pictet alternative funds

PICTET ALTERNATIVE FUNDS

Investment Company with Variable Capital, Luxembourg

Annual report, including Audited Financial Statements,as at December 31, 2013

R.C.S. Luxembourg B 104 485

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PICTET ALTERNATIVE FUNDS Investment Company with Variable Capital, Luxembourg

Annual Report, including Audited Financial Statements, as at December 31, 2013


Annual Report, including Audited Financial Statements, as at December 31, 2013

No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus accompanied by the latest annual report and the most recent semi-annual report, if published thereafter.

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TABLE OF CONTENTS

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ORGANISATION OF THE SICAV 4

GENERAL INFORMATION 6

MANAGEMENT REPORT 7

REPORT OF THE RÉVISEUR D’ENTREPRISES AGRÉÉ / AUDITOR'S REPORT 12

FINANCIAL STATEMENTS

STATEMENT OF NET ASSETS 14

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS 16

NUMBER OF SHARES OUTSTANDING AND NET ASSET VALUE PER SHARE 18

Sub-fund : PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE - Statement of investments and other net assets 20 - Geographical and industrial classification of investments 22

Sub-fund : PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES (note 1) - Statement of investments and other net assets 23 - Geographical and industrial classification of investments 27

Sub-fund : PICTET ALTERNATIVE FUNDS - MOSAIC EURO - Statement of investments and other net assets 28 - Geographical and industrial classification of investments 31

Sub-fund : PICTET ALTERNATIVE FUNDS - GLOBAL - Statement of investments and other net assets 32 - Geographical and industrial classification of investments 34

Sub-fund : PICTET ALTERNATIVE FUNDS - COMMO - Statement of investments and other net assets 35 - Geographical and industrial classification of investments 36

Sub-fund : PICTET ALTERNATIVE FUNDS - DISTRESSED - Statement of investments and other net assets 37 - Geographical and industrial classification of investments 38

NOTES TO THE FINANCIAL STATEMENTS 39


ORGANISATION OF THE SICAV

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Registered Office 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Board of Directors

Chairman Mr Nicolas TSCHOPP, Senior Vice President, Pictet Funds S.A., Geneva, Switzerland (since April 16, 2013) Mr Pascal CHAUVAUX, Senior Vice President, FundPartner Solutions (Europe) S.A., Luxembourg, Grand Duchy of Luxembourg (until August 1, 2013)

Directors Mr Francesco ILARDI, Senior Vice President, Banque Pictet & Cie SA*, Geneva, Switzerland

Mrs Michèle BERGER, Managing Director, FundPartner Solutions (Europe) S.A., Luxembourg, Grand Duchy of Luxembourg (until July 31, 2013) Mr Justin EGAN, Independent Director, Carne Global Financial Services Luxembourg S.à r.l., Luxembourg, Grand Duchy of Luxembourg (since July 31, 2013) Mr Thomas NUMMER, Independent Director, Carne Global Financial Services Luxembourg S.à r.l., Luxembourg, Grand Duchy of Luxembourg (since August 1, 2013)

Management Company

Pictet Funds (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Board of Directors of the Management Company

Chairman Mr Rémy BEST, Managing Partner, Pictet Group, Geneva, Switzerland

Directors Mr Laurent RAMSEY, Group Managing Director, Pictet Funds S.A., Geneva, Switzerland

Mr Daniel WANNER, Group Managing Director, Banque Pictet & Cie SA*, Geneva, Switzerland

Conducting officers of the Management Company

Mr Laurent RAMSEY, Group Managing Director, Pictet Funds S.A., Geneva, Switzerland (until August 31, 2013)

Mr Christoph SCHWEIZER, Executive Vice President, Pictet Asset Management S.A., Geneva, Switzerland (until August 31, 2013)

Mr Cédric VERMESSE, Executive Vice President, Pictet Funds S.A., Geneva, Switzerland (until August 31, 2013)

* On January 1, 2014, Pictet & Cie changed its name to Banque Pictet & Cie SA


ORGANISATION OF THE SICAV (continued)

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Mr Nicolas TSCHOPP, Senior Vice President, Pictet Funds S.A., Geneva, Switzerland (until August 31, 2013)

Mr David MARTIN, Senior Vice President, Pictet Funds S.A., Geneva, Switzerland

Mr Alexandre RIS, Senior Vice President, Pictet Asset Management S.A., Geneva, Switzerland (until August 31, 2013)

Mr Laurent MOSER, Vice President, Pictet Funds (Europe) S.A., Luxembourg, Grand Duchy of Luxembourg

Mr Benoît BEISBARDT, Vice President, Pictet Funds (Europe) S.A., Luxembourg, Grand Duchy of Luxembourg (since September 1, 2013)

Investment Manager Banque Pictet & Cie SA*, 60, route des Acacias, CH-1211 Geneva 73, Switzerland

Custodian Bank Pictet & Cie (Europe) S.A., 15A, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Transfer Agent, Administrative Agent and Paying Agent

FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Cabinet de révision agréé/Auditor

Deloitte Audit, Société à responsabilité limitée, 560, rue de Neudorf, L-2220 Luxembourg, Grand Duchy of Luxembourg

Legal Adviser Elvinger, Hoss & Prussen, 2, Place Winston Churchill, L-1340 Luxembourg, Grand Duchy of Luxembourg



GENERAL INFORMATION

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PICTET ALTERNATIVE FUNDS (the "SICAV") publishes an annual report, including Audited Financial Statements, within four months after the end of the financial year and an unaudited semi-annual report within two months after the end of the period to which it refers.

All these reports are made available to the Shareholders free of charge at the registered office of the SICAV and from the Custodian and foreign agents involved in marketing the SICAV abroad.

Any other financial information to be published concerning the SICAV, including the monthly issue, redemption and conversion price of the shares, is available to the public at the registered office of the SICAV.

The net asset value per share, the issue price and the redemption price are available, in Luxembourg, at the registered office of the SICAV, the Custodian and foreign agents involved in marketing the SICAV abroad.

Any amendments to the articles of incorporation will be published in the Mémorial of the Grand Duchy of Luxembourg.

A detailed schedule of changes in the investments for the reporting year is available free of charge upon request at the registered office of the SICAV.


MANAGEMENT REPORT

Past performance is not an indicator of current or future returns. 7

Market Review

The anaemic yields on US and German bonds – which are viewed as safe assets – prompted investors to go in search of higher-risk assets, and the fact that the Federal Reserve and the Bank of Japan stuck with their accommodating monetary policies gave them an opportunity to do so.

But, any hint that the Fed might be about to taper its quantitative easing programme led investors to take positions in segments of the capital markets that still offered sufficient risk premiums; this included European periphery and high-yield bonds, or to turn their backs on fixed revenue and move into equities, particularly in markets buoyed by sound economies such as the US, Germany and Switzerland.

Thus, the new trend on financial markets pushed investors to pay closer attention to fundamentals, to be more selective in their asset allocation, and, within asset classes, to be careful when choosing the segment to which they wanted to be exposed.

For bonds, 2013 was a somewhat modest year rather than a great one. Government bonds posted performances that were barely positive, although there were significant differences between countries. Sovereign bonds issued by countries that are seen as safe (the US, Germany, the UK and Switzerland), which ended the year down by between 1% and 4%. In contrast, Japanese bonds and bonds denominated in euros, posted gains of more than 2%. Investment-grade corporate bonds also posted performances close to zero. Nevertheless, European corporates performed better as they were less affected by the rise in yields than their US counterparts. Without a doubt, the best performances on the capital markets were achieved by European high-yield bonds, which posted almost double-digit gains on the back of a significant fall in risk premiums.

In contrast, 2013 was a very good year for equities. This is the asset class which has posted the best performances over the past 12 months, as shown by the gains of around 20% recorded by the MSCI World index over the period. Wall Street, together with stock markets in Japan and Germany, topped the table. However, some emerging markets, including Brazil and Russia, posted negative performances. Above all, the equities rally benefited consumer discretionary, technology, financial and healthcare stocks.

PAF - World Equity Hedge

In 2013, PAF - World Equity Hedge, P share class, returned 22% for the year.

