ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS FOR...

FundLogic Alternatives p.l.c.

(an open-ended investment company with variable capital and segregated liability between Sub-Funds incorporated in Ireland on 28 April 2010 and authorised by the Central Bank of Ireland under the European Communities (Undertakings for Collective Investments in Transferable Securities) Regulations 2011 (as amended) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (as amended))

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

FOR THE FINANCIAL YEAR ENDED 31 JULY 2017


CONTENTS General Information 5 Directors’ Report 6 Depositary’s Report 12 Independent Auditor’s Report 13 Statement of Financial Position 18 Statement of Comprehensive Income 35 Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 52 Statement of Cash Flows 69 MS PSAM Global Event UCITS Fund

- Investment Manager’s Report 86 - Schedule of Investments 88 - Unaudited Schedule of Significant Portfolio Movements 92

Salar Convertible Absolute Return Fund

- Investment Manager’s Report 94 - Unaudited Schedule of Significant Portfolio Movements 95

Emerging Markets Equity Fund


Indus PacifiChoice Asia Fund


MS Ascend UCITS Fund


MS Alkeon UCITS Fund


MS SLJ Macro UCITS Fund


MS QTI UCITS Fund


MS Long Term Trends UCITS Fund


1


CONTENTS (continued) MS Swiss Life Multi Asset Protected Fund


MS Dalton Asia Pacific UCITS Fund


MS TCW Unconstrained Plus Bond Fund


MS Broadmark Tactical Plus UCITS Fund


MS Scientific Beta Global Equity Factors UCITS ETF


MS Lynx UCITS Fund


MS Nezu Cyclicals Japan UCITS Fund


MS Kairos Enhanced Selection UCITS Fund


MS Fideuram Equity Smart Beta Dynamic Protection 80 Fund


Global Equity Risk Premia Long/Short UCITS Fund


MS Tremblant Long/Short UCITS Fund


2


CONTENTS (continued) MSCI Emerging Markets ESG Equity Fund


DAX® 80 Garant


Quantica Managed Futures UCITS Fund


MS Scientific Beta US Equity Factors UCITS ETF


IPM Systematic Macro UCITS Fund


Smartfund 80% Protected Balanced Fund


Smartfund 80% Protected Growth Fund


MS Fideuram Equity Smart Beta Dynamic Protection 80 Fund - II


Mariner Lenus Healthcare UCITS Fund


80% Protected Index Portfolio


Mariner Investment Diversifying Alternative UCITS Fund


3


CONTENTS (continued) Smartfund Growth Fund


Smartfund Cautious Fund


Smartfund Balanced Fund


Market Neutral Credit UCITS Fund


Academy Quantitative Global UCITS Fund


Cautious 85% Protected Fund


Abante 80% Proteccion Creciente Fund


QW Equity Market & Sector Neutral UCITS


Equity Risk Managed Fund


CZ Absolute Alpha UCITS Fund


Notes to the Financial Statements 367

Appendices (Unaudited) 629

4


REGISTERED OFFICE70 Sir John Rogerson’s Quay Dublin 2 Ireland

IRISH LEGAL ADVISERS TO THE FUND Matheson 70 Sir John Rogerson’s Quay Dublin 2Ireland

ADMINISTRATOR, REGISTER & TRANSFER AGENT Northern Trust International Fund Administration Services (Ireland) Limited Georges Court 54-62 Townsend StreetDublin 2Ireland

COMPANY SECRETARY Matsack Trust Limited 70 Sir John Rogerson’s Quay Dublin 2 Ireland

GENERAL INFORMATION

DIRECTORSKevin Molony (Irish, Non-Executive Chairman)* Simon O’Sullivan (Irish, Non-Executive)* David Haydon (British, Non-Executive)

INVESTMENT MANAGER** As disclosed in Sub-Fund supplement

PROMOTER AND DISTRIBUTOR

Morgan Stanley & Co. International plc 25 Cabot Square Canary Wharf London E14 4QA United Kingdom

DEPOSITARY Northern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend StreetDublin 2 D02 R156Ireland

AUDITORS Ernst & Young Chartered Accountants and Statutory Audit Firm Ernst & Young Building Harcourt Centre Harcourt Street Dublin 2 Ireland

* Independent non-executive Directors** The Investment managers and sub-investment managers appointed are detailed in note 1 on pages 368 to 369.For the avoidance of doubt, all references in the remainder of this document to the Investment Manager shallinclude such other investment managers and sub-investment managers, as appropriate.

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DIRECTORS’ REPORT FOR THE FINANCIAL YEAR ENDED 31 JULY 2017

The Directors of FundLogic Alternatives p.l.c (the “Company”) submit their annual report together with the audited financial statements for the financial year ended 31 July 2017.

Statement of Directors’ Responsibilities The Directors are responsible for preparing the Directors’ Report and the audited financial statements in accordance with the Companies Act 2014 and the applicable regulations. Under company law, the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the Company and the profit or loss of the Company for that period.

In preparing the financial statements, the Directors are required to:

select suitable accounting policies and then apply them consistently; make judgements and estimates that are reasonable and prudent; state whether applicable Accounting Standards have been followed, subject to any material

departures disclosed and explained in the financial statements; and prepare the financial statements on the going concern basis unless it is not appropriate to

assume that the Company will continue in business.

The Directors confirm that they have complied with the above requirements in preparing the financial statements.

The Directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Company and which enable them to ensure that the financial statements are prepared in accordance with IFRS and comply with the provisions of the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (as amended) (the "Central Bank UCITS Regulations"). They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

Directors’ Compliance Statement The Directors acknowledge that they are responsible for securing the Company’s compliance with relevant obligations as set out in section 225 of the Companies Act 2014.

The Directors confirm that:

a compliance policy statement has been drawn up that sets out policies, that in their opinion areappropriate to the Company, in respect of the Company’s compliance with its relevant obligations;

appropriate arrangements and structures have been put in place that are, in their opinion,designed to secure compliance with the Company's relevant obligations; and

during the financial year, the arrangements or structures referred to have been reviewed.

Statement of Relevant Audit Information In the case of each person who was a Director of the Company at the time the annual report is approved:

so far as the Director is aware, there is no relevant audit information of which the Company’sstatutory auditors are unaware; and

the Director has taken all steps that he ought to have taken as a Director in order to make himselfaware of any relevant audit information and to establish that the Company’s statutory auditors areaware of that information (‘all steps’ means that a Director has made such enquiries of his fellowDirectors and of the Company’s statutory auditors for that purpose, and taken such other steps (ifany) for that purpose).

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DIRECTORS’ REPORT (continued) FOR THE FINANCIAL YEAR ENDED 31 JULY 2017

Principal Activities The Company was incorporated on 28 April 2010 and is authorised as an Undertaking for Collective Investment in Transferable Securities (“UCITS”) by the Central Bank of Ireland. The Company is structured as an umbrella investment company with variable capital pursuant to the Regulations.

