Swisscanto (LU)

No subscriptions may be received on the basis of the annual and semi-annual reports.

Subscriptions may only be made on the basis of the current sales prospectus enclosed with the most recent annual report and, if appropriate, the most

recent semi-annual report.

Swisscanto (LU)

Investment fund according to Part I of theLuxembourg Act with the legal form of a Fonds

Commun de Placement (FCP)

Management Company: SWISSCANTO ASSET MANAGEMENT INTERNATIONAL S.A.

Audited annual reportas at 31 March 2020

Custodian bank: RBC Investor Services Bank S.A.

R.C.S. B-121 904


Swisscanto (LU)

Contents

Swisscanto (LU)

Page

Administration and Corporate Bodies 3General Information 5Activity Report 9Statement of Net Assets 19Income and Expense Statement and other Changes to Net Assets 20Development of Units in Circulation for the period ending on 31 March 2020 22Statistics 26Swisscanto (LU) Equity Fund Sustainable Emerging Markets 30

Investment portfolio 30

Geographic and economic composition of Investment portfolio 33

Swisscanto (LU) Portfolio Fund Dynamic 0-50 34Investment portfolio 34


Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock 39Investment portfolio 39


Notes on the annual report 41Additional unaudited information 49Report by the Réviseur d'Entreprises agréé 53

Audited annual report Swisscanto (LU) as at 31 March 2020

Swisscanto (LU)

Administration and Corporate Bodies

Management Company Swisscanto Asset Management International S.A. 19, rue de Bitbourg, L-1273 Luxembourg

Board of Directors Chairman Hans Frey, Switzerland, Managing Director Swisscanto Fondsleitung AG, Zurich Members Richard Goddard, Luxembourg, Independent Company Director, The Directors’ Office, Luxembourg Roland Franz, Luxembourg, Managing Director Swisscanto Asset Management International S.A., Luxembourg René Beeler, Switzerland, Head of Business Development, Zürcher Kantonalbank, Zurich (until 31 July 2019) Martin Friedli, Switzerland, Head of Product Management Funds, Zürcher Kantonalbank, Zurich (since 16 September 2019) Anne-Marie Arens, Luxembourg, Independent Company Director, Luxembourg Management Roland Franz, Luxembourg

Michael Weiß, Germany Custodian Bank, Main Payment, Central Administration, Registration and Transfer Office

RBC Investor Services Bank S.A. 14, Porte de France, L-4360 Esch-sur-Alzette, Luxembourg Portfolio Manager Zürcher Kantonalbank Bahnhofstasse 9, CH-8001 Zürich, Switzerland Payment and Sales Offices Germany DekaBank Deutsche Girozentrale Mainzer Landstrasse 16, D-60325 Frankfurt am Main (the “German Payment and Information Agent”) Liechtenstein Bendura Bank AG Schaaner Strasse 27, FL-9487 Gamprin-Bendern


Swisscanto (LU)

Administration and Corporate Bodies (cont.)

Luxembourg RBC Investor Services Bank S.A. 14, Porte de France, L-4360 Esch-sur-Alzette Austria Vorarlberger Landes- und Hypothekenbank Aktiengesellschaft

Hypo-Passage 1, A-6900 Bregenz

Paying agent in Switzerland Basler Kantonalbank Spiegelgasse 2, CH-4002 Basel Representative Agent in Switzerland Swisscanto Fondsleitung AG Bahnhofstrasse 9, CH-8001 Zurich Central Order Collection Point Clearstream Funds Centre Limited 11 Westferry Circus, 2nd Floor, Westferry House, Canary Wharf, London, E14 4HE Independent Auditor

Ernst & Young S.A. 35E, Avenue John F. Kennedy, L-1855 Luxembourg Legal Advisor Arendt & Medernach S.A. 41A, Avenue John F. Kennedy, L-2082 Luxembourg


Swisscanto (LU)

General Information

The management company of Swisscanto Asset Management International S.A. has decided to transfer the assets of

the subfund Teilfonds Swisscanto (LU) Portfolio Fund Dynamic 0 – 100 to the subfund Swisscanto (LU) Portfolio Fund

Dynamic 0 – 50 with effect on 20 August 2019 by means of a contribution in kind.

The assets of the transferor subfund were transferred to the transferee subfund. In return, the transferor subfund

received units in the transferee subfund. The transferor subfund then distributed the units in the transferee subfund to

its unitholders, who thus became unitholders in the transferee subfund on the basis set out in the table below.

The exchange ratios for the transferor and transferee subfund for the transfer of the units of the transferee subfund

were calculated on 20 August 2019 on the basis of the net asset values of the transferor and transferee subfund on 19

August 2019. The transfers took place on Tuesday, 20 August 2019.

Transferor subfund Transferee subfund

Swisscanto (LU) Portfolio Fund Dynamic

0 – 100

Swisscanto (LU) Portfolio Fund Dynamic

0 – 50

Exchange ratio

LU0770376241 AT 119.19 CHF LU0562145853 AT 105.97 CHF 1 : 1.1247724

LU0999461212 BT 111.26 CHF LU0999461139 BT 108.40 CHF 1 : 1.0263567

LU0770376324 DT 124.11 CHF LU0562149921 DT 110.53 CHF 1 : 1.1228909

LU0899936792 GT 103.50 CHF LU2013747584 GT 99.27 CHF 1 : 1.0425829

The subfund Swisscanto (LU) Alternative Risk Premia Fund was liquidated on 4 April 2019.

Investment fund under Luxembourg “Umbrella Structure” Law

Swisscanto (LU) is subject to the legal provisions set forth in the first part of Luxembourg law regarding undertakings

for collective investment of 17 December 2010.

The contractual conditions of the investment fund were established by the management company on 5 December

2006.

The current versions of the management company’s articles of association and the contractual conditions and their

amendments have been deposited at the Registry of the District Court of Luxembourg.

The contractual conditions, the detailed sales prospectus, the key investor information, and the annual and semi-

annual reports may be obtained directly and free of charge in printed form from Swisscanto Fondsleitung AG, the head

office of the management company, the custodian bank and the representative in Switzerland, from the German

payment and information agent, from any branch of the Cantonal Banks and any payment and sales office. The

information is also available on the Swisscanto website (www.swisscanto.com), where additional current information

on the fund is available.

Subscriptions to fund units solely on the basis of the annual and semi-annual reports are not accepted. Subscriptions

shall only be made after consulting the current sales prospectus and the most recent annual report, as well as, where

available, any subsequent semi-annual report.

Sales restrictions

Units in the fund may not be offered, sold or delivered within the US or to persons considered US persons within the

meaning of Regulation S of the US Securities Act of 1933 or in accordance with the US Commodity Exchange Act, as

amended.


Swisscanto (LU)

General Information (cont.)

Guidelines of the Swiss Funds and Asset Management Association (SFAMA) on duties regarding the

charging and use of fees and costs (22 May 2014)

Compensation for the marketing of the investment fund is paid out of the flat-rate administrative commission. The

fund management also intends to offer remuneration to institutional investors holding fund units for third parties from

the flat-rate administrative commission.

Risk management process

The management company applies a risk management process to the fund and each subfund that complies with the

UCI law and other applicable regulations, in particular CSSF circulars 11/512 and 13/559, CSSF regulation 10-4 and

CESR guidelines 10-788. As part of the risk management process, the total risk for each subfund is measured and

checked using the so-called commitment approach, with the exception of Swisscanto (LU) Commodity Fund ex-

Agriculture & Livestock and Swisscanto (LU) Alternative Risk Premia Fund.

In the commitment approach, positions in derivative financial instruments are converted into equivalent positions in

the underlying assets.

For the subfund Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock, the total risk is measured and checked

using the relative value at risk (hereinafter "relative VaR") method. This risk measure must not exceed twice the value

of the subfund's reference portfolio.

For the subfund Swisscanto (LU) Alternative Risk Premia Fund, the total risk is measured and checked using the

absolute VaR method. The maximum absolute VaR is 12% (20 days, confidence interval 99%).

In addition to relative and absolute VaR, leverage is calculated on the basis of the sum of the notional values of the

derivative financial instruments (absolute notional value of the underlying assets of the derivative positions divided by

the net asset value of the portfolio).

Swisscanto (LU) Commodity Fund Ex-Agriculture & Livestock is the only VAR fund.

During the period from 1 April 2019 to 31 March 2020, VaR was as follows:

99% MCVaR 20d

VaR fund VaR exposure

Min 3.71 43.9%

Max 22.53 197.5%

Avg 9.20 112.5%

VaR Exposure means: VaR of the fund / VaR of the BM.

The VaR limit is 200% of the BM and was complied with at all times during the reference period.


Swisscanto (LU)

General Information

Swisscanto (LU) Equity Fund Sustainable Emerging Markets

ISIN number: Class AT: LU0338548034

ISIN number: Class BT: LU0999461055

ISIN number: Class DT: LU0338548117

ISIN number: Class GT: LU0866273294

ISIN number: Class JT: LU1458526925

ISIN number: Class MT*: LU2099034824

ISIN number: Class NT: LU0866272569

Security number: Class AT: 3650277

Security number: Class BT: 23115375

Security number: Class DT: 3650280

Security number: Class GT: 20252840

Security number: Class JT: 33386918

Security number: Class MT*: 51747447

Security number: Class NT: 20252839

Swisscanto (LU) Portfolio Fund Dynamic 0-50




ISIN number: Class GT**: LU2013747584




Security number: Class GT **: 48459308

Swisscanto (LU) Portfolio Fund Dynamic 0-100***









* Class was activated on 28 January 2020

** Class was activated on 19 July 2019

*** The subfund Swisscanto (LU) Portfolio Fund Dynamic 0-100 was transferred into the subfund Swisscanto (LU) Portfolio Fund

Dynamic 0-50 on 20 August 2019 by way of a contribution in kind.


Swisscanto (LU)

General Information (cont.)

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock

ISIN number: Class ATH CHF: LU1559916587

ISIN number: Class CTH CHF: LU1663713763

ISIN number: Class DAH EUR: LU1555831269

ISIN number: Class DTH CHF: LU1532539860

ISIN number: Class GTH CHF: LU1532539944

Security number: Class ATH CHF: 35548276

Security number: Class CTH CHF: 37844101

Security number: Class DAH EUR: 35465529

Security number: Class DTH CHF: 35001823

Security number: Class GTH CHF: 35001908

Swisscanto (LU) Alternative Risk Premia Fund*


ISIN number: Class NTH CHF: LU1676041376


Security number: Class NTH CHF: 38111004

* The subfund Swisscanto (LU) Alternative Risk Premia Fund was liquidated on 4 April 2019.