PAF - World Equity Hedge kept its main exposures to long/short equity with an average weighting over the year of 91%. Throughout the year, the portfolio allocated on average 24% to long/short US managers, 31% to long/short global managers, 27% to long/short Europe managers and 9% to long/short Asia managers.


MANAGEMENT REPORT (continued)


For equity-sensitive strategies in which PAF - World Equity Hedge invests in, the reduction in tail risk saw a “return to fundamentals” and the impressive rally in equities, globally, made for a fertile environment for many managers. Equity return dispersion and lower implied volatility levels proved particularly favourable for long/short equity managers that focus on fundamentals to determine long and short trading opportunities. On average, just 18% of the underlying managers apply a long-bias investments strategy, while a variable bias and no bias made up an average of 45% and 35% respectively. The variable bias managers returned a gross performance of 25% for the year, while long bias managers reported 18.6%, suggesting a strong case for alpha generation throughout the year.

Entering 2014, the top ten allocations now represent over 50% of the portfolio and the top 20 represent 93% of the portfolio.

PAF - Pleiad Credit Opportunities

In July 2013, PAF - Pleiad Credit Opportunities changed its investment strategy. Renamed PAF - Pleiad Credit Opportunities, the portfolio went from being a diversified multi-strategy portfolio investing in approximately 80 underlying hedge funds to a concentrated thematic portfolio focused on established credit hedge funds. As at December 2013, PAF - Pleiad Credit Opportunities allocated to 9 active managers as well as a 6% allocation to PAF - Distressed (see below).

Since its strategy reorientation on 1 July 2013, PAF - Pleiad Credit Opportunities reported a gain of 5.2% for the last six months of the year. Lehman’s liquidation and investments in structured credit such as RMBS positions were among the top contributing positions for the portfolio. Managers within the portfolio also tactically increased their allocation to European names, while very few experienced significant losses from idiosyncratic opportunities.

In the first six months of 2013, as a diversified multi-strategy portfolio, class P returned 3% for investors.

PAF- Mosaic Euro

PAF - Mosaic Euro class P, finished the year with a performance of 9.3%.

During 2013, PAF - Mosaic Euro allocated on average 21% to Long/short equity, 19% to relative value, 18% to Global Macro, 15% to Event Driven, 11% to Emerging Markets and 9% to Distressed strategies. The Commodity Trading Advisor ("CTA") allocation was trimmed from 10% in January to 5% by December, averaging 8%, the Global Macro allocation dropped by 3%, while equity hedge strategies increased by 10%.

The year began strongly for hedge funds with several dominant themes providing ample opportunities for a multi-strategy portfolio. For equity-sensitive strategies, the reduction in tail risk saw a “return to fundamentals” and made for a fertile environment for many managers. Equity return dispersion and lower implied volatility levels proved particularly favourable for long/short equity managers and these contributed 4.3% to yearly returns. For event driven funds, though M&A activity levels remained below long term historical averages, strong equity markets buoyed a number of high profile deals such as Dell’s LBO or Verizon/Vodafone USD 130 billion deal. Coupled with special situations books and credit exposures, event driven managers contributed 3.2% to PAF - Mosaic Euro.




If two macro events could describe tactical trades (Global Macro & CTA) return drivers in 2013, Japan’s reflation efforts and the Fed’s tapering talk would come out on top. Japan’s efforts to reflate its economy and the consequences of Abenomics were a source of some pain (third quarter) but mostly gains as short positions in JPY and later, long Japanese equity holdings, made up a considerable proportion of global macro’s exposures. The Fed’s tapering talk proved harder to navigate. When, in May, the Fed first alluded to a possibility that it would taper its bond purchasing programme, markets panicked even though fundamentals remained strong. Systematic CTA models were severely impacted by the sharp reversals in fixed income and FX markets that followed. Central bank policies again deeply influenced the trajectory of returns in third quarter. Dovish comments by the Fed resonated around currency markets and macro managers bullish on the US dollar, suffered as the greenback weakened against the EUR, AUD and JPY. With tapering delayed until 2014, returns by Tactical Traders improved in fourth quarter as strong trends produced attractive opportunities.

Finally credit strategies also generated decent returns in 2013. Distressed strategies, such as credit holdings in distressed names such as Lehmans, distributed proceeds throughout the year.

PAF - Global

PAF - Global, class P, finished the year with a performance of 18.5%.

PAF - Global’s hedge fund allocation had, on average, 49% allocated to long/short equity, 8% to CTA and 6% to event driven funds. Its global macro, gold and opportunistic allocation was cut in February, March and August, respectively. The remaining traditional investment component included an average of 10% to blend, 8% to value and between 4% and 5% to long-only and growth strategies.

Given a supportive environment for equity-sensitive strategies during the year, the long/short equity allocation was the largest positive contributor, adding 12% to returns in 2013. Indeed, the allocation to long/short equity was progressively increased throughout the year from 40% in January to 59% in December, as markets became increasingly conducive to fundamental stock picking. However, the detracting strategies included CTAs - who experienced an interruption of trends between May and July following uncertainty with regards to the timeline in Fed tapering – and emerging market-strategies that weighed on returns in second and third quarter.

Over the period, PAF - Global added four long/short equity funds and two traditional investments. However, the CTA and emerging markets strategies were trimmed as were growth, blend and value allocations.

PAF - Commo Fund

2013 was a difficult year for commodity markets and PAF - Commo Fund, which reported an annual performance of -7.8% (class P). While the DJ UBS Total Return Commodity Index returned -9.5% over the same period.

Throughout the year, PAF - Commo Fund maintained an important allocation to Fundamental commodity strategies, averaging 67%. In addition its allocation to global macro commodity funds grew from 14% on January 1st to 21% in December. Similarly its long/short allocation increased from 5% to 6.3%.

PICTET AL TERNATIV FUNDS

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By sector exposure, an average 36% was invested in energy specialists, 22% in agricultural specialists and 6.4% to metal specialists. The remaining allocation focused on multi-sector funds.

Despite an improvement in global economic growth, commodity markets overall experienced a very disappointing year in 2013. After two years of a relatively low volume in significant price adjustments, or trends, in 2011 and 2012, that number fell even further in 2013. Such a lack of opportunities creates challenges for the vast majority of commodity participants and contributed to the closure of some of a number of commodity hedge funds, as well as the commodity trading desks.

Though natural gas rallied 30% in 2013, energy specialists proved to be the only negative contributors in 2013, detracting a total of 6.5% from PAF - Commo Fund's performance. Unfortunately, the positive contributions by the remaining sectors were too small to have a meaningful impact on annual performance.

Going into 2014, opportunities seem to be arising both in the agriculturals complex (short grains) and in both industrial metals (declining inventories and physical tightness in Copper, Zinc, Silver) and PGMs (robust auto demand vs. production issue and strikes in South Africa). However, the range trading conditions that have prevailed in crude oil markets are expected to continue in 2014.

P AF - Distressed Fund

PAF- Distressed Fund- share class P- returned 7.9% in 2013.

In 2013, PAF - Distressed Fund allocated on average 25% to opportunistic distressed funds, 15% to long/short credit funds, 8% to structured credit and the remainder to classic distressed managers. All managers reported positive performances for the year, owing to some common themes.

The Lehman liquidation theme generated a continued stream of profits for managers throughout the year. Equity strategies also contributed. Companies that were close to bankruptcy but ultimately survived the 2008 crisis, in particular in the homebuilding sector (e:g. MBIA) or auto suppliers, generated significant returns for managers as US growth prospects improved. Classic restructurings also played there hand in the portfolio's annual returns. Names such as Edison Mission proved particularly rewarding over the course of the year. Looking ahead, a number of opportunities could prevail in 2014. Legacy assets owned by European banks - given stress tests and the need to comply with capital rations - may find a number of distressed suitors for potential restructurings. Furthermore, record issuance of European high yield could well create attractive opportunities from managers going forward.

March, 2014

Established by the Investment Manager

Approved by the Board of Directors of the SICA V

~~(' ~~ Past performance is not an indicator of current or future returns.


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REPORT OF THE RÉVISEUR D’ENTREPRISES AGRÉÉ / AUDITOR'S REPORT

To the Shareholders of

Pictet Alternative Funds Investment Company with Variable Capital, Luxembourg 15, avenue J.F. Kennedy, L-1855 Luxembourg

Following our appointment by the Annual General Meeting of the Shareholders dated April 16, 2013, we have audited the accompanying financial statements of Pictet Alternative Funds (the "SICAV") and of each of its sub-funds which comprise the statement of net assets and the statement of investments and other net assets as at December 31, 2013, the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements.

