Barings Targeted Return Fund Interim Report & Unaudited ...

Barings Targeted Return FundInterim Report & Unaudited Financial Statementsfor the half year ended 28 February 2021

2

Barings Targeted Return FundInterim Report and Unaudited Financial Statements

For the period ended 28 February 2021Contents

Introduction 3

Investment Objective and Policy* 4

Risk Profile* 4

The Trust at a Glance on 28 February 2021 5

Trust Information* 6

Report of the Investment Manager* 7

Directors’ Statement* 9

Portfolio Statement* 10

Statement of Total Return and Statement of Change in Net Assets Attributable to Unitholders 18

Balance Sheet 19

Distribution Table 20

Important Information* 21

Directory* 23

* These pages comprise the Manager’s Report.

3

Barings Targeted Return FundIntroduction

Barings Targeted Return Fund (the "Trust") is an Authorised Unit Trust, authorised by the FCA from 14 June 2019. The Trust launched on 17 January 2020, as a result of the old Targeted Return Fund being converted into a Charity Authorised Investment Fund ("CAIF"). Assets were transferred by means of an in-specie transfer and investors received units in the new CAIF. The Trust is registered with the Charity Commission as a charity. For the purposes of the FCA rules, the Trust is a CAIF and a Non-UCITS Retail Scheme.The functional and presentation currency of the Trust is Pounds Sterling.The Report of the Investment Manager reviews the performance of the Trust against the returns of the markets in which it is invested and analyses the investment environment that influenced the performance of the Trust during the period under review. The Manager then gives an outlook for the markets.This is the first Interim Report for the Trust since its launched on 17 January 2020.COVID-19 The spread of COVID-19 around the world in 2020 has caused significant volatility in international markets. There is significant uncertainty around the breadth and duration of business disruptions related to COVID-19, as well as its impact on the international economies and, as such, the Manager is actively monitoring the extent of the impact to its operations, financial accounting and reporting.

Advisory CommitteeThe Advisory Committee is independent from the Authorised Fund Manager and the Trustee. It has a consultative role and is tasked with representing the interests of Unitholders.The Advisory Committee can make representations to the Authorised Fund Manager in relation to: • the appointment by the Authorised Fund Manager’s and the Trustee of delegates providing key services in respect of the Trust;• the investment objective of the Trust;• the investment policy of the Trust;• the income distribution policy of the Trust;• fees and charges associated with each class of units.Meetings of the Advisory Committee will be called by the Investment Manager at least twice per year. The duties and responsibilities of the Advisory Committee are set out in the Prospectus.

4

Barings Targeted Return FundInvestment Objective and Policy and Trust at a Glance

The investment objective of the Trust is to aim for income and capital returns that, after fees are taken, exceed the Consumer Prices Index (CPI) by at least 3% per year (including income exceeding the CPI by 1% per year) when measured over a full market cycle (typically between 5 and 10 years). The target is not guaranteed (over a full market cycle or any period) and your investment is at risk.How the Trust is ManagedThe Manager uses the ideas generated by the Strategic Policy Group, our global macro research asset allocation group, to choose what we believe are the best investments to achieve the investment objectives of the Trust. This means we construct a portfolio of stocks or bonds from a mix of companies, countries and sectors to suit our current asset allocation policy at that point in time. We believe that asset allocation is the most important driver of returns. It is important to be in the right market at the right time, and to be able to retreat to a more defensive position to help manage risk. We follow a two-stage investment process that assesses both long-term return opportunities, driven by slowly evolving macroeconomic factors, and shorter-term opportunities generated by market volatility. We maintain a forward-looking approach and are conscious that what proved to be a defensive asset in a previous downturn may not always be suitable. We use our wide investment universe to ensure that we avoid over diversification and focus on assets that we believe are appropriate for the prevailing economic and market cycle.

Risk Profile*

Please see detailed below the key risks applicable to the Trust:• Changes in exchange rates between the currency of the Trust and the currencies in which the assets of the Trust

are valued can have the effect of increasing or decreasing the value of the Trust and any income generated.• The rating of a bond is subject to change. There is no guarantee that a bond issuer will pay the interest due or

repay the loan, and if not, this would result in a loss of income to the Trust, along with its initial investment. Bond values are likely to fall if interest rates rise.

• Derivative instruments can make a profit or a loss and there is no guarantee that a financial derivative contract will achieve its intended outcome. The use of derivatives can increase the amount by which the Trust’s value rises and falls and could expose the Trust to losses that are significantly greater than the cost of the derivative as a relatively small movement may have a larger impact on derivatives than the underlying assets.

• Emerging markets or less developed countries may face more political, economic or structural challenges than developed countries. Coupled with less developed regulation, this means your money is at greater risk.

• Investing in other trusts may expose investors to increased risk due to restrictions on withdrawals, less strict regulations and use of derivatives.

• Losses may occur if an organisation through which we buy an asset (such as a bank) fails to meet its obligations.• Liquidity risk exists when a particular security or instrument is difficult to purchase or sell. If the amount of a

transaction is particularly large or if the relevant market is illiquid (as is the case with many privately negotiated derivatives, structured products, etc), it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price.