During the financial year ended 31 July 2017, the Company had 41 Sub-Funds in existence which are detailed in note 1 with their respective launch and termination dates.

MS Scientific Beta Global Equity Factors UCITS ETF and MS Scientific Beta US Equity Factors UCITS ETF shares have been admitted to trading on the Main Securities Market of the Irish Stock Exchange (the “ISE”) and the Main Securities Market of the London Stock Exchange (the “LSE”). Trading in MS Scientific Beta Global Equity Factors UCITS ETF's shares on the ISE and the LSE commenced on 19 May 2014 and 9 June 2014 respectively. Trading in MS Scientific Beta US Equity Factors UCITS ETF's shares on the ISE and the LSE commenced on 6 October 2014 and 24 October 2014 respectively.

Principal Risks Investment in the Company carries with it a degree of risk including, but not limited to, the risks referred to in note 14 of these financial statements. Information about the financial risk management objectives and policies of the Company is also disclosed in note 14 on page 504.

Review of Business and Future Developments A detailed review of the business and future developments is included in the Investment Manager’s Reports. The Directors believe that the change in the net asset value per share is the key indicator of performance.

Results and Dividends The results and dividends for the financial year are set out in the Statement of Comprehensive Income on pages 35 to 51. There were no distributions to holders of redeemable participating shares declared or paid during the year ended 31 July 2017 or the year ended 31 July 2016.

Directors, Secretary and their interests The names of the Directors who have served for the financial year under review are as follows:

Kevin Molony Simon O’Sullivan David Haydon

Matsack Trust Limited acted as Company Secretary throughout the year.

None of the Directors or the Secretary or their families had any direct interest in the shares of the Company at any time during the financial year.

Going Concern The Directors believe there are no material uncertainties relating to events or conditions that may cast significant doubt about the ability of the Company to continue to meet its ongoing obligations as:

the Sub-Funds invest primarily in marketable securities and other financial instruments which,under normal market conditions, are readily convertible to cash;

the Sub-Funds’ policy is to maintain sufficient cash and cash equivalents to meet normaloperating requirements and expected redemption requests; and

the Sub-Funds have access to a bank overdraft facility to help mitigate liquidity risk.

Therefore the Directors believe that the Company has adequate resources to continue in operational existence for the foreseeable future and that the use of the going concern basis is appropriate.

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DIRECTORS’ REPORT (continued) FOR THE FINANCIAL YEAR ENDED 31 JULY 2017

Accounting Records To ensure that proper accounting records are kept in accordance with Sections 281 to 285 of the Companies Act 2014, the Directors of the Company have employed a service organisation, Northern Trust International Fund Administration Services (Ireland) Limited, the Administrator. The accounting records are located at the offices of the Administrator as stated in General Information.

Connected Persons Transactions Regulation 41(1) of the Central Bank UCITS Regulations requires that any transaction between a UCITS and a management company or depositary of a UCITS, the delegate or sub-delegates of such a management company or depositary (excluding any non-group company sub-custodians appointed by a depositary), and any associated or group companies of such a management company, depositary, delegate or sub-delegate (“connected persons”) is conducted at arm’s length and is in the best interests of the shareholders of the UCITS.

The Directors are satisfied that there are arrangements in place, evidenced by written procedures, to ensure that the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations are applied to all transactions with connected persons, and all transactions with connected persons entered into during the year complied with the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations.

Audit Committee The Board of Directors has decided it is not necessary to constitute an audit committee given the oversight provided by the Board throughout the year on the Company and its matters and the size of the Board. Instead, it is deemed more appropriate that the entirety of the Board of Directors carry out the activities that would otherwise be carried out by an audit committee.

Remuneration The UCITS V provisions require Management Companies to establish and apply remuneration policies and practices that promote sound and effective risk management, and also requires the financial statements of the Company to include certain remuneration information, for details please refer to Appendix 2. A remuneration policy has been put in place which complies with the UCITS Regulations. This policy was updated on 14 February 2017 and is reviewed annually. It is available on http://sp.morganstanley.com/FUNDLOGIC/AboutUs.

Details of directors’ fees are disclosed in note 8 on page 448.

Key Investor The current Key Investor Information Documents (“KIID”) for all share classes of the Company and any updates/amendments are made available on www.morganstanley.com.

Significant Events During the Financial Year

The following Sub-Funds launched during the year:

Sub-Fund Launch DateAcademy Quantitative Global UCITS Fund 26 August 2016 Cautious 85% Protected Fund 9 February 2017 Abante 80% Proteccion Creciente Fund 8 March 2017 QW Equity Market & Sector Neutral UCITS 31 March 2017 Equity Risk Managed Fund 10 April 2017 CZ Absolute Alpha UCITS Fund 9 June 2017

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DIRECTORS’ REPORT (continued) FOR THE FINANCIAL YEAR ENDED 31 JULY 2017 Significant Events During the Financial Year (continued) The following Sub-Funds terminated during the year:

Sub-Fund Termination Date Mariner Lenus Healthcare UCITS Fund 2 August 2016 MS Kairos Enhanced Selection UCITS Fund 12 August 2016 MS SLJ Macro UCITS Fund 8 December 2016 Indus PacifiChoice Asia Fund 9 January 2017 MS QTI UCITS Fund 15 March 2017 Salar Convertible Absolute Return Fund 26 June 2017 MS Broadmark Tactical Plus UCITS Fund 20 July 2017 The Company issued a new prospectus on 21 July 2017 to update for the requirements of the regulation on transparency of securities financing transactions (“SFTR”). New Sub-Fund supplements were also issued during the year. There have been no other significant events affecting the Company during the financial year. Significant Events After the Financial Year End The following Sub-Funds launched after the financial year end: Moderate 80% Protected Fund 15 September 2017 Cube Global Cross Asset UCITS Fund 17 October 2017 Carrhae Capital Long/Short Emerging Market Equity UCITS Fund 1 November 2017 The following Sub-Fund terminated after the financial year end: Termination Date Mariner Investment Diversifying Alternative UCITS Fund 27 October 2017 There have been no other significant events affecting the Company after the financial year end. Auditors The Auditors, Ernst & Young, Chartered Accountants, have indicated their willingness to continue in office in accordance with Section 383 (2) of the Companies Act 2014. Statement of Corporate Governance The European Communities (2006/46 EC) Regulations 2009 requires the directors of all companies with securities admitted to trading on a regulated market to make an annual statement on corporate governance. The statement is required to include commentary on compliance with applicable codes of governance, systems of risk management and internal controls together with other details, including the operation of the Board of Directors and arrangements for shareholder meetings. Relevant information on the Company's governance arrangements for the year ended 31 July 2017 are set out below. The Company is subject to corporate governance practices imposed by:

(i) the Companies Act 2014, which can be obtained from the Office of the Attorney General's website at www.irishstatutebook.ie and is also available for inspection at the registered office of the Company;

(ii) the Central Bank in their Central Bank UCITS Regulations, which can be obtained from the Central Bank's website and is available for inspection at the registered office of the Company; and

(iii) the Irish Stock Exchange (“ISE”) through their Code of Listing Requirements and Procedures, which can be obtained from the ISE's website at www.ise.ie.

