# Report of the Board of Directors
#### Economic and financial background
While early 2020 indicators point to accelerating global activity and increasing growth in the United States, the outbreak in late January of Covid-19 in China creates widespread concern about its economic and financial repercussions on both the Chinese and the global economies. The onset of Covid-19 in Europe, its quickfire spread and the threat of a pronounced economic slowdown in the EU strikes panic into financial markets. Meanwhile, the Federal Reserve, to parry the virus’s potential effect on US growth, cuts its key rate by 50 basis points, to 1.25%, on 3 March. With quarantining now introduced in Europe, global growth outlooks are revised drastically downwards, accentuating the Stock Market fall. As if that weren’t enough, the oil price now collapses, with, moreover, the growth slowdown leading to a drop in oil-product consumption. In order to maintain the barrel price, Saudi Arabia seeks an agreement with Russia that would reduce both countries’ production levels. As no agreement is reached, the Saudis decide to up their production, an act that floods the market, weakens most US companies specialising in shale-oil exploitation and lowering the oil-barrel price (in late March, a barrel of Brent would cost you 22.6 dollars). With the market already shaken, and with Covid-19 starting to spread throughout the US, liquidity problems related to US government bonds lead to another Federal Reserve intervention. On 15 March, the Fed lowers its key rate by 100 basis points, to 0.25%, opening all facilities that had been created during the Grand Recession (GR) and introducing others. The stock market and the 10Y rate then march to the beat of Fed announcements and to decisions taken by the Trump administration and Congress to draft a stimulus plan amounting to more than 2000 billion dollars. The latter – called the CARES (Coronavirus Aid, Relief, and Economic Security) Act – will be voted in late March. In total, over 1H 2020, the stock market delivered one of its worst performances, posting a drop of 20%. The 10-year rate, for its part, dropped by 125 basis points, to 0.67%. In April, following the lockdown measures introduced, on average over 5 million new applications for unemployment benefit were being lodged on a weekly basis. ISM indices plummeted, particularly in services (affected more than manufacturing), and the unemployment rate soared from 4.4 to 14.7%. Thanks to governmental and Fed actions, volatility drops and the market rallies, despite the social distancing and lockdown measures decreed, to varying degrees, throughout the land. OPEC-plus countries come to an agreement to lower production by almost 10 million barrels a day as of 1 May, taking the oil price back to around 40 dollars a barrel at the end of June. As of May, the start of the lockdown and ongoing Fed and government support help lower the unemployment rate (11.1% in June).
After dropping to below the 30 mark in April, the main sub-components of the ISM manufacturing and services climbed to above 50 in June. Despite renewed geopolitical (China) and racial tensions, the steps undertaken wipe out much of the March/April drop, and the stock market closes the quarter 20% up on its late-March figure. The 10Y rate, meanwhile, falls two basis points, to 0.65%. In Q3, business activity continues to gradually return to normal. ISM activity indicators revolve around the 55 mark, even slightly exceeding this in the case of the services sector. The unemployment rate, which continues to fall, comes back in at 7.9% in September. The still-growing number of Covid-19 cases and social distancing are obstacles to a return to normality for certain business sectors and thus for employment in general. Most of the benefits of CARES for the unemployed are nullified and, despite the falling unemployment rate, 11 million people are still jobless. In an attempt, perhaps, to offset racial tensions, the Fed, in late August, announces a new average target inflation figure of 2% (meaning that inflation can exceed 2% for a certain time) whose growth objective will be more inclusive, adding that it will consequently take the time it needs before raising its key rate. The 10-year rate is up by only two basis points in Q3, closing at 0.68%. The S&P 500, on the other hand, thanks to the normalisation of the economy and interest in tech stocks, rose progressively in July and August. In September, the rush slowed down somewhat, with the market losing 3.9% over the month. The S&P 500 closes Q3 at 3363, i.e., 8.5% up. At the start of Q4, with tech stocks stabilising, the growing increase in new Covid-19 cases and the stalled talks among Democrats and Republicans on a second stimulus plan weigh on the market. Nonetheless, in early November, the Pfizer-BioNTech and Moderna announcements of the respective developments of a vaccine with more than 90% efficacy reverses market sentiment, all the more so as, QoQ, the Q3 GDP level is up +9% on Q2, and so only 3.4% off its 2019 level. In November, despite an accelerating third Covid-19 wave, ISM indices are still well positioned and the unemployment rate on a downward trajectory (6.7%). On 21 December, Congress delivers a last-minute vote in favour of a new fiscal stimulus plan in an amount of 900 billion dollars that the President takes several days to sign off despite the previous measures voted back in April due to expire at the end of December. In total, compared with the end of 2019, the S&P 500 ends the year 16.3% up, at 3756. The 10Y, meanwhile, 101 basis points down, ends 2020 at 0.91%.
In early 2020, despite Eurozone growth of only 0.14% QoQ in Q4 2019, the first 2020 indicators point to a recovery in activity. Nonetheless, with the rapid spread of Covid-19 throughout Europe in February and most Eurozone countries under quarantine in March, Eurozone growth is scaled dramatically downwards. This results in a significant stock-market downturn and drop in the German 10Y rate. On 12 March, the European Central Bank (ECB) decides to purchase €120 billion of additional assets by the end of 2020, with member states taking steps to combat the risk of bankruptcy, growing unemployment and the loss of household and corporate income... While the market downturn continues, the ECB launches, on 18 March, its €750 billion PEPP (Pandemic Emergency Purchase Programme) for the purchase of private and public assets with flexible constraints as regards key weightings for purchases and rules for collateral. These measures stabilise markets, albeit at a low level. At the end of March, in comparison with the end of December 2019, the Stock Market is down 25.3% and the German 10Y declines by 27 basis points, to -0.46%. In April, while the Eurozone’s manufacturing sector PMI remains unchanged, at 44.5, the services PMI sinks to 26.4, a record low. On 30 April, Eurostat publishes its first Eurozone GDP growth estimate for Q1 2020: -3.7%! That same day, to ensure a sufficient liquidity flow, the ECB decides to launch a new programme called PELTRO (Pandemic Emergency Longer-Term Refinancing Operations). This is a series of seven operations to end by September 2021 and enabling banks to obtain unlimited fixed-rate financing from the ECB (-0.25%). Again, in late April, complementing existing plans, the European Commission unveils an ambitious one (Next Generation EU) in an amount of 750 billion, original in the solidarity it elicits from member states. It involves direct borrowing from the Commission, with subsequent reimbursement from all EU countries. The announcement brings down the interest rate differential, in particular between Italy and Germany, where the spread has been cut by almost 50 basis points in the space of two months. In total, thanks to the lockdowns, budget plans and the backing of the ECB – which, on 4 June, increases its PEPP envelope by 600 billion, to 1350 billion – the Stock Exchange rises by 15.8% over Q2, and the 10Y German rate declines by 4 basis points, to -0.5%. Early on in Q3, the PMI indicators are again above 50. The measures undertaken to support households and businesses have offset the income shock, taking consumption of goods (retail sales, automobile purchases, …) at quarter’s end back to pre-pandemic levels.
However, a certain number of services sectors are still not at full throttle due to the social distancing measures imposed. In September, the stricter measures that certain European countries have to take to prevent the spread of the virus following the surge in the number of Covid-19 cases pushes the Eurozone services sector PMI under 50. At the end of September, the European countries agree on the allocation of the Next Generation EU funds: in the form of loans (360 billion) and donations (390 billion). At the same time, the German 10Y rate drops 2 basis points over the quarter, to -0.52%, while the Stock Exchange declines by 0.1% over the piece. As of October, the second wave of the pandemic spares no corner of Europe. New lockdown measures are imposed. Despite an impressive growth rally in Q3 (+12.5% after the -11.7% and -3.7% of Q1) and the announcement of vaccines, the Eurozone services PMI sinks slightly deeper under the 50 mark. Consequently, to offset the economic shock arising after the resurgence of the epidemic, the ECB, on 10 December, decides to increase the PEPP by €500 billion (making a total of 1850 billion) and extend the purchase period (until March 2022), while amending the conditions of TLTRO III (deadline extension, increase in the amount borrowable, …). The ECB also decided to launch a further four operations (PELTROs) and to continue its asset-purchase programme at a rhythm of €20bn a month for as long as will prove necessary.
Report of the Board of Directors
At long last, four and a half years post-the referendum on the UK’s exit from the European Union, a trade deal is signed on 24 December, an agreement that avoids the chaos that would indubitably have followed a no-deal withdrawal. Over 2020, the difference with the US derives from the lower weighting of the technology sector, the reduction in business trips, the dilly-dallying around the implementation of NextGen EU and the length of negotiations with the UK for a post-Brexit trade agreement. All in all, despite a 12.6% increase on the quarter before, the Stock Market drops 2.7% on 2020. The 10Y German rate, for its part, drops 39 basis points over the year to close at -0.58%.

