW UCITS ETF Financing Leg |  |  |  |  |
|  | 1,750,604 | (50,089) |  | (2.86) |
| Morgan Stanley | SciBeta HFE EM Equity 6F EW UCITS ETF Financing Leg | (1,705,697) | (24,371) |  | (1.40) |
|  | Total total return swaps - unrealised losses |  | (74,460) |  | (4.26) |
|  |  |  |  |  |  |
|  | Total financial derivative instruments |  | (74,460) |  | (4.26) |
|  |  |  |  |  |  |
|  | Total financial liabilities at fair value through profit or loss |  | (74,460) |  | (4.26) |
|  |  |  | Fair value € |  | % of net assets |
|  | Total value of investments |  |  |  |  |
|  | (Cost: € 808,473) |  | 1,631,237 |  | 93.18 |
|  | Due from broker |  | 95,545 |  | 5.46 |
|  | Other net assets |  | 23,767 |  | 1.36 |
|  | Net assets attributable to holders of redeemable participating shares | 	1,750,549 |  | 	100.00 |

| Analysis of portfolio | Fair value € |  | % of total assets |
| --- | --- | --- | --- |
| Transferable securities admitted to official stock exchange listing or dealt in/on another regulated market | 1,705,697 |  | 92.72 |
| Due from broker | 95,545 |  | 5.19 |
| Other assets | 38,338 |  | 2.09 |
| Total assets | 	1,839,580 |  | 	100.00 |

SciBeta HFE EM Equity 6F EW UCITS ETF
Schedule of significant portfolio movements for the financial year ended 31 July 2021
| Total purchases in the year |  | € 7,647,415 |
| --- | --- | --- |
| Material purchases | Nominal holdings | Cost € |
| Takkt | 26,729 | 297,117 |
| Chocoladefabriken Lindt & Spruengli | 34 | 270,772 |
| Leifheit | 5,463 | 248,324 |
| Schweizerische Nationalbank | 52 | 241,317 |
| Heidelberger Druckmaschinen | 119,600 | 236,410 |
| Sligro Food | 10,000 | 230,250 |
| Churchill Capital Corporate IV-A | 15,048 | 228,525 |
| Alm Brand | 42,999 | 224,044 |
| VIB Vermoegen | 7,494 | 215,453 |
| Borussia Dortmund GmbH | 30,983 | 179,639 |
| Deutsche Pfandbriefbank | 25,340 | 172,065 |
| Deutz | 32,000 | 168,320 |
| Zuger Kantonalbank | 28 | 159,493 |
| Sydbank | 9,647 | 142,896 |
| NCC | 20,335 | 138,819 |
| VZ | 1,952 | 136,023 |
| Comet | 884 | 135,064 |
| Zug Estates | 76 | 133,983 |
| AF Gruppen | 8,139 | 133,898 |
| Hawesko | 2,654 | 128,081 |
| Cewe Stiftung | 1,248 | 127,608 |
| Fielmann | 1,800 | 121,185 |
| MLP | 19,478 | 114,611 |
| Biotest | 3,626 | 114,582 |
| Austria Technologie & Systemtechnik | 4,498 | 109,751 |
| Berner Kantonalbank | 542 | 109,614 |
| KWS Saat | 1,509 | 108,648 |
| Suedzucker | 8,132 | 106,611 |
| Graubuendner Kantonalbank | 78 | 105,052 |
| HAL Trust | 876 | 101,791 |
| Resurs | 37,472 | 90,320 |
| Lindt & Spruengli | 1 | 89,312 |
| Spar Nord Bank | 15,176 | 80,096 |
| Karo Pharma | 25,658 | 77,480 |
| ABG Sundal Collier | 162,974 | 77,367 |
| Aker Carbon Capture | 84,882 | 76,900 |

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 have been disclosed.