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DIRECTORS’ REPORT (continued) FOR THE FINANCIAL YEAR ENDED 31 JULY 2017 Corporate Governance Code The Board has adopted the Corporate Governance Code for Collective Investment Schemes and Management Companies as published by the Irish Funds Industry Association (the “CGC”), as the Company's corporate governance code, practices and procedures. The Board has assessed the measures included in the CGC as being consistent with its corporate governance practices and procedures for the year. Internal Control and Risk Management Systems in Relation to Financial Reporting The Board of Directors is responsible for ensuring that adequate internal control and risk management systems of the Company in relation to the financial reporting process are in place. Such systems are designed to manage, rather than eliminate, risks and can provide only reasonable, not absolute, assurance against material misstatement or loss. The Administrator, as the relevant delegate of the Company, has procedures in place to ensure all relevant accounting records are properly maintained and are readily available, including the production of annual and half-yearly financial statements. The Administrator is authorised and regulated by the Central Bank of Ireland and is required to comply with the rules issued by the Central Bank in the conduct of its business. The Board receives and considers reports from the Administrator on a regular basis and, from time to time, also examines and evaluates the Administrator’s financial accounting and reporting routines. The annual and half-yearly financial statements of the Company are required to be approved by the Board of Directors and filed with the Central Bank of Ireland and the Irish Stock Exchange. The statutory annual financial statements are required to be audited by independent auditors who report annually to the Board on their findings. The Board monitors and evaluates the independent auditor’s performance, qualifications and independence. As part of the review procedures, the Board receives and considers reports on the audit process and evaluates and discusses significant accounting and reporting issues as the need arises. Shareholders’ Meetings The convening and conduct of shareholders’ meetings are governed by the Articles of Association of the Company and the Companies Act 2014. Although the Directors may convene an extraordinary general meeting of the Company at any time, the Directors are required to convene an annual general meeting of the Company each year ensuring that it is held within fifteen months of the date of the previous annual general meeting. Not less than twenty one clear days’ notice of every annual general meeting and any extraordinary general meeting convened for the passing of a special resolution must be given to shareholders and fourteen clear days’ notice must be given in the case of any other extraordinary general meeting unless the auditors of the Company and all the shareholders of the Company entitled to attend and vote agree to shorter notice. Shareholders may resolve to sanction an ordinary resolution or special resolution at a shareholders’ meeting. An ordinary resolution of the Company or of the shareholders of a particular Sub-Fund or class requires a simple majority of the votes cast by the shareholders voting in person or by proxy at the meeting at which the resolution is proposed. A special resolution of the Company or of the shareholders of a particular Sub-Fund or class requires a majority of not less than 75% of the shareholders present in person or by proxy and voting in general meeting in order to pass a special resolution including a resolution to amend the Articles of Association. Board Composition and Operations Unless otherwise determined by an ordinary resolution of the Company in general meeting, the number of Directors may not be less than two. Currently the Company’s Board of Directors is composed of three Directors, being those listed in the General Information section in these financial statements.

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INDEPENDENT AUDITOR’S REPORT TO THE MEMBERS OF FUNDLOGIC ALTERNATIVES P.L.C. (continued)

Report on the audit of the financial statements

Opinion

We have audited the financial statements of FundLogic Alternative plc (‘the Company’) for the year ended 31 July 2017, which comprise the Statement of Financial Position, Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares, Statement of Cash Flows, and notes to the financial statements, including the summary of significant accounting policies set out in note 2. The financial reporting framework that has been applied in their preparation is Irish Law, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended), the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (as amended) and International Financial Reporting Standards (IFRS) as adopted by the European, as applied in accordance with the provisions of the Companies Act 2014.

In our opinion:

► the financial statements give a true and fair view of the assets, liabilities and financial position of theCompany as at 31 July 2017 and of its profit for the year then ended;

► the financial statements have been properly prepared in accordance with IFRS as adopted by theEuropean Union as applied in accordance with the provisions of the Companies Act 2014; and

► the financial statements have been properly prepared in accordance with the requirements of theCompanies Act 2014.

Basis for opinion

We conducted our audit in accordance with ISAs (Ireland) and applicable law. Our responsibilities under those standards are further described in the Auditor's Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Company in accordance with ethical requirements that are relevant to our audit of financial statements in Ireland, including the Ethical Standard as applied to public interest entities issued by the Irish Auditing and Accounting Supervisory Authority (IAASA), and we have fulfilled our other ethical responsibilities in accordance with these requirements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Conclusions relating to going concern

We have nothing to report in respect of the following matters, in relation to which ISAs (Ireland) require us to report to you where:

► the directors’ use of the going concern basis of accounting in the preparation of the financial statementsis not appropriate: or

► the directors have not disclosed in the financial statements any identified material uncertainties thatmay cast significant doubt about the Company’s ability to continue to adopt the going concern basis ofaccounting for a period of at least twelve months from the date when the financial statements areauthorised for issue.

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Key audit matters

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud) that we identified, including those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit; and directing the efforts of the engagement team. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

Valuation of Financial Assets

Description

The valuation of the Company’s investments is the key driver of the Company’s performance and net asset value.

The Company held financial assets at fair value through profit or loss amounted to US$5,379,627,179 and financial liabilities at fair value through profit or loss amounted to US$280,847,513 which are all classified as level 1 and 2 securities. Investments include Total Return Swaps, Equities, Warrants, Participatory Notes, Investment Funds, Corporate Bonds, Government Bonds, Contracts for Difference, Exchange Traded Funds, Options, Futures Contracts, Forward Currency Contracts, Asset Backed Securities and Credit Default Swaps.

Our Response

We performed the following procedures:

We gained an understanding of the processes adopted by management in respect of investment valuation, including an assessment of the design and effectiveness of the controls over the valuation process.

We tested valuation using independent valuation sources for all positions including independent broker quotes for Corporate Bonds, Government Bonds and Asset Backed Securities.

Our application of materiality

We apply the concept of materiality in planning and performing the audit, in evaluating the effect of identified misstatements on the audit and in forming our audit opinion.

Materiality

The magnitude of an omission or misstatement that, individually or in the aggregate, could reasonably be expected to influence the economic decisions of the users of the financial statements. Materiality provides a basis for determining the nature and extent of our audit procedures.