Please refer to the Prospectus for the full risk profile.

5

Barings Targeted Return FundInvestment Objective and Policy and Trust at a Glance (continued)

The Trust at a Glance on 28 February 2021

Total Trust size: 28 February 2021 £53.44 million

Total Trust size: 31 August 2020* £56.81 millionOCF** 28/02/2021 31/08/2020Class GBP Acc 0.72% 0.58%Class GBP Inc 0.72% 0.58%

Initial charge Annual chargeClass GBP Acc Up to 1.00% 0.40%Class GBP Inc Up to 1.00% 0.40%

Minimum initial investment Minimum subsequent investmentClass GBP Acc £10,000 £2,000Class GBP Inc £10,000 £2,000

* The Trust was launched on 17 January 2020.

** The Ongoing Charge Figure (“OCF”) reflects the payments and expenses which cover aspects of operating the Trust and is deducted from the assets over the period. It includes fees paid for investment management, trustee and general charges. It also includes synthetic costs which consider the OCF of the underlying funds weighted on the basis of their investment proportion. The OCF figures for the current period have increased due to a change in the methodology of calculating the OCF, in order to be consistent with the Key Investor Information Document (“KIID”). Adjustments from over accruals leading to positive expenses were excluded from the calculation, thereby causing an increase. This is to provide a forward looking OCF that reflects what is expected to be paid by investors in the future. This method will be adopted in the annual and interim financial statements going forward.

Price per unit (pence per unit)

Class GBP Acc 179.10p

Class GBP Inc 115.20p

6

Barings Targeted Return FundTrust Information

Class GBP Acc - Accumulation units Class GBP Inc - Distribution units28/02/2021

(p)31/08/2020

(p)28/02/2021

(p)31/08/2020

(p)Change in net assets per unitOpening net asset value per unit 171.22 182.26 110.71 121.27Return before operating charges 8.48 (10.25) 5.44 (6.76)Operating charges (0.69) (0.79) (0.40) (0.66)Return after operating charges 7.79 (11.04) 5.04 (7.42)Distributions (2.37) (4.77) (1.53) (3.14)Retained distributions on accumulation units 2.37 4.77 – –

Closing net asset value per unit 179.01 171.22 114.22 110.71after direct transaction costs of* 0.08 0.07 0.04 0.06PerformanceReturn after charges 4.55% (6.06)% 4.55% (6.12)%Other informationClosing net asset value ('000) £10,276 £9,829 £43,161 £46,978Closing number of units 5,740,497 5,740,497 37,786,856 42,429,060Operating charges 0.72% 0.58% 0.72% 0.58%Direct transaction costs 0.04% 0.05% 0.04% 0.05%Prices**

Highest unit price 185.40 182.50 119.20 121.40Lowest unit price 166.90 141.40 108.00 93.27

*Direct transaction costs comprise commission and taxes, principally applicable to equity investment purchases and sales. Shareholders should note that there are other additional transaction costs such as dealing spread and underlying costs with regard to Investment Fund holdings which will also have reduced the Fund and share class returns before operating charges.

**High/low prices included in the table above for the current accounting period are from 1 September 2020 to 28 February 2021. For previous period, it relates to the accounting period from 17 January 2020 to 31 August 2020 as the Trust launched on 17 January 2020.

7

Barings Targeted Return FundReport of the Investment Manager

PerformanceDuring the reporting period from 1 September 2020 to 28 February 2021, the Barings Targeted Return Fund (the “Trust”) produced a net return for Class A GBP Acc of 4.49% compared to the performance comparator CPI+3% which returned +1.79%. Additionally, the income yield of the Trust was 4.80% which was ahead of the income target of CPI+1% of 1.66%.

6 months* 1 year* 3 years* 5 years*Barings Targeted Return Fund 4.49% 4.80% 2.42% 4.87%CPI+3%** 1.79% 3.70% 5.89% 6.32% * The performance of the Trust is linked to the old Targeted Return Fund, following the conversion on 17 January 2020 and thus historic performance is outlined in the table.** The performance comparator was changed on 17 January 2020 to CPI+3% per annum, previously CPI+5%.

Within the three year period, the return was adversely affected by weak stock markets in 2018, particularly in the fourth quarter of that year. Investors become nervous that economic growth was slowing reflecting the impact of earlier increases in interest rates and that quarter saw a sharp correction. Central banks began loosening policy and markets recovered. The poor market returns in 2018 also detracted from the five year numbers though less markedly. The five year Trust return is modestly behind the comparator but the Trust did deliver a return above the rate of inflation as measured by CPI. We had let the cash weight in the portfolio increase into the end of September 2020, taking profits from the summer rally and anticipating some volatility in markets heading into the US election. As the election news broke, we added back to equities, broadening out somewhat away from our focus on technology (a COVID-19 winner), to include some areas of the market which will benefit from an economic recovery such as US midcaps, emerging market equities and also going back into the UK market, with a position in the FTSE 250. As well as using the cash we had at the start of September, we also started to trim back our interest rate sensitivity. We also took profits in investment grade debt, which has posted a great year and also trimmed the gold position. We started to move some of the USD based emerging debt into more recovery sensitive locally denominated debt. We have taken some profits in high yield, where the outlook is capped relative to the potential on certain equities.We reduced our USD weight and increased exposure to Sterling over the fourth quarter of 2020, anticipating that a Brexit deal would eventually be signed, and relief would be felt in the currency. A deal was struck and Sterling strengthened.