Responsibility of the Board of Directors of the SICAV for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Responsibility of the réviseur d’entreprises agréé

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the réviseur d’entreprises agréé’s judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the réviseur d’entreprises agréé considers internal control relevant to the entity’s preparation and fair presentation of the financial statements 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 entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.

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

Deloitte.

REPORT OF THE RÉVISEUR D'ENTREPRISES AGRÉÉ / AUDITOR'S REPORT (continued)

Opinion

In our opinion, the financial statements give a true and fair view of the financial position of Pictet Alternative Funds and of each of its sub-funds as of December 31, 2013, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other matter

Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.

For Deloitte Audit, Société à responsabilité limitée Cabinet de révision agréé

L. Fedrigo, Réviseur d'entreprises agréé Partner

April 14,2014 560, rue de Neudorf L-2220 Luxembourg

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STATEMENT OF NET ASSETS AS AT DECEMBER 31, 2013

The accompanying notes form an integral part of these financial statements. 14

Combined WORLD EQUITY HEDGE PLEIAD CREDIT OPPORTUNITIES (note 1)

USD USD USD

ASSETS

Investments in securities at acquisition cost 1,056,960,243.75 56,686,553.52 543,796,673.66

Net unrealised gain on investments 116,978,395.56 13,836,216.94 34,273,860.52

Investments in securities at market value (note 2.c) 1,173,938,639.31 70,522,770.46 578,070,534.18

Cash at banks 3,083,413.28 0.00 0.00

Net unrealised gain on forward foreign exchange contracts (note 9) 2,698,508.26 97,216.59 997,781.55

1,179,720,560.85 70,619,987.05 579,068,315.73

LIABILITIES

Management fee and service fee payable (note 3) 2,743,325.34 198,252.61 1,087,715.75

Bank overdraft 43,258,529.18 10,402,694.07 26,042,156.87

"Taxe d’abonnement" payable (note 6) 69,420.64 7,219.80 19,568.99

Other fees payable (note 4) 348,341.42 18,852.83 180,858.59

Loans (note 10) 6,133,850.00 0.00 0.00

52,553,466.58 10,627,019.31 27,330,300.20

TOTAL NET ASSETS AS AT DECEMBER 31, 2013 1,127,167,094.27 59,992,967.74 551,738,015.53

TOTAL NET ASSETS AS AT DECEMBER 31, 2012 1,764,843,992.15 51,525,896.62 1,206,145,540.68

TOTAL NET ASSETS AS AT DECEMBER 31, 2011 2,055,418,615.32 179,150,723.40 1,448,811,630.29


STATEMENT OF NET ASSETS AS AT DECEMBER 31, 2013

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

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MOSAIC EURO GLOBAL COMMO DISTRESSED

EUR USD USD USD

258,236,289.38 17,841,434.32 48,738,052.39 34,060,834.91

44,602,680.61 4,635,498.70 351,736.95 2,420,818.70

302,838,969.99 22,476,933.02 49,089,789.34 36,481,653.61

0.00 919,931.42 2,163,481.86 0.00

1,037,778.02 3,627.95 169,875.95 0.00

303,876,748.01 23,400,492.39 51,423,147.15 36,481,653.61

912,754.37 84,116.73 107,663.57 7,846.80

2,439,902.56 0.00 0.00 3,451,614.51

25,565.36 2,609.65 4,005.76 788.65

86,788.28 5,676.66 19,568.14 3,795.29

3,000,000.00 0.00 0.00 2,000,000.00

6,465,010.57 92,403.04 131,237.47 5,464,045.25

297,411,737.44 23,308,089.35 51,291,909.68 31,017,608.36

266,247,034.07 20,526,753.73 115,022,703.61 20,602,209.06

312,558,102.72 16,722,998.56 - -


STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2013


Combined WORLD EQUITY HEDGE PLEIAD CREDIT OPPORTUNITIES (note 1)

USD USD USD

NET ASSETS AT THE BEGINNING OF THE YEAR 1,764,843,992.15 51,525,896.62 1,206,145,540.68

INCOME

Dividends, net (note 2.h) 183,850.92 10,479.18 133,452.81

Bank interest 3,800.41 2.70 3,063.21

Other income 385,751.22 0.00 385,751.22

573,402.55 10,481.88 522,267.24

EXPENSES

Interest on loans (note 10) 201.42 1.83 7.30

Management fee and service fee (note 3) 14,935,209.29 730,843.46 8,296,963.18

Custodian fee and bank interest 1,709,927.13 58,712.29 1,075,447.35

Administration fee 971,769.69 41,125.77 574,251.92

Other expenses 350,486.84 14,195.24 228,895.15

"Taxe d’abonnement" (note 6) 389,534.00 23,189.19 192,076.71

Transaction fees (note 2.k) 281,861.63 20,859.04 167,801.52

18,638,990.00 888,926.82 10,535,443.13

NET INVESTMENT LOSS -18,065,587.45 -878,444.94 -10,013,175.89

Net realised gain/loss on sales of investments 128,762,379.31 818,957.89 114,987,186.53

Net realised loss on forward foreign exchange contracts -904,606.31 -15,269.04 -55,860.53

Net realised gain/loss on foreign exchange 6,612,151.84 -45,123.65 -3,416,806.87

NET REALISED GAIN/LOSS 116,404,337.39 -119,879.74 101,501,343.24

Change in net unrealised appreciation/depreciation:

- on investments -18,208,010.10 10,240,967.52 -47,750,417.13

- on forward foreign exchange contracts 619,896.60 168,025.35 1,252,336.93

INCREASE/DECREASE IN NET ASSETS AS A RESULT OF OPERATIONS

98,816,223.89 10,289,113.13 55,003,263.04

Proceeds from subscriptions of shares 784,626,164.70 10,446,796.11 565,371,306.65

Cost of shares redeemed -1,565,756,554.86 -13,372,121.14 -1,302,415,787.80

Revaluation difference* 28,783,056.26 1,103,283.02 27,633,692.96

Revaluation difference on the net assets at the beginning of the year**

15,854,212.13

NET ASSETS AT THE END OF THE YEAR 1,127,167,094.27 59,992,967.74 551,738,015.53

*The difference results from the fluctuations in the conversion rates into currencies of the sub-funds concerned of the net assets of the share classes expressed in other currencies than the currencies of the respective sub-funds between January 1, 2013 to December 31, 2013. ** The difference mentioned above is the result of the USD exchange rate fluctuations affecting the net assets of the sub-funds denominated in currencies other than USD between January 1, 2013 and December 31, 2013.


STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2013


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MOSAIC EURO GLOBAL COMMO DISTRESSED