#### Global
Financial markets had quite an eventful first half of the year in 2020. The first quarter was extremely difficult for investors, as nobody could have predicted the shutdown of large parts of the global economy due to the COVID-19 pandemic. Volatility jumped and markets moved to a new reality, pricing in a deep recession following the lockdown measures put in place to prevent the virus from spreading further.
Global equity markets fell more than 25% on average in euro terms in the first quarter. Safe-haven assets such as gold benefited from the increased risk aversion, while government bond yields dropped, especially following the impressive stimulus measures put in place by central banks around the world. The second quarter was very strong for equities and credit, as central banks and governments continued to provide massive monetary and fiscal stimulus, economies started to reopen after improving COVID-19 numbers and economic activity indicators started to rebound. Meanwhile, safe-haven assets such as gold also continued to hold up well.
The first half of the year ended with negative performances for all equity markets in euro terms, with the US outperforming and the UK strongly underperforming, due to difficult trade negotiations with the EU. Riskier bond segments still had a negative year-to-date performance, despite the Q2 rebound, while government bonds showed positive performances on the back of the huge amount of stimulus measures announced.
After the strong Q2 rebound, the global stock markets continued their upward trend but at a more moderated pace. Overall, sentiment remained upbeat, as central banks showed their willingness to support economic activity through massive stimulus programmes.
Corporate earnings seemed to have reached a trough in Q2, and investors went on to focus more on the upcoming recovery. Nonetheless, some deterioration in the rate of infections in Europe and the upcoming presidential elections in US added some volatility in the markets.
After a very strong start to the first half of October, global stock markets gave up these gains in the second half of the month to eventually close lower. Investors started to get more nervous about the presidential elections in the US as the race to the White House intensified, with the outcome seen as potentially impacting their equity holdings. COVID-19 was accelerating again in most parts of the world, to the degree that lockdowns were reintroduced, especially in Europe.
November was an amazing month for the global stock markets, which reached historic highs, making November the strongest month of the year. Investors were becoming more and more convinced of the benefits of the 'reopening' trade, given the excellent news flow on the COVID-19 vaccines. Optimism that President- elect Biden would be in favour of strongly supporting the US economy, while being less rude on China, clearly added to investors' optimism.
In December, markets were in a wait-and-see situation following the strong November performance. Investors remained attentive to the evolution of the virus and the distribution of the vaccine. Central banks continued to support the economies. Markets, meanwhile, awaited more visibility regarding the outcome of the Brexit negotiations and the implementation of the future recovery plan in the US.