Translation (ENDE, 2021-07-31):
# SciBeta HFE EM Equity 6F UCITS ETF
Bericht des Anlageverwalters für das Geschäftsjahr zum 31. Juli 2021
Das Anlageziel des Fonds besteht in einem mittel- bis langfristigen Kapitalzuwachs durch eine Anlegerrendite, die der Performance des Scientific Beta Emerging ex-India HFI Multi-Beta Multi-Strategy (Six-Factor) EW Market Beta Adjusted (Leverage) Index Net Return in EUR (der „Index“) vor allen Gebühren und Ausgaben entspricht, die dem Teilfonds entstehen.
Der Scientific Beta Emerging ex-India HFI Multi-Beta Multi-Strategy (Six-Factor) EW Market Beta Adjusted (Leverage) Index Net Return ist ein Index, der eine Allokation in einem Portfolio von Aktien und aktienähnlichen Wertpapieren aufweisen soll, die an einer Börse einem Schwellenmarkt- notiert sind oder gehandelt werden. Dies erfolgt durch gleichgewichtete Allokationen in 6 Subindizes. Jeder Subindex entspricht einem der folgenden sechs Anlagestile: Value (Wert), Momentum (Dynamik), Low Volatility (geringe Volatilität), Size (Größe), Profitability (Rentabilität) und Investment (Anlage).
Von der Auflegung bis zum 19. April 2018 war der Teilfonds im Scientific Beta Emerging HFE Multi Beta Multi Strategy Equal Weight (Six Factor) Index und danach im Scientific Beta Emerging ex-India HFI Multi-Beta Multi-Strategy (Six-Factor) EW Market Beta Adjusted (Leverage) Index engagiert.
Vom 6. Dezember 2017 (Auflegung) bis zum 19. April 2018 (Änderung des zugrunde liegenden Index) betrug die Performance des Teilfonds 2,41 %, verglichen mit 2,69 % für den Scientific Beta Emerging HFE Multi Beta Multi Strategy Equal Weight (Six Factor) Index.
Vom 19. April 2018 (Änderung des zugrunde liegenden Index) bis zum 31. Juli 2021 betrug die Performance des Teilfonds 0,16 %, verglichen mit 3,47 % für den Index.
Vom 31. Juli 2020 bis zum 31. Juli 2021 belief sich die Wertentwicklung des Teilfonds auf 20,06 %, verglichen mit 21,25 % für den Index.
Vom 19. April 2018 (Änderung des zugrunde liegenden Index) bis zum 31. Juli 2021 betrug die annualisierte Volatilität des Teilfonds 19,39 %, verglichen mit 19,32 % für den Index.
Bezüglich des Tracking Error (annualisierte Standardabweichung des Unterschieds in der Wertentwicklung zwischen der Teilfondsrendite und der Wertentwicklung der Benchmark) hat der Teilfonds gegenüber dem Index einen geringen Tracking Error von lediglich 0,04 % erzielt.
SciBeta HFE EM Equity 6F EW UCITS ETF Anlagenverzeichnis zum 31. Juli 2021
|  |  | Beizulegender |  | % des |
| --- | --- | --- | --- | --- |
| Erfolgswirksam zum beizulegenden Zeitwert bewertete | Zeitwert |  | Nettover- |
| Anlagen | finanzielle Vermögenswerte | EUR |  | mögens |
|  | Aktien: 97,44 % (2020: 93,89 %) |  |  |  |