EUR USD USD USD

266,247,034.07 20,526,753.73 115,022,703.61 20,602,209.06

20,521.17 1,493.73 3,813.37 6,334.68

405.91 0.00 175.15 0.03

0.00 0.00 0.00 0.00

20,927.08 1,493.73 3,988.52 6,334.71

139.55 0.00 0.00 0.00

3,645,214.64 324,744.85 559,072.49 661.80

325,449.99 16,947.44 87,898.04 22,468.20

183,787.70 10,872.11 67,812.94 24,456.69

57,040.60 5,115.28 19,248.13 4,433.95

103,280.30 9,575.39 19,761.42 2,616.20

42,875.92 16,386.03 10,983.87 6,750.30

4,357,788.70 383,641.10 764,776.89 61,387.14

-4,336,861.62 -382,147.37 -760,788.37 -55,052.43

10,572,730.51 1,308,044.47 -3,351,651.41 431,147.82

-415,373.55 -485.79 -260,626.97 0.00

6,144,459.62 -95,977.32 1,702,545.62 755.93

11,964,954.96 829,433.99 -2,670,521.13 376,851.32

11,919,942.88 2,902,257.40 -1,863,521.37 1,837,618.19

-452,033.45 3,627.95 -181,214.14 0.00

23,432,864.39 3,735,319.34 -4,715,256.64 2,214,469.51

141,541,353.71 20,012.00 5,551,141.60 8,200,000.00

-132,166,872.47 -973,995.72 -66,875,308.28 0.00

-1,642,642.26 0.00 2,308,629.39 929.79

297,411,737.44 23,308,089.35 51,291,909.68 31,017,608.36


NUMBER OF SHARES OUTSTANDING AND NET ASSET VALUE PER SHARE


Sub-fund

Type of shares Currency Number of shares

outstanding

Net asset valueper share



31.12.2013 31.12.2013 31.12.2012 31.12.2011

WORLD EQUITY HEDGE I USD USD 2,505.98 147.62 120.62 115.21

P USD USD 149,060.13 143.83 117.86 112.90

R USD USD 100.00 137.20 112.98 108.77

Z USD USD 4,529.68 124.38 100.49 94.86

HI EUR EUR 3,334.69 100.92 82.88 79.59

HP EUR EUR 108,979.46 98.35 80.99 78.00

HR EUR EUR 1,216.13 93.78 77.61 75.11

HZ EUR EUR 370.15 89.23 72.40 68.64

HI CHF CHF 100.02 142.09 116.74 112.81

HP CHF CHF 142,098.08 138.36 114.00 110.48

HR CHF CHF 85.47 131.90 109.21 106.38

HZ CHF CHF 222.69 140.57 114.11 108.84

PLEIAD CREDIT OPPORTUNITIES (note 1) I USD USD 35,940.83 138.05 127.04 124.32

P USD USD 134,817.52 134.86 124.46 122.15

R USD USD 3,630.97 129.60 120.19 118.54

Z USD USD 100.00 121.07 110.14 106.56

D USD USD 1,722,297.50 105.63 - -

HI EUR EUR 66,678.52 108.99 100.72 99.04

HP EUR EUR 96,314.31 106.52 98.68 97.31

HR EUR EUR 4,290.38 102.30 95.29 94.42

HZ EUR EUR 100.00 87.26 79.66 77.32

HD EUR EUR 1,203,577.44 105.43 - -

HI CHF CHF 2,917.68 156.87 145.06 143.43

HP CHF CHF 110,315.27 153.27 142.14 140.94

HR CHF CHF 15,039.18 147.21 137.21 136.72

HZ CHF CHF 86.28 138.25 126.32 123.30

HD CHF CHF 1,029,697.72 105.32 - -

HI GBP (note 1) GBP - - 98.51 96.55

HP GBP (note 1) GBP - - 97.25 95.59

HR GBP (note 1) GBP - - 95.12 93.96

HZ GBP (note 1) GBP - - 104.30 100.93

OP CHF CHF 13,593.96 109.20 103.64 102.59

OP EUR EUR 5,847.22 113.09 105.58 104.02


NUMBER OF SHARES OUTSTANDING AND NET ASSET VALUE PER SHARE


19

Sub-fund

Type of shares Currency Number of shares

outstanding




31.12.2013 31.12.2013 31.12.2012 31.12.2011

MOSAIC EURO I EUR EUR 889,242.12 78.82 71.93 68.20

P EUR EUR 1,252,816.08 77.35 70.79 67.32

R EUR EUR 144,462.90 74.84 68.83 65.78

Z EUR EUR 133.98 84.95 76.64 71.93

HI USD USD 19,828.52 107.87 98.46 93.26

HP USD USD 127,393.27 105.85 96.90 92.04

HR USD USD 4,380.81 102.59 94.38 90.10

HZ USD USD 100.00 117.16 105.65 98.77

HI CHF CHF 252,237.21 123.64 112.99 107.95

HP CHF CHF 627,663.11 121.33 111.20 106.54

HR CHF CHF 8,731.84 117.48 108.21 104.19

HZ CHF CHF 155,320.98 134.30 121.25 114.34

HI GBP GBP 6,778.00 107.23 97.47 92.42

HP GBP GBP 12,375.53 105.56 96.21 91.50

HR GBP GBP 100.00 102.68 94.06 89.90

HZ GBP GBP 100.00 115.03 103.29 96.68

GLOBAL I USD USD 22,175.29 125.17 105.27 79.17

P USD USD 165,541.11 122.87 103.65 78.17

R USD USD 1,611.54 118.97 100.86 76.42

COMMO I USD USD 11,243.20 90.20 97.55 -

P USD USD 132,941.50 107.35 116.43 -

Z USD USD 23,805.55 90.57 96.83 -

HI CHF CHF 32,216.77 87.67 95.19 -

HP CHF CHF 53,892.96 87.19 94.95 -

HZ CHF CHF 100.00 89.86 96.24 -

HP EUR EUR 50,443.72 103.73 112.67 -

HZ EUR EUR 145,929.93 90.36 96.67 -

DISTRESSED P USD USD 1,017.09 109.89 101.83 -

Z USD USD 274,168.63 112.63 102.84 -

HP CHF CHF 100.00 109.22 101.61 -

HP EUR EUR 100.00 109.17 101.64 -

PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE

STATEMENT OF INVESTMENTS AND OTHER NET ASSETS AS AT DECEMBER 31, 2013 (EXPRESSED IN USD)


Description Quantity Market value (note 2) % of net assets

UNITS OF INVESTMENT FUNDS

BAHAMAS

MOORE GLOBAL INVESTMENTS H EUR 0.28 529.16 0.00

529.16 0.00

BERMUDA

ANTARES EUROPEAN (USD) -A. REC.- 600,000.00 600,000.00 1.00

ANTARES EUROPEAN FUND (EUR) 3,960.00 2,992,935.51 4.99

3,592,935.51 5.99

BRITISH VIRGIN ISLANDS

MIURA GLOBAL FUND AA 03/09 1,601.79 1,979,484.82 3.30

MIURA GLOBAL FUND AA 10/13 250.00 257,517.12 0.43

MIURA GLOBAL FUND AA -A. REC.- 1,200,000.00 1,200,000.00 2.00

3,437,001.94 5.73

CAYMAN ISLANDS

AMIYA GLOBAL EMERGING OPP. B2 (EUR) 6,475.00 1,438,444.80 2.40

ASIAN CENTURY QUEST SMALLER CIES A SUB1 S.8 2012 1,000.00 974,231.61 1.62

COATUE OFFSHORE A SUB. C TR. 4 06/08 USD 570.00 89,159.76 0.15

COATUE OFFSHORE A SUB. C TR. 4 -A. REC.- 800,000.00 800,000.00 1.33

COATUE OFFSHORE C SUB. C TR. 6 05/8 EUR 15,210.00 3,286,404.19 5.48

CONATUS CAP OVERSEAS A CL.1 -A. REC.- 1,100,000.00 1,100,000.00 1.83

CONATUS CAP. OVERSEAS A SUB. CL. 1 02/08 1,648.00 2,389,089.12 3.98

CONSONANCE CAPITAL INVESTORS A USD 12/13 1,000.00 1,000,000.00 1.67

DABROES OFFSHORE INVESTMENT FUND A S1 400.00 617,103.62 1.03

DABROES OFFSHORE INVESTMENT FUND A S3 1,000.00 1,399,591.53 2.33

DABROES OFFSHORE INVESTMENT FUND C NI MAIN -A REC.- 1,500,000.00 1,500,000.00 2.50

DIAMONDBACK OFFSHORE A1 SUB.1 S1 07/05 4.12 9,307.59 0.02

GALLEON OFFSHORE LIQ. DIVERSIF. SUB-TR. ** 5.80 0.00 0.00

GLENVIEW CAPITAL PARTNERS G -A REC.- 630,000.00 630,000.00 1.05

GLENVIEW CAPITAL PARTNERS G S136 1,647.00 2,952,771.51 4.92

LANSDOWNE DEVELOPED MARKETS LDM EUR 2,633.61 1,940,101.73 3.23

LANSDOWNE DEVELOPED MARKETS LDM USD 2,924.90 1,565,826.05 2.61

LANSDOWNE DEVELOPED MARKETS LDM USD (EQUAL. 09/13) 3,792.22 3,792.22 0.01

LANSDOWNE DEVELOPED MARKETS LDM USD (EQUAL. 11/13) 3,788.55 3,788.55 0.01

MLO PRIVATE INVESTMENT USD S. 1 12/10 262.94 285,145.34 0.48

MOJNA ALPHA FUND EUR LEVERAGED 9,778.25 2,301,618.49 3.84

MOJNA ALPHA FUND USD LEVERAGED -A REC.- 1,100,000.00 1,100,000.00 1.83

NEZU CYCLICALS FUND D USD 21,046.96 2,586,052.97 4.31

NEZU CYCLICALS FUND D USD (EQUAL. 01/13) 30,866.24 30,866.24 0.05



NEZU CYCLICALS FUND D USD -A REC.- 900,000.00 900,000.00 1.50

OCTAGON PAN ASIA FUND A 9,100.00 1,985,834.21 3.31

OWL CREEK OVERSEAS C S3BS 03/09 * 347.03 944,453.64 1.57

OWL CREEK OVERSEAS C S3BT 03/09 * 206.06 560,832.65 0.93

OWL CREEK OVERSEAS C S4 07/07 * 394.46 1,146,867.58 1.91

OWL CREEK OVERSEAS SP RESERVE * 285,868.06 263,198.72 0.44

* Side pockets: Side pockets are investments where the underlying fund has suspended or otherwise gated redemption activity. ** Fund in liquidation.




