# Investment manager’s report for the financial year ended 31 July 2021
The Sub-Fund's investment objective is to provide Shareholders with long term exposure to the performance of a portfolio basket with 80% of the highest Net Asset Value (“NAV”) being protected as minimum exit NAV.
The Investment Portfolio will have exposure to a sub-set of US equities (as selected by the Sub-Investment Manager under a proprietary methodology described below). The US equities will be large capitalisation and will be listed or traded on the Markets referred to in Appendix II of the Prospectus (with no specific industry focus). The Sub-Fund may also have exposure to cash at certain times. The Investment Manager rebalances (potentially on a daily basis) the exposure between the Investment Portfolio and cash through the Portfolio Swap as agreed between the Investment Manager and the Approved Counterparty (as further described below), on the basis of certain volatility rules summarised below. The rebalancing seeks to control the volatility risk of the Portfolio Strategy by reducing the allocation to the Investment Portfolio if and when the realised volatility of the Portfolio Strategy, as observed for certain periods, increases. The volatility budget (i.e. the maximum targeted level of annualised change in value of the Portfolio Strategy) will be between 9% and 13% over the term of the Portfolio Swap and is determined by the Sub-Investment Manager on a discretionary basis. 80% of the highest Net Asset Value per share is protected as minimum Exit Net Asset Value via the purchase of a put option.
As at 31 July 2021 the Sub-Fund’s exposure to the portfolio strategy is 100.03% with an average exposure since launch of 113.21%.
Please find below an extract of the Sub Investment Manager’s report on the discretionary strategy:
For the month of July, the portfolio was up 3.04%. From a macro standpoint, factor and sector selection was strong while individual stock selection was relatively weak. From a pure factor standpoint, the portfolio’s exposure to companies that were less popular combined with stable earnings and low volatility added value for the month while the portfolio’s exposure to low price momentum detracted from return. For a sector point of view, Utilities and Energy were positive contributors while Information Technology and Healthcare detracted from return. The portfolio realizes a relatively low beta so significant out performance during a strong up market would imply strong alpha.
The Sub-Fund was launched on 25 March 2021.
From 25 March 2021 (its inception) to 31 July 2021, the performance of the A USD Share Class is 3.08%. From 13 July 2021 (its inception) to 31 July 2021, the performance of the B USD Share Class is 1.06%. From 13 July 2021 (its inception) to 31 July 2021, the performance of the B EUR Share Class is 1.02%. From 13 July 2021 (its inception) to 31 July 2021, the performance of the D EUR Share Class is 1.02%. From 25 March 2021 to 31 July 2021, the annualised volatility of the A USD Share Class is 10.63%.
From 13 July 2021 to 31 July 2021, the annualised volatility of the B USD Share Class is 12.24%. From 13 July 2021 to 31 July 2021, the annualised volatility of the B EUR Share Class is 12.26%. From 13 July 2021 to 31 July 2021, the annualised volatility of the D EUR Share Class is 12.25%.
Zebra Kante™ 80 Protect

Translation (ENDE, 2021-07-31):
# Bericht des Anlageverwalters für das Geschäftsjahr zum 31. Juli 2021
Das Anlageziel des Teilfonds besteht darin, für die Anteilinhaber ein langfristiges Kapitalwachstum aus einem Multi-Asset- Portfolio zu erwirtschaften und einen Schutz in Höhe von 90 % des höchsten jemals vom Teilfonds erzielten Nettoinventarwerts („NIW“) je Anteil zu bieten (der „Mindestziel-NIW“).
Die Portfoliostrategie besteht aus Long- und Short-Positionen in einem Portfolio aus Wertpapieren und anderen Vermögenswerten nach einem systematischen Mechanismus. Dieser Mechanismus teilt die Gewichtungen einer Aktien- Anlagegruppe, einer Renten-Anlagegruppe und einer Barkomponente zu, wie in der Ergänzung des Teilfonds dargelegt. Der Mechanismus zielt darauf ab, die erwartete lisierter realisierte Volatilität der Portfoliostrategie nahe 5 % zu halten.
Zum 31. Juli 2021 betrug das Engagement des Teilfonds in der Portfolio-Strategie 108,14 %, wobei das durchschnittliche Engagement seit Auflegung bei 100,32 % lag.
Der Teilfonds wurde am 22. Januar 2020 aufgelegt.
Vom 22. Januar 2020 (Auflegung) bis 31. Juli 2021 betrug die Performance des Teilfonds auf -3,56 %. Vom 31. Juli 2020 bis zum 31. Juli 2021 belief sich die Wertentwicklung der Anteilsklasse auf -0,37 %. Der Teilfonds weist eine annualisierten Volatilität von 2,02 %.
Pergola 90