|  | Dänemark: 27,61 % (2020: 10,18 %) |  |  |  |
|  | Basiskonsumgüter: 0,00 % (2020: 2,22 %) | – |  | – |
|  | Finanzen: 19,61 % (2020: 7,96 %) |  |  |  |
| 14.522 | Alm Brand | 88.927 |  | 5,08 |
| 1.470 | Jyske Bank | 60.196 |  | 3,44 |
| 7.588 | Spar Nord Bank | 76.916 |  | 4,40 |
| 4.533 | Sydbank | 117.067 |  | 6,69 |
|  | Industrie: 8,00 % (2020: 0,00 %) |  |  |  |
| 31 | AP Moller - Maersk Klasse A | 69.890 |  | 3,99 |
| 30 | AP Moller - Maersk Klasse B | 70.237 |  | 4,01 |
|  | Dänemark gesamt | 	483.233 |  | 	27,61 |
|  | Deutschland: 16,49 % (2020: 39,92 %) |  |  |  |
|  | Grundstoffe: 0,00 % (2020: 6,80 %) | – |  | – |
|  | Nicht-Basiskonsumgüter: 9,74 % (2020: 6,23 %) |  |  |  |
| 12.394 | Borussia Dortmund GmbH | 75.975 |  | 4,34 |
| 2.197 | Leifheit | 94.471 |  | 5,40 |
|  | Finanzen: 0,00 % (2020: 16,59 %) | – |  | – |
|  | Industrie: 6,75 % (2020: 5,75 %) |  |  |  |
| 59.800 | Heidelberger Druckmaschinen | 117.686 |  | 6,72 |
| 1 | Sartorius | 524 |  | 0,03 |
|  | Versorger: 0,00 % (2020: 4,55 %) | – |  | – |
|  | Deutschland gesamt | 	288.656 |  | 	16,49 |
|  | Niederlande: 6,98 % (2020: 5,55 %) |  |  |  |
|  | Basiskonsumgüter: 6,98 % (2020: 0,00 %) |  |  |  |
| 5.000 | Sligro Food | 122.250 |  | 6,98 |
|  | Finanzen: 0,00 % (2020: 5,55 %) | – |  | – |
|  | Niederlande gesamt | 	122.250 |  | 	6,98 |
|  | Norwegen: 17,10 % (2020: 0,00 %) |  |  |  |
|  | Nicht-Basiskonsumgüter: 0,01 % (2020: 0,00 %) |  |  |  |
| 33 | Europris | 188 |  | 0,01 |
|  | Energie: 8,94 % (2020: 0,00 %) |  |  |  |
| 42.441 | Aker Carbon Capture | 79.118 |  | 4,52 |
| 48.212 | Aker Solutions | 77.359 |  | 4,42 |
|  | Finanzen: 8,15 % (2020: 0,00 %) |  |  |  |
| 81.487 | ABG Sundal Collier | 76.382 |  | 4,36 |

SciBeta HFE EM Equity 6F EW UCITS ETF Anlagenverzeichnis zum 31. Juli 2021 (Fortsetzung)
| Positionen | Erfolgswirksam zum beizulegenden Zeitwert bewertete finanzielle Vermögenswerte | Beizulegender Zeitwert EUR |  | % des Nettover- mögens |
| --- | --- | --- | --- | --- |
|  | Aktien: 97,44 % (2020: 93,89 %) (Fortsetzung) |  |  |  |
|  | Norwegen: 17,10 % (2020: 0,00 %) (Fortsetzung) |  |  |  |
|  | Finanzen: 8,15 % (2020: 0,00 %) (Fortsetzung) |  |  |  |
| 7.963 | Sparebanken Vest | 66.356 |  | 3,79 |
|  | Norwegen gesamt | 	299.403 |  | 	17,10 |
|  | Portugal: 0,00 % (2020: 0,15 %) | – |  | – |
|  | Kommunikation: 0,00 % (2020: 0,15 %) | – |  | – |
|  | Schweden: 10,75 % (2020: 31,36 %) |  |  |  |
|  | Grundstoffe: 0,00 % (2020: 3,87 %) | – |  | – |
|  | Nicht-Basiskonsumgüter: 3,04 % (2020: 0,00 %) |  |  |  |
| 6.883 | Munters | 53.228 |  | 3,04 |
|  | Basiskonsumgüter: 3,94 % (2020: 3,49 %) |  |  |  |
| 12.829 | Karo Pharma | 68.780 |  | 3,93 |
| 5 | Surgical Science Sweden | 135 |  | 0,01 |
