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NGAM INVESTMENT FUNDS U.K. ICVC

ANNUAL SHORT REPORT

For the year ended 31 December 2016

Contents

NGAM Investment Funds U.K. ICVC

Loomis Sayles Strategic Income Fund 1

Loomis Sayles U.S. Equity Leaders Fund 12

H2O MultiReturns Fund 17

Harris Associates Global Concentrated Equity Fund 23

Seeyond Factor Plus Europe Ex U.K. Equity Fund 28

Seeyond Factor Plus U.K. Equity Fund 32

Company Information 36

General Information 37


Loomis Sayles Strategic Income Fund

1Annual Short Report

Investment objective:The investment objective of Loomis Sayles Strategic Income

Fund (the “Fund”) is to achieve high income with a

secondary objective of long-term growth of capital.

Principal investment strategy:In order to meet its objective, the Fund will invest at least

80% of its assets in income-producing securities (including

below investment-grade securities, or “junk bonds”) with a

focus on corporate, convertible and government bonds on a

global basis, including emerging markets.

Income-producing securities may also include where

permitted in accordance with FCA Rules: preferred stocks,

asset-backed securities, mortgage-related securities, Rule

144A securities, Regulation S securities, structured notes,

pay-in-kind bonds and bank loans qualifying as money market

instruments. These securities may also be issued or

guaranteed by government agencies or supranational

entities. The Fund may invest no more than 10% of its total

assets in bank loans that qualify as money market

instruments. Except as described elsewhere, the Fund is not

limited in the percentage of its assets that it may invest in

these instruments.

The Fund may invest up to 20% of its assets in securities

other than those described above. The Fund may invest no

more than 20% of its assets in dividend-paying common

stocks. The Fund may invest no more than 10% of its assets

in other investment funds (subject to the eligibility criteria as

set out in Appendix 1 in the Prospectus).

Loomis, Sayles & Company, L.P., the Investment Manager,

may shift the Fund’s assets among various types of income-

producing securities based upon changing market conditions.

The Investment Manager performs its own extensive credit

analyses to determine the creditworthiness and potential for

capital appreciation of a security. It uses a flexible approach

to identify securities in the global financial markets with

characteristics including discounted price compared to

economic value, undervalued credit ratings with strong or

improving credit profiles and attractive yield (although not all

of the securities selected will have these attributes).

In deciding which securities to buy and sell, the Investment

Manager will consider, among other things, the financial

strength of the issuer, current interest rates, current

valuations, its expectations regarding future changes in

interest rates and comparisons of the level of risk associated

with particular investments with the Investment Manager’s

expectations concerning the potential return of those

investments. The Investment Manager generally seeks to

maintain a high level of diversification.

For a more complete description of the investmentpolicy and risks relevant to each Fund, please refer to thelatest version of the Company Prospectus.

Fund Manager’s ReportThe Fund outperformed its Reference Index in the 12-month

period ended 31 December 2016.

• Security selection within out-of-Index allocations to high

yield industrials, common stocks and convertible bonds

primarily drove the Fund’s outperformance. High yield

credit was a top performer in 2016. The Fund’s high yield

securities outperformed their investment grade

counterparts and duration-matched Treasurys for the

year. Within the sector, energy, metals and mining, and

chemicals issues were top contributors. To a lesser

extent, high yield financials also aided relative and

absolute performance.

• Convertible bond holdings contributed to the Fund’s

outperformance. Within the out-of-Index allocation, issue

selection among securities in the communication,

energy and insurance sectors drove performance. In

addition, a significant out-of-Index allocation to common

stocks, particularly individual technology and consumer

cyclical holdings, bolstered performance. Despite a

difficult start to the year, the equity market continued to

advance throughout 2016, rallying strongly at year-end.

• The Fund maintained a meaningful underweight to

Treasuries throughout the year. This positioning,

combined with a significantly shorter duration stance,

and significantly aided relative outperformance.

• Investment grade corporates produced positive returns

overall for the year. Investment grade industrials

generated positive returns for the 12-month period,

buoyed by the recovery in the energy sector. In addition,

selection among investment grade financials also

contributed to absolute and relative performance.

Meanwhile, a small allocation to investment grade

utilities weighed on relative performance, but returns

generated within other investment grade sectors muted

the effect.

• Non-U.S.-dollar-denominated issues weighed modestly

on relative performance for the year but contributed

positively to absolute return. Positions in Mexican bonos

(fixed-rate, peso-denominated coupon bonds) were the

main detractors.

Period Performance%

Share Class I/AG USD 18.00

Barclays U.S. Aggregate Bond Index TR USD 2.65



2 Annual Short Report

Sector Breakdown

31/12/16 31/12/15Portfolio of investments % %

US Dollar Denominated Bonds 73.50 67.38

Equities 5.02 7.34

Mexican Peso Denominated Bonds 2.84 2.15

Norwegian Krone Denominated Bonds 2.00 1.17

Australian Dollar Denominated Bonds* 1.99 1.51

Preference Shares 1.93 2.64

Euro Denominated Bonds 1.86 2.47

Icelandic Krona Denominated Bonds 1.24 0.63

Canadian Dollar Denominated Bonds 0.61 5.29

Brazilian Real Denominated Bonds – 0.67

New Zealand Dollar Denominated Bonds* – 2.55

Sterling Denominated Bonds – 1.44

Derivatives (2.12) (0.49)

Investment assets 88.87 94.75

Net other assets 11.13 5.25

Total net assets 100.00 100.00

* Prior Year Comparative restated.