8

Barings Targeted Return FundReport of the Investment Manager (continued)

The top ten purchases and sales during the period were as follows:

Purchases Costs £’000

Barings Global Emerging Markets Fund 1,949

Invesco EQQQ Nasdaq-100 UCITS ETF 1,811

Vanguard FTSE 250 UCITS ETF 1,797

Amundi Physical Gold ETC 1,707

iShares MSCI EM UCITS ETF USD Dist 1,672

iShares JP Morgan USD EM Bond UCITS ETF 1,021

iShares PHLX Semiconductor ETF 863

iShares China CNY Bond UCITS ETF 849

Republic of Italy Government International Bond 4.00% 17/10/2049 843

iShares Core S&P 500 UCITS ETF USD Dist 715

Sales Proceeds £’000

iShares USD Corp Bond UCITS ETF 3,358

Mayfair Property Income Trust for Charities Fund 3,289

Vanguard FTSE 250 UCITS ETF 1,935

Amundi Physical Gold ETC 1,617

iShares EM Dividend UCITS ETF USD 1,408

Invesco EQQQ Nasdaq-100 UCITS ETF 1,141

United States Treasury Inflation Indexed Bonds 0.125%% 15/01/2030 1,010

Barings Umbrella US High Yield Bond Component 890

iShares MSCI EM UCITS ETF USD Dist 887

iShares China CNY Bond UCITS ETF 823

Market OutlookWhile the tragedy of the COVID-19 pandemic is far from over, the vaccines which are now being administered rapidly, means we believe 2021 will see the start of a synchronised global upswing. We expect fiscal support from Governments to continue, with many of the infrastructure and green investment plans only just getting started this year. Pent up demand in the worst hit regions (including Europe and the US) will be a feature. As the economic recovery plays out, rising earnings expectations should continue to provide support for equities. We believe the market may be underestimating the effect that pent up demand will have on corporate earnings. We remain optimistic that the conditions, which have driven the recovery thus far, will remain in place.We are however wary of exuberance and complacency in markets. Equities are no longer cheap, and credit spreads are tight. This situation may be justified by the ultra-low yield environment, but if yields rise too far or too quickly, and as sentiment improves further, the market may be vulnerable to corrections.

Baring Asset Management LimitedBaring Asset Management Limited (the “Investment Manager”) gives its portfolio managers full authority to manage their funds as they see fit, within the established guidelines set down. This includes the views that managers may take of the markets and sectors they invest in, which may differ from the views of other Barings portfolio managers.

9

Barings Targeted Return FundDirectors’ Statement

The financial statements on pages 18 to 20 were approved by Baring Fund Managers Limited (the “Manager") and signed on its behalf by:

R. KENT Director

J. SWAYNE Director London 27 April 2021

10

Portfolio Statement

as at 28 February 2021

Barings Targeted Return Fund

Holdings Investments

Bid-Market value

(£)

Percentage of total

net assets (%)

Equities: 29.83% (27.11%)

Advertising: 0.00% (0.15%)

Aerospace/Defense: 0.26% (0.08%)266 Huntington Ingalls Industries 35,001 0.07

1,944 Raytheon Technologies 102,345 0.19137,346 0.26

Auto Manufacturers: 0.53% (0.13%)1,733 General Motors 62,973 0.12

336 Tesla 164,614 0.312,802 Volvo 51,926 0.10

279,513 0.53

Auto Parts & Equipment: 0.09% (0.12%)473 Cie Generale des Etablissements Michelin 48,213 0.09

Banks: 1.79% (1.12%)2,358 Citigroup 114,098 0.21

34,112 HSBC Holdings 146,989 0.282,656 JPMorgan Chase 288,258 0.531,051 KBC 55,131 0.10

581 PNC Financial Services Group 72,290 0.142,237 Truist Financial 94,171 0.181,951 US Bancorp 72,338 0.144,128 Wells Fargo 111,315 0.21

954,590 1.79

Beverages: 0.73% (0.84%)4,051 Coca-Cola 145,923 0.284,183 Diageo 119,634 0.221,336 PepsiCo 124,716 0.23

390,273 0.73

Biotechnology: 0.18% (0.23%)604 Amgen 98,644 0.18

Building Materials: 0.06% (0.04%)536 Owens Corning 30,755 0.06

Capital Goods: 0.16% (0.25%)776 Siemens 86,849 0.16

Chemicals: 2.04% (1.92%)363 Air Products and Chemicals 67,874 0.13

2,806 Albemarle 309,254 0.571,548 Axalta Coating Systems 30,938 0.061,544 CF Industries 51,714 0.104,276 Johnson Matthey 131,316 0.25