The historic performance is not an indicator of the current or future performance. Performance details do not take into account the costs and commissions charged for the issue and redemption of units. The information and figures contained in this report are based upon the past and provide no indication of future developments.


Swisscanto (LU)

Activity Report


Market review

Emerging market stocks were generally down in the period under review and underperformed global equities in USD.

During the first half of the financial year, the trend on the markets was positive thanks to improved macroeconomic

conditions in many developing countries, rising corporate profits and a relatively stable political climate, supported by

relatively strong currencies.

The outbreak of the Covid-19 virus in the last quarter of the financial year posed an immense challenge not only for

the health of the world's population but also with regard to a massive economic shock. This led to sharp falls in share

prices worldwide in March 2020.

Review of relevant categories

Regionally, Asian emerging markets were by far the best performers, particularly in the last three months of the period

under review. Eastern Europe, the Middle East and Africa underperformed emerging markets overall. By country, Tai-

wan, China, South Korea and Russia were the best performers during the year.

Investor sentiment towards China was spurred on by a continued strong economic performance and a relatively swift

response to the Covid-19 outbreak. Korea and Taiwan have technology-heavy indices. Technology is a less capital-

intensive sector and should benefit from the digitisation of ways of working in the wake of the public health crisis. Cur-

rencies of Latin American countries such as Brazil, Mexico and Chile fell sharply during the crisis. Indonesia and South

Africa were also among the weakest countries.

Performance review

The fund outperformed its benchmark (MSCI Emerging Markets Index) during the reporting period. At regional level

our positions in India, South Africa and South Korea provided the largest relative contributions. There were negative

contributions from China, Russia and Indonesia.

At stock level, there were positive contributions from our positions in the technology sector (Samsung Electronics,

TSMC, SK Hynix), in India (Hindustan Unilever, Indraprashta Gas) and in China (Nari Technologies, Guangdong In-

vestments, Xinyi Solar).

There were negative contributions from our positions in Latin America (Gentera, Banco do Brasil, Duratex), Indonesia

(Telekomunikasi Indonesia, Bank Rakyat) and the Philippines (Ayala Land).




Swisscanto (LU)

Activity Report (cont.)





ISIN number: Class JT: LU1458526925

ISIN number: Class MT: LU2099034824

ISIN number: Class NT: LU0866272569





Security number: Class JT: 33386918

Security number: Class MT: 51747447

Security number: Class NT: 20252839

Subfund performance 1 April 2019 - 31 March 2020 Class AT: -16.85%

Class BT: -16.17%

DT class*: -16.10%

Class GT*: -15.98%

Class JT*: -17.61%

Class MT**: -24.71%

Class NT*: -15.25%

* The performance of the institutional unit classes is calculated using the net asset value assessment (unswung net asset value). By

contrast, the remaining classes are calculated using the modified net asset value (swung net asset value).

** Class activated on 28 January 2020




Swisscanto (LU)



Market review

The equity markets were boosted at the start of the second quarter by better than expected corporate earnings and

economic data. May ended in the red as a result of the new tariffs levied on China by the US. In June, the markets

were boosted by the prospect of interest rate cuts by the US Federal Reserve.

The second quarter reporting season was solid, allowing for a rise in share prices in July. The trade war between the

US and China flared up again in August, leading to a sharp fall in bond yields. Government bond yields in Switzerland,

as well as in most European countries, hit new record lows. The situation settled down again in September. Fears of a

recession subsided and the markets were hopeful that solutions to the geopolitical problems might be possible. Yields

recovered and the equity markets also moved upwards.

In October, the rapprochement between the US and China in their trade war boosted the equity markets. Nevertheless,

the Fed cut interest rates again at the end of October in order to avoid an economic downturn, characterising the move

as an "insurance cut". The positive mood continued on the equity markets in November and December and many indi-

ces reached new record highs.

Following a strong start for the stock markets in the new year, the mood was quickly dampened by the first reports of

the coronavirus in China. Stock markets initially continued their record-breaking run in February until reports that

northern Italy had also been hit by the virus caused an abrupt shift in the mood. In March, the equity markets suffered

the heaviest losses since the financial crisis.


Government bond yields fell during the period under review, in some cases sharply. Only in Q4 was there an upward

move in yields, which was quickly snuffed out by the coronavirus crisis in the first quarter. The FTSE World Govern-

ment Bond Index gained around 3% during the period under review in CHF and over 6% in USD. Meanwhile, corporate

bonds delivered only a slightly positive return during the year in CHF, with credit spreads widening significantly in the

first quarter.

The biggest regional differences were in equities. Swiss equities were the best performers. The SPI Index was margin-

ally up by 0.7% at the end of the period under review. The biggest losers included emerging market equities (-13% in

local currency) and eurozone equities (-16% in local currency). US and Japanese equities were somewhere in the mid-

dle with falls of 7% and 9% respectively.

In terms of foreign currencies, the Swiss franc rose sharply in value against practically all major currencies during the

period under review. The British pound lost around 8.8% against the Swiss franc from the start of Q2 2019 to the end

of Q1 2020, the euro 5.3% and the US dollar 3.8%. The best performer against the Swiss franc was the Japanese yen,

which was down 0.3%.

Performance review

Over the period under review as a whole, the fund delivered a gross performance of -4.55%. This negative perfor-

mance was due to the first quarter of 2020, when the fund fell by 8.35%. The biggest negative contribution to perfor-

mance was from equities (around -2.5%). The second-biggest contributor to negative performance was forex, with a

fall of around 1.8% due to the strong Swiss franc. Bond positions made a small positive contribution to performance

overall. The contribution from other investments (commodities and alternative risk premiums) was slightly negative.

The proportion of equities fluctuated significantly during the period under review, driven by changing market risks.

They reached their highest level at the start of January at around 45%. At the end of March, they were still around

17%. A drastic reduction in equity exposure at the end of February and start of March following increased market vola-

tility helped to contain the losses.




Swisscanto (LU)





ISIN number: Class GT*: LU2013747584




Security number: Class GT*: 48459308

Subfund performance 1 April 2019 - 31 March 2020 Class AT: -5.72%

Class BT: -5.34%

Class DT**: -5.07%

Class GT*: -6.58%

* Class was activated on 19 July 2019 ** The performance of the institutional unit classes is calculated using the net asset value assessment (unswung net asset value). By





Swisscanto (LU)


Swisscanto (LU) Portfolio Fund Dynamic 0-100*

Market review

The equity markets were boosted at the start of the second quarter by better than expected corporate earnings and

economic data. May ended in the red as a result of the new tariffs levied on China by the US. In June, the markets

were boosted by the prospect of interest rate cuts by the US Federal Reserve.

The second quarter reporting season was solid, allowing for a rise in share prices in July. The trade war between the

US and China flared up again in August, leading to a sharp fall in bond yields. Government bond yields in Switzerland,

as well as in most European countries, hit new record lows.


Yields fell sharply in some cases during the period under review. The 10-year CHF swap rate fell from 0.04% to -0.59%

between the start of April and 19 August 2019.

The biggest regional differences were in equities. The best performers were Swiss equities. The Swiss Performance In-

dex delivered a strong performance of 5.5% during the period under review. The US equity markets also posted a posi-

tive performance, with a return of 2.8%. The biggest losers included emerging market equities (-5% in local currency),

which were affected by the trade war. Eurozone equities moved sideways (-0.2% in local currency).

In terms of foreign currencies, the Swiss franc rose sharply against most major currencies during the period under re-

view. The US dollar lost 1.7% and the euro 2.9% against the Swiss franc. The British pound was particularly hard hit

with a fall of 9%. Meanwhile, the Japanese yen was able to gain around 2.6% against the Swiss franc.

Performance review

Over the period under review as a whole, the fund delivered a gross performance of -1.6%. This negative performance

was mainly due to August, when the fund's performance was -4.2%.

Equity positions and foreign currencies made a negative contribution to performance during the period under review.

Bond positions made a positive contribution to performance overall. However, this did not fully make up for the nega-

tive contributions from equities and foreign currencies.

* The subfund Swisscanto (LU) Portfolio Fund Dynamic 0-100 was transferred into the subfund Swisscanto (LU) Portfolio Fund Dy-

namic 0-50 on 20 August 2019 by way of a contribution in kind.



Swisscanto (LU) Portfolio Fund Dynamic 0-100*

Swisscanto (LU)










Subfund performance 1 April 2019 - 20 August 2020 Class AT: -1.12%

Class BT: -0.94%

Class DT**: -0.87%

Class GT**: -0.82%

* Swisscanto (LU) Portfolio Fund Dynamic 0-100 was transferred to the subfund Swisscanto (LU) Portfolio Fund Dynamic 0-50 on 20

August 2019 on the basis of the net asset value of the transferring and transferee subfunds as of 19 August 2019.

** The performance of the institutional unit classes is calculated using the net asset value assessment (unswung net asset value). By





Swisscanto (LU)



Market review

Last year was characterised by a synchronised global economic slowdown. The US was the last of the big economies to

succumb to this trend. Manufacturing in particular found itself in a worrying situation. The escalation of the trade war

between the US and China was undoubtedly one of the main reasons for this development. Both parties swapped fur-

ther threats and tariffs, although at least negotiations between the two countries carried on. The US Federal Reserve

cut the fed funds rate for the third time in October 2019. The ECB also put together another stimulus package, alt-

hough its effectiveness was increasingly called into question. In January 2020, the US and China reached a partial

agreement to settle the trade dispute, cutting the punitive tariffs on Chinese exports to the US for the first time since

the conflict began. The slowdown in manufacturing came to an end and survey results showed growing confidence.

However, this optimism was short-lived. The coronavirus outbreak spread rapidly in China in January 2020 and eco-

nomic activity more or less ground to a halt. The virus then spread from east to west and quickly turned into the

greatest challenge of the post-war period. Government measures to prevent the uncontrolled spread of coronavirus

brought entire industries and wider society to a standstill all over the world. Businesses and schools were shut, borders

closed and stay-at-home orders imposed on entire regions. This caused the global economy to shrink at an extraordi-

nary rate and more severely than during the 2008/2009 financial crisis.