Top Ten Holdings31/12/16

%

United States Treasury Note 0.01% 22/06/2017 3.95

Intel 2.81

Chesapeake Energy 4.875% 15/04/2022 2.66

Telecom Italia Capital 6% 30/09/2034 2.39

Hexion Nova Scotia Finance 9% 15/11/2020 2.23

ArcelorMittal 7.75% 01/03/2041 2.09

Norway Government Bond 4.5% 22/05/2019 2.00

Morgan Stanley 4.75% 16/11/2018 1.99

Corning 1.97

Meccanica USA 6.25% 15/01/2040 1.97

31/12/15%





Intel 3.83

Canadian Government Bond 1% 01/08/2016 3.32

Portugal Government International Bond 5.125% 15/10/2024 2.32

General Electric Capital 4.25% 17/01/2018 1.59

Weyerhaeuser 6.375% 01/07/2016 1.58

Alcatel-Lucent USA 6.45% 15/03/2029 1.48

Portfolio MovementsFor the year ended 31 December 2016

£’000

Total purchases for the year 11,939

Major Purchases Cost

United States Treasury Note 0.75% 30/04/2018 1,970





Ford Motor 4.389% 08/01/2026 900

United States Treasury Note 0.5% 31/07/2017 740

United States Treasury Note 0.01% 22/06/2017 739

Amer Airline 5.25% 15/07/2025 304

Santander Issuances 5.179% 19/11/2025 275

£’000

Total sales for the year 29,058

Major Sales Proceeds










Canadian Government 1% 01/08/2016 1,145

The Fund has a valuation currency in USD and this has been

converted to GBP.

Portfolio Credit Rating AnalysisMarket Total net

Value assetsBonds: £'000 %

Investment grade 2,498 12.16

Non-Investment grade 13,033 63.54

Unrated 1,712 8.34

Total of debt securities 17,243 84.04

Preference shares 393 1.93

Equities 1,030 5.02

Forward currency contracts (442) (2.12)

Investment assets(including investment liabilities) 18,224 88.87

Net other assets 2,282 11.13

Net assets 20,506 100.00




Net asset value and ongoing charges figureFinal 31/12/16 Final 31/12/15 Final 31/12/14

I/A (GBP) – Net Shares (p) (p) (p)

Opening net asset value per share 101.76 105.06 98.58

Closing net asset value per share – 101.76 105.06

PerformanceReturn after charges† 6.01% (2.28%) 7.49%

Operating charges 0.65% 0.65% 0.65%

I/A (GBP) – Net shares is currently dormant with no active shareholders.

Final 31/12/16 Final 31/12/15 Final 31/12/14I/A (USD) – Net Shares (c) (c) (c)





I/A (USD) – Net shares is currently dormant with no active shareholders.

Final 31/12/16 Final 31/12/15 Final 31/12/14I/DG (GBP) – Gross Shares (p) (p) (p)


Closing net asset value per share 126.06 92.83 99.13



Final 31/12/16 Final 31/12/15 Final 31/12/14I/AG (USD) – Gross Shares (c) (c) (c)





† This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given

unit class in the period compared to the equivalent for the prior period, the price per the financial statements values the fund on a bid-price basis. the financial statements unit class valuation is

based on market prices on the last day of the period, which can differ from the intraday pricing point of the Fund.


H-I/AG (EUR) – Gross Shares (c) (c) (c)





Final 31/12/16 Final 31/12/15 Final 31/12/14H-I/DG (EUR) – Gross Shares (c) (c) (c)





Final 31/12/16 Final 31/12/15 Final 31/12/14H-N/A (GBP) – Net Shares (p) (p) (p)





Final 31/12/16 Final 31/12/15 Final 31/12/14N/D (GBP) – Net Shares (p) (p) (p)












H-N/D (GBP) – Net Shares (p) (p) (p)





Final 31/12/16 Final 31/12/15 Final 31/12/14H-Q/A (GBP) – Net Shares (p) (p) (p)



PerformanceReturn after charges† (4.68%) (5.23%) 5.29%


H-Q/A (GBP) – Net shares is currently dormant with no active shareholders.

Final 31/12/16 Final 31/12/15 Final 31/12/14Q/AG (USD) – Gross Shares (c) (c) (c)





Q/AG (USD) – Gross shares is currently dormant with no active shareholders.

Final 31/12/16 Final 31/12/15 Final 31/12/14H-I/D (GBP) – Net Shares (p) (p) (p)



PerformanceReturn after charges† 4.46% (7.11%) (4.58%)


H-I/D (GBP) – Net shares were launched on 1 September 2014.

H-I/D (GBP) – Net Shares is currently dormant with no active shareholders.








H-I/A (GBP) – Net Shares (p) (p) (p)





H-IA (GBP) – Net shares were launched on 1 September 2014.

H-IA (GBP) – Net shares is currently dormant with no active shareholders.

Final 31/12/16 Final 31/12/15 Final 31/12/14I/D (GBP) – Net Shares (p) (p) (p)





I/D (GBP) – Net shares were launched on 1 September 2014.

I/D (GBP) – Net shares is currently dormant with no active shareholders.