We determined materiality for each of the sub-funds to be 0.5% (2016: 0.5%) of Net Asset Value. We believe that Net Asset Value is an appropriate measurement basis since the users of the financial statements may focus more on assets or equity than earnings.

During the course of our audit, we reassessed initial materiality and there were no changes in the materiality.

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Performance materiality

The application of materiality at the individual account or balance level. It is set at an amount to reduce to an appropriately low level the probability that the aggregate of uncorrected and undetected misstatements exceeds materiality.

On the basis of our risk assessments, together with our assessment of the Company’s overall control environment, our judgement was that performance materiality was 75% (2016: 75%) of our materiality. We have set performance materiality at this percentage due to our knowledge of the entity and industry, our past history with the entity, effectiveness of the control environment and our assessment of the risks associated with the engagement.

Reporting threshold

An amount below which identified misstatements are considered as being clearly trivial.

We agreed with the Board that we would report to them all uncorrected audit differences in excess of 5% of materiality, as well as differences below that threshold that, in our view, warranted reporting on qualitative grounds.

We evaluate any uncorrected misstatements against both the quantitative measures of materiality discussed above and in light of other relevant qualitative considerations in forming our opinion.

An overview of the scope of our audit report

Our assessment of audit risk and our evaluation of materiality of the Company’s performance materiality determine our audit scope for the Company. Taken together, this enables us to form an opinion on the financial statements.

In assessing the risk of material misstatement to the Company’s financial statements, and to ensure we had adequate quantitative coverage of significant accounts in the financial statements.

Other information

The directors are responsible for the other information. The other information comprises the information included in the annual report other than the financial statements and our auditor’s report thereon.

Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information 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 we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. 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.

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Opinions on other matters prescribed by the Companies Act 2014

Based solely on the work undertaken in the course of the audit, we report that:

► in our opinion, the information given in the directors’ report is consistent with the financial statements;and

► in our opinion, the directors’ report has been prepared in accordance the with Companies Act 2014

We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited and the Company statement of financial position is in agreement with the accounting records.

In addition we report, in relation to information given in the Statement of Corporate Governance on page 9, that:

► based on knowledge and understanding of the company and its environment obtained in the course of ouraudit, no material misstatements in the information identified above have come to our attention;

► based on the work undertaken in the course of our audit, in our opinion:

► the description of the main features of the internal control and risk management systems in relationto the process for preparing the financial statements, and information relating to voting rights andother matters required by the European Communities (Takeover Bids (Directive 2004/25/EC))Regulations 2006 and specified by the Companies Act 2014 for our consideration, are consistentwith the financial statements and have been prepared in accordance with the Companies Act 2014;and

► the Corporate Governance Statement contains the information required by the Companies Act2014.

Matters on which we are required to report by exception

Based on the knowledge and understanding of the Company and its environment obtained in the course of the audit, we have not identified material misstatements in the directors' report.

The Companies Act 2014 requires us to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions required by sections 305 to 312 of the Act are not made. We have nothing to report in this regard.

Respective responsibilities

Responsibilities of directors for the financial statements

As explained more fully in the statement of directors’ responsibilities set on page 6, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view, and for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

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In preparing the financial statements, the directors are responsible for assessing the Company’s ability to continue as going concerns, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the Company or to cease operations, or has no realistic alternative but to do so.

Auditor’s responsibilities for the audit of the financial statements

Our objectives 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 auditor's 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 ISAs (Ireland) 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.

A further description of our responsibilities for the audit of the financial statements is located on the IAASA's website at: http://www.iaasa.ie/getmedia/b2389013-1cf6-458b-9b8f-a98202dc9c3a/Description_of_auditors_responsiblities_for_audit.pdf. This description forms part of our auditor's report.

Other matters which we are required to address

We were appointed by the Board of Directors to audit the financial statements for the year ending 31 July 2017 and subsequent financial periods. The period of total uninterrupted engagement including previous renewals and reappointments of the firm is 10 years.

The non-audit services prohibited by IAASA’s Ethical Standard were not provided to the Company and we remain independent of the Company in conducting our audit.

Our audit opinion is consistent with the additional report to the Board.

The purpose of our audit work and to whom we owe our responsibilities

Our report is made solely to the Company’s members, as a body, in accordance with section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.

Gareth Harman for and on behalf of Ernst & Young Chartered Accountants and Statutory Audit Firm

Dublin

[Date]

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STATEMENT OF FINANCIAL POSITIONAS AT 31 JULY 2017

MS PSAM Global Event UCITS Fund

Salar Convertible

Absolute Return Fund*

Emerging Markets Equity Fund

Indus PacifiChoice Asia Fund**


As at As at As at As at As at31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017

Notes € US$ US$ US$ US$AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 367,263,144 - 203,936,890 - 159,997,399Cash and cash equivalents 11 13,602,659 264,255 8,196,148 91,610 6,573,818Receivable for investments sold 16,645,450 - - - 22,470,741Subscriptions receivable 2,537,949 - 253,474 - - Dividends and interest receivable 3,220 58,222 - - - Spot contracts receivable 216,479 - - - - Variation margin receivable 2,276,172 - - - - Sundry debtors 8 10,525 49,527 - 57,521 112,777 Total assets 402,555,598 372,004 212,386,512 149,131 189,154,735

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 1,071,414 - 5,648,175 - 323,725Securities purchased payable 669,672 - - - 19,840,728 Redemptions payable 19,291,323 - 24,612 - 2,945,488Management fee payable 8 1,208,874 103,945 33,954 6,044 108,102 Performance fee payable 8 4,478,116 3,092 - 163 - Administration fee payable 8 46,684 869 - 872 20,689 Depositary fee payable 8 17,758 1,437 - 247 5,595 Spot contracts payable 15,625 - - - 454,229 Variation margin payable 1,959,789 - - - 609,439Other accrued expenses 8 377,201 158,695 - 68,079 277,440 Bank overdraft 12 2,616,899 103,966 605,853 73,726 576,838Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 31,753,355 372,004 6,312,594 149,131 25,162,273

Net assets attributable to holders of redeemableparticipating shares 10 370,802,243 - 206,073,918 - 163,992,462

* Salar Convertible Absolute Return Fund terminated on 26 June 2017.** Indus PacificChoice Asia Fund terminated on 9 January 2017.

For information on the net asset value per share and shares outstanding on each share class please refer to note 10.

The accompanying notes form an integral part of the financial statements.