|  | Finanzen: 3,77 % (2020: 2,09 %) |  |  |  |
| 205 | Amasten Fastighets | 222 |  | 0,01 |
| 16.159 | Resurs | 65.806 |  | 3,76 |
|  | Industrie: 0,00 % (2020: 12,82 %) | – |  | – |
|  | Technologie: 0,00 % (2020: 9,09 %) | – |  | – |
|  | Schweden gesamt | 	188.171 |  | 	10,75 |
|  | Schweiz: 18,38 % (2020: 6,73 %) |  |  |  |
|  | Grundstoffe: 0,48 % (2020: 0,00 %) |  |  |  |
| 2 | Givaudan | 8.415 |  | 0,48 |
|  | Basiskonsumgüter: 4,32 % (2020: 3,96 %) |  |  |  |
| 8 | Chocoladefabriken Lindt & Spruengli | 75.557 |  | 4,32 |
|  | Finanzen: 13,58 % (2020: 2,77 %) |  |  |  |
| 14 | Schweizerische Nationalbank | 68.783 |  | 3,93 |
| 976 | VZ | 74.197 |  | 4,24 |
| 38 | Zug Estates | 68.773 |  | 3,93 |
| 4 | Zuger Kantonalbank | 25.980 |  | 1,48 |
|  | Schweiz gesamt | 	321.705 |  | 	18,38 |
|  | USA: 0,13 % (2020: 0,00 %) |  |  |  |
|  | Kommunikation: 0,13 % (2020: 0,00 %) |  |  |  |
| 1 | Alphabet | 2.279 |  | 0,13 |
|  | USA gesamt | 	2.279 |  | 	0,13 |
|  | Summe Aktien | 	1.705.697 |  | 	97,44 |

SciBeta HFE EM Equity 6F EW UCITS ETF Anlagenverzeichnis zum 31. Juli 2021 (Fortsetzung)
Erfolgswirksam zum beizulegenden Zeitwert bewertete
finanzielle Vermögenswerte
Derivative Finanzinstrumente: 0,00 % (2020: 2,49 %)
Total Return Swaps - nicht realisierte Gewinne: 0,00 % (2020: 2,49 %)
Erfolgswirksam zum beizulegenden Zeitwert bewertete
finanzielle Vermögenswerte gesamt		1.705.697	97,44
Kontrahent
Erfolgswirksam zum beizulegenden Zeitwert bewertete
finanzielle Verbindlichkeiten
Derivative Finanzinstrumente: (4,26 %) (2020: (2,04 %))
Total Return Swaps - nicht realisierte Verluste: (4,26 %) (2020: (2,04 %))
Morgan Stanley Swap
Nennwert
EUR
Nicht realisierter Verlust EUR
% des Nettover- mögens
Morgan Stanley SciBeta HFE EM Equity Index 6F EW UCITS ETF Financing
Leg	1.750.604	(50.089)    (2,86)
Morgan Stanley SciBeta HFE EM Equity 6F EW UCITS ETF Financing Leg  (1,705,697)		(24.371) (1,40) Summe Total Return Swaps - nicht realisierte Verluste		(74.460) (4,26) Summe derivative Finanzinstrumente		(74.460)   (4,26)
Erfolgswirksam zum beizulegenden Zeitwert bewertete
finanzielle Verbindlichkeiten gesamt		(74.460)   (4,26)
Gesamtwert der Anlagen
Beizulegender
Zeitwert
EUR
% des Nettover- mögens
(Kosten: 808.473 EUR)	1.631.237	93,18
Forderungen an Broker	95.545	5,46
Sonstiges Nettovermögen	23.767	1,36
Den Inhabern rückzahlbarer, gewinnberechtigter Anteile
zuzurechnendes Nettovermögen		1.750.549	100,00
Portfolioanalyse
Übertragbare Wertpapiere, die an einer Wertpapierbörse amtlich
Beizulegender
Zeitwert
EUR
% des Gesamt- vermögens
notiert sind oder an einem anderen geregelten Markt gehandelt werden	1.705.697	92,72 Forderungen an Broker		95.545		5,19
Sonstige Vermögenswerte		38.338	2,09
Vermögenswerte gesamt		1.839.580	100,00