#### Europe
European equities had a rough first quarter, as the increases in cases outside China led to a sharp sell-off and economic uncertainties. The outbreak in Europe, which started in Italy, caused governments to impose a lockdown on the zone in order to slow the spread of the virus. Governments and central banks responded to the outbreak through large monetary & fiscal stimulus packages.
European equities delivered a strong performance in Q2, with investors optimistic about the global economic outlook. Markets – helped by further responses from governments and central banks – seemed to shrug off ugly economic data and rising political tensions. Moreover, the European Commission proposed a €750bn recovery fund made up of €500bn in grants and 250bn in loans. European states eased their strict lockdown measures as COVID-19 curves flattened. Most leading economic indicators, while still in the deep-red zone, started to recover from the crisis with the gradual reopening of the world economy. Q1 results were, mostly, slightly better than feared.
European equities were broadly flat in Q3. There were gains early on, but as virus cases lifted and political headwinds came into focus, the market became more volatile. In July, European equities struggled and in general lagged other major global markets, with Spain underperforming amid a rise in infections. In Europe’s earnings releases, 63% of Stoxx 600 companies beat EPS estimates. In terms of the European COVID backdrop, July saw a rise in the new-infection count across the EU. In August, Europe was in the green, but lagged the US. Germany outperformed, as the country announced an extension to their job subsidy scheme and data remained supportive; Spain lagged amid a pick-up in infections, and the UK continued its underperformance ahead of October’s fiscal cliff and Brexit stalemate. The daily number of new COVID-19 cases rose in Europe, particularly in Spain and France, which both, in September, underperformed in light of a more intense second wave of infections. Germany outperformed, with the country announcing an extension to its job subsidy scheme, and the manufacturing sector continued to outperform its Euro-area peers.
In Q4, European equities outperformed. With vaccine news signalling light at the end of the tunnel in Europe (& elsewhere), uncertainty around the length of the COVID-19 crisis is beginning to fade, which, in turn, is brightening the outlook for risk assets, including European equities, despite the difficult winter ahead for the economy. Within equities, the outperformance of this year’s losers makes sense, with a return to normality now on the horizon. As the economic recovery plays out, earnings expectations should continue to recover, providing continued support for equities.
Report of the Board of Directors

#### U S
US equity markets had a rough first quarter, although they started out strongly, shrugging off concerns about the corona virus story and rising to new all-time highs. The outbreak that started in China was largely ignored by markets (which continued to rally and hit highs) until the impact showed itself in a more substantial way, with Apple lowering its earnings guidance and HSBC missing its profits and announcing job cuts. A massive sell-off was then triggered, as the virus spread outside of Asia very quickly.
In Q2, US equity markets jumped, reversing further some of the March weakness, as the number of US COVID cases improved after lockdown measures and curves flattened/peaked in many US states. Moreover, the Fed took several more actions to cushion the economy by providing up to $2.3trillion in credit to businesses and states. Towards the end of the quarter, individual states began to gradually reopen their economies, which gave investors renewed optimism. The big winners of the pandemic were the new technologies and the healthcare sectors, both of which have contributed considerably to the fight against the virus.
The global stock market took a breather in July, although the US stock market kept its positive stance during the month, while the European market closed in negative territory. For the market bulls, a better-than-feared Q2 earnings season, coupled with the massive stimulus packages around the globe, were sufficient to keep the positive momentum. On the other hand, the COVID-19 pandemic was far from under control, with some countries (US, LatAm, India, ...) still dealing with the first wave, while others were starting to see a rebound in infections after resuming social activities. In August, the global stock market, which had continued its upward trend, came very close to reaching pre-COVID levels, when the market was at an all-time high back in Februarythis year. In September, after having reached record highs, the global stock market gave up some of its gains. Investors started to get more nervous about the presidential elections in the US and an outcome that could potentially impact their equity holdings. The number of COVID-19 infections was getting worse in the US and wasn’t improving in the other regions, where volatility had increased. The slight correction led to an outperformance of defensive sectors such as Utilities and Consumer Staples.
US equity markets underperformed, with major indices – driven by a Tech sell-off during the month’s last week – falling in October. In addition, daily US coronavirus cases increased throughout October to 81,000 per day. The mid-west is now bearing the brunt of the new infections. Throughout most of October, markets seemed to move closely in line with US fiscal stimulus-related news. However, equity markets recovered in early November to reach a new historic high in December, following the election of Joe Biden and the publication of phase 3 results for Pfizer's COVID vaccine. Presidential elections are now over, and Congress will now be able to consider the adoption of a new recovery plan.