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STATEMENT OF FINANCIAL POSITION (continued)AS AT 31 JULY 2017


MS SLJ Macro UCITS Fund***

MS QTI UCITS Fund****


MS Swiss Life Multi Asset Protected

FundAs at As at As at As at As at

31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Notes US$ € US$ US$ CHF

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 42,845,697 - - 66,592,595 51,546,730 Cash and cash equivalents 11 2,130,906 20,494 5,195 4,487,674 2,269,596 Subscriptions receivable - - - - 299 Spot contracts receivable 45,454 - - 211,457 - Variation margin receivable 297,915 - - - - Sundry debtors 8 19,413 - 24,914 - 6,949 Total assets 45,339,385 20,494 30,109 71,291,726 53,823,574

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 868,520 - - 19,435 991,360 Redemptions payable - - - - 28,221 Management fee payable 8 84,861 - - 20,788 53,105 Performance fee payable 8 1,430,776 - - - - Administration fee payable 8 6,135 705 - 9,338 4,970 Depositary fee payable 8 1,597 1,046 - 2,547 1,979 Spot contracts payable 96,499 - - 212,220 - Other accrued expenses 8 18,922 7,891 30,109 53,778 - Bank overdraft 12 429,733 10,852 - - 17 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 2,937,043 20,494 30,109 318,106 1,079,652

Net assets attributable to holders of redeemableparticipating shares 10 42,402,342 - - 70,973,620 52,743,922

*** MS SLJ Macro UCITS Fund terminated on 8 December 2016.**** MS QTI UCITS Fund terminated on 15 March 2017.



19



MS Dalton Asia Pacific UCITS Fund

MS TCW Unconstrained

Plus Bond Fund

MS Broadmark Tactical Plus UCITS

Fund*****

MS Scientific Beta Global Equity

Factors UCITS ETFMS Lynx UCITS


31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Notes € US$ US$ US$ US$

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 119,372,456 56,275,030 201,520 253,780,083 186,146,796 Cash and cash equivalents 11 35,678,985 2,534,194 208,710 12,760,652 1,281,135 Receivable for investments sold 502,300 - - - 3,240,708 Subscriptions receivable - 186,066 - 495,760 175,000 Dividends and interest receivable 250,661 340,502 - - 1,869 Variation margin receivable - 2,625 - - - Sundry debtors 8 123,543 31,939 21,875 178,874 37,807 Total assets 155,927,945 59,370,356 432,105 267,215,369 190,883,315

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 5,857,211 51,589 108,133 5,329,624 142,186 Securities purchased payable 245,491 643,050 - - - Redemptions payable - - - - 3,846,329 Management fee payable 8 511,422 451,498 - 82,689 48,968 Performance fee payable 8 109,820 - - - - Administration fee payable 8 16,610 7,661 3,778 16,373 24,094 Depositary fee payable 8 4,673 2,155 1,233 7,455 6,441 Spot contracts payable - 242 - - - Variation margin payable - 414 - - - Other accrued expenses 8 674,791 47,050 64,310 436,274 209,994 Bank overdraft 12 11,260,407 - 254,651 49 142,933 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 18,680,425 1,203,659 432,105 5,872,464 4,420,945

Net assets attributable to holders of redeemableparticipating shares 10 137,247,520 58,166,697 - 261,342,905 186,462,370

***** MS Broadmark Tactical Plus UCITS Fund terminated on 20 July 2017.



20



MS Nezu Cyclicals Japan UCITS Fund

MS Kairos Enhanced

Selection UCITS Fund******

MS Fideuram Equity Smart Beta Dynamic

Protection 80 Fund

Global Equity Risk Premia Long/Short

UCITS Fund

MS Tremblant Long/Short Equity

UCITS FundAs at As at As at As at As at

31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Notes ¥ € € € US$

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 4,467,217,060 - 202,774,188 398,447,424 41,883,967Cash and cash equivalents 11 1,054,067,520 6,155 6,075,311 11,415,378 1,637,270 Receivable for investments sold 400,429,504 - - - - Subscriptions receivable - - 123,605 53,514 - Dividends and interest receivable 1,709,761 - - - - Variation margin receivable 55,039,451 - 1,646 - - Sundry debtors 8 119,057 10,194 24,440 275,782 282 Total assets 5,978,582,353 16,349 208,999,190 410,192,098 43,521,519

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 10,656,292 - 823,605 12,079,067 152,298 Securities purchased payable 287,767,510 - - - - Redemptions payable - - 1,141,778 97,162 - Management fee payable 8 17,667,794 - 299,660 169,648 20,820 Performance fee payable 8 296,364 - - - 158,581 Administration fee payable 8 517,376 - 17,200 90,785 8,491 Depositary fee payable 8 198,409 - 7,240 10,964 2,388 Spot contracts payable - - - - 79,779 Variation margin payable 49,094,584 - 1,332 - 638,066Other accrued expenses 8 6,929,815 16,349 3 1,089,192 41,410 Bank overdraft 12 260,152,223 - - 99 560,395 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 633,280,367 16,349 2,290,818 13,536,917 1,662,228

Net assets attributable to holders of redeemableparticipating shares 10 5,345,301,986 - 206,708,372 396,655,181 41,859,291

****** MS Kairos Enhanced Selection UCITS Fund terminated on 12 August 2016.



21



MSCI Emerging Markets ESG Equity

Fund DAX® 80 GarantQuantica Managed

Futures UCITS Fund

MS Scientific Beta US Equity Factors

UCITS ETFIPM Systematic

Macro UCITS FundAs at As at As at As at As at

31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Notes US$ € US$ US$ US$

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 669,705,717 14,651,212 113,613,887 125,547,896 1,119,691,361 Cash and cash equivalents 11 6,175,055 312,486 12,048,075 3,857,848 326,035,165 Subscriptions receivable - - - - 629,973 Spot contracts receivable - - 304 - 703 Sundry debtors 8 52,741 16,318 36,104 171,818 332,031 Total assets 675,933,513 14,980,016 125,698,370 129,577,562 1,446,689,233

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 21,280,957 175,833 1,191,473 6,861,907 157,468,169 Redemptions payable - - - - 1,212,961 Management fee payable 8 107,950 1,268 101,014 48,754 11,986,193 Performance fee payable 8 - - 107,944 - 6,719,690Administration fee payable 8 36,693 4,568 17,494 9,032 123,658Depositary fee payable 8 16,048 1,370 5,282 3,669 27,468 Spot contracts payable - - - - 7,977 Other accrued expenses 8 78,700 84,134 145,131 292,932 1,032,761 Bank overdraft 12 - - 31,719 - 30,114,877Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 21,520,348 267,173 1,600,057 7,216,294 208,693,754

Net assets attributable to holders of redeemableparticipating shares 10 654,413,165 14,712,843 124,098,313 122,361,268 1,237,995,479



22



Smartfund 80% Protected Balanced

Fund

Smartfund 80% Protected

Growth Fund

MS Fideuram Equity Smart Beta Dynamic Protection 80 Fund –

II

Mariner Lenus Healthcare UCITS

Fund*******80% Protected Index Portfolio


Notes £ £ € US$ £AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 108,343,435 78,131,964 30,092,253 - 9,265,217Cash and cash equivalents 11 9,943,267 5,443,834 1,214,399 75,426 596,578Subscriptions receivable 460,478 - 21,380 - 410,682Spot contracts receivable 154 - - - - Variation margin receivable 1,420 5,463 31 - - Sundry debtors 8 87,770 75,662 5,970 - 34,070Total assets 118,836,524 83,656,923 31,334,033 75,426 10,306,547