431 LG Chem 228,934 0.42650 Linde 115,278 0.22

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Portfolio Statement (continued)




Bid-Market value

(£)

Percentage of total

net assets (%)

Equities: 29.83% (27.11%) Chemicals: 2.04% (1.92%) (continued)

3,684 Umicore 154,239 0.291,089,547 2.04

Commercial Services: 0.88% (0.82%)640 Automatic Data Processing 80,674 0.15755 PayPal 137,586 0.26

4,066 RELX 69,163 0.13813 Robert Half International 46,345 0.09307 S&P Global 72,863 0.13389 Square 63,346 0.12

469,977 0.88

Computers: 1.90% (1.54%)796 Accenture 145,063 0.27

8,971 Apple 779,463 1.461,022 International Business Machines 89,899 0.17

1,014,425 1.90

Consumer Staples: 0.10% (0.11%)1,382 Unilever 52,652 0.10

Cosmetics/Personal Care: 0.42% (0.64%)1,417 Procter & Gamble 128,797 0.242,500 Unilever PLC 95,225 0.18

224,022 0.42

Distribution/Wholesale: 0.20% (0.22%)936 Ferguson 78,924 0.15

1,528 MARR 24,999 0.05103,923 0.20

Diversified Financial Services: 0.52% (0.78%)787 American Express 77,428 0.15155 BlackRock 77,291 0.14617 Cembra Money Bank 46,113 0.09507 CME 74,501 0.14

275,333 0.52

Electric: 0.29% (0.31%)1,013 Duke Energy 63,377 0.122,557 Red Electrica 30,765 0.061,445 Southern 59,938 0.11

154,080 0.29

Electrical Components & Equipment: 0.16% (0.35%)1,526 Prysmian 35,341 0.07

488 Schneider Electric 52,520 0.0987,861 0.16

Electronics: 0.28% (0.22%)697 Assa Abloy 12,773 0.02

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Bid-Market value

(£)

Percentage of total

net assets (%)

Equities: 29.83% (27.11%) Electronics: 0.28% (0.22%) (continued)

922 Honeywell International 135,529 0.26148,302 0.28

Energy: 0.50% (0.47%)278,609 Aquila European Renewables Income Fund 259,159 0.48

388 Siemens Energy 10,345 0.02269,504 0.50

Engineering & Construction: 0.08% (0.12%)561 Vinci 42,459 0.08

Food: 0.19% (0.57%)1,274 Koninklijke Ahold Delhaize 24,377 0.051,036 Nestle 78,882 0.14

103,259 0.19

Gas: 0.30% (0.60%)7,069 Italgas 30,309 0.06

10,770 National Grid 88,012 0.1611,096 Snam 41,816 0.08

160,137 0.30

Healthcare-Products: 0.81% (0.61%)1,506 Abbott Laboratories 131,478 0.25

685 Danaher 107,770 0.201,512 Medtronic 127,964 0.24

194 Thermo Fisher Scientific 62,896 0.12430,108 0.81

Healthcare-Services: 0.16% (0.20%)363 UnitedHealth 85,746 0.16

Home Builders: 0.25% (0.00%)5,608 Barratt Developments 37,652 0.072,352 Persimmon 61,882 0.11

22,698 Taylor Wimpey 36,430 0.07135,964 0.25

Household Products/Wares: 0.15% (0.41%)1,361 Reckitt Benckiser 82,449 0.15

Insurance: 0.67% (0.97%)221 Allianz 38,306 0.07

1,280 ASR Nederland 38,624 0.071,766 AXA 31,864 0.06

288 Baloise 36,247 0.07579 Chubb 68,548 0.12

11,400 Direct Line Insurance Group 36,526 0.0718,181 Legal & General 47,416 0.09

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Bid-Market value

(£)

Percentage of total

net assets (%)

Equities: 29.83% (27.11%) Insurance: 0.67% (0.97%) (continued)

33,155 M&G 61,768 0.12359,299 0.67

Internet: 1.89% (1.45%)219 Alphabet 317,049 0.59212 Amazon.com 465,435 0.87415 Facebook 75,898 0.14390 Netflix 153,006 0.29

1,011,388 1.89

Investment Companies: 2.55% (2.50%)450,000 Greencoat Renewables 459,662 0.86590,765 SDCL Energy Efficiency Income 646,888 1.21240,934 Sequoia Economic Infrastructure Income Fund 254,426 0.48

1,360,976 2.55

Iron/Steel: 0.07% (0.00%)1,177 Steel Dynamics 35,559 0.07

Machinery-Diversified: 0.35% (0.04%)673 Caterpillar 107,168 0.20329 Deere 82,168 0.15

189,336 0.35

Media: 0.71% (0.20%)4,282 Comcast 160,640 0.301,161 Telenet 33,347 0.061,340 Walt Disney 183,780 0.35

377,767 0.71

Metal Fabricate/Hardware: 0.28% (0.21%)5,638 AMG Advanced Metallurgical 148,510 0.28