Crude oil prices moved sideways for most of last year, with the top of the range for Brent crude at around USD 75 per

barrel and the bottom of the range at around USD 55. Price movements were defined predominantly by production

cuts by OPEC+ states. Saudi Aramco floated on the stock market in December 2019 and Saudi Arabia's production cut-

backs led to an increase in crude oil prices. The coronavirus outbreak led to a slump in demand for crude oil in January

and February 2020, and prices started to fall. No agreement could be reached at the OPEC+ meeting at the start of

March. On the contrary, instead of reducing production, Saudia Arabia and Russia began to increase production and

trigger a price war. In addition to the demand shock, there was now also a supply shock, and crude oil prices plum-

meted. At the end of March, Brent crude oil stood at USD 22 per barrel.

Gold was the only commodity that performed well during the period under review, ending the period close to its high-

est levels. Uncertainty about global growth due to COVID-19 and the massive liquidity injections by central banks

hugely supported the gold price.

To begin with, the slowdown in industrial activity as a result of the trade war between the US and China led to a

downward trend in industrial metals. Then came COVID-19 and the virus resulted in industrial metals prices being very

close to cost limits.

Performance review

Since its inception and in 2019/2020, the fund has outperformed its benchmark, the Bloomberg Commodity ex-

Agriculture and Livestock Capped Index. The fund's exposure to the energy and precious metals segment provided

positive performance contributions, while the positions in the industrial metals segment were a drag on performance.




Swisscanto (LU)

Activity Report (cont.) ISIN number: Class ATH CHF: LU1559916587

ISIN number: Class CTH CHF: LU1663713763

ISIN number: Class DAH EUR: LU1555831269


ISIN number: Class GTH CHF: LU1532539944

Security number: Class ATH CHF: 35548276

Security number: Class CTH CHF: 37844101

Security number: Class DAH EUR: 35465529


Security number: Class GTH CHF: 35001908

Subfund performance 1 April 2019 - 31 March 2020 Class ATH CHF: -27.79%

Class CTH CHF: -27.34%

Class DAH EUR*: -26.84%

Class DTH CHF*: -27.09%

Class GTH CHF*: -27.09%





Swisscanto (LU) Alternative Risk Premia Fund

Swisscanto (LU)


Swisscanto (LU) Alternative Risk Premia Fund*

Market review

During the first few months of the period under review, the main focus was on the trade conflict between the US and

China. As the trade conflict intensified, economic leading indicators weakened further. Conditions in manufacturing in-

dustry, which was hardest hit by the tariffs, slumped to their weakest levels since the end of 2012. In order to counter

economic uncertainty, the US Fed signalled that it would cut interest rates if necessary. The European Central Bank

was also concerned about the weak economy and below-target inflation, and considered loosening monetary policy still

further.


The fund did not have any relevant market risks during the period under review.

Performance review

The fund went into liquidation shortly before the period under review and had already eliminated market risks at the

start of the period under review. The final liquidation payment was on 5 April 2019.

* The subfund Swisscanto (LU) Alternative Risk Premia Fund was liquidated on 4 April 2019.



Swisscanto (LU) Alternative Risk Premia Fund

Swisscanto (LU)

Activity Report (cont.) ISIN number: Class DTH CHF: LU1676040725

ISIN number: Class NTH CHF: LU1676041376


Security number: Class NTH CHF: 38111004

Subfund performance 1 April 2019 - 4 April 2019 Class DTH CHF*: -0.01%

Class NTH CHF*: -0.02%




Swisscanto (LU)

110.44-

92.40--

120.07-

95.52-

118.1575.2990.14

-

146,203-

5,841--

21,606-

26,189-

1,7553,136

1,973,428-

Net asset value per unit

Number of units in circulation

Class ATClass ATH CHFClass BTClass CTH CHFClass DAH EURClass DTClass DTH CHFClass GTClass GTH CHFClass JTClass MTHClass NTClass NTH CHF


99.18-

101.70--

103.81--

93.30----

367,358-

4,224--

6,898--

36,903----

-65.33

-68.4868.21

-67.38

-68.56

----

-722

-8,870

100-

29,856-

11,628----

Swisscanto (LU)

as at 31 March 2020

Statement of Net Assets

ASSETSInvestment portfolio including options(purchased options) at market value (2) 187,322,693Bank balance 7,747,469Outstanding subscription monies 10,506,278Receivables from securities revenue 481,816Unrealised profit from currency forwardcontracts (7) 138Unrealised profit on futures (8) 0Other assets 2,606,024

TOTAL ASSETS 208,664,418

LIABILITIESBank overdraft 0Liabilities from securities purchases 4,320,969Outstanding payments from therepurchase of stock 2,065,097Amounts payable on swaps 0Unrealised loss on forward foreignexchange contracts (7) 0Unrealised loss on swaps (9) 0Bank interest and other liabilities 2,162,276

TOTAL LIABILITIES 8,548,342NET ASSETS AT THE END OF THEFISCAL YEAR 200,116,076

USDNote

Swisscanto (LU)Equity FundSustainable

Emerging Markets

38,674,6112,356,580

580279,158

0200,851

0

41,511,780

266,0720

9,3800

90,8590

123,801

490,112

41,021,668

CHF

Swisscanto (LU)Portfolio FundDynamic 0-50

3,365,388816,860

6,24615,017

00

6,348

4,209,859

00

0563,813

47,0292,4019,415

622,658

3,587,201

USD

Swisscanto (LU)Commodity Fundex-Agriculture &

Livestock

223,174,86410,643,45110,171,972

759,868

134200,851

2,527,600

247,478,740

266,0714,180,754

2,007,465545,517

136,3622,323

2,225,474

9,363,966

238,114,774

CHF

Consolidated


Swisscanto (LU)

NET ASSETS AT THE BEGINNING OFTHE FISCAL YEAR 88,003,329INCOMEDividends, net 3,023,907Net interest income from bonds and otherdebenture bonds 0Interest on bank balance 58,868Commissions received 0Other income 0TOTAL INCOME 3,082,775EXPENSESTansactions costs (12) 10,492Fixed administrative commission (4) 506,773Subscription tax ("taxe d'abonnement") (3) 23,318Interest expenses from bank liabilities 4,266Interest on swaps 0TOTAL EXPENSES 544,849INCOME ADJUSTMENT 2,928,650TOTAL NET INCOME 5,466,576Net-realised value increases / (decreases)from securities (6,750,692)Net realised value increases / (decreases)from swaps 0Net-realised value increases / (decreases)from currency forward contracts (25,779)Net-realised value increases / (decreases)from futures contracts 0Net-realised value increases / (decreases)from foreign exchange transactions (346,341)NET REALISED GAIN / (LOSS) ONINVESTMENTS (1,656,236)Net changes in non-realised valueincreases / (decreases)- from securities (29,830,158)- from swaps 0- from futures 0- from currency forward contracts 138NET INCREASE / (DECREASE) IN NETASSETS AS A RESULT OF OPERATIONS (31,486,256)

Unit subscriptions (2) 176,832,531Unit redemptions (2) (30,304,878)Income Adjustment (2,928,650)Measurement difference (2) 0NET ASSETS AT THE END OF THEPERIOD 200,116,076

USD


Emerging Markets

Note

52,620,665

63,130

785,8437,4207,7063,279

867,378

12,661523,17522,3644,802

0563,002

(34,188)270,188

(363,474)

0

199,422

(739,834)

(194,384)

(828,082)

(1,370,078)0

80,761(142,263)

(2,259,662)

6,787,991(16,161,514)

34,1880

41,021,668

CHF


24,314,883

23,601

129,7994,7553,0144,958

166,127

3,54061,6181,1651,747

068,070

098,057

(547,317)

0

57,197

(95,182)

28,558

(458,687)

197,0300

(99,929)(19,017)

(380,603)

52,746(23,987,026)

00

0

CHF

Swisscanto (LU)Portfolio Fund

Dynamic 0-100*

25,216,847

0

254,68322,194

00

276,877

12,327170,014

2,366845113

185,665(70,847)

20,365

358,351

(2,248,734)

(715,599)

0

(7,657)

(2,593,274)

(125,380)(2,401)

0(8,093)

(2,729,148)

8,120,139(27,091,484)

70,8470

3,587,201

USD


Livestock

Swisscanto (LU)

Income and Expense Statement and other Changes to Net Assets

* See note 13The notes are an integral part of this report.

from 1 April 2019 to 31 March 2020


Swisscanto (LU)

NET ASSETS AT THE BEGINNING OFTHE FISCAL YEAR 15,324,901INCOMEDividends, net 0Net interest income from bonds and otherdebenture bonds 0Interest on bank balance 4,344Commissions received 0Other income 0TOTAL INCOME 4,344EXPENSESTansactions costs (12) 0Fixed administrative commission (4) 0Subscription tax ("taxe d'abonnement") (3) 4Interest expenses from bank liabilities 353Interest on swaps 0TOTAL EXPENSES 357INCOME ADJUSTMENT 0TOTAL NET INCOME 3,987Net-realised value increases / (decreases)from securities 0Net realised value increases / (decreases)from swaps 0Net-realised value increases / (decreases)from currency forward contracts (44,047)Net-realised value increases / (decreases)from futures contracts 0Net-realised value increases / (decreases)from foreign exchange transactions 0NET REALISED GAIN / (LOSS) ONINVESTMENTS (40,060)Net changes in non-realised valueincreases / (decreases)- from securities 0- from swaps 0- from futures 0- from currency forward contracts 22,560NET INCREASE / (DECREASE) IN NETASSETS AS A RESULT OF OPERATIONS (17,500)

Unit subscriptions (2) 0Unit redemptions (2) (15,307,401)Income Adjustment 0Measurement difference (2) 0NET ASSETS AT THE END OF THEPERIOD 0

USD

Swisscanto (LU)Alternative Risk

Premia Fund*

Note

204,953,719

3,012,512

1,162,06094,80910,7208,238

4,288,339

38,2801,239,616

48,38411,835

1101,338,2252,730,8795,680,993

(7,095,700)

(2,175,762)

(503,320)

(835,016)

(508,338)

(5,437,143)

(30,156,529)(2,323)

(19,168)(147,148)

(35,762,311)

185,791,692(110,493,066)

(2,730,879)(3,644,381)

238,114,774

CHF

Consolidated

Swisscanto (LU)

Income and Expense Statement and other Changes to Net Assets


from 1 April 2019 to 31 March 2020 (cont.)