Distribution in pence and cents per share

Distributions Distributionspaid/payable to paid to

28/02/2017 29/02/2016

I/A (GBP) – Net Shares (p) (p)

First interim shares 0.2776 0.3435

Second interim shares 0.3483 0.2987

Third interim shares – 0.3768

Fourth interim shares – 0.2697

Fifth interim shares – 0.2958

Sixth interim shares – 0.2965

Seventh interim shares – 0.2846

Eighth interim shares – –

Ninth interim shares – –

Tenth interim shares – –

Eleventh interim shares – 1.2113

Final shares – 0.2250


28/02/2017 29/02/2016

I/A (USD) – Net Shares (c) (c)








Eighth interim shares – 0.2376

Ninth interim shares – 0.2316

Tenth interim shares – 0.1826




28/02/2017 29/02/2016

I/DG (GBP) – Gross Shares (p) (p)



Third interim shares 0.4094 0.4444

Fourth interim shares 0.3691 0.3154

Fifth interim shares 0.4608 0.3444

Sixth interim shares 0.5162 0.3446

Seventh interim shares 0.4509 0.2968

Eighth interim shares 0.5269 0.3096

Ninth interim shares 0.4653 0.3253

Tenth interim shares 0.5033 0.2628

Eleventh interim shares 0.3887 0.3424

Final shares 0.2712 0.4043

Distribution TableFor the year ended 31 December 2016






28/02/2017 29/02/2016

I-AG (USD) – Gross Shares (c) (c)














28/02/2017 29/02/2016

H-I/AG (EUR) – Gross Shares (c) (c)














28/02/2017 29/02/2016

H-I/DG (EUR) – Gross Shares (c) (c)



















28/02/2017 29/02/2016

H-N/A (GBP) – Net Shares (p) (p)














28/02/2017 29/02/2016

N/D (GBP) – Net Shares (p) (p)














28/02/2017 29/02/2016

H-N/D (GBP) – Net Shares (p) (p)



















28/02/2017 29/02/2016

H-Q/A (GBP) – Net Shares (p) (p)

First interim shares – 0.3678

Second interim shares – 0.3226












28/02/2017 29/02/2016

Q/AG (USD) – Gross Shares (c) (c)














28/02/2017 29/02/2016

H-I/D (GBP) – Net Shares (p) (p)



















28/02/2017 29/02/2016

H-I/A (GBP) – Net Shares (p) (p)














28/02/2017 29/02/2016

I/D (GBP) – Net Shares (p) (p)















Loomis Sayles U.S. Equity Leaders Fund


Investment objective:The investment objective of Loomis Sayles U.S. Equity

Leaders Fund (the “Fund”) is to achieve long-term growth of

capital.


80% of its assets in equity securities of U.S. companies. The

Fund focuses on stocks of large capitalisation companies,

but the Fund may invest in companies of any size.

The Fund’s equity investments include common stocks,

preferred stocks and equity-related instruments.

The Fund may invest up to 20% of its assets in equity-linked

notes and convertible bonds issued by U.S. companies as

well as common stocks, preferred stocks, equity-linked

notes, convertible bonds and other equity-related

instruments issued by non-U.S. companies traded on non-

U.S. exchanges or as depositary receipts. The Fund may

invest no more than 10% of its assets in undertakings for

collective investment.

The Fund normally invests across a wide range of sectors

and industries. Loomis, Sayles & Company, L.P., the

Investment Manager, employs a growth style of equity

management that emphasises companies with sustainable

competitive advantages, secular long-term cash flow growth,

returns on invested capital above their cost of capital and the

ability to manage for profitable growth that can create long-

term value for Shareholders. The Investment Manager aims

to invest in companies when they trade at a significant

discount to the estimate of intrinsic value.


Fund Manager’s ReportThe Fund underperformed its Comparative Index in the

12-month period ended 31 December 2016.

• Qualcomm, Cisco and Facebook were among the largest

positive contributors during the year. Stock selection in

the consumer discretionary, industrials and information

technology sectors, along with allocation in the

information technology and consumer discretionary

sectors, contributed positively to relative performance.

• Novo Nordisk, Regeneron and Greenhill were among the

largest detractors during the year. Stock selection in the

healthcare, consumer staples, financials and energy

sectors and allocation to the energy, financials, industrials

and consumer staples sectors detracted from relative

performance.

Period Performance%

Share Class N/A GBP 27.91

S&P 500 Index TR GBP 33.55

Risk and Reward Profile

The risk and reward category is indicated using historical data

which may not be a reliable indicator of the Fund’s future risk

profile. Due to its investment in equity markets, the Fund

may experience significant range and frequency of price

movements (volatility), as expressed by its rank on the above

scale.

The risk category shown is not guaranteed and may shift

over time. There is no capital guarantee or protection on the

value of the Fund. The lowest category does not mean “risk

free”.

Sector Breakdown


Information Technology 35.52 35.23

Consumer Discretionary 15.28 16.41

Consumer Staples 12.99 16.90

Health Care 12.88 11.44

Industrials 9.84 6.64

Financials 9.29 9.72

Energy 2.74 2.38





%

Amazon.com 6.43

Facebook 5.83

Cisco Systems 5.28

Visa 5.02

Qualcomm 4.69

Oracle 4.65

Alibaba ADR 4.15

Monster Beverage 3.77

Procter & Gamble 3.42

Coca-Cola 3.36

Lower risk

Typically lower rewards

Higher risk

Typically higher rewards

1 2 3 4 5 6 7





%

Amazon.com 6.90

Facebook 5.75

Visa 5.28

Cisco Systems 5.16

Oracle 4.72

Monster Beverage 4.31

Alibaba ADR 3.96

Qualcomm 3.75

Coca-Cola 3.70

Procter & Gamble 3.41


£’000



Alibaba ADR 11,161

Facebook 9,848

Amazon.com 9,637

Novo Nordisk ADR 9,609

Visa 8,529

Cisco Systems 8,250

Danone ADR 8,150

Oracle 7,980

Regeneron Pharmaceuticals 7,555

Monster Beverage 6,958

£’000



ARM ADR 7,429

SABMiller ADR 6,104

Alibaba ADR 4,938

Danone ADR 4,099

Novo Nordisk ADR 3,185

Novartis ADR 2,293

Lowe’s 1,943

Amazon.com 1,238

Facebook 837

Cisco Systems 733

Stocks shown as ADRs represent American Depositary

Receipts.

The fund has a valuation currency in USD and this has been

converted to GBP.