Mining: 0.68% (1.00%)2,400 Anglo American 66,840 0.132,720 Freeport-McMoRan 69,695 0.13

39,604 Orocobre 102,487 0.192,000 Rio Tinto 125,400 0.23

364,422 0.68

Miscellaneous Manufacturing: 0.22% (0.21%)408 3M 52,350 0.10431 Illinois Tool Works 62,717 0.12

115,067 0.22

Oil & Gas: 1.18% (1.23%)41,113 BP 120,502 0.231,859 Chevron 136,585 0.263,552 Exxon Mobil 142,208 0.271,515 Royal Dutch Shell 'A' 22,295 0.04

903 SK Innovation 150,070 0.27

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Bid-Market value

(£)

Percentage of total

net assets (%)

Equities: 29.83% (27.11%) Oil & Gas: 1.18% (1.23%) (continued)

1,746 Total 58,164 0.11629,824 1.18

Oil & Gas Services: 0.03% (0.04%)1,426 TGS-NOPEC Geophysical Company 16,283 0.03

Packaging & Containers: 0.06% (0.00%)1,008 Sealed Air 30,548 0.06

Pharmaceuticals: 2.04% (2.32%)1,991 AbbVie 153,404 0.282,636 AstraZeneca 185,917 0.352,702 Bristol-Myers Squibb 120,479 0.23

858 Eli Lilly 125,579 0.249,827 GlaxoSmithKline 119,123 0.222,462 Merck 131,896 0.24

850 Novartis 53,382 0.10631 Novo Nordisk 32,830 0.06

3,696 Pfizer 89,766 0.17314 Roche 74,758 0.14408 Viatris 4,410 0.01

1,091,544 2.04

Private Equity: 0.00% (0.17%)REITS: 0.97% (0.24%)

3,271 AGNC Investment 37,537 0.075,396 Annaly Capital Management 32,163 0.06

585 Crown Castle International 67,020 0.13100 Equinix 45,854 0.09

282,683 Home Reit 303,883 0.561,328 Iron Mountain 32,988 0.06

519,445 0.97

Retail: 0.97% (0.64%)930 Home Depot 170,385 0.32

13,200 Kingfisher 34,914 0.07949 Lowe's Cos 108,019 0.20343 McDonald's 51,941 0.10

1,101 Starbucks 81,810 0.151,446 TJX Cos 70,270 0.13

517,339 0.97

Semiconductors: 0.93% (0.90%)457 Broadcom 149,896 0.28189 Lam Research 74,319 0.14403 NVIDIA 153,973 0.29

1,212 Qualcomm 117,762 0.22495,950 0.93

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Bid-Market value

(£)

Percentage of total

net assets (%)

Equities: 29.83% (27.11%)

Software: 1.86% (1.30%)421 Adobe 138,820 0.26339 Autodesk 69,129 0.13745 Fidelity National Information Services 74,254 0.14

3,033 Microsoft 498,282 0.92794 salesforce.com 131,676 0.25219 ServiceNow 83,156 0.16

995,317 1.86

Telecommunication Services: 0.04% (0.07%)1,483 Freenet 23,096 0.04

Telecommunications: 0.79% (0.55%)6,784 AT&T 139,480 0.264,181 Cisco Systems 136,614 0.263,627 Verizon Communications 147,164 0.27

423,258 0.79

Transportation: 0.47% (0.16%)360 FedEx 65,731 0.12764 Union Pacific 114,646 0.20686 United Parcel Service 77,591 0.15

257,968 0.47

Water: 0.04% (0.06%)1,143 Veolia Environnement 22,615 0.04

Bonds: 4.78% (5.90%)

Italy: 0.85% (0.77%)EUR 350,000 Italy Buoni Poliennali Del Tesoro 3.85% 01/09/2049 456,234 0.85

Brazil: 1.00% (0.97%)

USD 450,000Brazilian Government International Bond 12.25% 06/03/2030 533,214 1.00

Greece: 0.47% (0.00%)EUR 300,000 Hellenic Republic Government Bond 0.75% 18/06/2031 251,061 0.47

Italy: 0.75% (1.15%)

GBP 311,000Republic of Italy Government International Bond 6.00% 04/08/2028 402,406 0.75

United States: 1.71% (3.01%)USD 454,400 United States Treasury Bond 1.625% 15/11/2050 278,289 0.52

USD 808,600United States Treasury Inflation Indexed Bonds 0.125% 15/01/2030 635,344 1.19

913,633 1.71

16





Bid-Market value

(£)

Percentage of total

net assets (%)

Close Ended Funds: 0.38% (0.37%)

Guernsey: 0.38% (0.37%)155,616 Renewables Infrastructure Group 200,433 0.38

Equity Investment Funds: 6.85% (11.52%)

United Kingdom: 6.85% (11.52%)74,073 Baillie Gifford Overseas Growth Funds 1,361,454 2.5533,782 Barings Europe Select Trust 1,624,917 3.04

530,249 Greencoat UK Wind Fund 674,477 1.263,660,848 6.85

Exchange Traded Funds: 36.01% (37.48%)

Germany: 0.00% (1.12%)