21


SCOUT CAPITAL FUND A S1 -UNREST.- 6,895.29 2,741,579.56 4.57

SEG PARTNERS OFFSHORE A SUB1 -A REC.- 600,000.00 600,000.00 1.00

SEG PARTNERS OFFSHORE A SUB1 S1 NI 9,221.00 2,529,147.78 4.22

SEG PARTNERS OFFSHORE A SUB1 S45 810.78 222,061.61 0.37

SEG PARTNERS OFFSHORE A SUB1 S49 379.43 104,018.89 0.17

SIGNPOST CAPITAL FUND A NI 07/13 1,000.00 1,016,160.00 1.69

SIGNPOST CAPITAL FUND A NI 10/13 100.00 101,193.00 0.17

STELLIAM OFFSHORE FUND A -A REC.- 900,000.00 900,000.00 1.50

STELLIAM OFFSHORE FUND A 06/13 -UNREST.- 300.00 315,825.55 0.53

STELLIAM OFFSHORE FUND A 07/09 -UNREST.- 1,300.00 2,285,464.45 3.81

TREMBLANT PARTNERS H S21 -UNREST.- 11,247.96 1,609,362.24 2.68

TREMBLANT PARTNERS H S23 -UNREST.- 2,329.17 328,887.98 0.55

TREMBLANT PARTNERS H S25 -UNREST.- 3,000.00 306,430.11 0.51

TREMBLANT PARTNERS H -UNREST.-A REC.- 1,200,000.00 1,200,000.00 2.00

TRIDENT EUROPEAN FUND B ** 1,596.36 0.00 0.00

ZEBEDEE FOCUS FUND B EUR 14,559.24 3,009,285.71 5.02

ZEBEDEE FOCUS FUND B EUR (EQUAL. 06/11) 3,770.25 0.00 0.00

ZEBEDEE FOCUS FUND B EUR (EQUAL. 09/13) 81.38 114.77 0.00

51,095,075.37 85.17

IRELAND

ENNISMORE EUROPEAN SMALLER COMPANIES B EUR 131,200.00 2,706,381.99 4.51

MARSHALL WACE EUREKA B2 EUR -ACC- 9,258.44 1,815,033.15 3.03

MARSHALL WACE EUREKA B2 USD -A REC.- 1,700,000.00 1,700,000.00 2.83

MARSHALL WACE GLOBAL OPPORTUNITIES B USD -CAP- 7,412.87 923,594.47 1.54

7,145,009.61 11.91

LUXEMBOURG

JPMPSF - EUR DYNAMIC L/S A EUR 10/03 3,893.77 2,275,850.36 3.79

SCHRODER GAIA EGERTON EQUITY C -CAP- 12,478.49 2,646,441.72 4.41

4,922,292.08 8.20

SWITZERLAND

PICTET (CH) - SHORT-TERM MONEY MARKET EUR - Z DY 186.00 253,907.43 0.42

PICTET (CH) - SHORT-TERM MONEY MARKET USD - Z DY 77.02 76,019.36 0.13

329,926.79 0.55

TOTAL INVESTMENTS 70,522,770.46 117.55

BANK OVERDRAFT -10,402,694.07 -17.34

OTHER NET LIABILITIES -127,108.65 -0.21

TOTAL NET ASSETS 59,992,967.74 100.00

** Fund in liquidation.



GEOGRAPHICAL AND INDUSTRIAL CLASSIFICATION OF INVESTMENTS AS AT DECEMBER 31, 2013

Geographical classification

(in % of net assets)

Cayman Islands 85.17

Ireland 11.91

Luxembourg 8.20

Bermuda 5.99

British Virgin Islands 5.73

Switzerland 0.55

Bahamas 0.00

117.55

Industrial classification


Units of investment funds 117.55

117.55

PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES (note 1)



23



BAHAMAS

MOORE GLOBAL INVESTMENTS A USD 0.00 89.49 0.00

MOORE GLOBAL INVESTMENTS G USD 0.01 7.35 0.00

MOORE GLOBAL INVESTMENTS H EUR 0.00 0.55 0.00

97.39 0.00

BERMUDA

CALYPSO HOLDINGS I 12/11 * 4,136.00 43,974.39 0.01

43,974.39 0.01


CAXTON GLOBAL INVESTMENTS PFD SI 12/11 * 23,642.24 687,516.21 0.12

CAXTON GLOBAL INVESTMENTS S.SI A/H (07-2013) * 2,514.28 73,115.33 0.01

CHILTON CHINA OPPORTUNITIES BVI C -HLDB- 202,141.50 202,141.50 0.04

KING STREET CAPITAL A S1 28,550.00 17,126,288.50 3.10

KING STREET CAPITAL A S3 (EQUAL. 10/13) 13,564.31 13,564.31 0.00

KING STREET CAPITAL A S3 NEW ISSUES 267,204.32 42,362,572.38 7.69

KING STREET CAPITAL A S4 -REST.- 5,909.99 936,969.21 0.17

KING STREET CAPITAL A USD NI -A REC.- 6,000,000.00 6,000,000.00 1.09

KING STREET CAPITAL S S1 * 1,024.86 142,422.93 0.03

KING STREET CAPITAL S S13 (EX A S3) * 659.57 41,808.23 0.01


KING STREET CAPITAL S S18-A3 * 356.11 45,751.69 0.01



KING STREET CAPITAL S S28 (EX A3) * 18.49 3,649.51 0.00





KING STREET CAPITAL S S4 -REST.- * 304.71 58.84 0.00




KING STREET CAPITAL S S5 * 1,606.90 157,220.32 0.03



KING STREET EUROPE A USD S6 7,661.00 1,203,488.63 0.22

KING STREET EUROPE A/8 EUR 191,087.01 29,936,225.72 5.44

KING STREET EUROPE A/8 EUR-T -A REC.- 2,000,000.00 2,755,900.00 0.50

KING STREET EUROPE AS8 EUR (EQUAL. 10/13) 4,413.45 6,081.51 0.00

SHEPHERD INVESTMENTS INT. A S. SHEPA 1501 0.01 12.12 0.00

SHEPHERD INVESTMENTS INT. -HLDB- 567.80 567.80 0.00

SHEPHERD INVESTMENTS INT. S SA 18 * 0.84 4,612.76 0.00

SHEPHERD INVESTMENTS INT. S SA19 * 47.98 11,695.53 0.00

SHEPHERD INVESTMENTS INT. S.S. SA 01 * 11.78 14,801.02 0.00



* Side pockets: Side pockets are investments where the underlying fund has suspended or otherwise gated redemption activity.