Swisscanto (LU)

Development of Units in Circulation for the period ending on 31 March 2020

147,90026,902

(28,599)

146,203

Number of units in circulation at beginning of the fiscal year

Class AT Number of units issuedNumber of units redeemed

Number of units in circulation at end of the fiscal year

000

0

Number of units in circulation at beginning of the fiscal yearClassATH CHF

Number of units issuedNumber of units redeemed


5,642333

(134)

5,841


Class BT Number of units issuedNumber of units redeemed


000

0

Number of units in circulation at beginning of the fiscal yearClassCTH CHF



000

0

Number of units in circulation at beginning of the fiscal yearClassDAH EUR



23,46235,532

(37,388)

21,606


Class DT Number of units issuedNumber of units redeemed


000

0

Number of units in circulation at beginning of the fiscal yearClassDTH CHF



42,34316,127

(32,281)

26,189


Class GT Number of units issuedNumber of units redeemed


000

0

Number of units in circulation at beginning of the fiscal yearClassGTH CHF



11,857(103)

1,755


Class JT Number of units issuedNumber of units redeemed


03,136

0

3,136

Number of units in circulation at beginning of the fiscal yearClassMTH




Emerging Markets

487,62627,164

(147,432)

367,358

000

0

4,181430

4,224

000

0

000

0

7,9701,123

(2,195)

6,898

000

0

000

0

037,906(1,003)

36,903

000

0

000

0


29,140431

(29,571)

0

000

0

420

(42)

0

000

0

000

0

135,8890

(135,889)

0

000

0

36,2620

(36,262)

0

000

0

000

0

000

0


Dynamic 0-100*

Swisscanto (LU)



Swisscanto (LU)


561,5161,576,316(164,404)

1,973,428


Class NT Number of units issuedNumber of units redeemed


000

0

Number of units in circulation at beginning of the fiscal yearClassNTH CHF




Emerging Markets

000

0

000

0


000

0

000

0


Dynamic 0-100*

Swisscanto (LU)

(cont.)



Swisscanto (LU)


000

0


Class AT Number of units issuedNumber of units redeemed


77326

(77)

722

Number of units in circulation at beginning of the fiscal yearClassATH CHF



000

0


Class BT Number of units issuedNumber of units redeemed


17,3864,261

(12,777)

8,870

Number of units in circulation at beginning of the fiscal yearClassCTH CHF



10000

100

Number of units in circulation at beginning of the fiscal yearClassDAH EUR



000

0


Class DT Number of units issuedNumber of units redeemed


5,65424,202

0

29,856

Number of units in circulation at beginning of the fiscal yearClassDTH CHF



000

0


Class GT Number of units issuedNumber of units redeemed


243,23860,288

(291,898)

11,628

Number of units in circulation at beginning of the fiscal yearClassGTH CHF



000

0


Class JT Number of units issuedNumber of units redeemed


000

0

Number of units in circulation at beginning of the fiscal yearClassMTH




Livestock

000

0

000

0

000

0

000

0

000

0

000

0

10,0000

(10,000)

0

000

0

000

0

000

0

000

0


Premia Fund*

Swisscanto (LU)

(cont.)



Swisscanto (LU)


000

0


Class NT Number of units issuedNumber of units redeemed


000

0

Number of units in circulation at beginning of the fiscal yearClassNTH CHF




Livestock

000

0

164,1280

(164,128)

0


Premia Fund*

Swisscanto (LU)

(cont.)




Swisscanto (LU)

Swisscanto (LU)

Statistics

USD

110.44-

92.40--

120.07-

95.52-

118.1575.2990.14

-

132.82-

110.22--

142.77-

113.41-

143.06-

106.11-

200,116,07688,003,329

174,089,448

NET ASSETS


31 March 202031 March 201931 March 2018

31 March 2020

31 March 2019




Emerging Markets

CHF

99.18-

101.70--

103.81--

93.30----

105.20-

107.44--

109.47-------

41,021,66852,620,66581,200,901


CHF

-------------

120.54-

112.32--

125.20-

104.36-----

-24,314,88331,061,517


Dynamic 0-100*



Swisscanto (LU)

Swisscanto (LU)

Statistics (cont.)

USD

150.43-

123.80--

159.86-

126.84-

159.19-

117.64-

31 March 2018Class ATClass ATH CHFClass BTClass CTH CHFClass DAH EURClass DTClass DTH CHFClass GTClass GTH CHFClass JTClass MTHClass NTClass NTH CHF


Emerging Markets

CHF

103.44-

105.22--

107.00-------


CHF

117.20-

108.71--

120.95-

100.72-----


Dynamic 0-100*

2.16%-

1.33%--

1.02%-

0.87%-

1.01%0.01%0.01%

-


TER per unit1.16%

-0.75%

--

0.56%--

0.33%----

0.49%-

0.32%--

0.23%-

0.19%-----



Swisscanto (LU)

Swisscanto (LU)

Statistics (cont.)

USD

-65.33

-68.4868.21

-67.38

-68.56

----

-90.47

-94.2593.23

-92.41

-94.03

----

3,587,20125,216,84741,069,256

NET ASSETS


31 March 202031 March 201931 March 2018

31 March 2020

31 March 2019




Livestock

USD

-------------

------

86.91-----

87.69

-15,324,90198,152,673


Premia Fund*



Swisscanto (LU)

Swisscanto (LU)

Statistics (cont.)

USD

-97.64

-100.7899.36

-98.75

-100.42

----

31 March 2018Class ATClass ATH CHFClass BTClass CTH CHFClass DAH EURClass DTClass DTH CHFClass GTClass GTH CHFClass JTClass MTHClass NTClass NTH CHF


Livestock

USD

------

94.79-

94.84---

95.10


Premia Fund*

-1.86%

-0.97%0.90%

-0.90%

-0.81%

----


TER per unit-------------


Swisscanto (LU)

Swisscanto (LU) Equity FundSustainable Emerging Markets

China Gas Holdings Limited 1,156,000 4,026,879 2.02HKD 4,619,992BMG2109G1033

Officially and other regulated markets listed securities and money market instruments

Shares

Bermuda Islands

Johnson Electric Holdings Ltd 933,131 1,468,755 0.73HKD 2,022,003BMG5150J1577

5,495,634 2.756,641,995

Banco Do Brasil Sa 530,200 2,851,061 1.43BRL 5,491,872BRBBASACNOR3Brazil

B3 Sa - Brasil Bolsa Balcao 515,339 3,567,023 1.79BRL 4,602,944BRB3SAACNOR6Direcional Engenharia Sa 1,066,498 1,723,147 0.86BRL 2,927,199BRDIRRACNOR0Duratex 837,700 1,510,144 0.75BRL 2,906,209BRDTEXACNOR3Estacio Participacoes Sa 627,332 2,681,522 1.34BRL 4,572,400BRYDUQACNOR3Odontoprev S.a. 217,500 607,220 0.30BRL 918,150BRODPVACNOR4

12,940,117 6.4721,418,774

Alibaba Group Holding Ltd /adr 79,461 15,453,574 7.72USD 15,092,402US01609W1027Cayman Islands

China Metal Recycling Holdings* 1,053,000 0 0.00HKD 1,102,880KYG211311009Enn Energy Holdings 319,955 3,098,037 1.55HKD 2,814,707KYG3066L1014Fabrinet 65,545 3,576,135 1.79USD 3,564,547KYG3323L1005New Orientaleducat.tech/adr 38,500 4,167,240 2.08USD 4,681,835US6475811070Shenzhou Intl Group Ltd 413,000 4,390,603 2.19HKD 5,138,127KYG8087W1015Tencent Holdings Ltd 246,323 12,082,701 6.04HKD 11,602,066KYG875721634Xinyi Solar Holdings Shs 6,093,628 3,451,337 1.72HKD 3,495,831KYG9829N1025

46,219,627 23.0947,492,395

China Construction Bank Co -h- 4,969,000 4,064,482 2.03HKD 3,972,821CNE1000002H1China

Guodian Nari Technology Co -a- 1,725,712 4,805,063 2.40CNY 4,922,892CNE000001G38Hans Laser 475,039 1,887,939 0.94CNY 2,517,293CNE000001JQ1Jiangsu Hendrui Medicine Co-a- 249,246 3,233,861 1.62CNY 2,863,368CNE0000014W7Ping An Insur.(grp)co -h- 781,371 7,676,692 3.84HKD 7,884,071CNE1000003X6

21,668,037 10.8322,160,445

Hikma Pharmaceuticals Plc 46,458 1,172,274 0.59GBP 990,524GB00B0LCW083Great Britain

Mondi Plc 225,069 3,854,016 1.92GBP 4,563,964GB00B1CRLC47

5,026,290 2.515,554,488

Aia Group Ltd 236,007 2,135,991 1.07HKD 1,981,288HK0000069689Hong Kong

Guangdong Investment Ltd 2,096,000 4,040,070 2.02HKD 4,008,490HK0270001396

6,176,061 3.095,989,778


(information in USD) Cost price Fair value % of netassets

Currency

Name

as at 31 March 2020Investment portfolio

Quantity / face value

The notes are an integral part of this report.