Ireland: 33.35% (36.36%)49,107 Amundi Physical Gold ETC 2,474,922 4.6314,344 Invesco EQQQ Nasdaq-100 UCITS ETF 3,218,651 6.0376,905 Invesco Preferred Shares UCITS ETF 1,076,946 2.02

5 iShares China CNY Bond UCITS ETF 19 –2,275 iShares Core Euro Stoxx 50 UCITS ETF 238,792 0.45

16,272 iShares Core S&P 500 UCITS ETF USD Dist 445,128 0.8399,713 iShares EM Dividend UCITS ETF USD 1,494,698 2.80

1,412 iShares EUR High Yield Corp Bond UCITS ETF 126,273 0.2467,032 iShares JP Morgan EM Local Government Bond UCITS ETF 2,716,421 5.0856,608 iShares JP Morgan USD EM Bond UCITS ETF 4,434,734 8.3042,744 iShares MSCI EM UCITS ETF USD Dist 1,587,298 2.97

17,813,882 33.35

Japan: 0.50% (0.00%)20,800 Nikko Topix Listed ETF 268,890 0.50

Jersey: 0.58% (0.00%)17,357 WisdomTree Physical Silver ETF 311,117 0.58

United States: 1.58% (0.00%)2,882 iShares PHLX Semiconductor ETF 842,248 1.58

Open Ended Funds: 17.34% (13.78%)

Ireland: 17.34% (13.78%)2,837 Barings Asia Growth Fund 354,452 0.664,971 Barings European High Yield Bond Fund 484,228 0.91

41,042 Barings Global Emerging Markets Fund 2,006,292 3.7553,507 Barings Umbrella US High Yield Bond Component 3,911,312 7.32

188,558 Neuberger Berman CLO Income Fund 1,421,799 2.6556,219 Neuberger Berman High Yield Bond Fund 457,021 0.86

17





Bid-Market value

(£)

Percentage of total

net assets (%)

Open Ended Funds: 17.34% (13.78%) (continued) Ireland: 17.34% (13.78%) (continued)

8,709 Twelve Cat 633,755 1.199,268,859 17.34

Futures Contracts: 0.16% (0.46%)22 Futures E-Mini Russ 2000 March 2021 92,958 0.17

3 Futures NASDAQ 100 E-Mini March 2021 (16,172) (0.03)2 Futures S&P 500 E-Mini March 2021 11,142 0.02

87,928 0.16

Forward Currency Contracts: 0.60% (1.72%) USD (18,807,312) Sold USD, bought GBP 13,827,903 for settlement

14/04/2021 (State Street) 324,974 0.60CHF (482,320) Sold CHF, bought GBP 401,738 for settlement 14/04/2021

(State Street) 19,072 0.04USD (969,479) Sold USD, bought GBP 708,690 for settlement 14/04/2021

(Northern Trust) 12,642 0.02USD (348,700) Sold USD, bought GBP 255,133 for settlement 14/04/2021

(Northern Trust) 4,780 0.01EUR (143,522) Sold EUR, bought GBP 129,474 for settlement 14/04/2021

(State Street) 4,602 0.01USD (357,200) Sold USD, bought GBP 259,214 for settlement 14/04/2021

(State Street) 2,758 0.01CHF (231,000) Sold CHF, bought GBP 184,965 for settlement 26/05/2021

(State Street) 1,515 –EUR (300,000) Sold EUR, bought GBP 261,944 for settlement 14/04/2021

(State Street) 929 –EUR (80,100) Sold EUR, bought GBP 69,404 for settlement 26/05/2021

(State Street) (340) –USD (308,400) Sold USD, bought GBP 220,320 for settlement 14/04/2021

(State Street) (1,099) –GBP (2,599,147) Sold GBP, bought USD 3,600,000 for settlement 14/04/2021

(State Street) (14,485) (0.03)USD (20,893,050) Sold USD, bought GBP 14,965,554 for settlement

26/05/2021 (Northern Trust) (33,315) (0.06)322,033 0.60

Portfolio of investments: 95.95% (98.34%) 51,274,228 95.95

Net other assets 2,162,423 4.05

Net assets 53,436,651 100.00

Note: Securities shown on the portfolio statement are ordinary shares admitted to official stock exchange listings or traded on a regulated market, unless otherwise stated.Comparative figures shown in brackets relate to 31 August 2020.

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Statement of Total Return and Statement of Change in Net Assets Attributable to Unitholders

for the period ended 28 February 2021


Statement of Total Return

28/02/2021*£'000 £'000

IncomeNet capital gains 2,002Revenue 902Expenses (138)

Interest payable and other similar charges (1)Net revenue before taxation 763Taxation (11)Net revenue after taxation 752Total return before distributions 2,754Distributions (786)Change in net assets attributable to unitholders from investment activities 1,968

Statement of Change in Net Assets Attributable to Unitholders

28/02/2021*£'000 £'000

Opening net assets attributable to unitholders 56,807Amounts receivable on issue of units 25Amounts payable on cancellation of units (5,499)

(5,474)Changes in net assets attributable to unitholders from investment activities 1,968Retained distribution on accumulation units 136Closing net assets attributable to unitholders 53,437

* This is the first Interim Report since the Trust launched on 17 January 2020 hence no comparative figures shown.