#### Events occurred during the year

#### Since the beginning of February 2020, a crisis group dedicated to COVID-19 was set up and met regularly in order to analyse the situation and put in place the appropriate measures.
Candriam has taken all the necessary precautions to avoid contamination among staff, implementing strict traveling and meeting limits, promoting hygiene awareness among its employees, while accelerating homeworking. All our staff has worked seamlessly from their homes since mid-March.
Since the crisis broke, Candriam key concern has been to put in place a regular flow of information for our clients, answering their numerous questions on its funds and mandates and providing them with proactive insights on the situation and its core strategies.
Concerning the funds: our Risk Management department continued to monitor on a daily basis the subscriptions/redemptions levels. The main measures taken were: Ensuring an appropriate valuation taking into account the market conditions, applying the appropriate swing factor, monitoring liquidity and cash and avoiding portfolio distortion.
Candriam did not experienced any NAV suspensions or deferral in redemption proceeds. No issues also on funds valuation and publication. Funds liquidity levels were also monitored on a daily basis and no liquidity issues were encountered. Redemptions and available cash levels were being sent to senior management on a daily basis, and were monitored closely.
As most funds are benchmarked, the risk was measured and closely monitored against benchmark, with deviations followed relative to benchmark. In asset allocation funds, Front Office has reduced the equity exposure in order to become underweight equities during peak periods.

#### Furthermore, funds that also have a drawdown or volatility management have reduced somewhat the exposure to risky assets, in order to respect their objective.
Beyond the crisis, we expect investors to take a closer look at the Social and Governance dimensions. This crisis has made clear the positive correlation between working conditions and corporate performance. It has also provided the opportunity for great corporate leadership to stand out, through resilient employment policies or sensitive top management remuneration through the crisis. For many investors who looked at ESG mainly through the lens of climate change, the realization that ESG can deliver value across all three dimensions could have significant consequences for the way ESG factors are integrated in the future. Regulators, also prone to focus on the environmental aspects (e.g. through green activities taxonomy or climate risk disclosure requirements), might also reconsider this focus and adopt a more balanced view of the respective merits of E, S, and G.
At Candriam we have advocated for more than two decades that integrating ESG considerations within securities analysis and portfolio construction represents an essential dimension of risk assessment, in particular for so-called fat tail risks.
The ESG materiality framework long in place at Candriam treats E, S, and G factors based on the extent to which they relate to corporate value generation within each sector. Employee health risks for a manufacturing company differ, for example, from those at a services company. Which factors we emphasize when assessing ESG quality depends very much on company-activity-specific sustainability challenges and opportunities. In doing so our active stakeholder management, engaging with companies and fostering better practices, complements our ESG research and provides some valuable inputs into corporate best practices.
Report of the Board of Directors
This approach, which is applied to more than a third of our assets, also impacted the investment teams in their management of non-ESG strategies. Overall, since the onset of the crisis, our strategies have delivered consistent risk-adjusted outperformance compared to their respective reference indices* and their respective peer groups.

#### * Candriam strategies do not replicate or aim to outperform any reference index. The reference indices are used for informational/ comparison purposes only

#### The Board of Directors Luxembourg, March 29, 2021

#### Note: The information in this report is provided for information purposes and is no way indicative of future performance.

## Audit report
To the Shareholders of
Candriam Quant Our opinion
In our opinion, the accompanying financial statements give a true and fair view of the financial position
of Candriam Quant (the “Fund”) and of each of its sub-funds as at 31 December 2020, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.
What we have audited
The Fund’s financial statements comprise:
- the statement of net assets as at 31 December 2020;
- the investment portfolio as at 31 December 2020;
- the statement of changes in net assets for the year then ended; and
- the notes to the financial statements - Schedule of derivative instruments and the other notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion
We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 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 of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
We are independent of the Fund in accordance with the International Code of Ethics for Professional Accountants, including International Independence Standards, issued by the International Ethics Standards Board for Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements.
Other information
The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon.
Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

#### PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : +352 494848 1, F : +352 494848 2900, www.pwc.lu

#### Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256)

#### R.C.S. Luxembourg B 65 477 - TVA LU25482518
In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.
Responsibilities of the Board of Directors of the Fund for the financial statements
The Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund’s and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or close any of its sub-funds or to cease operations, or has no realistic alternative but to do so.
Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements
The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.
As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:
- identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, 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 that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control;
- evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund;
- conclude on the appropriateness of the Board of Directors of the Fund’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s or any of its sub-funds' ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund or any of its sub-funds to cease to continue as a going concern;
- evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.
PricewaterhouseCoopers, Société coopérative Represented by
Sébastien Sadzot
Luxembourg, 30 March 2021
| Statement of net assets as at December 31, 2020 |  |
| --- | --- |
|  |  | Candriam Quant Equities Europe | Candriam Quant Equities Multi-Factor EMU | Candriam Quant Equities Multi-Factor Global |
|  |  | EUR | EUR | EUR |
| Assets |  |  |  |  |
| Investment portfolio at market value | 2a | 388,998,848 | 13,539,665 | 32,476,950 |
| Cash at bank |  | 595,176 | 127,681 | 1,616,575 |
| Receivable for investments sold |  | 0 | 0 | 89,371 |
| Receivable on subscriptions |  | 324,331 | 181,669 | 8,955 |
| Receivable on foreign exchange |  | 0 | 0 | 69,910 |
| Interest and dividends receivable, net |  | 201,168 | 103 | 33,026 |
| Net unrealised appreciation on forward foreign exchange contracts | 2e | 0 | 0 | 0 |
| Other assets |  | 820,430 | 132,460 | 15,727 |
| Total assets |  | 390,939,953 | 13,981,578 | 34,310,514 |
| Liabilities |  |  |  |  |
| Payable on investments purchased |  | 0 | 151,033 | 0 |
| Payable on redemptions |  | 234,917 | 1,984 | 1,614,864 |
| Payable on foreign exchange |  | 0 | 0 | 69,860 |
| Net unrealised depreciation on forward foreign exchange contracts | 2e | 0 | 0 | 209 |
| Management fees payable | 3 | 127,169 | 4,892 | 21,377 |
| Operating and Administrative Expenses payable | 4 | 71,009 | 2,720 | 7,703 |
| Performance fees payable | 5 | 288,917 | 0 | 0 |
| Subscription tax payable | 6 | 67,498 | 382 | 16,739 |
| Total liabilities |  | 789,510 | 161,011 | 1,730,752 |
| Total net assets |  | 390,150,443 | 13,820,567 | 32,579,762 |