Review of Fund Performance

Annual Short Report14







PerformanceReturn after charges† 28.18% 16.11% 18.60%







Final 31/12/16I/D (GBP) – Net Shares (p)

Opening net asset value per share 100.00

Closing net asset value per share 102.20

PerformanceReturn after charges† 2.30%

Operating charges 0.80%

I/D (GBP) – Net shares were launched on 28 September 2016.

Final 31/12/16 Final 31/12/15 Final 31/12/14N/A (GBP) – Net Shares (p) (p) (p)








Annual Short Report 15




Q/A (GBP) – Net Shares (p) (p) (p)





Final 31/12/16 Final 31/12/15 Final 31/12/14Q/A (USD) – Net Shares (c) (c) (c)









Distributions Distributions paid/payable to paid to

29/02/2017 28/02/2016






Final shares 0.1010 –

N/A (GBP) – Net Shares (p) (p)


Q/A (GBP) – Net Shares (p) (p)


Q/A (USD) – Net Shares (c) (c)






H2O MultiReturns Fund


Investment objective: The H2O MultiReturns Fund (the “Fund”) seeks to outperform

1-month GBP LIBOR by 4% p.a. over a recommended

investment horizon of 3 years, less the ongoing charges figure.

Principal investment strategy: In order to meet its objective, the Fund seeks diversification of

its assets among asset classes, markets, strategies and time

horizons and does so within a risk allocation framework in the

global fixed income, equity and currency markets.

The Fund may invest up to 100% of its assets in fixed income

securities and money market instruments issued or

guaranteed by sovereign governments and corporations

including fixed income securities issued or guaranteed by

sovereign governments of non-OECD countries and fixed

income securities rated below Investment-Grade as well as

zero coupons bonds, certificates of deposit and commercial

paper.

The Fund may invest no more than 20% of its assets in

Investment-Grade collateralized bonds including asset-backed

securities and mortgage-backed securities.

In connection with its views on interest rates, the Investment

Manager may use derivatives, such as CDX, on one or more

bond markets and/or may use derivatives linked to interest

rates, such as swaps, futures, options, among others, in order

to adjust the interest rate sensitivity of the Fund’s portfolio,

which includes establishing a short position.

The Fund may invest up to 30% of its assets in equity

securities of companies on a global basis. The Fund’s equity

investments include common stocks, preferred stocks,

depositary receipts, warrants and other equity-related

instruments.

In connection with its views on equity markets, the

Investment Manager may reduce the Fund’s exposure to

equities, which includes establishing a short position, through

the use of derivatives such as futures, contracts for difference,

options, among others, on one or more stocks or stock

indexes. Any short position is limited to 30% of the Fund’s

assets.

The Fund may invest up to 10% of its net assets in collective

investment schemes. The Fund will also invest in derivative

instruments in order to gain exposure to these assets

including CDS, CDX, contracts for difference, swaps, futures,

forwards and options, as further detailed in the prospectus.

The Fund may be exposed to any currency including

currencies of non-OECD countries. The dynamic management

of the Fund seeks to extract performance in different market

environments. To this end, H2O Asset Management, the

Investment Manager determines its market views based on

macroeconomic, valuation and flow considerations among

various financial markets in order to establish the investment

strategy and takes long and short positions across global debt,

equity and currency markets.

The Fund’s performance is expected primarily from

investment strategies that seek to capture relative trends

among markets (implemented through relative value positions

and arbitrage strategies). Strategies that seek to benefit from

the general direction of the markets (directional strategies) are

secondary sources of performance.

In the implementation of the investment strategy, the

Investment Manager makes judgments on asset class

valuations, interest rate movements and currencies and

expresses those judgments through various types of

investment decisions. Investment decisions reflecting the

Investment Manager’s judgment that a certain investment has

a more attractive valuation than another are expected to make

a profit as those valuations return to what the Investment

Manager believes are normal levels; these decisions are

typically known as a relative value or arbitrage strategies.

Investment decisions reflecting the Investment Manager’s

judgment that a certain investment is over- or under-valued are

expected to make a profit as the investment’s price falls or

rises; these are typically known as directional strategies.

For a more complete description of the risks relevant toeach Fund, please refer to the latest version of theCompany Prospectus.

Fund Manager’s ReportIn 2016 H2O MultiReturns (I/A share-class in GBP) posted a

positive net absolute performance of +0.30% vs. an advance

of +0.42% for the 1-month GBP LIBOR (compounded daily)

Below is a breakdown of the main contributors to the 2016

performance.

Global sovereign bonds: -2.2%• The short G4 duration exposure posted a loss as bonds

outperformed particularly during the first half of 2016;

• The G4 bond market allocation (short 10y-US Treasuries

– long 10y-Bunds) and the yield curve allocation

(flattening of the US and European yield curves) ended

the year in positive territory;

• The long European peripheral debt exposure ended the

year as a positive contributor as the team’s tactical

management of the positions led to a net positive.




Currencies: +1.2%The performance delivered on foreign exchange markets

originated from:

• The long exposure to the USD vs. the rest of the world’s

currencies;

• Overall of the intra-bloc positions detracted from the

performance, namely the long MXN peso versus USD;

• The short emerging currencies, which were made up

mainly of a basket of Asian currencies, also detracted

from the performance despite a strong rally in Q4.

Equities: +0.6%The equity exposure of the fund was dynamically managed

and after starting the year with a long exposure, we finished

the year overall short.

• The equity market allocation (long EuroStoxx & Nikkei

versus S&P and FTSE) ended up as a negative

contributor as did the short defensives versus long

cyclicals.

• The long-short equity engine added to the performance

over the year.

Credit: +0.9%• The relatively small positive exposure to corporate credit

added to the performance over the year.

Period Performance%

Share Class I/A GBP 0.30

1 Month GBP Libor Index 0.42


The risk and reward category of the Fund is indicated using

historical data which may not be a reliable indicator of the

Fund’s future risk profile.