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 6,423,124 639,950 305,651 - 45,999Securities purchased payable - - - - 291,868 Redemptions payable 180,375 - 10,213 - - Management fee payable 8 150,483 121,812 54,771 - 1,165 Administration fee payable 8 8,316 6,599 4,563 - 3,948 Depositary fee payable 8 3,569 2,954 1,406 - 1,184 Variation margin payable 4,540 6,166 60 - 1,109 Other accrued expenses 8 90,447 78,204 11 72,182 14,824 Bank overdraft 12 6,354,521 1,658,902 - 3,244 155,779 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 13,215,375 2,514,587 376,675 75,426 515,876

Net assets attributable to holders of redeemableparticipating shares 10 105,621,149 81,142,336 30,957,358 - 9,790,671

******* Mariner Lenus Healthcare UCITS Fund terminated on 2 August 2016.



23



Mariner Investment Diversifying

Alternative UCITS Fund

Smartfund Growth Fund





Notes US$ £ £ £ US$AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 26,488,214 14,048,775 17,334,452 24,323,451 282,943,542 Cash and cash equivalents 11 4,889,303 612,052 424,594 890,908 53,368,122 Subscriptions receivable - - 34,000 - - Dividends and interest receivable 30,950 - - - 8,683,487 Sundry debtors 8 379 35,395 35,500 35,254 50,810Total assets 31,408,846 14,696,222 17,828,546 25,249,613 345,045,961

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 16,125 168,696 203,617 363,841 41,922,019 Securities purchased payable 26,978 - - - - Redemptions payable 1,506,901 21,464 - 165,346 - Management fee payable 8 26,338 15,456 24,387 31,060 189,844 Performance fee payable 8 - - - - 653,299 Administration fee payable 8 4,997 3,963 3,932 3,954 25,203 Depositary fee payable 8 1,504 1,209 1,091 1,240 9,566 Other accrued expenses 8 27,765 11,759 12,317 27,484 226,546 Bank overdraft 12 - - - 23 76,144,809 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 1,610,608 222,547 245,344 592,948 119,171,286

Net assets attributable to holders of redeemableparticipating shares 10 29,798,238 14,473,675 17,583,202 24,656,665 225,874,675



24



Academy Quantitative Global

UCITS Fund1Cautious 85%

Protected Fund2

Abante 80% Protection Creciente

Fund3

QW Equity Market & Sector Neutral

UCITs4Equity Risk

Managed Fund5As at As at As at As at As at

31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Notes US$ € € € €

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 26,507,029 25,884,975 56,234,672 3,574,378 11,171,060 Cash and cash equivalents 11 8,555,681 1,504,753 2,523,604 128,405 568,506 Receivable for investments sold - 1,876,032 - - - Subscriptions receivable - 573,537 238,200 - - Spot contracts receivable - 888,595 - - - Variation margin receivable - 31,263 - 13,364 - Sundry debtors 8 226,903 15,739 13,570 14,344 13,873Total assets 35,289,613 30,774,894 59,010,046 3,730,491 11,753,439

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 68,174 24,931 340,664 429 105,744 Securities purchased payable - 3,350,196 - - - Redemptions payable - - 378,145 - - Management fee payable 8 121,534 24,885 66,540 3,940 12,164 Performance fee payable 8 - - - 1,749 - Administration fee payable 8 119,219 13,100 11,286 4,688 8,671 Depositary fee payable 8 1,842 2,638 4,537 2,191 1,734 Spot contracts payable - 889,555 - - - Variation margin payable - 866 1,059 10,278 - Other accrued expenses 8 119,369 5,733 45,230 3,300 6,510 Bank overdraft 12 - 2 - - - Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 430,138 4,311,906 847,461 26,575 134,823


1 Academy Quantitative Global UCITS Fund launched 26 August 2016.2 Cautious 85% Protected Fund launched 9 February 2017.3 Abante 80% Protection Creciente Fund launched 8 March 2017.4 QW Equity Market & Sector Neutral UCITS Fund launched 31 March 2017.5 Equity Risk Managed Fund launched 10 April 2017.



25


STATEMENT OF FINANCIAL POSITIONAS AT 31 JULY 2016


Salar Convertible Absolute Return

FundIndus Select Asia

Pacific Fund*

MS Algebris Global Financials UCITS

Fund**Emerging Markets

Equity FundAs at As at As at As at As at

31 July 2016 31 July 2016 31 July 2016 31 July 2016 31 July 2016Notes € US$ US$ € US$

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 422,442,075 183,726,763 - - 193,369,646 Cash and cash equivalents 11 4,375,554 817,144 25,867 4,250 6,013,319 Receivable for investments sold - 2,951,758 - - - Subscriptions receivable - - - - 20,447 Dividends and interest receivable - 621,371 - - - Spot contracts receivable 12,864 - - - 114,820 Variation margin receivable 3,299,808 904,848 - - - Sundry debtors 8 67,915 25,759 4,161 10,162 - Total assets 430,198,216 189,047,643 30,028 14,412 199,518,232

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 1,383,268 - - - 14,872,006 Securities purchased payable - - - - 5,111,595 Redemptions payable - - - - 93,734 Management fee payable 8 1,558,090 454,631 - 993 27,255 Performance fee payable 8 596,969 1,437 - - - Administration fee payable 8 20,864 9,580 - - - Depositary fee payable 8 11,501 4,717 - - - Spot contracts payable - 895,286 - - - Variation margin payable 462,085 4,034,372 - - - Other accrued expenses 8 366,368 215,615 30,028 13,419 10 Bank overdraft 12 165,953 756,526 - - 37 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 4,565,098 6,372,164 30,028 14,412 20,104,637

Net assets attributable to holders of redeemableparticipating shares 10 425,633,118 182,675,479 - - 179,413,595

* Indus Select Asia Pacific Fund terminated on 30 October 2015.** MS Algebris Global Financials UCITS Fund merged into Algebris Financial Equity Fund, a Sub-Fund of Algebris UCITS plc on 5 February 2016.