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Balance Sheet



28/02/2021* 31/08/2020**£'000 £'000

AssetsInvestment assets 51,339 55,873Current assets:

Debtors 1,049 278Cash and bank balances 2,063 1,342

Total assets 54,451 57,493

LiabilitiesInvestment liabilities (65) (9)Creditors:

Bank overdrafts – (81)Distribution payable on income units (336) (532)Other creditors (613) (64)

Total liabilities (1,014) (686)Net assets attributable to unitholders 53,437 56,807

* This is the first Interim Report since the Trust launched on 17 January 2020.** The prior period data was from 17 January 2020 to 31 August 2020.

Note to the Financial Statementsfor the period ended 28 February 2021

The interim financial statements should be read in conjunction with the annual audited financial statements for the period ended 31 August 2020 which have been prepared in accordance with the historical cost convention, as modified by the revaluation of investments and the Statement of Recommended Practice for Authorised Funds issued by the Investment Association in May 2014 (the “IMA SORP 2014”). The financial statements have been prepared on a non-going concern basis.

Post balance sheet eventsSubsequent to the period end, the price per unit of the class GBP Accumulation class has increased from 179.10p to 184.90p and GBP Income from 115.20p to 118.00p as at 23 April 2021. This movement takes into account routine transactions. The Manager continues to monitor investment performance in line with investment objectives.

On 13 April 2021, investors were informed of the upcoming closure of the Trust by the ACD. The Trust will commence wind-up on 31 August 2021 and as a result, the interim financial statements have been prepared on a non-going concern basis.

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Barings Targeted Return FundDistribution Table

All figures in pence per unit2021 Distribution

paid/accumulated2020 Distribution

paid/accumulated

First interim distribution* 0.6401 N/A

First interim accumulation* 0.9899 N/A

Second interim distribution 0.8879 0.9530

Second interim accumulation 1.3808 1.4322Note: Gross revenue is the same as net revenue as there is no tax on the Trust due to its charitable status.

* There were no comparative figures as the Trust launched on 17 January 2020.

Income Target CPI+1% p.a.

1 Year Annualised to 28/02/2021

Income Target = 1.66%

Actual = 4.80%

5 Year Annualised to 28/02/2021

Income Target = 2.72%

Actual = 4.87%

The yield objective of CPI plus 1% was achieved during the period with income being derived across a range of the asset classes.

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Barings Targeted Return FundImportant Information

Management and administrationBaring Fund Managers Limited (the “Manager”) is the Manager of Barings Targeted Return Fund (the “Trust”) and the Alternative Investment Fund Manager (“AIFM”) for the purposes of the EU Directive 2011/61/EU (the “AIFMD Directive”), and the Alternative Investment Fund Managers Regulation 2013 (the “Regulations”). The Manager is responsible for managing and administering the Trust’s affairs including portfolio and risk management. The Trustee of the Trust is NatWest Trustee and Depositary Services Limited (the “Trustee” or “NatWest”). The Trustee is required to carry out the duties specified in the Financial Conduct Authority (“FCA”) Rules and AIFM Regulations, including having responsibility for the safekeeping, oversight and asset verification services in respect of all the Scheme Property entrusted to it.The Manager has appointed Baring Asset Management Limited as Investment Manager to carry out certain portfolio management functions on its behalf, and has delegated certain administration functions, such as the preparation of financial statements, executing redemption of units, making distributions, and calculating the valuation of units, to NatWest as Trustee. The liability of the Manager shall not be affected by the fact that it has delegated certain day-to-day functions to the Investment Manager and Trustee.NatWest as Trustee has delegated the function of Fund Custodian and Administrator, as well as certain administration functions, to Northern Trust Global Services SE UK Branch.Conflicts of interestThe FCA Rules and the Regulations contain provisions on conflicts of interest governing any transaction concerning the Trust which is carried out by or with any “affected person”, an expression which covers the Trust, an associate of the Trust, the Manager, an associate of the Manager, the Trustee, an associate of the Trustee, the Investment Manager and any associate of the Investment Manager.These provisions, among other things, enable an affected person to sell or deal in the sale of property to the Trust or the Trustee for the account of the Trust; vest property in the Trust or the Trustee against the issue of units in the Trust; purchase property from the Trust (or the Trustee acting for the account of the Trust); enter into stock lending transactions or other efficient portfolio management transactions in relation to the Trust; or provide services for the Trust. Any such transactions with or for the Trust are subject to best execution on exchange, independent valuation or arm’s length and conflicts of interest requirements as set out in the FCA Rules. An affected person carrying out such transactions is not liable to account to the Trustee, the Manager, any other affected person, or to the holders of units for any benefits or profits thereby made or derived. Where transactions with an affected person involve a conflict of interest between the Manager or its associate and the Trust, the Manager will have regard to its obligations to act in the best interest of the Trust. The Manager will ensure that the Trust and its unitholders are treated fairly and that such transactions are effected on terms which are not less favourable to the Trust and its unitholders than if the potential conflict had not existed.