Due to its exposure to derivatives, the Fund may experience

significant range and frequency of price movements

(volatility), as expressed by its rank on the above scale.




free”.

The risks of the Fund are managed through the use ofthe “absolute Value-at-Risk” method due to its extensiveuse of derivatives.


£’000


Major purchases

Land Securities 0% 23/03/2016 29,980

Legal & General 0% 11/08/2016 29,952

Weir 0% 08/02/2016 29,943

Hellenic Republic Government Bond 4.75% 17/04/2019 17,334

DGZ Dekabank 0% 03/03/2016 16,987

Legal & General 0% 12/09/2016 9,997

Land Securities 0% 29/02/2016 9,995

SSE 0% 08/02/2016 9,995

Mitsubishi Corporation Finance 0% 11/01/2017 9,994

BP Capital Markets 0% 21/06/2016 9,989

£’000


Major sales

Weir 0% 08/02/2016 35,000

Land Securities 0% 23/03/2016 25,000

Santander Commercial Paper 0% 29/01/2016 20,000

SSE 0% 18/02/2016 20,000

Legal & General 0% 11/08/2016 20,000

Land Securities 0% 29/01/2016 18,000

DGZ Dekabank 0% 03/03/2016 17,000

Hellenic Republic Government Bond 4.75% 17/04/2019 11,077

Commerzbank 0% 15/072016 10,000

BBVA Senior Finance Sociedad 0% 07/11/2016 10,000

1 2 3 4 5 6 7

Lower risk


Higher risk



Sector Breakdown


Euro Denominated Bonds 44.74 37.99

Sterling Denominated Bonds 24.57 34.16

US Dollar Denominated Bonds 7.58 2.89

Mexican Peso Denominated Bonds 1.64 0.35

Futures 0.32 0.33

Options 0.04 0.15

Australian Dollar Denominated Bonds – 0.11

Forward Currency Contracts (0.17) (1.10)





%

Hellenic Republic Government Bond 4.75% 17/04/2019 8.86

Portugal Obrigacoes do Tesouro 2.875% 15/10/2025 8.49

Land Securities 0% 09/01/2017 4.32

Mitsubishi Corporation Finance 0% 11/01/2017 4.32

Legal & General 0% 13/02/2017 4.32

Sumitomo Trust and Banking 0% 14/03/2017 4.32


Italy Buoni Poliennali del Tesoro 4.75% 01/09/2044 3.53


Bank of Montreal 0% 21/02/2017 2.11

31/12/15%



Hellenic Republic Government Bond 4.75% 17/04/2019 4.66

Italy Buoni Poliennali Del Tesoro 4.75% 01/09/2044 4.48

Santander Commercial Paper 0% 29/01/2016 4.30

SSE 0% 18/02/2016 4.30

SBAB Statens Bostadsfinansier 0% 14/01/2016 3.44

Paccar Financial Europe 0% 15/01/2016 3.44


Land Securities 0% 29/01/2016 2.15

Portfolio Credit Rating AnalysisMarket Total net

Value assetsBonds: £'000 %

Investment grade 40,048 17.32

Non-Investment grade 91,927 39.75

Unrated 49,692 21.46

Total of debt securities 181,667 78.53

Forward currency contracts (484) (0.17)

Futures 710 0.32

Options 104 0.04

Investment Assets (including investment liabilities) 181,997 78.72

Net other assets 49,202 21.28

Net assets 231,199 100.00














Final 31/12/16 Final 31/12/15 Final 31/12/14N/D (GBP) – Net Shares (p) (p) (p)





Final 31/12/16 Final 31/12/15 Final 31/12/14I/D (GBP) – Net Shares (p) (p) (p)








Annual Short Report 21




N/A (GBP) – Net Shares (p) (p) (p)





Final 31/12/16 Final 31/12/15 Final 31/12/14Q/A (GBP) – Net Shares (p) (p) (p)

Opening net asset value per share – 116.39 102.90

Closing net asset value per share – – 116.39

PerformanceReturn after charges† – 17.99% 13.77%

Operating charges – –% 0.25%

Q/A (GBP) – Net shares were launched on 16 October 2013 and closed on 15 September 2015.








Distribution in pence per share


28/02/2017 29/02/2016


Interim shares 0.9967 1.0041












Interim shares – 1.2863

Final shares – –


Harris Associates Global Concentrated Equity Fund


Investment objective:The investment objective of Harris Associates Global

Concentrated Equity Fund (the “Fund”) is to achieve long-

term growth of capital.

Principal investment strategyIn order to meet its objective, the Fund will invest at least

80% of its assets in equity securities of companies around

the world quoted on Eligible Markets, including emerging

markets. The Fund may invest in companies with a market

capitalization greater than $5 billion at the time of initial

purchase.

The Fund’s equity investments include common stocks,

preferred stocks and equity-related instruments such as

warrants, rights, equity-linked notes and convertible bonds,

as well as depositary receipts for any of those equity

investments.

The Fund may invest up to 20% of its assets in cash, cash

equivalents or other types of securities other than those

described above, including, where permitted in accordance

with FCA Rules, Rule 144A securities. The Fund may invest

no more than 10% of its assets in collective investment

schemes. The Fund may invest no more than 10% of its

assets in unlisted securities.

The Fund is actively managed and seeks to hold a limited

number of securities resulting in a concentrated portfolio.

The Fund will generally have approximately 20 securities in

its portfolio, but may hold more or less securities depending

on investment opportunities. Investing in a limited number of

securities could result in less diversification than funds that

invest in a larger number of securities.