27



Indus PacifiChoice Asia Fund



MS SLJ Macro UCITS Fund

MS QTI UCITS Fund


Notes US$ US$ US$ € US$AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 96,463,708 157,777,369 94,721,753 1,277,727 13,884,083 Cash and cash equivalents 11 17,758,813 53,747,148 1,294,355 38,119,197 1,192,926 Receivable for investments sold 2,302,598 - - - 161,280 Subscriptions receivable - - - 76,013 - Dividends and interest receivable 219,067 - - - - Spot contracts receivable 91,273 - - - - Variation margin receivable 350,146 - - - - Sundry debtors 8 70,440 154,941 63,630 2,066 1,746 Total assets 117,256,045 211,679,458 96,079,738 39,475,003 15,240,035

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 9,353,804 238,951 55,598 1,254,626 4,282 Redemptions payable 79,632,018 - - 786,762 - Management fee payable 8 140,153 169,949 139,282 22,565 4,788 Performance fee payable 8 5,312 - - - - Administration fee payable 8 15,258 10,169 6,301 2,635 2,377 Depositary fee payable 8 4,608 2,745 1,643 3,223 713 Spot contracts payable 34,110 - 469,047 3 - Variation margin payable 800,916 5,392,435 - - - Advances from investors - 50,000,000 - - - Other accrued expenses 8 456,598 310,085 97,799 40,480 6,084 Bank overdraft 12 197,465 116,307 1,998,622 391,233 52,318 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 90,640,242 56,240,641 2,768,292 2,501,527 70,562




28





FundMS Dalton Asia

Pacific UCITS Fund

MS TCW Unconstrained Plus

Bond Fund

MS Broadmark Tactical Plus UCITS


31 July 2016 31 July 2016 31 July 2016 31 July 2016 31 July 2016Notes US$ CHF € US$ US$

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 36,329,029 56,276,143 96,299,138 105,468,468 49,572,676 Cash and cash equivalents 11 3,180,112 2,249,454 7,073,463 9,724,303 7,487,049 Receivable for investments sold 175,965 - 5,803,692 140,261 - Subscriptions receivable - 405 - 35,858 - Dividends and interest receivable - - 135,043 510,502 - Sundry debtors 8 - 3,305 50,193 59,486 22,827 Total assets 39,685,106 58,529,307 109,361,529 115,938,878 57,082,552

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 8,198 2,684,688 1,019,376 578,053 18,640 Securities purchased payable - - - 780,691 - Redemptions payable - 95,526 - 29,582 - Management fee payable 8 11,082 53,499 670,616 841,226 33,802 Performance fee payable 8 - - 364,305 - - Administration fee payable 8 2,503 2,316 5,742 7,008 3,173 Depositary fee payable 8 717 989 12,202 2,503 986 Spot contracts payable - - 144,892 57 - Variation margin payable - - 397,951 52,672 - Other accrued expenses 8 28,219 - 304,588 93,851 66,708 Bank overdraft 12 51,143 263,833 5,505,758 5,064 371,194 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 101,862 3,100,851 8,425,430 2,390,707 494,503

Net assets attributable to holders of redeemableparticipating shares

10 39,583,244 55,428,456 100,936,099 113,548,171 56,588,049



29



MS Scientific Beta Global Equity

Factors UCITS ETFMS Lynx UCITS

FundMS Nezu Cyclicals Japan UCITS Fund

MS Kairos Enhanced

Selection UCITS Fund

MS Fideuram Equity Smart Beta

Dynamic Protection 80 Fund


Notes US$ US$ ¥ € €AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 307,525,175 166,662,221 6,877,702,307 37,514,717 404,533,378 Cash and cash equivalents 11 775,649 9,887,351 4,550,096,984 444,176 17 Receivable for investments sold - - 432,936,814 - 41,532,136 Subscriptions receivable - 5,591,252 - - 1,469,207 Dividends and interest receivable - - 227,476 - - Spot contracts receivable - - 180,507 - 103,363 Variation margin receivable - - 26,710,751 932,170 16,730 Sundry debtors 8 - 31,504 3,373,842 7,330 337,282 Total assets 308,300,824 182,172,328 11,891,228,681 38,898,393 447,992,113

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 22,792,126 20,382 117,724,144 - 14,384,372 Securities purchased payable - - 632,935,572 - 39,635,471 Redemptions payable - 84,557 - - 2,590,348 Management fee payable 8 22,129 23,785 8,715,383 129,906 518,812 Performance fee payable 8 - - 66,510 - - Administration fee payable 8 6,959 9,386 486,964 2,338 245,515 Depositary fee payable 8 3,757 2,544 189,286 1,681 91,767 Variation margin payable - - 213,807,196 263,258 957,806 Other accrued expenses 8 205,611 136,236 23,707,339 30,557 2 Bank overdraft 12 - 4,353,757 418,984,433 - 643,785 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 23,030,582 4,630,647 1,416,616,827 427,740 59,067,878

Net assets attributable to holders of redeemableparticipating shares 10 285,270,242 177,541,681 10,474,611,854 38,470,653 388,924,235



30



Global Equity Risk Premia Long/Short

UCITS Fund

MS Tremblant Long/Short Equity

UCITS Fund

MSCI Emerging Markets ESG Equity

Fund DAX® 80 Garant

Quantica Managed Futures UCITS


31 July 2016 31 July 2016 31 July 2016 31 July 2016 31 July 2016Notes € US$ US$ € US$

AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 396,106,233 46,346,640 609,991,962 11,940,036 89,750,909 Cash and cash equivalents 11 1,890,248 1,725,077 2,070,139 126,780 19,171,382 Receivable for investments sold - - 118,340 - - Subscriptions receivable 187,949 - - - - Variation margin receivable - - 30,731 - - Sundry debtors 8 93,088 13,235 167,710 16,649 25,366 Total assets 398,277,518 48,084,952 612,378,882 12,083,465 108,947,657

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 26,361,806 41,244 73,021,975 630,260 877,670 Redemptions payable 112,803 - 55,954 - - Management fee payable 8 29,346 25,801 328,388 3,696 45,234 Performance fee payable 8 - 5,030 - - 240,112 Administration fee payable 8 61,842 2,849 120,476 6,716 6,242 Depositary fee payable 8 14,295 855 46,955 1,683 2,245 Spot contracts payable - 57,187 6 - 3,648 Variation margin payable - 1,015,284 2,943 - - Advances from investors - 1,000,000 - - 1,026,161 Other accrued expenses 8 462,751 64,870 84,577 47,177 92,290 Bank overdraft 12 4 4,780 8,142 - 3,813 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 27,042,847 2,217,900 73,669,416 689,532 2,297,415




31



MS Scientific Beta US Equity Factors

UCITS ETFIPM Systematic

Macro UCITS Fund

Smartfund 80% Protected Balanced

Fund

Smartfund 80% Protected Growth

Fund

MS Fideuram Equity Smart Beta

Dynamic Protection 80 Fund – II


Notes US$ US$ £ £ €AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 168,494,123 529,193,349 37,670,898 31,876,122 35,696,985 Cash and cash equivalents 11 1,080,449 148,150,645 2,496,614 3,448,024 844,644 Subscriptions receivable - 542,207 410,671 200,581 218,039 Spot contracts receivable - - 154 2,570 - Variation margin receivable - - - 146 14 Sundry debtors 8 - 142,038 15,213 12,889 13,612 Total assets 169,574,572 678,028,239 40,593,550 35,540,332 36,773,294