| Statement of net assets as at December 31, 2020 |  |
| --- | --- |
|  |  | Candriam Quant Equities USA | Combined |
|  |  | USD | EUR |
| Assets |  |  |  |
| Investment portfolio at market value | 2a | 480,746,192 | 827,926,412 |
| Cash at bank |  | 1,158,094 | 3,285,935 |
| Receivable for investments sold |  | 0 | 89,371 |
| Receivable on subscriptions |  | 190,300 | 670,486 |
| Receivable on foreign exchange |  | 0 | 69,910 |
| Interest and dividends receivable, net |  | 210,856 | 406,628 |
| Net unrealised appreciation on forward foreign exchange contracts | 2e | 155,296 | 126,923 |
| Other assets |  | 16,144 | 981,812 |
| Total assets |  | 482,476,882 | 833,557,477 |
| Liabilities |  |  |  |
| Payable on investments purchased |  | 0 | 151,033 |
| Payable on redemptions |  | 104,082 | 1,936,831 |
| Payable on foreign exchange |  | 0 | 69,860 |
| Net unrealised depreciation on forward foreign exchange contracts | 2e | 0 | 209 |
| Management fees payable | 3 | 163,711 | 287,238 |
| Operating and Administrative Expenses payable | 4 | 88,628 | 153,867 |
| Performance fees payable | 5 | 0 | 288,917 |
| Subscription tax payable | 6 | 96,486 | 163,476 |
| Total liabilities |  | 452,907 | 3,051,431 |
| Total net assets |  | 482,023,975 | 830,506,046 |

Translation (ENDE, 2020-12-31):
# Bericht des Verwaltungsrates
Candriam erlebte weder eine Aussetzung der Feststellung des Nettoinventarwerts noch eine Stundung von Rückzahlungen. Es gab auch keine Probleme bei der Fondsbewertung und -veröffentlichung. Bei der täglichen Überwachung Fondsliquidität wurden keinerlei Probleme aufgedeckt. Rücknahmen und verfügbare Barmittelbestände wurden täglich der oberen Geschäftsleitung gemeldet und engmaschig überwacht.
Da die meisten von uns an der Benchmark gemessen werden, wurde das Risiko anhand der Benchmark gemessen und gründlich überwacht, Abweichungen in Bezug auf die Benchmark wurden verfolgt. Bei Asset-Allokations-Fonds reduzierte das Front Office das Aktienengagement, um während der Spitzenzeiten bei Aktien untergewichtig zu werden.

#### Wem reduzierten Fonds, die auch über ein Drowdown-oder Volatilitätsmanagement verfügen, die Exposition gegenüber Risikoanlagen, um ihr Zielsetzung zu respektieren.
Wir erwarten, dass sich die Anleger – über die Krise hinaus – über soziale und Führungsfragen stärker bewusst werden. Diese Krise hat die positive Korrelation zwischen Arbeitsbedingungen und Unternehmensleistung deutlich gemacht. Sie bot auch Gelegenheit, durch resiliente Beschäftigungsrichtlinien und eine aufmerksame Vergütung des Topmanagement während der Krise eine hervorragende Unternehmensführung zu beweisen. Für viele Anleger, die die ESG-Kriterien hauptsächlich aus dem Blickwinkel des Klimawandels betrachteten könnte die Tatsache, dass ESG- Kriterien in allen drei Dimensionen einen wichtigen Beitrag leisten, wichtige Konsequenzen für die Art der Integration der ESG-Faktoren in der Zukunft haben. Die Aufsichtsbehörden, die ebenfalls geneigt sind, sich auf den Umweltaspekt zu konzentrieren (beispielsweise durch die Taxonomie grüner Aktivitäten oder durch Klima-Risikooffenlegungspflichten) könnten ebenfalls eine ausgeglichenere Sicht aller drei Faktoren E, S und G entwickeln.
Wir von Candriam vertreten seit über zwei Jahrzehnten die Ansicht, dass die Integration von ESG-Betrachtungen im Rahmen der Wertpapieranalyse und des Portfolioaufbaus eine wichtige Dimension der Risikobewertung darstellt, besonders im Hinblick auf die sogenannten Fat-Tail-Risiken.
Der seit langem bei Candriam bestehende ESG-Wesentlichkeitsrahmen berücksichtigt die Faktoren E, S und G in dem Maß, in dem sie einen Bezug zur Unternehmenswertschöpfung in jedem Sektor aufweisen. So unterscheiden sich die Gesundheitsrisiken für Beschäftigte in einem Fertigungsunternehmen von denen in einem Dienstleistungsunternehmen. Auf welche Faktoren wir bei der Bewertung der ESG-Qualität besonderes Gewicht legen, ist stark abhängig von den Nachhaltigkeits-Herausforderungen und -Gelegenheiten im Bezug auf die Tätigkeit eines Unternehmens. Auf diese Weise ergänzt unser aktives Stakeholder-Management, also der aktive Dialog mit Unternehmen und die Förderung von besseren Praktiken, unsere ESG-Bestrebungen und bietet einige wertvolle Ergänzungen zu Best-Practices in Unternehmen.
Dieser Ansatz, den wir bei über einem Drittel unserer Anlagen verfolgen, wirkte sich auch auf das Management unserer Anlageteams bei nicht ESG- Strategien aus. Insgesamt lieferten unsere Strategien seit dem Beginn der Krise eine kontinuierliche risikobereinigte Outperformance gegenüber den jeweiligen Referenzindizes* und vergleichbaren Fonds.