SHEPHERD INVESTMENTS INT. SIH * 26,149.29 26,149.29 0.00

SHEPHERD SELECT ASSET A USD * 215.57 285,976.17 0.05

STRATUS FEEDER E 1.5 EUR LEVERAGE 0.00 0.32 0.00

STRATUS FUND - DISCUS NON-US SIDE HOLDINGS S-USD ** 783.27 37,338.27 0.01

102,907,293.88 18.65

CAYMAN ISLANDS

ARCHER CAPITAL OFFSHORE C2 S1 NI 625.11 832,312.21 0.15

AVENUE INTERNATIONAL A S10 09/11 50.00 566,203.20 0.10

BLACKSTONE DISTRESSED SECURITIES A S04/08 ** 24.00 15,856.86 0.00

BLACKSTONE DISTRESSED SECURITIES A S07/08 ** 48.64 32,335.16 0.01

BLUECREST CAPITAL USD (CONT. 01/13) *** -7,214.45 0.00 0.00

BLUECREST CAPITAL USD (EQUAL. 04/13) 4,355.95 0.00 0.00

BREVAN HOWARD E.M.S. B EUR -UNREST.- 2,274.67 394,588.14 0.07

BREVAN HOWARD E.M.S. B USD -UNREST.- 798.01 98,513.82 0.02

CANYON VALUE REALIZATION A 07/13 20,000.00 21,340,134.00 3.87



CANYON VALUE REALIZATION A -A REC.- 7,000,000.00 7,000,000.00 1.27

CANYON VALUE REALIZATION A S.INITIAL 87.98 659,199.05 0.12

CANYON VALUE REALIZATION A S.INITIAL 1 0.02 25.18 0.00

CFIP OVERSEAS FUND A SUB A5 05/12 ** 12.15 7,397.89 0.00

DBGM OFFSHORE SPV 02/09 * 97.08 184,803.63 0.03

DIAMONDBACK OFFSHORE A1 SUB.1 S1 07/05 33.47 75,564.85 0.01

DIAMONDBACK OFFSHORE C SUB.1 S1 11/08 19.74 33,149.59 0.01

DRAWBRIDGE GLOBAL MACRO G S1 -UNREST.- 0.00 0.07 0.00

DRAWBRIDGE GLOBAL MACRO G1 S SP 12 09/08 * 97.51 44,962.90 0.01

DRAWBRIDGE GLOBAL MACRO G1 S SP -UNREST.- * 55.48 42,849.82 0.01

DRAWBRIDGE GLOBAL MACRO G1 S SP4 07/07 * 31.18 28,094.67 0.01

DRAWBRIDGE GLOBAL MACRO G1 S SP5 0/907 * 19.90 375.98 0.00

DRAWBRIDGE GLOBAL MACRO G1 SP11 9/8 * 3.13 3,382.73 0.00

DRAWBRIDGE GLOBAL MACRO G1 SP7 02/08 * 9.40 13,941.43 0.00

DRAWBRIDGE GLOBAL MACRO G21 S SP11 09/08 * 9.99 10,792.87 0.00

DRAWBRIDGE GLOBAL MACRO G21 S SP7 0208 * 29.79 44,174.23 0.01

DRAWBRIDGE GLOBAL MACRO R * 5.55 10,039.80 0.00

DRAWBRIDGE GLOBAL MACRO SP RESERVE * 8.53 8,573.11 0.00

DRAWBRIDGE GLOBAL MACRO SP12 09/08 * 298.73 137,743.09 0.02

FEINGOLD OKEEFFE CAPITAL I OFFSHORE A 02/12 385.00 436,769.91 0.08

FORTRESS MACRO FUND A 12/09 5.09 7,045.88 0.00


GAM GLOBAL RATES HEDGE L USD * 1,653.35 37,441.57 0.01

HALCYON OFFSHORE ASSET - BACKED USD 05/13 5,000.00 5,077,746.75 0.92






* Side pockets: Side pockets are investments where the underlying fund has suspended or otherwise gated redemption activity. ** Fund in liquidation. *** Contingent redemption fee : in case an investor subscribes to a NAV per share below the High Water Mark, such investor will pay performance fees in relation with any increase in NAV per share between the subscription price and the High Water Mark.




25


HALCYON OFFSHORE ASSET - BACKED USD -A REC.- 1,000,000.00 1,000,000.00 0.18

HALCYON OFFSHORE ASSET - BACKED USD INIT. 513.57 1,104,228.15 0.20

HARBINGER CLASS L HOLDINGS S01/11 * 17.41 0.00 0.00






HARBINGER CLASS L HOLDINGS S2 * 8.72 0.00 0.00


HARBINGER CLASS LS HOLDINGS I (CAY) S04/11 * 2,049.47 0.00 0.00

HARBINGER CLASS LS HOLDINGS I (CAY) S07/11 * 1,619.33 0.00 0.00

HARBINGER CLASS PE HOLDINGS S01/11 * 301.99 118,420.24 0.02





HARBINGER CLASS PE HOLDINGS S1 * 835.36 235,532.26 0.04


HARBINGER CLASS PE HOLDINGS S2 * 1,189.29 360,190.75 0.07

LIBREMAX OFFSHORE FUND A S.8 1,354.00 1,395,071.33 0.25

LUXOR CAPITAL LUXA1 USD 1050-4 998.10 1,123,279.76 0.20

LUXOR CAPITAL PARTNERS LUXA1 USD 1050-1 105.06 121,387.13 0.02

LUXOR CAPITAL PARTNERS LUXA1 USD 1050-2 1,011.24 1,158,470.98 0.21

LUXOR CAPITAL PARTNERS LUXA1 USD 1050-3 1,011.24 1,148,182.19 0.21

MAGNETAR CAPITAL FUND SP1 S A-103 * 327.83 133,997.89 0.02

MAGNETAR SPC L S.A SUB 1 * 141.90 108,368.99 0.02

MKP CREDIT OFFSHORE B S.E 2013 10,000.00 10,099,770.00 1.83

MKP CREDIT OFFSHORE B S.F 2013 10,000.00 10,577,330.00 1.92

MKP CREDIT OFFSHORE B S.G 2013 12,000.00 12,751,236.00 2.31

MKP CREDIT OFFSHORE B S.H 2013 11,000.00 11,666,061.00 2.11

MKP CREDIT OFFSHORE B S.J 2013 2,300.00 2,368,289.30 0.43

MKP CREDIT OFFSHORE B T. -A REC.- 2,000,000.00 2,000,000.00 0.36

MLO PRIVATE INVESTMENT USD S. 1 12/10 203.60 220,790.64 0.04

OWL CREEK OVERSEAS C 04/07 41 * 154.40 451,322.25 0.08

OWL CREEK OVERSEAS C S3BQ 03/09 41 * 88.90 249,582.50 0.05


OWL CREEK OVERSEAS C S3BS 03/09 41 * 1.13 3,180.95 0.00

OWL CREEK OVERSEAS C S3BT 03/09 * 799.13 2,231,837.30 0.40

OWL CREEK OVERSEAS C S4 07/07 * 1,134.64 3,303,553.25 0.60


OWL CREEK OVERSEAS SP RESERVE 41 * 30,137.59 15,538.94 0.00

OZ CREDIT OPPORTUNITIES OVERSEAS LP E PRIME -A REC.- 6,000,000.00 6,000,000.00 1.09

OZ CREDIT OPPORTUNITIES OVERSEAS LP TR.E PRIME 56,845,871.52 57,033,462.86 10.35

OZ EUROPE OVERSEAS II E PRIME S2 12,531.84 25,870,781.22 4.69

TACONIC OFFSHORE FUND 1.5 A S8 -UNREST.- 313.42 8,820.94 0.00

TACONIC OFFSHORE FUND 1.5 F EUR -A REC.- 1,500,000.00 2,066,925.00 0.37

TACONIC OFFSHORE FUND 1.5 F EUR S1 8,726.05 21,188,439.98 3.84

TACONIC OFFSHORE FUND 1.5 F EUR S2 313.42 7,910.69 0.00





* Side pockets: Side pockets are investments where the underlying fund has suspended or otherwise gated redemption activity.