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 6,552,869 19,742,803 3,445,500 3,626,221 1,505,529 Redemptions payable - 451,754 39,327 66,868 44,666 Management fee payable 8 12,557 2,641,237 48,249 40,954 64,601 Performance fee payable 8 - 1,243,675 - - - Administration fee payable 8 5,394 27,389 2,247 1,915 10,816 Depositary fee payable 8 2,197 6,515 632 539 2,797 Spot contracts payable - 17,928 - - - Variation margin payable - - 13,393 11,293 866 Other accrued expenses 8 76,268 434,217 10,413 8,987 - Bank overdraft 12 - 1,462,696 - 20,241 - Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 6,649,285 26,028,214 3,559,761 3,777,018 1,629,275




32



Mariner Lenus Healthcare UCITS

Fund80% Protected Index Portfolio

Mariner Investment Diversifying

Alternative UCITS Fund

Smartfund Growth Fund



Notes US$ £ US$ £ £AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 - 1,383,005 30,693,422 13,694,030 13,735,247 Cash and cash equivalents 11 24,684,358 158,467 12,305,799 141,581 157,097 Receivable for investments sold - - 52,950 1,541,899 - Subscriptions receivable - 120,782 - 56,844 - Dividends and interest receivable - - 204,005 - - Sundry debtors 8 26,638 6,927 13,806 7,061 7,062Total assets 24,710,996 1,669,181 43,269,982 15,441,415 13,899,406

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 - 73,735 330,867 1,370,739 1,379,773 Securities purchased payable - 149,933 16,898,878 1,360,891 - Redemptions payable - - - 16,638 - Management fee payable 8 24,050 130 20,453 11,299 13,331 Performance fee payable 8 - - - - - Administration fee payable 8 2,377 7,524 1,901 6,254 6,254 Depositary fee payable 8 594 1,908 475 1,564 1,564 Spot contracts payable 1 58 - 31 - Variation margin payable - 2,891 - 195,604 - Other accrued expenses 8 114,261 152 74,777 4,813 5,456 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 141,283 236,331 17,327,351 2,967,833 1,406,378




33





Total FundLogic Alternatives p.l.c.

As at As at As at31 July 2016 31 July 2016 31 July 2016

Notes £ US$ US$AssetsFinancial assets at fair value through profit or loss 4, 5, 6, 14 23,717,947 23,642,500 4,763,082,994 Cash and cash equivalents 11 985,611 15,992,478 452,749,058 Receivable for investments sold - - 65,108,038 Subscriptions receivable - - 9,419,516 Dividends and interest receivable - 283,347 1,991,524 Spot contracts receivable - - 341,442 Variation margin receivable 19,064 - 6,322,997 Sundry debtors 8 7,276 12,965 1,616,557 Total assets 24,729,898 39,931,290 5,300,632,126

LiabilitiesFinancial liabilities at fair value through profit or loss 4, 5, 6, 14 2,252,542 - 220,608,157 Securities purchased payable - - 75,295,357 Redemptions payable 277,000 - 84,929,844 Management fee payable 8 25,172 71,763 8,715,905 Performance fee payable 8 - 56,228 2,627,388 Administration fee payable 8 6,297 4,588 690,181 Depositary fee payable 8 1,760 1,785 255,606 Spot contracts payable - 9 1,639,426 Variation margin payable - - 16,009,328 Advances from investors - - 52,026,161 Other accrued expenses 8 9,622 40,286 4,327,053 Bank overdraft 12 22 - 21,269,819 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 2,572,415 174,659 488,394,225

Net assets attributable to holders of redeemableparticipating shares 10 22,157,483 39,756,631 4,812,237,901



34


STATEMENT OF COMPREHENSIVE INCOMEFOR THE FINANCIAL YEAR ENDED 31 JULY 2017


Salar Convertible Absolute Return

Fund*Emerging Markets

Equity FundIndus PacifiChoice

Asia Fund**MS Ascend UCITS

FundYear ended Year ended Year ended Year ended Year ended

31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Income Notes € US$ US$ US$ US$Dividend income - - - 121,959 - Bank interest income 3,366 7,138 23 8,474 2,603 Management fee rebate 8 - - - - 28,099 Promoter fee rebate 8 533,494 128,771 - 31,432 218,126 Net realised and unrealised gains on financial assets and liabilities at fair value through profit or loss 13 47,089,620 2,524,278 38,089,917 100,363 6,930,657 Net investment income 47,626,480 2,660,187 38,089,940 262,228 7,179,485

ExpensesDividend expense - - - (58,839) - Bond interest expense - (2,329,705) - - - Management fee 8 (6,547,456) (1,001,077) (363,629) (158,401) (1,501,551)Administration fee 8 (351,998) (90,139) - (18,659) (139,905)Performance fee 8 (6,692,466) (30,572) - (5,432) - Depositary fee 8 (96,921) (38,632) - (4,044) (36,695)Promoter fee 8 (1,394,362) (272,128) - (32,939) (693,701)Transaction fee (921,020) (332,444) - (11,506) (270,776)Legal fee (598,999) - - - - Other expenses (480,149) (272,779) - (36,744) (18,101)Operating expenses (17,083,371) (4,367,476) (363,629) (326,564) (2,660,729)

Operating profit/(loss) 30,543,109 (1,707,289) 37,726,311 (64,336) 4,518,756

Finance costsBank interest expense (64,775) (7,602) (1,969) (104,141) (41)

(64,775) (7,602) (1,969) (104,141) (41)

Profit/(loss) before tax 30,478,334 (1,714,891) 37,724,342 (168,477) 4,518,715 TaxationWithholding tax - - - (9,478) - Operating profit/(loss) after tax 30,478,334 (1,714,891) 37,724,342 (177,955) 4,518,715

30,478,334 (1,714,891) 37,724,342 (177,955) 4,518,715

* Salar Convertible Absolute Return Fund terminated on 26 June 2017.** Indus PacificChoice Asia Fund terminated on 9 January 2017.


Increase/(decrease) in net assets attributable to holders of redeemable participating shares from operations

Gains and losses arose solely from continuing operations with the exception of Salar Convertible Absolute Return Fund and Indus PacifiChoice Asia Fund, which closed during the year. Therewere no gains and losses during the year other than those reflected above.

35


STATEMENT OF COMPREHENSIVE INCOME (continued)FOR THE FINANCIAL YEAR ENDED 31 JULY 2017


MS SLJ Macro UCITS Fund***

MS QTI UCITS Fund****



FundYear ended Year ended Year ended Year ended Year ended

31 July 2017 31 July 2017 31 July 2017 31 July 2017 31 July 2017Notes US$ € US$ US$ CHF

IncomeDividend income -

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