#### * Candriam-Strategien reproduzieren keine Referenzindices und versuchen nicht, sie zu übertreffen. Referenz-Indices werden ausschließlich zu Informations- und Vergleichszwecken verwendet.

#### Der Verwaltungsrat Luxemburg, 29. März 2021

#### Hinweis: Die Informationen in diesem Bericht beziehen sich auf historische Daten und lassen keine Schlüsse hinsichtlich der künftigen Wertentwicklung der Teilfonds zu.

#### Prüfungsvermerk An die Aktionäre der

### Candriam Quant

#### Unser Prüfungsurteil
Nach unserer Beurteilung vermittelt der beigefügte Abschluss in Übereinstimmung mit den in Luxemburg geltenden gesetzlichen Bestimmungen und Verordnungen betreffend die Aufstellung und Darstellung des Abschlusses ein den tatsächlichen Verhältnissen entsprechendes Bild der Vermögens- und Finanzlage der Candriam Quant und ihrer jeweiligen Teilfonds (der „Fonds“) zum 31. Dezember 2020 sowie der Ertragslage und der Entwicklung des Fondsvermögens für das an diesem Datum endende Geschäftsjahr.

#### Was wir geprüft haben

#### Der Abschluss des Fonds besteht aus:
- der Nettovermögensaufstellung zum 31. Dezember 2020;
- dem Wertpapierbestand zum 31. Dezember 2020;
- der Veränderung des Nettovermögens für das an diesem Datum endende Geschäftsjahr; und
- dem Anhang, einschließlich der Zusammenfassung bedeutsamer Rechnungslegungsmethoden.


### Grundlage für das Prüfungsurteil
Wir führten unsere Abschlussprüfung in Übereinstimmung mit dem Gesetz vom 23. Juli 2016 über die Prüfungstätigkeit (Gesetz vom 23. Juli 2016) und nach den für Luxemburg von der „Commission de Surveillance du Secteur Financier“ (CSSF) angenommenen internationalen Prüfungsstandards (ISAs) durch. Unsere Verantwortung gemäß dem Gesetz vom 23. Juli 2016 und den für Luxemburg von der CSSF angenommenen ISAs wird im Abschnitt

#### „Verantwortung des ,Réviseur d’entreprises agréé‘ für die Abschlussprüfung“ weitergehend beschrieben.

#### Wir sind der Auffassung, dass die von uns erlangten Prüfungsnachweise ausreichend und geeignet sind, um als Grundlage für unser Prüfungsurteil zu dienen.
Wir sind unabhängig von dem Fonds in Übereinstimmung mit dem für Luxemburg von der CSSF angenommenen „International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants“ (IESBA Code) sowie den beruflichen Verhaltensanforderungen, die wir im Rahmen der Abschlussprüfung einzuhalten haben und haben alle sonstigen Berufspflichten in Übereinstimmung mit diesen Verhaltensanforderungen erfüllt.

### Sonstige Informationen
Der Verwaltungsrat des Fonds ist verantwortlich für die sonstigen Informationen. Die sonstigen Informationen beinhalten die Informationen, die im Jahresbericht enthalten sind, jedoch beinhalten sie nicht den Abschluss oder unseren Prüfungsvermerk zu diesem Abschluss.

#### Unser Prüfungsurteil zum Abschluss deckt nicht die sonstigen Informationen ab und wir geben keinerlei Sicherheit jedweder Art auf diese Informationen.
PricewaterhouseCoopers, Societe cooperative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: +352 494848 1, F: +352 494848 2900, www.pwc.lu
Cabinet de revision agree. Expert-comptable (autorisation gouvernementale n°10028256)
R.C.S. Luxembourg B 65 477 - TVA LU25482518
Im Zusammenhang mit der Prüfung des Abschlusses besteht unsere Verantwortung darin, die sonstigen Informationen zu lesen und dabei zu beurteilen, ob eine wesentliche Unstimmigkeit zwischen diesen und dem Abschluss oder mit den bei der Abschlussprüfung gewonnenen Erkenntnissen besteht oder auch ansonsten die sonstigen Informationen wesentlich falsch dargestellt erscheinen. Sollten wir auf Basis der von uns durchgeführten Arbeiten schlussfolgern, dass sonstige Informationen wesentliche falsche Darstellungen enthalten, sind wir verpflichtet, diesen Sachverhalt zu berichten. Wir haben diesbezüglich nichts zu berichten.