TACONIC OFFSHORE FUND 1.5F EUR S3 5,000.00 5,473,583.11 0.99

TACONIC OPPORTUNITY OFFSHORE A S1 (SP4) -UNREST.- * 68.01 0.00 0.00

TACONIC OPPORTUNITY OFFSHORE A S1 -UNREST.- 2.74 5,513.25 0.00

VICIS CAPITAL FUND (INTL) A S111 ** 22,835.68 481,467.52 0.09

XPI HOLDINGS I LTD 2,515.46 3,103,020.40 0.56

YORK CREDIT OPPORTUNITIES A 07/13 EUR 141,997.55 11,407,300.42 2.07



YORK CREDIT OPPORTUNITIES A EUR -A REC.- 3,000,000.00 4,133,850.00 0.75

YORK CREDIT OPPORTUNITIES A S06/13 EUR 217,753.77 17,493,137.26 3.17

YORK CREDIT OPPORTUNITIES B S1 149,056.14 10,530,816.63 1.91

422,120,593.02 76.50

LUXEMBOURG

PICTET ALTERNATIVE FUNDS - DISTRESSED Z USD (NOTE 11) 274,168.63 30,865,466.09 5.60

PICTET ALTERNATIVE FUNDS - DISTRESSED Z USD -A REC.- (NOTE 11) 3,000,000.00 3,000,000.00 0.54

33,865,466.09 6.14

SWITZERLAND

PICTET (CH) - SHORT-TERM MONEY MARKET EUR - Z DY 1,215.00 1,658,588.88 0.30

PICTET (CH) - SHORT-TERM MONEY MARKET USD - Z DY 17,704.86 17,474,520.53 3.17

19,133,109.41 3.47


BANK OVERDRAFT -26,042,156.87 -4.72


TOTAL NET ASSETS 551,738,015.53 100.00




27






Luxembourg 6.14

Switzerland 3.47

Bermuda 0.01

Bahamas 0.00

104.77




104.77

PICTET ALTERNATIVE FUNDS - MOSAIC EURO

STATEMENT OF INVESTMENTS AND OTHER NET ASSETS AS AT DECEMBER 31, 2013 (EXPRESSED IN EUR)




BAHAMAS

MOORE GLOBAL INVESTMENTS B EUR 128.21 2,521,027.59 0.85

MOORE GLOBAL INVESTMENTS H EUR 9,539.31 12,876,346.43 4.33

15,397,374.02 5.18

BERMUDA

LYNX 1.5 (BERMUDA) B EUR 04/13 1,700.00 1,760,656.05 0.59

LYNX 1.5 (BERMUDA) B EUR 05/13 2,900.00 3,069,674.85 1.03

PERELLA WEINBERG PARTNERS XERION A11 04/11 562.50 359,706.98 0.12

5,190,037.88 1.74


CAXTON GLOBAL INVESTMENTS EUR S.A. T 12/11 4,530.00 5,738,785.20 1.93

CAXTON GLOBAL INVESTMENTS PFD SI 12/11 * 900.00 18,993.43 0.01

CAXTON GLOBAL INVESTMENTS T EUR S.C07/13 -UNREST.- 1,000.00 1,025,150.00 0.34

CAXTON GLOBAL INVESTMENTS T EUR S.D08/13 -UNREST.- 3,000.00 3,045,420.00 1.02

CAXTON GLOBAL INVESTMENTS T EUR S.F11/13 -UNREST.- 1,200.00 1,229,292.00 0.41

DISCUS FEEDER D EUR STANDARD LEVERAGE 1,414.00 1,472,200.24 0.50

KING STREET CAPITAL A S1 8,600.00 3,743,881.34 1.26

KING STREET CAPITAL A S2 NNI 11,238.21 4,870,936.12 1.64

KING STREET CAPITAL A S3 (EQUAL. 07/13) 12.47 9.05 0.00

KING STREET CAPITAL A S3 (EQUAL. 10/13) 11,516.86 8,357.97 0.00

KING STREET CAPITAL A S3 NEW ISSUES 100,012.41 11,506,923.63 3.87

KING STREET CAPITAL A S4 -REST.- 1,465.25 168,583.89 0.06

KING STREET CAPITAL S S1 * 281.03 28,341.92 0.01





KING STREET CAPITAL S S24-A4 * 0.45 49.77 0.00


KING STREET CAPITAL S S28 (EX A4) * 0.26 37.82 0.00


KING STREET CAPITAL S S32 (EX A S4) * 5.15 435.04 0.00




KING STREET CAPITAL S S40-A4 * 0.47 138.31 0.00





STRATUS FEEDER E 1.5 EUR LEVERAGE 2,908.16 3,365,849.92 1.13

STRATUS FEEDER E 1.5 EUR LEVERAGE -A REC.- 1,000,000.00 1,000,000.00 0.34

STRATUS FUND - DISCUS NON-US SIDE HOLDINGS S-USD ** 1,484.26 51,347.81 0.02

37,455,449.66 12.59





29


CAYMAN ISLANDS

BLUECREST CAPITAL INTERNATIONAL F EUR 43,877.00 13,421,974.30 4.51

BLUECREST CAPITAL INTERNATIONAL F USD 12,170.86 2,630,785.17 0.88

BLUECREST CAPITAL INTERNATIONAL FUND USD (CONT. 10/13) *** -7,524.28 -146.27 0.00

BLUETREND FUND B EUR 25,373.00 6,270,987.77 2.11

BREVAN HOWARD E.M.S. B EUR -UNREST.- 0.00 0.01 0.00

BREVAN HOWARD FUND A EUR 33,260.47 10,179,698.74 3.42

BREVAN HOWARD FUND B EUR 17,615.77 3,989,971.36 1.34

BREVAN HOWARD FUND B EUR (CONT. 07/13) *** -3,558.58 0.00 0.00

BREVAN HOWARD FUND B USD 327.72 54,945.55 0.02

BTG PACTUAL GLOBAL EMERGING MARKET&MAC. C04/13NI 233.33 249,622.66 0.08

BTG PACTUAL GLOBAL EMERGING MARKET&MAC. C08/13NI 2,343.48 2,464,157.37 0.83

BTG PACTUAL GLOBAL EMERGING MARKET&MAC. C11/10 NI 5,952.80 8,598,064.96 2.89

COATUE OFFSHORE A SUB D TR. 4 09/13 USD 15,628.98 1,900,007.76 0.64

COATUE OFFSHORE C SUB D TR. 4 01/08/13 13,576.72 3,519,390.51 1.18



COATUE OFFSHORE C SUB. D TR. 4 12/07 EUR 17,361.00 2,903,812.14 0.98

DISCOVERY GLOBAL OPPORTUNITY A SUB 2 34,282.84 4,021,263.71 1.35

DISCOVERY GLOBAL OPPORTUNITY A-SUB1 21,825.00 15,094,370.36 5.09

DOUBLE BLACK DIAMOND C -UNREST.- 65,953.25 8,789,914.89 2.96

DRAKE GLOBAL OPPORTUNITIES C S1 ** 145.62 97,815.10 0.03

DYMON ASIA MAC. A 1-2/20 + CLAW. -UNREST.- 238.00 267,291.61 0.09

DYMON ASIA MAC. A 253-2/20 + CLAW. -UNREST.- 1,077.00 827,084.61 0.28

FORE JAPAN CREDIT OPPORTUNITIES AA S1 03/12 USD 1,989.00 1,197,144.57 0.40



FORE MULTI STRATEGY AHM S1 INITIAL 7,052.00 13,530,234.90 4.56

FORTRESS MACRO FUND A 11/09 10,789.03 10,677,229.86 3.59

FORTRESS MACRO FUND A 12/09 788.00 792,688.92 0.27


GLENVIEW CAPITAL PARTNERS G -A REC.- 1,000,000.00 725,715.64 0.24




OWL CREEK OVERSEAS C S3BT 03/09 * 244.40 482,738.30 0.16

OWL CREEK OVERSEAS C S4 07/07 * 574.95 1,213,150.09 0.41


QFR VICTORIA FUND C 01/13 13,252.04 8,334,854.31 2.80

SABA CAPITAL OFFSHORE A SUB1 S32 NI 85.00 55,487.24 0.02

STELLIAM OFFSHORE FUND A -A REC.- 1,800,000.00 1,306,288.15 0.44



STELLIAM OFFSHORE FUND A 05/13 -UNREST.- 1,000.00 774,649.42 0.26



TACONIC OPPORTUNITY OFFSHORE M S1 -UNREST.- 11,224.02 13,335,523.69 4.48


TACONIC OPPORTUNITY OFFSHORE M S12 -UNREST.- 868.17 1,310,241.90 0.44


THIRD POINT OFFSHORE FUND E S1 106,285.07 24,578,346.77 8.27

* Side pockets: Side pockets are investments where the underlying fund has suspended or otherwise gated redemption activity. ** Fund in liquidation. *** Contingent redemption fee : in case an investor subscribes to a NAV per share below the High Water Mark, such investor will pay performance fees in relation with any increase in NAV per share between the subscription price and the High Water Mark.