ISIN Number


Swisscanto (LU)


Hcl Technologies /demat. 590,841 3,408,427 1.70INR 4,200,626INE860A01027India

Hindustan Unilever Ltd 132,193 4,016,535 2.01INR 3,202,403INE030A01027Housing Devt.fin.corp /adr 77,366 2,975,496 1.49USD 3,714,491US40415F1012Indraprastha Gas Ltd 647,405 3,320,094 1.66INR 2,518,528INE203G01027Kec International 509,656 1,249,740 0.62INR 2,370,461INE389H01022

14,970,292 7.4816,006,509

Pt Bank Rakyat Indonesia 15,825,525 2,930,194 1.46IDR 4,175,797ID1000118201Indonesia

Pt Telekom Indon Persero Pt 21,454,060 4,156,501 2.08IDR 5,646,644ID1000129000

7,086,695 3.549,822,441

Top Glove 2,185,700 3,263,365 1.63MYR 3,113,518MYL7113OO003Malaysia

3,263,365 1.633,113,518

Gentera Sab De Cv 5,045,100 1,972,077 0.99MXN 3,820,834MX01GE0E0004Mexico

1,972,077 0.993,820,834

Prosus Bearer Rg Shs -n- 35,693 2,473,216 1.24EUR 2,559,012NL0013654783Netherlands

2,473,216 1.242,559,012

Ayala Land Inc. 5,896,400 3,501,238 1.75PHP 4,940,232PHY0488F1004Philippines

3,501,238 1.754,940,232

Sberbank Of Russia Ojsc/sadr 328,935 3,086,160 1.54USD 4,147,323US80585Y3080Russia

3,086,160 1.544,147,323

Naspers Ltd N 33,718 4,821,161 2.41ZAR 5,089,483ZAE000015889South Africa

4,821,161 2.415,089,483

Hyundai Mobis 14,471 2,013,777 1.01KRW 2,956,357KR7012330007South Korea

Koh Young Technology Inc 21,688 1,381,734 0.69KRW 1,603,505KR7098460009Lg Chemical Ltd 11,358 2,844,100 1.42KRW 3,299,408KR7051910008Samsung Electronics Co Ltd 102,276 4,009,500 2.00KRW 3,839,685KR7005930003Samsung Electr./pfd N-vot. 279,385 9,197,940 4.59KRW 9,424,424KR7005931001Sk Hynix Inc 83,493 5,710,028 2.85KRW 5,760,955KR7000660001Soulbrain Co Ltd 55,796 2,908,841 1.45KRW 3,408,055KR7036830008

28,065,920 14.0130,292,389



Currency

Name

as at 31 March 2020Investment portfolio (cont.)



ISIN Number


Swisscanto (LU)


Chinatrust Financial Hldg Co 7,858,067 4,651,184 2.32TWD 5,422,019TW0002891009Taiwan

Taiwan Semiconduct.manuf/sadr 260,997 12,473,047 6.24USD 11,398,187US8740391003Yuanta Financial Holding Co 5,597,000 2,877,932 1.44TWD 3,166,435TW0002885001

20,002,163 10.0019,986,641

Globaltrans Investment Plc Gdr 104,649 554,640 0.28USD 884,102US37949E2046Cyprus

554,640 0.28884,102

Total - Shares 187,322,693 93.61209,920,359

Total - Officially and other regulated markets listed securities and moneymarket instruments

187,322,693 93.61209,920,359

TOTAL INVESTMENT PORTFOLIO 187,322,693 93.61209,920,359



Currency

Name




ISIN Number


Swisscanto (LU)


Geographic and economic composition of investment portfolio


as at 31 March 2020(information in percentage of net assets)


Cayman Islands 23.09

South Korea 14.01

China 10.83

Taiwan 10.00

India 7.48

Brazil 6.47

Indonesia 3.54

Hong Kong 3.09

Bermuda Islands 2.75

Great Britain 2.51

South Africa 2.41

Philippines 1.75

Malaysia 1.63

Russia 1.54

Netherlands 1.24

Mexico 0.99

Cyprus 0.28

Geographic composition %

93.61

Electronics and electrical equipment 20.86

Holding and finance companies 10.19

Graphic art and publishing 8.45

Banks and financial institutions 7.95

Other services 7.72

Insurance 5.21

Pharmaceuticals and cosmetics 4.22

Crude oil 3.68

Healthcare, education and social services 3.42

Mechanics, machinery 3.09

Chemicals 2.87

Textile 2.19

News transmission 2.08

Forest products and paper industry 1.92

Real estate companies 1.75

Internet Software 1.70

Construction, building materials 1.61

Energy and water supply 1.55

Software 1.24

Automobile industry 1.01

Other business houses 0.62

Transport 0.28

Economic composition %

93.61


Swisscanto (LU)

Swisscanto (LU) Portfolio Fund Dynamic0-50

Hongkong Land Hlds Ltd 5,100 18,504 0.05USD 30,514BMG4587L1090


Shares

Bermuda Islands

18,504 0.0530,514

Ck Asset Hldgs 4,500 23,846 0.06HKD 30,568KYG2177B1014Cayman Islands

23,846 0.0630,568

Leg Immobilien 171 18,644 0.04EUR 17,776DE000LEG1110Germany

Vonovia Se /namen 401 19,098 0.04EUR 18,661DE000A1ML7J1

37,742 0.0836,437

Sun Hung Kai Properties Ltd 1,733 22,109 0.05HKD 20,309HK0016000132Hong Kong

22,109 0.0520,309

Mitsui Fudosan Co 929 15,574 0.04JPY 20,683JP3893200000Japan

15,574 0.0420,683

Castellum Ab Gothenburg 1,166 19,130 0.05SEK 18,594SE0000379190Sweden

19,130 0.0518,594

Total - Shares 136,905 0.33157,105

Cnooc Ltd 3.875% 12-2.5.22 1,000,000 1,000,224 2.44USD 1,025,168USG23530AA92

Bonds

Virgin Islands

Sinopec Gp 3.9% 12-17.05.22 1,000,000 998,522 2.43USD 1,027,481USG8189YAB05

1,998,746 4.872,052,649

Qnb Fin 2.125% 16-07.09.21 500,000 472,532 1.15USD 477,727XS1485745704Cayman Islands

472,532 1.15477,727

Kommkrdt 0.625% 15-09.07.27 1,000,000 1,055,750 2.57CHF 1,097,855CH0285597370Denmark

1,055,750 2.571,097,855

Germany 1.25% 17-15.08.48 750,000 1,079,104 2.64EUR 1,145,417DE0001102432Germany


(information in CHF) Cost price Fair value % of netassets

Currency

Name




ISIN Number


Swisscanto (LU)


Kfw 2% 15-02.05.25 200,000 206,326 0.50USD 201,547US500769GQ12Lwf Rentbk 2.375% 15-10.06.25 200,000 210,359 0.51USD 205,144US515110BP87

1,495,789 3.651,552,108

Bnp Paribas 1.875% 12-12.9.22 550,000 561,550 1.37CHF 606,188CH0193040604France

Cades 2.375% 11-19.04.23 750,000 806,813 1.97CHF 902,895CH0127860192

1,368,363 3.341,509,083

Bpcm 1.75% 14-28.02.24 1,050,000 1,061,288 2.59CHF 1,160,833CH0238053125Great Britain

Hsbc Hldg 5.1% 11-5.4.2021 1,000,000 990,336 2.41USD 1,042,304US404280AK50Uk Tsy Gilt 1.625% 18-22.10.28 600,000 805,178 1.96GBP 822,696GB00BFX0ZL78

2,856,802 6.963,025,833

Cs Gf Guernsey 1% 15-14.04.23 1,250,000 1,278,125 3.12CHF 1,271,788CH0278341224Guernsey

1,278,125 3.121,271,788

Cabei 1.875% 14-25.02.22 1,700,000 1,745,900 4.26CHF 1,878,254CH0229318131Honduras

1,745,900 4.261,878,254

Dbj 1.05% 03-20.06.23 100,000,000 927,013 2.26JPY 933,302XS0171578502Japan

Dbj 1.7% 02-20.09.22 160,000,000 1,494,334 3.64JPY 1,539,910XS0159205995

2,421,347 5.902,473,212

Ubs Grp Fdg 2.95% 15-24.09.20 1,500,000 1,453,757 3.54USD 1,456,351USG91703AA90Jersey

1,453,757 3.541,456,351

Quebec 0.75% 14-21.11.24 1,500,000 1,552,875 3.79CHF 1,591,140CH0258404455Canada

1,552,875 3.791,591,140

Efsf 3.375% 11-05.07.21 600,000 668,008 1.63EUR 790,039EU000A1G0AB4Luxembourg

Eib 0.5% 15-15.11.23 Regs 250,000 274,207 0.67EUR 286,726XS1280834992

942,215 2.301,076,765

Alliander 2.25% 12-14.11.22 1,000,000 1,119,259 2.73EUR 1,212,736XS0854759080Netherlands

Ebn 1.125% 12-4.7.24 250,000 261,813 0.64CHF 273,813CH0185843015Enel Fin Intl 3% 11-23.06.20 500,000 503,400 1.23CHF 573,706CH0131078435Geberit Int 0.688% 15-30.03.21 100,000 106,563 0.26EUR 110,345XS1117297942Netherlands 0.25% 15-15.07.25 250,000 276,551 0.67EUR 288,595NL0011220108Nwb 1.375% 12-13.09.27 700,000 776,475 1.89CHF 829,541CH0190125036



Currency

Name




ISIN Number


Swisscanto (LU)


Nwb 2.625% 07-07.02.22 400,000 421,800 1.03CHF 416,603CH0028608195Rabobk 3.125% 06-15.09.26 1,750,000 1,990,187 4.85CHF 2,232,440CH0026620846Wuerth Fin 1.75% 13-21.05.20 700,000 744,809 1.82EUR 812,000DE000A1HJ483

6,200,857 15.126,749,779

Fgbuae 0.625% 15-27.05.22 1,100,000 1,067,275 2.60CHF 1,110,812CH0278875940United Arab Emirates

1,067,275 2.601,110,812

Apple Inc 0.375% 15-25.11.24 2,050,000 2,076,138 5.05CHF 2,089,884CH0271171685USA

Apple Inc 2.85% 14-06.05.21 1,000,000 988,053 2.41USD 982,992US037833AR12Coca Cola 3.3% 11-1.9.21 300,000 297,472 0.73USD 304,617US191216AV26Ibm 1.8% 17-20.01.21 500,000 482,280 1.18USD 474,264US44932HAB96Mondelez 1.125% 15-30.12.25 700,000 691,425 1.69CHF 712,286CH0274758835Ny Life Gbl 0.375% 15-02.02.22 800,000 806,800 1.97CHF 832,840CH0267020045Usa 1.625% 16-15.02.26 /tbo 3,400,000 3,505,427 8.54USD 3,333,717US912828P469Usa 1.875% 15-31.08.22 /tbo 200,000 200,986 0.49USD 198,324US912828L245Walt Disney 2.125% 17-13.09.22 1,000,000 949,860 2.32USD 945,766XS1678630432Wells Fargo 0.375% 15-02.06.22 250,000 246,938 0.60CHF 256,688CH0278875973Wells Fargo 4.6% 11-1.4.2021 1,200,000 1,189,135 2.89USD 1,236,233US94974BEV80