### Verantwortung des Verwaltungsrates des Fonds für den Abschluss
Der Verwaltungsrat des Fonds ist verantwortlich für die Aufstellung und sachgerechte Gesamtdarstellung des Abschlusses in Übereinstimmung mit den in Luxemburg geltenden gesetzlichen Bestimmungen und Verordnungen zur Aufstellung und Darstellung des Abschlusses und für die internen Kontrollen, die er als notwendig erachtet, um die Aufstellung des Abschlusses zu ermöglichen, der frei von wesentlichen - beabsichtigten oder unbeabsichtigten - falschen Darstellungen ist.
Bei der Aufstellung des Abschlusses ist der Verwaltungsrat des Fonds verantwortlich für die Beurteilung der Fähigkeit des Fonds und seiner Teilfonds zur Fortführung der Tätigkeit und, sofern einschlägig, Angaben zu Sachverhalten zu machen, die im Zusammenhang mit der Fortführung der Tätigkeit stehen, und die Annahme der Unternehmensfortführung als Rechnungslegungsgrundsatz zu nutzen, sofern nicht der Verwaltungsrat des Fonds beabsichtigt, den Fonds zu liquidieren oder einen/mehrere seiner Teilfonds zu schließen, die Geschäftstätigkeit einzustellen oder keine andere realistische Alternative mehr hat, als so zu handeln.

### Verantwortung des „Réviseur d’entreprises agréé“ für die Abschlussprüfung
Die Zielsetzung unserer Prüfung ist es, eine hinreichende Sicherheit zu erlangen, ob der Abschluss als Ganzes frei von wesentlichen - beabsichtigten oder unbeabsichtigten - falschen Darstellungen ist, und darüber einen Prüfungsvermerk, der unser Prüfungsurteil enthält, zu erteilen. Hinreichende Sicherheit entspricht einem hohen Grad an Sicherheit, ist aber keine Garantie dafür, dass eine Prüfung in Übereinstimmung mit dem Gesetz vom 23. Juli 2016 und nach den für Luxemburg von der CSSF angenommenen ISAs stets eine wesentliche falsche Darstellung, falls vorhanden, aufdeckt. Unzutreffende Angaben können entweder aus Unrichtigkeiten oder aus Verstößen resultieren und werden als wesentlich angesehen, wenn vernünftigerweise davon ausgegangen werden kann, dass diese individuell oder insgesamt die auf der Grundlage dieses Abschlusses getroffenen wirtschaftlichen Entscheidungen von Adressaten beeinflussen.
Im Rahmen einer Abschlussprüfung in Übereinstimmung mit dem Gesetz vom 23. Juli 2016 und nach den für Luxemburg von der CSSF angenommenen ISAs üben wir unser pflichtgemäßes Ermessen aus und bewahren eine kritische Grundhaltung.
- identifizieren und beurteilen wir das Risiko von wesentlichen falschen Darstellungen im Abschluss aus Unrichtigkeiten oder Verstößen, planen und führen Prüfungshandlungen durch als Antwort auf diese Risiken und erlangen Prüfungsnachweise, die ausreichend und angemessen sind, um als Grundlage für unser Prüfungsurteil zu dienen. Das Risiko, dass wesentliche falsche Darstellungen nicht aufgedeckt werden, ist bei Verstößen höher als bei Unrichtigkeiten, da Verstöße betrügerisches Zusammenwirken, Fälschungen, beabsichtigte Unvollständigkeiten, irreführende Angaben bzw. Das Außerkraftsetzen interner Kontrollen beinhalten können;
- gewinnen wir ein Verständnis von dem für die Abschlussprüfung relevanten internen Kontrollsystem, um Prüfungshandlungen zu planen, die unter den gegebenen Umständen angemessen sind, jedoch nicht mit dem Ziel, ein Prüfungsurteil zur Wirksamkeit des internen Kontrollsystems des Fonds abzugeben;
- beurteilen wir die Angemessenheit der durch den Verwaltungsrat des Fonds angewandten Bilanzierungsmethoden, der rechnungslegungsrelevanten Schätzungen und den entsprechenden Anhangsangaben;
- schlussfolgern wir über die Angemessenheit der Anwendung des Rechnungslegungsgrundsatzes der Fortführung der Tätigkeit durch den Verwaltungsrat des Fonds sowie auf der Grundlage der erlangten Prüfungsnachweise, ob eine wesentliche Unsicherheit im Zusammenhang mit Ereignissen oder Gegebenheiten besteht, die bedeutsame Zweifel an der Fähigkeit des Fonds oder einer seiner Teilfonds zur Fortführung der Tätigkeit aufwerfen könnten. Sollten wir schlussfolgern, dass eine wesentliche Unsicherheit besteht, sind wir verpflichtet, im Prüfungsvermerk auf die dazugehörigen Anhangsangaben zum Abschluss hinzuweisen oder, falls die Angaben unangemessensind, das Prüfungsurteil zu modifizieren. Diese Schlussfolgerungen basieren auf der Grundlage der bis zum Datum des Prüfungsvermerks erlangten Prüfungsnachweise. Zukünftige Ereignisse oder Gegebenheiten können jedoch dazu führen, dass der Fonds oder einer seiner Teilfonds seine Tätigkeit nicht mehr fortführen kann;
- beurteilen wir die Gesamtdarstellung, den Aufbau und den Inhalt des Abschlusses einschließlich der Anhangsangaben und beurteilen, ob dieser die zugrundeliegenden Geschäftsvorfälle und Ereignisse sachgerecht darstellt.