The Investment Manager, Harris Associates, uses a value

investment philosophy in selecting equity securities. This

investment philosophy is based upon the belief that, over

time, a company’s stock price converges with the company’s

intrinsic or true business value. By “true business value”, the

Investment Manager means an estimate of the price a

knowledgeable buyer would pay to acquire the entire

business. The Investment Manager uses this value

philosophy to identify companies that it believes have

discounted stock prices compared to the companies’ true

business values, and thus present the best opportunity to

achieve the Fund’s investment objective.

On an ancillary basis, the Fund may use derivatives for

hedging and investment purposes and enter into securities

lending and borrowing transactions as well as repurchase

agreements transactions and reverse repurchase

agreements, as described in Appendix 1 above (and

exceptionally up to 100%).

Under certain exceptional market conditions, the Fund may

hold a significant amount of its assets in cash and/or invest in

short-term debt securities, time deposits or money market

instruments, if the Investment Manager believes that it

would be in the best interest of the Fund and its

Shareholders. When the Fund is pursuing a defensive

strategy, it will not be pursuing its investment objective.


Fund Manager’s ReportPerformanceThe portfolio outperformed its benchmark for the reporting

period, returning 18.4% compared to the MSCI World Index

that returned 7.5%.

Portfolio Activity• The portfolio’s outperformance for the reporting period

was driven by stock selection, as country weights

detracted from relative results. Stock selection in

Switzerland, the U.K. and the U.S. produced the

strongest relative performance.

• Relative performance was pulled back most by stock

selection in Germany and a lack of exposure to Canada.

• Absolute collective performance was positive in seven of

eight invested countries. Holdings in South Korea

(+40.6%) delivered the largest positive collective return

for the period, followed by France (+33.6%) and

Switzerland (+33.4%).

• Holdings in Germany supplied the only negative absolute

collective performance for the reporting period of -5.4%.

• The top five stocks that helped performance for the

reporting period: Glencore (Switzerland), Caterpillar

(U.S.), Cummins (U.S.), LafargeHolcim (Switzerland) and

Samsung Electronics (South Korea).

• The five stocks that hindered performance most for the

reporting period: Credit Suisse Group (Switzerland),

Daimler (Germany), Richemont (Switzerland), Apple

(U.S.) and Allianz (Germany).

• The portfolio finished the year holding 21 securities

throughout a variety of countries.

Period Performance%

Share Class I/A USD 18.41

MSCI World NR USD 7.51






The risk and reward category of the Fund is indicated using

historical data which may not be a reliable indicator of the

Fund’s future risk profile. Due to its investment in fixed

income markets, the Fund may experience significant range

and frequency of price movements (volatility), as expressed

by its rank on the above scale.

The risk category shown is not guaranteed and may shift over

time. There is no capital guarantee or protection on the value

of the Fund. The lowest category does not mean “risk free”.

Sector Breakdown31/12/16 31/12/15

Portfolio of investments % %

United States of America 34.15 36.68

Switzerland 13.72 10.53

United Kingdom 12.49 6.36

Germany 10.24 11.58

The Netherlands 9.71 9.32

The Channel Islands 5.90 5.13

Japan 3.87 10.61

France 2.71 4.82

South Korea 2.70 4.26





%

CNH Industrial 6.37

Glencore 5.90

Credit Suisse 5.85

General Motors 5.33

Daimler 5.32

Alphabet ‘A’ Shares 5.26

Lloyds Banking 5.02

HCA 4.92

Allianz 4.92

American International 4.88


%

American International 7.19

Credit Suisse 6.10

Daimler 6.07

General Motors 5.91

Toyota Motor 5.81

Allianz 5.51

Glencore 5.13

Caterpillar 5.04

CNH Industrial 4.92

Kering 4.82


£’000



Credit Suisse 3,965

Glencore 3,657

Daimler 3,627

Lloyds Banking 3,626

CNH Industrial 3,602

HCA 3,561

American International 3,548

Alphabet ‘A’ Shares 3,504

Diageo 3,369

General Motors 3,341

£’000



Daiwa Securities 2,053

Cummins 1,774

American International 1,566

Glencore 1,412

Caterpillar 1,209

Daimler 1,034

Kering 1,033

Koninklijke Philips 972

Samsung Electronics 926

Toyota Motor 912

The fund has a valuation currency in USD and this has been

converted to GBP.

Lower risk


Higher risk


1 2 3 4 5 6 7










I/A (GBP) – Net shares were launched on 8 July 2014.






I/A (USD) – Net shares were launched on 8 July 2014.

Final 31/12/16 Final 31/12/15 Final 31/12/14N/A (GBP) – Net Shares (p) (p) (p)





N/A (GBP) – Net shares were launched on 8 July 2014.

Final 31/12/16 Final 31/12/15 Final 31/12/14Q/A (USD) – Net Shares (c) (c) (c)





Q/A (USD) – Net shares were launched on 8 July 2014.

Q/A (USD) – Net shares is currently dormant with no active shareholders.








N/A (USD) – Net Shares (c) (c) (c)





N/A (USD) – Net shares were launched on 8 July 2014.










28/02/17 29/02/16







Q/A (USD) – Net Shares (c) (c)


N/A (USD) – Net Shares (c) (c)



Seeyond Factor Plus Europe Ex U.K. Equity Fund


Investment objective:The investment objective of Seeyond Factor Plus Europe Ex

U.K. Equity Fund (the “Fund”) is to seek to provide capital

growth over a long term horizon.


80% of its assets in equity securities of companies listed on

Developed Eligible Markets within Europe excluding the U.K.

The Fund may invest in companies of any size.

The Fund’s equity investments may include, but are not

limited to, common stocks, preferred stocks and equity-

related instruments such as warrants, rights, equity-linked

notes and convertible bonds.