11,434,514 27.8711,367,611

Total - Bonds 37,344,847 91.0438,690,967

Goodman Group 2,077 14,882 0.04AUD 11,281AU000000GMG2

Real estate funds (REIT)

Australia

Scentre Group /reit 10,232 9,483 0.02AUD 36,272AU000000SCG8

24,365 0.0647,553

Cofinimmo Sa 150 18,982 0.05EUR 18,908BE0003593044Belgium

18,982 0.0518,908

Land Sec /reit 2,959 19,767 0.04GBP 36,666GB00BYW0PQ60Great Britain

Segro Plc /reit 2,089 19,147 0.05GBP 15,155GB00B5ZN1N88

38,914 0.0951,821

Japan Real Estate Inv / Reit 4 22,693 0.06JPY 23,302JP3027680002Japan

Nippon Building Fund Inc 4 25,956 0.06JPY 24,120JP3027670003

48,649 0.1247,422

Total - Real estate funds (REIT) 130,910 0.32165,704


37,612,662 91.6939,013,776



Currency

Name




ISIN Number


Swisscanto (LU)


Ishares Ii Ftse Epra Us Pr Yld 12,444 258,864 0.63USD 351,577IE00B1FZSF77

Investment funds

Investment funds

Ireland

Man Altern St-i H-hedged Chf 2,656 227,991 0.56CHF 244,390IE00BF52FF56Ubs Cmci Chf-a-ac 14,868 575,094 1.40CHF 808,210IE00B58FQX63

1,061,949 2.591,404,177

Total - Investment funds 1,061,949 2.591,404,177

Total - Investment funds 1,061,949 2.591,404,177




Currency

Name




ISIN Number


Swisscanto (LU)






USA 27.87

Netherlands 15.12

Great Britain 7.05

Japan 6.06

Virgin Islands 4.87

Honduras 4.26

Canada 3.79

Germany 3.73

Jersey 3.54

France 3.34

Guernsey 3.12

United Arab Emirates 2.60

Ireland 2.59

Denmark 2.57

Luxembourg 2.30

Cayman Islands 1.21

Australia 0.06

Belgium 0.05

Hong Kong 0.05

Bermuda Islands 0.05

Sweden 0.05


94.28

Banks and financial institutions 25.73

Holding and finance companies 23.25

States, provinces and municipalities 22.63

Office equipment and computers 7.46

Supranational 6.56

Energy and water supply 2.73

Investment funds 2.59

Food and distilleries 2.42

Real estate companies 0.65

Construction, building materials 0.26


94.28


Swisscanto (LU)


Usa 1.375% 17-15.09.20 /tbo 200,000 201,148 5.61USD 199,613US9128282V18


Bonds

USA

Usa 1.5% 17-15.04.20 /tbo 400,000 400,203 11.16USD 398,654US912828X216Usa 1.5% 17-15.05.20 /tbo 300,000 300,551 8.38USD 298,411US912828X968Usa 1.5% 17-15.06.20 /tbo 400,000 401,109 11.17USD 398,412US912828XU94Usa 1.5% 17-15.07.20 /tbo 300,000 301,254 8.40USD 298,733US9128282J89Usa 1.5% 17-15.08.20 /tbo 290,000 291,541 8.13USD 289,422US9128282Q23Usa 1.625% 17-15.10.20 /tbo 200,000 201,602 5.62USD 199,984US9128282Z22Usa 1.75% 17-15.11.20 /tbo 250,000 252,529 7.04USD 250,283US9128283G32Usa 1.875% 17-15.12.20 /tbo 300,000 303,762 8.47USD 300,738US9128283L27Usa 2% 18-15.1.21 /tbo 350,000 355,195 9.90USD 351,531US9128283Q14Usa 2.25% 18-15.02.21 /tbo 350,000 356,494 9.94USD 352,584US9128283X64

3,365,388 93.823,338,365

Total - Bonds 3,365,388 93.823,338,365


3,365,388 93.823,338,365




Currency

Name




ISIN Number


Swisscanto (LU)






USA 93.82


93.82

States, provinces and municipalities 93.82


93.82


Swisscanto (LU)

Notes on the annual report

as at 31 March 2020

Note 1: Financial Reports The fund reports are produced in accordance with the legal provisions and regulations governing undertakings for

collective investments applicable in Luxembourg.

Note 2: Main accounting policies

The total net assets are given in Swiss Francs (CHF) and correspond to the difference between the total assets of the

fund and the total liabilities of the fund. For purposes of this calculation, the net assets of each subfund, if they are

not denominated in CHF, are converted to CHF at the last known average exchange rates. This conversion was based

on the following rate at year-end:

1 CHF = 1.688650 AUD 1 CHF = 5.360535 BRL 1 CHF = 7.330993 CNY 1 CHF = 0.941935 EUR 1 CHF = 0.833532 GBP 1 CHF = 8.010867 HKD 1 CHF = 16,857.576250 IDR 1 CHF = 78.185793 INR 1 CHF = 111.575581 JPY 1 CHF = 1,258.876979 KRW 1 CHF = 24.246088 MXN 1 CHF = 52.565253 PHP 1 CHF = 10.239944 SEK 1 CHF = 1.471603 SGD 1 CHF = 31.255874 TWD 1 CHF = 1.033538 USD 1 CHF = 18.459002 ZAR

Subscriptions, redemptions and conversions are made based on an unknown net asset value.

Valuation principles:

a) Securities, derivatives and other investments that are listed on a stock market are valued at the last-known market prices. If these securities, derivatives and other investments are listed on several stock exchanges the last available price on the stock exchange that is the main market for this security is key.

For securities, derivatives and other investments for which trading on an exchange is minor and for which there is a second market between securities traders with market-based price formation, the management company may undertake the valuation of these securities, derivatives and other investments on the basis of these prices. Securities, derivatives and other investments which are not listed on an exchange, but are traded on another regulated market which is recognized, open to the public and functions in an orderly manner, are valued at the last known price on this market.

b) Securities and other investments that are not listed on an exchange or traded on a regulated market are valued at the last market price available. If this is not available, the valuation of the securities is undertaken by the management company as per the other criteria to be set by the board of directors and on the basis of the expected possible sale price, the value of which is to be invested with all due care and to the best of their knowledge.

c) Money market instruments which are not listed on an exchange, but are traded on another regulated market which is recognized, open to the public and functions in an orderly manner, may be valued as follows: Starting from the net purchase price, the valuation price of such investments is progressively adjusted to the redemption price, while keeping the investment yield constant. In the event of key changes to the market conditions, the valuation basis of the individual assessments is modified to the new market yield.


Swisscanto (LU)

Notes on the annual report (continued)

as at 31 March 2020

Note 2: Main Accounting Policies (cont.)

d) Liquid assets, trustee funds and fixed-term deposits are valued on the basis of their nominal value plus accrued interest.

e) Units in UCITS and other UCIs are valued according to their last published net asset value. If no net asset value is available, but only acquisition and sale prices, the units of such UCITS and other UCIs may be valued at the mean value between such acquisition and sale prices. If no current prices are available, the valuation is carried out by the Management Company in accordance with other criteria to be specified by the Board of Directors and on the basis of the probable sale price which must be estimated with due care and in good faith.

f) Derivatives that are not traded on an exchange or any other regulated market are to be valued at the fair value that is appropriate after careful assessment, taking into account the overall circumstances.

g) For each subfund the assets that are denominated in a currency other than that of the subfund are converted to

the subfund’s currency at the prevailing mean rate. Forward contracts entered into to hedge currency risk are included in the conversion.

h) Dividends are posted on the “ex-dividend” date and interest is deferred daily.

i) The realised gains or losses resulting from the sale of securities will be calculated on the basis of the average purchase price.

j) Calculation of the net asset value The net asset value of the shares is calculated by the Management Company for each individual subfund as per the

fund contract and item 3.1 in the sales prospectus on every banking business day in Luxembourg.

k) Valuation of forward exchange contracts

Any unrealised gains or losses resulting from the valuation of open forward exchange contracts at the reporting date

are included in the statement of net assets and the income and expense statement.

l) Capital gains or losses from security transactions The realised gains or losses resulting from the sale of securities will be calculated on the basis of the average purchase

price.

m) Swinging Single Prices (SSP) The SSP method is used for all subfunds, but was not used for the Capital Protect subfund.

The SSP method is used for all subfunds. With the SSP method, the ancillary costs created by subscriptions and

redemptions for the purchase and sale of investments (price spreads, brokerage in line with market conditions,

commission, fiscal charges etc.) are taken into account in the calculation of the NAV. If, on a banking day, the total

subscriptions and redemptions of all unit classes of a subfund result in a net inflow or outflow, the net asset value of

the relevant subfund is increased or reduced. This amount is known as the “modified net asset value”. The adjustment

results in an increase in the net asset value if the net movements lead to a rise in the number of units in the relevant

subfund. It results in a decrease in the net asset value if the net movements cause a fall in the number of units.

The transaction costs incurred by subscriptions and redemptions on the trading day are paid by the investors who

commission these transactions.


Swisscanto (LU)


as at 31 March 2020

Note 2: Main Accounting Policies (cont.)

The surcharge on, or deduction from, the transaction costs incurred by subscriptions or redemptions is effected at a

flat rate and is based on an average value from a previous period of a maximum of one year.

The maximum adjustment is 2% of the net asset value of the subfund in question.

If the fund has been on the market for less than one year, depending on the fund’s special features this factor will be

determined so that a representative figure results.

As at 31 March 2020, Swinging Single Price values were recorded in the following subfunds:

Swisscanto (LU) Portfolio Equity Fund Sustainable Emerging Markets in other assets

Swisscanto (LU) Portfolio Fund Dynamic 0-50 in bank interest and other liabilities

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock in other assets

The amounts are reversed on the following day after the capital has been definitively booked.