Wir kommunizieren mit den für die Überwachung Verantwortlichen, unter anderem den geplanten Prüfungsumfang und Zeitraum sowie wesentliche Prüfungsfeststellungen einschlie1lich wesentlicher Schwächen im internen Kontrollsystem, die wir im Rahmen der Prüfung identifizieren.

#### PricewaterhouseCoopers, Société coopérative	Luxemburg, den 30. März 2021 Vertreten durch

#### Sébastien Sadzot
Nur die englischsprachige Fassung des vorliegenden Geschäftsberichts wurde durch den „Réviseur d’entreprises agréé“ geprüft. Entsprechend bezieht sich der Prüfbericht auf die englischsprachige Fassung des Geschäftsberichts. Andere Fassungen beruhen auf einer gewissenhaften Übersetzung, die unter der Verantwortung des Verwaltungsrats der SICAV erfolgt ist. Bei Unterschieden zwischen der englischsprachigen Fassung und der Übersetzung ist die englischsprachige Fassung rechtsverbindlich.
| Nettovermögensaufstellung zum 31. Dezember 2020 |  |
| --- | --- |
|  |  | Candriam Quant Equities Europe | Candriam Quant Equities Multi-Factor EMU | Candriam Quant Equities Multi-Factor Global |
|  |  | EUR | EUR | EUR |
| Aktiva |  |  |  |  |
| Wertpapierbestand zum Marktwert | 2a | 388.998.848 | 13.539.665 | 32.476.950 |
| Bankguthaben |  | 595.176 | 127.681 | 1.616.575 |
| Forderungen aus Wertpapierverkäufen |  | 0 | 0 | 89.371 |
| Forderungen aus Zeichnung von Anteilen |  | 324.331 | 181.669 | 8.955 |
| Forderungen aus Währungen |  | 0 | 0 | 69.910 |
| Forderungen aus Zinsen und Dividenden, netto |  | 201.168 | 103 | 33.026 |
| Nicht realisierter Gewinn aus Devisentermingeschäften | 2e | 0 | 0 | 0 |
| Sonstige Aktiva |  | 820.430 | 132.460 | 15.727 |
| Aktiva, insgesamt |  | 390.939.953 | 13.981.578 | 34.310.514 |
| Passiva |  |  |  |  |
| Verbindlichkeiten aus Wertpapierkäufen |  | 0 | 151.033 | 0 |
| Verbindlichkeiten aus der Rückgabe von Anteilen |  | 234.917 | 1.984 | 1.614.864 |
| Verbindlichkeiten aus Währungen |  | 0 | 0 | 69.860 |
| Nicht realisierter Verlust aus Devisentermingeschäften | 2e | 0 | 0 | 209 |
| Zu zahlende Verwaltungsgebühren | 3 | 127.169 | 4.892 | 21.377 |
| Zu zahlende Betriebliche und administrative Aufwendungen | 4 | 71.009 | 2.720 | 7.703 |
| Zu zahlende Performancegebühren | 5 | 288.917 | 0 | 0 |
| Zu zahlende Abonnementssteuer | 6 | 67.498 | 382 | 16.739 |
| Passiva, insgesamt |  | 789.510 | 161.011 | 1.730.752 |
| Nettovermögen, insgesamt |  | 390.150.443 | 13.820.567 | 32.579.762 |

| Nettovermögensaufstellung zum 31. Dezember 2020 |  |
| --- | --- |
|  |  | Candriam Quant Equities USA | Kombiniert |
|  |  | USD | EUR |
| Aktiva |  |  |  |
| Wertpapierbestand zum Marktwert | 2a | 480.746.192 | 827.926.412 |
| Bankguthaben |  | 1.158.094 | 3.285.935 |
| Forderungen aus Wertpapierverkäufen |  | 0 | 89.371 |
| Forderungen aus Zeichnung von Anteilen |  | 190.300 | 670.486 |
| Forderungen aus Währungen |  | 0 | 69.910 |
| Forderungen aus Zinsen und Dividenden, netto |  | 210.856 | 406.628 |
| Nicht realisierter Gewinn aus Devisentermingeschäften | 2e | 155.296 | 126.923 |
| Sonstige Aktiva |  | 16.144 | 981.812 |
| Aktiva, insgesamt |  | 482.476.882 | 833.557.477 |
| Passiva |  |  |  |
| Verbindlichkeiten aus Wertpapierkäufen |  | 0 | 151.033 |
| Verbindlichkeiten aus der Rückgabe von Anteilen |  | 104.082 | 1.936.831 |
| Verbindlichkeiten aus Währungen |  | 0 | 69.860 |
| Nicht realisierter Verlust aus Devisentermingeschäften | 2e | 0 | 209 |
| Zu zahlende Verwaltungsgebühren | 3 | 163.711 | 287.238 |
| Zu zahlende Betriebliche und administrative Aufwendungen | 4 | 88.628 | 153.867 |
| Zu zahlende Performancegebühren | 5 | 0 | 288.917 |
| Zu zahlende Abonnementssteuer | 6 | 96.486 | 163.476 |
| Passiva, insgesamt |  | 452.907 | 3.051.431 |
| Nettovermögen, insgesamt |  | 482.023.975 | 830.506.046 |