The Fund may also invest up to 20% of its assets in cash,

cash equivalents or other types of transferable securities


more than 10% of its assets in collective investment



In seeking to achieve the investment objective, Natixis Asset

Management S.A. (the “Investment Manager”) uses a Factor

Based Investing process to select equity securities from a

defined Investment Universe. The Investment Manager’s

process will dynamically allocate between multiple factors to

build a diversified portfolio that seeks to provide risk adjusted

capital returns.


Fund Manager’s ReportOver 2016, Seeyond Factor Plus Europe ex-UK achieved a

performance net of fees (N/A GBP share class) of +14.81%,

against +18.62% for the MSCI Europe ex UK index.

From the beginning of the year up to February, the Fund was

mainly positioned on the Momentum factor (30.1% of the

weighting) and 75% of the tracking error risk taking. Other

factors value/Low volatility/Small caps represent only 25%

(5.8%, 7.1% and 5.3% in weighting). The weighting from

February switched towards the sentiment portfolio: 25% of

risk taking on Momentum and 75% on the other three

factors.

Period Performance%

Share Class N/D GBP 14.16

MSCI Europe ex U.K. TR GBP 19.65







scale.




free”.

For further information on specific risks applicable to each

Fund, please refer to the latest version of the Prospectus.

Sector Breakdown


France 19.39 17.18

Switzerland 18.85 17.79

Germany 17.09 22.29

Spain 9.67 7.74

Italy 8.96 4.49

The Netherlands 8.49 6.64

Sweden 4.63 4.24

Denmark 2.97 7.45

Finland 1.70 1.76

Norway 1.43 0.70

Belgium 1.36 2.42

Luxembourg 1.14 0.47

Ireland 0.45 3.07

Portugal 0.31 0.35

United Kingdom 0.29 0.60

Malta 0.26 –

Austria 0.22 1.48

Bermuda – 0.27




Lower risk


Higher risk


1 2 3 4 5 6 7





%

Nestle 2.93

Roche 1.95

Novartis 1.90

SAP 1.59

TOTAL 1.28

Siemens 1.12

ABB 1.12

Banco Santander 1.10

Iberdrola 1.07

Air Liquide 1.05


%

Nestle 3.12

Novartis 2.60

Roche 2.48

International Consolidated Airlines 1.77

Novo Nordisk 1.47

SAP 1.44

Total 1.29

Vestas Wind Systems 1.27

Sanofi 1.22

Fresenius 1.15

Portfolio movementsFor the year ended 31 December 2016

£’000


Major purchases Cost

STADA Arzneimittel 175

NN 157

Banca Popolare dell'Emilia Romagna 156

Banca Popolare di Milano 154

Wolters Kluwer 152

Ageas 145

Banca Monte dei Paschi di Siena 133

Temenos 130

SBM Offshore 129

UBISOFT Entertainment 120

£’000


Major sales Proceeds

Nestle 275

Novartis 237

STADA Arzneimittel 224

DSV 219

Roche 215

NN 180

Capgemini 177

SAP 174

Novo Nordisk 174

International Consolidated Airlines 172


Net asset value and ongoing charges figureFinal 31/12/16 Final 31/12/15


Opening net asset value per share 98.43 100.00

Closing net asset value per share 109.49 98.43

PerformanceReturn after charges† 14.36% 0.72%

Operating charges 0.45% 0.45%

N/D (GBP) – Net shares were launched on 27 January 2015.

Final 31/12/16 Final 31/12/15N/A (GBP) – Net Shares (p) (p)





N/A (GBP) – Net shares were launched on 27 January 2015.

Final 31/12/16 Final 31/12/15Q/A (GBP) – Net Shares (p) (p)





Q/A (GBP) – Net shares were launched on 27 January 2015.








Distributions Distributionspaid/payable paid

to 28/02/17 to 29/02/16





to 28/02/17 to 29/02/16





to 28/02/17 to 29/02/16










Distribution TableFor the period 27 January 2015 to 31 December 2015


Seeyond Factor Plus U.K. Equity Fund


Investment objective: The investment objective of Seeyond Factor Plus U.K. Equity

Fund (the “Fund”) is to seek to provide capital growth over a

long term horizon.

Principal investment strategy: In order to meet its objective, the Fund will invest at least

80% of its assets in equity securities of companies listed on

Eligible Markets within the U.K. The Fund may invest in

companies of any size.

The Fund’s equity investments may include, but are not

limited to, common stocks, preferred stocks and equity-

related instruments such as warrants1, rights2, equity-linked

notes3 and convertible bonds.

The Fund may also invest up to 20% of its assets in cash,

cash equivalents or other types of transferable securities


more than 10% of its assets in collective investment



In seeking to achieve the investment objective, Natixis Asset

Management S.A. (the “Investment Manager”) uses a Factor

Based Investing process to select equity securities from a

defined Investment Universe7. The Investment Manager’s

process will dynamically allocate between multiple factors to

build a diversified portfolio that seeks to provide risk adjusted

capital returns.


Fund Manager’s ReportOver 2016, Seeyond Factor Plus UK achieved a performance

net of fees (N/A GBP share class) of +5.64%, against

+16.75% for the index FTSE All-Share TR GBP.

From the beginning of the year to February, the Fund was

mainly positioned on the Momentum factor (20% of the

weighting) and 75% of the tracking error risk taking. Other

factors value/Low volatility/Small caps only represented 25%

(5.8%, 6.7% and 6.3% in weighting). The weighting from

February is reversed: 25% of risk taking on momentum and

75% on the other three factors. During the second quarter,

the split remained unchanged. The major source of

underperformance came from fund positioning over the

Brexit period, where we witnessed an unprecedented crash

of the Value and Small Cap factors combined over a few

days.

Period Performance%

Share Class N/D GBP 5.44

FTSE All Share TR GBP 16.75







scale.




free”.