Note 3: Subscription tax “Taxe d’abonnement”

In Luxembourg, the fund assets are subject to a quarterly “taxe d'abonnement” of 0.05% p.a. of the net assets for

unit classes offered to private investors (A, B and C), and of 0.01% p.a. of the net assets for unit classes offered to

institutional investors (D, G, J and N). The fund's income is not taxed in Luxembourg.

Pursuant to Article 175 (a) of the Law of 17 December 2010, the portion of net assets invested in UCITS that are

already subject to capital tax is exempt from this tax.

Note 4: Administrative commission The fund will be invoiced a fixed administrative commission for management and administration plus the distribution of fund units, to be paid to the Management Company. This commission will be paid monthly, based on the average net fund volume of the respective subfund. The flat-rate administrative commission comprises the two components of the flat-rate management fee (costs of asset management and sales) and the flat-rate administration fee (costs of management and administration).

As at 31 March 2020 the effective fixed administrative commission amounted to:

Subfund Class FAC (p.a.) FMF (p.a.) FAF (p.a.)

Swisscanto (LU) Equity Fund Sustainable Emerging Markets AT 2.10% 1.55% 0.45%

Swisscanto (LU) Equity Fund Sustainable Emerging Markets BT 1.28% 0.78% 0.45%

Swisscanto (LU) Equity Fund Sustainable Emerging Markets DT 1.00% 0.72% 0.23%

Swisscanto (LU) Equity Fund Sustainable Emerging Markets GT 0.85% 0.57% 0.23%

Swisscanto (LU) Equity Fund Sustainable Emerging Markets JT 1.09% 0.82% 0.23%

Swisscanto (LU) Equity Fund Sustainable Emerging Markets NT 0.00% 0.00% 0.00%

Swisscanto (LU) Equity Fund Sustainable Emerging Markets MTH 0.00% 0.00% 0.00%


Swisscanto (LU)


as at 31 March 2020

Note 4: Administrative commission (cont.)

Swisscanto (LU) Portfolio Fund Dynamic 0-50 AT 1.10% 0.80% 0.30%

Swisscanto (LU) Portfolio Fund Dynamic 0-50 BT 0.70% 0.40% 0.15%

Swisscanto (LU) Portfolio Fund Dynamic 0-50 DT 0.55% 0.40% 0.15%

Swisscanto (LU) Portfolio Fund Dynamic 0-50 GTH CHF 0.44% 0.29% 0.30%

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock ATH CHF 1.80% 1.45% 0.35%

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock CTH CHF 0.91% 0.56% 0.35%

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock DAH EUR

DTH CHF

0.90% 0.72% 0.18%

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock GTH CHF 0.80% 0.62% 0.18%

FAC: flat-rate administrative commission / FMF: flat-rate management fee / FAF: flat-rate administration fee

In addition to the flat-rate administrative commission, the following are charged to the fund:

- the subscription tax (“taxe d’abonnement”);

- the usual transaction costs associated with buying and selling; - the costs for extraordinary measures in the interests of the unitholders.

Note 5: Tax information for investors in the Federal Republic of Germany (in accordance with Section 5 of

the Investment Tax Act, para. 1, sentence 1, no. 1)

This information will be published in the Federal Gazette. It is also available on the Swisscanto website

(www.swisscanto.com). Investors should consult their own financial advisor for advice on any tax consequences that

could result from the acquisition, possession, transfer or disposal of units under the laws of the countries of which

they are nationals or in which they are resident or domiciled.

Note 6: Total Expense Ratio (TER)

The TER reported under “Statistics” in this report was calculated in accordance with the “Guidelines on the Calculation and Disclosure of TER and PTR” published by the Swiss Funds and Asset Management Association (SFAMA) on 16 May 2008. These Guidelines have been aligned with the revised Collective Investment Schemes Ordinance-FINMA. The amended TER Guidelines entered into force on 1 June 2015. It is no longer necessary to disclose the PTR in the annual report. The TER has been calculated for the last 12 months prior to the date of this report. Total Expense Ratio (TER) = (operating expenses / average net assets) x 100 The operating expenses include all of the fees and costs associated with the fund. The operating expenses do not include the ancillary costs that the fund incurred when buying and selling assets.

If a fund invests at least 10% of its net assets in other funds which publish a TER as defined in the Guidelines issued

by the Swiss Funds and Asset Management Association SFAMA on 16 May 2008, a combined (synthetic) TER for the

umbrella fund is calculated as at the reporting date of the annual report. This corresponds to the sum of the pro rata

TER of the individual target funds, weighted according to their share in the net assets of the fund as at the reporting

date, the effectively paid issue and redemption commissions of the target funds and the TER of the umbrella fund

minus the reimbursements of target funds received in the reporting period. The synthetic TER is calculated using the

information available at the time this document is prepared.

At the end of the fiscal year, the synthetic TER was not required, as the above conditions were not met.


Swisscanto (LU)


as at 31 March 2020

Note 7: Information on forward exchange contracts

The following currency forward contracts were open on the reporting date:


Currency Purchases Currency Sales Maturity Unrealised

result

(in CHF)

CHF 2,234,474 EUR 2,100,000 05.06.2020 6,087

CHF 486,924 GBP 400,000 05.06.2020 7,982

CHF 708,674 JPY 80,000,000 05.06.2020 (8,355)

CHF 7,617,672 USD 8,000,000 05.06.2020 (96,573)

(90,859)



result

(in USD)

CHF 2,039,948 USD 2,138,053 30.04.2020 (27,298)

CHF 72 USD 75 30.04.2020 (1)

CHF 6,095 USD 6,362 30.04.2020 (56)

CHF 808,391 USD 847,268 30.04.2020 (10,818)

EUR 6,913 USD 7,657 30.04.2020 (63)

CHF 47,839 USD 50,139 30.04.2020 (640)

CHF 609,356 USD 638,661 30.04.2020 (8,153)

CHF 51 USD 53 01.04.2020 0

(47,029)



result

(in USD)

HKD 13,000,000 USD 1,677,044 01.04.2020 138

138

The currency forward contracts were entered into with the following counterparties: RBC Investor Services Bank S.A.

and Zürcher Kantonalbank.


Swisscanto (LU)


as at 31 March 2020

Note 8: Information on futures contracts

The following futures contracts were outstanding at the time of the report:


Number Name Currency Fair value Un-

of realised

contracts result

(in CHF)

Purchase 13 EURO STOXX 50 PR EUR 357,110 49,823

Purchase 26 MSEMI - MSCI EMER MKTS INDEX USD 1,095,770 37,106

Purchase 11 NIKKEI 225 INDICES D JPY 103,400,000 (35,985)

Purchase 10 S&P / ASX 200 INDEX AUD 1,277,250 27,685

Purchase 7 S&P 500 EMINI INDEX USD 899,413 (38,165)

Purchase 13 SMI INDEX/OHNE DIVIDENDENKOR CHF 1,184,950 147,610

Purchase 2 UKX FTSE 100 INDEX GBP 112,710

12,777

200,851

The margin accounts form part of the “bank balance” shown in the statement of net assets as at 31 March 2020.

The futures contracts were entered into with the following counterparty: J.P.Morgan Securities PLC.


Swisscanto (LU)


as at 31 March 2020

Note 9: Swaps

The subfund Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock had the following commitments from swaps

at the time the report was prepared:

Unrealised

Description Issuer Payment /

receipt Currency

Nominal

value Maturity

result (in USD)

Total Return

Swap (TRS)

J.P. MORGAN AG 0.12% / JMAB297E USD 500,000 28.04.2020 (2,460)

Total Return

Swap (TRS)

J.P. MORGAN AG 0.12% / JMAB297E USD 500,000 28.04.2020 59

(2,401)

Note 10: Changes in the investment portfolio Information on changes in the investment portfolio for the reporting period is available to all unitholders at the Swisscanto website (www.swisscanto.com) or can be requested free of charge from Swisscanto Fondsleitung AG, the head office of the management company, the Custodian Bank and the representative in Switzerland, from the German payment and information agent, from any branch of the Cantonal banks and any payment and sales office.

Note 11: Securities lending transactions

In order to ensure efficient asset management, a subfund may, in accordance with the requirements of the applicable provisions, use securities lending techniques and instruments in accordance with Article 51, para. 2 of the UCITS Directive and Article 11 of Directive 2007/16/EC of 19 March 2007 (Eligible Assets Directive) to generate additional income. In securities lending transactions, the subfund acts as lender and lends the borrower a security for use during a limited time; the subfund receives a fee for this. Zürcher Kantonalbank is the only direct borrower (principal) and the only direct counterparty of the securities lending transactions. As an independent, public-law institution of the canton of Zurich, the bank enjoys an unlimited state guarantee. It is therefore subject to regulatory supervision by the Swiss supervisory authority (Swiss Financial Market Supervisory Authority - FINMA), which is considered by the CSSF as equivalent to the rules laid down under European Union law.

With effect as of 1 March 2020, we have removed the following subfunds from the securities lending programme: Swisscanto (LU) Portfolio Fund Dynamic 0-50.

Subfund Currency Gross income

Direct and

indirect costs and fees

deducted from

the gross income from securities

lending

transactions

Income after deducting

expenses

Swisscanto (LU) Portfolio Fund Dynamic 0-50 CHF 7,706 694 7,012

Swisscanto (LU) Portfolio Fund Dynamic 0-100 CHF 3,014 271 2,743


Swisscanto (LU)


as at 31 March 2020

Note 12: Transaction costs In the year under review, the fund incurred the following transaction costs from the sale and purchase of transferable securities and money market instruments: Equity Fund Sustainable Emerging Markets USD 314,855 Portfolio Fund Dynamic 0-50 CHF 2,204 Portfolio Fund Dynamic 0-100 CHF 1,067 Commodity Fund ex-Agriculture & Livestock USD 0

Note 13: Additional information

The subfund Swisscanto (LU) Alternative Risk Premia Fund was liquidated on 4 April 2019. The last calculated share

prices were DTH CHF 86.90 and NTH CHF 87.67.

The subfund Swisscanto (LU) Portfolio Fund Dynamic 0-100 was transferred to the subfund Swisscanto (LU) Portfolio

Fund Dynamic 0-50 on 20 August 2019 by way of a contribution in kind.