Structure of the Trust Barings Targeted Return Fund (the “Trust”) is an authorised unit trust. The Trust is registered by the Charity Commission as a charity and its registered number is 1184795. The Charity Trustees of the Trust comprises Baring Fund Managers Limited (the “Manager”), the Advisory Committee and the Trustee, NatWest Trustee and Depositary Services Limited.

Market timingRepeatedly purchasing and selling units in the Trust in response to short-term market fluctuations – known as ‘market timing’ – can disrupt the Manager's investment strategy and increase the Trust’s expenses to the prejudice of all unitholders.The Trust is not intended for market timing or excessive trading. To deter these activities, the Manager may refuse to accept an application for units from persons that it reasonably believes are engaged in market timing or are otherwise excessive or potentially disruptive to the Trust.The Manager also reserves the right to redeem units which it reasonably believes have been purchased by unitholders engaged in market timing.

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Barings Targeted Return FundImportant Information (continued)

Fees and expensesThe Manager’s periodic charge is calculated on each business day, based on the value of the property of the Trust on the immediately preceding business day, and is paid to the Manager monthly, in arrears, on the first business day of the calendar month immediately following. The current annual management fees charged to the Trust is 0.40% per annum for Class GBP Acc and Class GBP Inc.

Revenue allocations and reportsRevenue allocations are made in 31 January, 30 April, 31 July and 31 October (Final) of each year, where applicable, and forwarded to unitholders together with tax vouchers. The annual report and financial statements for the year ended to 31 August and an interim report and financial statements for the period ended to 28 February will be available on the Baring Asset Management Limited website at www.barings.com.

Scheme Particulars and Manager’s Reports Copies of the Scheme Particulars and the most recent annual or interim report and financial statements are available to all persons free of charge from the Manager upon request.

Value AssessmentAs part of the FCA’s Asset Management Market Study, Authorised Fund Managers are now required to produce an annual Value Assessment for all UK authorised funds. The Manager had published the first Value Assessment for the Barings funds as part of a broader composite report in the 4th Quarter 2020. This is available on the Barings website at www.barings.com.

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Barings Targeted Return FundDirectory

Manager and Alternative Investment Fund Manager (“AIFM”)Baring Fund Managers LimitedAuthorised and regulated by the Financial Conduct Authority (“FCA”).

Investment Manager Baring Asset Management Limited 20 Old BaileyLondon, EC4M 7BFAuthorised and regulated by the FCA.

Directors of the ManagerJ. Armstrong (non-executive) E. Browning R. Kent J. SwayneK. Troup (non-executive)

Registered Office20 Old BaileyLondon, EC4M 7BF

The Advisory CommitteeSimon Duckworth, O.B.E., D.L. Chairman of the Advisory Committee. An elected member of the City of London Corporation since 2000, serving on its Policy & Resources, (Dep. Chairman), Finance and Investment Committees. A Non-Executive Director of the Association of Police & Crime Commissioners, Adept4 Plc and Bell Integration Ltd. A member (former Chairman) of the City of London Police's Economic Crime Board. One of Her Majesty’s Lieutenants for the City of London.

George P Francis A Solicitor for over 40 years, specialising in trusts, tax and charities. Currently a Consultant with New Quadrant Partners in Chancery Lane, a firm he helped to set up in 2010. Acts as a Trustee for many private family trusts and charities, and is a Director of several Trustee Companies.

Susan J Platts-MartinChairman of Baillie Gifford China Growth Trust Plc ( formerly Witan Pacific Trust Plc) and Non Executive Director and SID of BlackRock Smaller Companies Trust Plc. A chartered accountant and previously Head of Investment Trusts and Head of Charitable foundations at Fidelity International and a past Protector of Power to Change Trust. Jonathan SpenceFellow and Senior Bursar at Queens’ College University of Cambridge, Chairman of the Cambridge Building Society and a Non-Executive Director of the Bank of China (UK) Limited. Former CEO of Singer & Friedlander Limited and Executive Director of Singer & Friedlander Group Plc.

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Barings Targeted Return FundDirectory (continued)

TrusteeNatWest Trustee and Depositary Services Limited250 BishopsgateLondon, EC2M 4AA Authorised by the Prudential Regulation Authority (“PRA”) and regulated by the FCA and PRA.

Administrator & RegistrarNorthern Trust Global Services SE6 rue Lou Hemmer,SenningerbergLuxembourg, L-1748

The Administrator & Registrar's principal place of business in the United Kingdom:Northern Trust Global Services SE UK Branch50 Bank StreetLondon, E14 5NTAuthorised by the PRA and regulated by the FCA and PRA.

Independent AuditorsPricewaterhouseCoopers LLPAtria One144 Morrison StreetEdinburgh, EH3 8EX

Address:Baring Asset Management Limited 20 Old Bailey London, EC4M 7BFContact:Tel: +44 (0)20 7628 6000 Fax: +44 (0)20 7638 7928 www.barings.com

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