For further information on specific risks applicable to each

Fund, please refer to the latest version of the Prospectus.

Lower risk


Higher risk


1 2 3 4 5 6 7




The sub-fund launched on 27 January 2015 so there are no

prior year comparatives.

Sector Breakdown


Industrials 17.93 17.28

Financials 17.75 25.12

Consumer Services 14.20 14.62

Oil & Gas 12.90 7.52

Basic Materials 12.77 3.82

Consumer Goods 10.63 13.57

Health Care 5.91 6.38

Utilities 2.80 3.75

Telecommunications 2.29 4.90

Technology 1.32 2.02





%

HSBC 4.59

Royal Dutch Shell ‘A’ Shares (GBP) 3.80

BP 3.35

Royal Dutch Shell ‘B’ Shares 3.10

British American Tobacco 2.84

Rio Tinto 2.29

BHP Billiton 2.05

Glencore 2.03

GlaxoSmithKline 1.99

Tesco 1.56


%

HSBC 3.86

GlaxoSmithKline 2.55

BP 2.36

British American Tobacco 2.29

AstraZeneca 2.22

Royal Dutch Shell ‘A’ Shares (GBP) 2.17

Vodafone 2.03

Lloyds Banking 1.89

Diageo 1.56

Reckitt Benckiser 1.47

Portfolio movementsFor the year ended 31 December 2016

£’000



British American Tobacco 177

Royal Dutch Shell ‘A’ Shares (GBP) 176

Just Eat 157

HSBC 153

Petrofac 151

GlaxoSmithKline 146

Travis Perkins 144

Royal Dutch Shell ‘B’ Shares 143

Imperial Tobacco 123

Royal Dutch Shell ‘A’ Shares (EUR) 119

£’000



HSBC 324

GlaxoSmithKline 320

British American Tobacco 295

Royal Dutch Shell ‘A’ Shares (GBP) 257

AstraZeneca 252

Vodafone 244

BP 220

Imperial Tobacco 204

SABMiller 195

Halma 181





Net asset value and ongoing charges figureFinal 31/12/16 Final 31/12/15






N/D (GBP) – Net shares were launched on 27 January 2015.

Final 31/12/16 Final 31/12/15N/A (GBP) – Net Shares (p) (p)





N/A (GBP) – Net shares were launched on 27 January 2015.

Final 31/12/16 Final 31/12/15Q/A (GBP) – Net Shares (p) (p)





Q/A (GBP) – Net shares were launched on 27 January 2015.





Distribution Distributionpaid/payable paid

to 28/02/17 to 29/02/2016





to 28/02/17 to 29/02/2016





to 28/02/17 to 29/02/2016










Distribution TableFor the period 27 January 2015 to 31 December 2015


Company Information


Head OfficeOne Carter Lane

London EC4V 5ER

AdministratorState Street Bank and Trust CompanyA

20 Churchill Place

Canary Wharf

London E14 5HJ

Transfer Agent and RegistrarInternational Financial Data Services

(UK) Limited

St Nicholas Lane Basildon

Essex SS15 5FS

DepositaryState Street Trustees Ltd.A

20 Churchill Place

Canary Wharf

London E14 5HJ

A Authorised and Regulated by the Financial Conduct

Authority.B Registered with the US Securities and Exchange

Commission.C Authorised and Regulated by the Commission de

Surveillance du Secteur Financier.

Investment ManagersFor H2O MultiReturns Fund

H2O Asset Management L.L.P.A

10 Old Burlington Street

London W1S 3AG

For Loomis Sayles Strategic Income and Loomis Sayles U.S.

Equity Leaders Funds

Loomis Sayles & Company, L.P.B

One Financial Center

Boston, Massachusetts 021111, USA


Harris Associates L.P.B

111 South Wacker Drive, Suite 4000

Chicago, Illionois 60606, USA

For Seeyond Factor Plus Europe Ex U.K. Equity Fund


Natixis Assets Management S.A.

21 quai d’Austerlitz

75634 Paris, France

Authorised Corporate DirectorNGAM S.A.C

2 Rue Jean Monnet

L-2180 Luxembourg

Independent AuditorPricewaterhouseCoopers LLP

Atria One

144 Morrison Street

Edinburgh EH3 8EX




Ref erences in this document to any fund do not constitute an

offer or invitation to subscribe to shares in such a fund. We

recommend you obtain detailed information before the

purchase of shares. Subscriptions to a fund may only be made

on the basis of the current Prospectus or Key Investor

Information Document (KIID) and the latest annual and interim

reports. Please refer also to the Risk Factors in the

Prospectus.

Past performance is not a guide to future returns. This value of

investments and any income from them is not guaranteed and

may fall as well as rise and the investor may not get back the

original investment. Exchange rate movements could increase

or decrease the value of underlying investments/holdings. The

dealing price of the fund may include a dilution adjustment.

Further details are available in the Prospectus.

SFTR disclosure has been considered and deemed not

applicable to any of the sub funds.

General Information

Please use the details below to ask for additional information, to buy or

sell investments or if you wish to contact us.

IF YOU WISH TO WRITE TO US:

NGAM S.A.

PO Box 12161

Chelmsford CM99 2DZ

United Kingdom

TO LEARN MORE ABOUT NATIXIS GLOBAL ASSET MANAGEMENT’S PRODUCTS AND SERVICES:

Telephone: 0845 2669270

email: [email protected]

Website: www.ngam.natixis.co.uk

The Long Report as of 31 December 2015 is available free of charge upon request and is also available at

the above website.


Registered No. IC 000968

Authorised and Regulated by the Financial Conduct Authority.

Registered address: Cannon Bridge House, 25 Dowgate Hill, London EC4R 2YA.

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