Issuing of new unit classes:

The following unit classes were issued during the fiscal year:

Swisscanto (LU) Portfolio Fund Dynamic 0-50 GT: 19 July 2019

Swisscanto (LU) Equity Fund Sustainable Emerging Markets MT: 28 January 2020

Note 14: Related parties

Zürcher Kantonalbank, as portfolio manager of the fund, is a related party. Swisscanto Asset Management

International S.A., the fund’s management company, is part of the Zürcher Kantonalbank group.

Note 15: Subsequent events

The coronavirus has changed the outlook for the current 2020 financial year for Swisscanto Asset Management

International S.A. and thus also for the Swisscanto (LU) Fund, which it manages. The emergency organisation is

proving very effective. All critical and key roles are secured. Key management company staff for the Swisscanto (LU)

Fund are in a position to continue working without disruption. The presumably prolonged upheaval on the financial

markets is likely to have a negative impact on performance. However, this cannot be quantified at the moment.


Swisscanto (LU)

Additional unaudited information

Information on remuneration policy

The following is a disclosure concerning the remuneration paid by the management company to its employees. This

information applies both to the Management Company and the investment funds it manages, and relates to the entire

workforce.

Number of

employees CHF

Overall remuneration for Swisscanto Asset Management International S.A. (01.01.2019 – 31.12.2019) 10

2,030,326.96

of which is fixed: 1,409,669.89 of which is variable*: 620,657.07

* The basis of the variable remuneration paid out in March of each fiscal year relates to the previous year.

Due to the low number of employees and based on the principle of proportionality, no further breakdown of the

remuneration of identified employees will be provided.

The calculation of the remuneration and other benefits is based on prevailing market norms and the individual

performance of the employee. The fixed part of the remuneration relates to factors of long-term significance, such as

sustainable profitability, robust risk and capital management, first-class customer service and teamwork. The same

procedure applies for the variable part of the remuneration, which also encompasses factors such as the reward of

success and achievement, and the continued adherence to corporate governance guidelines. Furthermore, variable

remuneration depends to a significant extent on the income of the group as well as the management company and the

funds it manages.

Further information on the remuneration policy can be found on the website www.swisscanto.com/lu/en/gs/legal-

notices/remuneration-policy.html.

The Management Company:

SWISSCANTO ASSET MANAGEMENT INTERNATIONAL S.A., Luxembourg


Swisscanto (LU)

Additional unaudited information (cont.)

Regulation on transparency of securities financing transactions and of reuse and amending regulation

(EU) No 648/2012

Securities lending transactions (see Note 11 for further information)

Information on return and costs for each individual securities financing transaction (SFT) (in CHF):

Subfund name Gross income Agency’s fees

(RBC) Net fund income

Swisscanto (LU) Portfolio Fund Dynamic 0-50 7,706 694 7,012


3,014 271 2,743

Total 10,720 965 9,755

Total Return Swaps


General data (in USD)

Subfund name Collateral Overall

Valuation

Total net assets

as a % of assets

Swisscanto (LU) Commodity Fund

ex-Agriculture & Livestock

560,000 (2,401) 3,587,201 (0.07%)

Total 560,000 (2,401)

Concentration data (in USD)

The ten largest issuers of collateral Amount of collateral

n/a -

Total -

The ten most important counterparties Total valuation

JP MORGAN AG

(2,401)

Total (2,401)


Swisscanto (LU)


Regulation on transparency of securities financing transactions and of reuse and amending Regulation

(EU) No 648/2012 (cont.)

Total Return Swaps (cont.)

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock (cont.)

Aggregate transaction data for each type of securities financing transaction (SFT), broken down into the

following categories (in USD):

Type of collateral Amount of collateral

Bonds -

Equities -

Money market -

Cash 560,000

Total 560,000

Maturity of collateral Amount of collateral

less than one day -

one day up to one week -

one week up to one month -

one month up to three months -

three months up to one year -

more than one year -

open-ended transactions 560,000

Total 560,000

Currencies of cash collateral Amount of collateral

USD 560,000

Total 560,000

Currencies of securities collateral Amount of collateral

n/a -

Total -

The collateral received for the total return swaps and CFDs consists of cash. No collateral in the form of securities was

received.


Swisscanto (LU)


Regulation on transparency of securities financing transactions and of reuse and amending Regulation

(EU) No 648/2012 (cont.)

Total Return Swaps (cont.)

Swisscanto (LU) Commodity Fund ex-Agriculture & Livestock (cont.)

Aggregate transaction data for each type of securities financing transaction (SFT), broken down into the

following categories (in USD):

Duration of total return swaps Total valuation

less than one day -

one day up to one week -

one week up to one month (2,401)

one month up to three months -

three months up to one year -

more than one year -

open-ended transactions -

Total (2,401)

Country in which the counterparties are

established

Total valuation

Germany (2,401)

Total (2,401)

Settlement and clearing Total valuation

Bilateral (2,401)

Data on the reuse of collateral (in USD)

The collateral received as security in the course of securities lending is not re-used.

Safekeeping of collateral received by the UCI as a component of the total return swaps (in USD):

Name of custodian bank Amount of collateral held in custody for assets

RBC INVESTOR SERVICES BANK S.A. 560,000

Safekeeping of cash pledged by the UCI as a component of the total return swaps (in USD):

Type of accounts

Separate accounts


Swisscanto (LU)

Report by the Réviseur d'Entreprises agréé (cont.)

To the unitholders of Swisscanto (LU) Audit opinion

We have audited the annual financial statements of Swisscanto (LU) and its sub-funds (“the Fund”), comprising the

statement of net investment portfolio as at 31 March 2020, the income and expense statement and other changes in

net assets for the financial year ending on this date, as well as the notes with a summary of significant accounting

policies.

In our opinion, the accompanying annual financial statements, in compliance with the legal provisions and regulations

applicable in Luxembourg for the preparation of annual financial statements, give a true and fair view of the assets and

the financial position of the Fund and its subfunds as at 31 March 2020, as well as its income and its the development

of net assets for the financial year ending on this date.

Basis for our audit opinion

We conducted our audit in accordance with the Law of 23 July 2016 concerning the audit profession and according to

the International Standards on Auditing (ISA) adopted by the Commission de Surveillance du Secteur Financier

(“CSSF”) for Luxembourg. Our responsibilities under the Law of 23 July 2016 and the ISA standards are set out at

greater length in the section “Responsibility of the Réviseur d’Entreprises agréé for the audit of the annual financial

statements.” We are independent of the Fund in accordance with the International Ethics Standards Board for

Accountants’ Code of Ethics for Professional Accountants (IESBA Code) adopted by the CSSF for Luxembourg together

with the ethical requirements that are relevant to our audit, and we have fulfilled our other ethical responsibilities in

accordance with these requirements. We believe that our audit provides a reasonable basis for our opinion.

Other information

The Management Company’s Board of Directors is responsible for other information. Other information includes

information contained in the annual report, but does not include the annual financial statements or our Report by the

Réviseur d’Entreprises agréé on the annual financial statements.

Our audit opinion on the annual financial statements does not cover other information and we do not give any kind of guarantee concerning this information.

In connection with our audit of the annual financial statements, it is our responsibility to read the other information

and thereby assess whether there is any material discrepancy between this information and the annual financial

statements or with the findings of our audit, or whether the other information appears to contain material

misstatements. If, on the basis of our work, we conclude that other information contains material misstatements, we

are obliged to report this. We have nothing to report in this respect.


Swisscanto (LU)


Responsibility of the Management Company’s Board of Director for the annual accounts

The Management Company’s Board of Directors is responsible for the preparation and fair presentation of the annual

financial statements in accordance with the legal provisions and regulations applicable in Luxembourg for the

preparation of annual financial statements and in respect of internal controls which the Management Company’s Board

of Directors deems necessary to enable the preparation of annual financial statements which are free from material

misstatement, whether due to fraud or error.

In preparing the annual financial statements, the Management Company’s Board of Directors is responsible for

assessing the Fund’s and each of its Subfunds’ ability to continue as a going concern, disclosing, as applicable, matters

relating to going concern and using the going concern basis of accounting unless the Management Company’s Board of

Directors either intends to liquidate the Fund or one of its subfunds or to cease operations, or has no realistic

alternative but to do so.

Responsibility of the Réviseur d’Entreprises agréé for the audit of the annual financial statements

Our objectives are to obtain reasonable assurance about whether the annual financial statements as a whole are free

from material misstatement, whether due to fraud or error, and to issue a Report by the Réviseur d'Entreprises agréé

that contains our audit opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit

in accordance with the Law of 23 July 2016 and pursuant to the ISAs as adopted by the CSSF for Luxembourg will

always detect a material misstatement or non-compliance when it exists. These 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 annual financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and pursuant to the ISAs as adopted by the CSSF for

Luxembourg, we exercise professional judgement and maintain professional scepticism. We also:

- Identify and assess the risks of material misstatement of the annual financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

- Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control.

- Evaluate the appropriateness of the accounting policies used by the Management Company’s Board of Directors, and the reasonableness of accounting estimates and related disclosures.

- Conclude on the appropriateness of the use of the going concern basis of accounting by the Management Company’s Board of Directors and, based on the audit evidence obtained, whether a material uncertainty exists related to events or circumstances that may cast significant doubt on the ability of the Fund or one of its subfunds to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in the Report by the Réviseur d'Entreprises agréé to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of the report by the Réviseur d'Entreprises agréé. However, future events or conditions may cause the Fund or one of its Subfunds (with the exception of Subfunds for which it is decided or intended to liquidted) to cease to continue as a going concern.

- Evaluate the overall presentation, structure and content of the annual financial statements, including the disclosures, and whether they represent the underlying transactions and events in a manner that achieves fair presentation.


Swisscanto (LU)


- With regard to Subfunds for which it is decided or intended to liquidate, we assess the appropriateness of the application of the going concern principle by the Board of Directors of the Management Company. We also assess the appropriateness of the disclosures describing the application of the going concern principle and the reasons for its application. Our conclusions are based on the audit evidence obtained up to the date of the report by the Réviseur d'Entreprises agréé.

We communicate with those charged with the management regarding, among other matters, the planned scope and

timing of the audit and significant audit findings, including any significant deficiencies in internal control that we

identify during our audit.

Ernst & Young Société anonyme

Cabinet de révision agréé

Nadia Faber Luxembourg, 28. July 2020

Swisscanto (LU)

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