VICIS CAPITAL FUND (INTL) A S111 * 6,405.00 98,002.83 0.03

XPI HOLDINGS I LTD 860.68 770,036.33 0.26

YORK CREDIT OPPORTUNITIES A EUR -A REC.- 1,600,000.00 1,600,000.00 0.54

YORK CREDIT OPPORTUNITIES A EUR S10/12 91,445.60 5,333,107.67 1.79

YORK CREDIT OPPORTUNITIES A EUR S7/12 48,451.24 2,827,614.63 0.95

ZEBEDEE FOCUS FUND B EUR 70,242.97 10,536,445.50 3.54

ZEBEDEE FOCUS FUND B EUR (CONT. 07/13) ** -5,360.82 -5,573.11 0.00

224,827,000.68 75.60

IRELAND


MARSHALL WACE EUREKA B2 (EQUAL. 10/13) 13,650.21 13,650.21 0.00

MARSHALL WACE EUREKA B2 (EQUAL. 11/13) 10,729.78 10,729.78 0.00


15,298,288.17 5.14

SWITZERLAND

PICTET (CH) - SHORT-TERM MONEY MARKET EUR - Z DY 2,905.00 2,877,896.35 0.97


4,670,819.58 1.57


BANK OVERDRAFT -2,439,902.56 -0.82

OTHER NET LIABILITIES -2,987,329.99 -1.00

TOTAL NET ASSETS 297,411,737.44 100.00

* Fund in liquidation. ** Contingent redemption fee : in case an investor subscribes to a NAV per share below the High Water Mark, such investor will pay performance fees in relation with any increase in NAV per share between the subscription price and the High Water Mark.



31






Bahamas 5.18

Ireland 5.14

Bermuda 1.74

Switzerland 1.57

101.82




101.82

PICTET ALTERNATIVE FUNDS - GLOBAL





BERMUDA

ANTARES EUROPEAN (USD) 2,100.00 1,152,711.00 4.95

1,152,711.00 4.95


EGERTON EUROPEAN DOLLAR FUND E 24 81,332.49 1,229,550.40 5.28

EGERTON LONG/SHORT C EUR 1 F2 2,814.79 43,768.10 0.19

STRATUS FEEDER B USD STANDARD LEVERAGE 320.00 477,801.60 2.05

1,751,120.10 7.52

CAYMAN ISLANDS

BLUETREND FUND B USD S.01/08 1,720.00 442,337.27 1.90

CONATUS CAP. OVERSEAS A SUB. CL. 1 02/08 750.00 1,087,267.50 4.66

DYMON ASIA MAC. A 1-2/20 + CLAW. -UNREST.- 428.94 663,772.23 2.85

GLENVIEW CAPITAL PARTNERS G S136 600.00 1,075,690.90 4.62


HARBINGER CLASS PE HOLDINGS S2 * 135.61 41,071.12 0.18

LANSDOWNE DEVELOPED MARKETS LDM USD 2,348.26 1,257,124.95 5.38

NEZU CYCLICALS FUND D USD 8,422.87 1,034,923.32 4.44





SCOUT CAPITAL FUND A S1 -UNREST.- 3,151.38 1,252,612.65 5.37

SEG PARTNERS OFFSHORE A SUB1 S1 NI 4,229.00 1,159,935.58 4.98

STIT TACONIC OPPORTUNITY OFFSHORE A S.1 900,000.00 900,000.00 3.86

THIRD POINT OFFSHORE FUND E S1 682.00 217,350.12 0.93

THIRD POINT OFFSHORE FUND E S39 NI 5,600.00 770,867.33 3.31

TRIDENT EUROPEAN FUND B ** 79.56 0.00 0.00

ZEBEDEE FOCUS FUND B USD 4,851.09 1,115,168.57 4.78

ZEBEDEE FOCUS FUND B USD (EQUAL. 02/13) 150.24 162.63 0.00

11,136,506.48 47.77

GERMANY

DWS AKTIEN SCHWEIZ -CAP - 9,144.95 484,419.49 2.08

484,419.49 2.08

IRELAND

CANTILLON - GLOBAL EQUITY S S.2 USD 68,306.68 1,255,189.89 5.39

ENNISMORE EUROPEAN SMALLER COMPANIES B EUR 63,000.00 1,299,558.42 5.57

FINDLAY PARK - AMERICAN FUND USD 8,502.69 607,092.21 2.60

FIRST STATE - GUF-CHINA GROWTH I 4,111.00 520,822.59 2.23

GLG JAPAN COREALPHA EQUITY DH USD -CAP- 8,779.17 1,236,282.30 5.30

MARSHALL WACE GLOBAL OPPORTUNITIES B (EQUAL. 07/13) 7,710.74 6,294.41 0.03

MARSHALL WACE GLOBAL OPPORTUNITIES B USD -CAP- 7,255.43 903,978.39 3.88

5,829,218.21 25.00





33


LUXEMBOURG

ALKEN CAPITAL ONE J -CAP.- 7.27 977,419.51 4.19

WELLS FARGO (LUX) WORLDWIDE - US ALL CAP GROWTH - A USD 3,276.44 628,355.47 2.70

1,605,774.98 6.89

SWITZERLAND

PICTET (CH) - SHORT-TERM MONEY MARKET USD - Z DY 524.00 517,182.76 2.22

517,182.76 2.22


CASH AT BANKS 919,931.42 3.95


TOTAL NET ASSETS 23,308,089.35 100.00







Ireland 25.00


Luxembourg 6.89

Bermuda 4.95

Switzerland 2.22

Germany 2.08

96.43




96.43

PICTET ALTERNATIVE FUNDS - COMMO



35



CAYMAN ISLANDS

ASTENBECK OFFSHORE COMMOD. II A 01/13 -REST.- 3,878.00 5,456,905.21 10.64

BREVAN HOWARD COMMODITIES STRAT. A (EQUAL. 09/12) 6,863.99 0.00 0.00

BREVAN HOWARD COMMODITIES STRAT. A USD 18,517.56 1,901,568.23 3.71

BREVAN HOWARD COMMODITIES STRAT. A USD (EQUAL. 08/13) 10,715.06 0.00 0.00

CUMULUS ENERGY FUND A USD 1,009.49 577,398.00 1.13

CUMULUS ENERGY FUND A USD (CONT. 07/13) * -18,247.53 0.00 0.00

EDESIA ALPHA A 2012 7,952.63 7,947,601.60 15.49

GALENA FUND A 14,306.00 3,458,903.96 6.74

HARD ASSETS 2X FUND A S6 3,400.00 3,206,072.84 6.25

KOPPENBERG MACRO COMMODITY B SUB1 USD S1 2,552.54 2,959,361.46 5.77

KOPPENBERG MACRO COMMODITY B SUB1 USD S13 200.00 197,664.00 0.39

KOPPENBERG MACRO COMMODITY B SUB1 USD S14 1,000.00 975,070.00 1.90

KOPPENBERG MACRO COMMODITY B SUB1 USD S6 200.00 205,440.00 0.40

LUBBEN FUND S1 04/06 3,052.67 5,381,655.13 10.49

OSPRAIE FUND B2 NEW ISSUE RESTRICTED ** 914.16 9,763.21 0.02

SASCO ENERGY OVERSEAS A USD -HLDB- 83,949.22 83,949.22 0.16

SECTOR SPE. SIT. I FUND A USD ** 1,311.14 57,783.06 0.11

VELITE ENERGY OFFSHORE S01/07 692.00 2,722,921.74 5.31

WHITESIDE ENERGY OFFSHORE B S01/08 274.40 4,717,812.65 9.20

YANNIX FUND A 01/12 USD 2,000.00 2,054,420.00 4.01

YANNIX FUND A 11/11 USD 2,606.00 2,581,060.58 5.03

44,495,350.89 86.75

SWITZERLAND


4,594,438.45 8.96


CASH AT BANKS 2,163,481.86 4.22

OTHER NET ASSETS 38,638.48 0.07

TOTAL NET ASSETS 51,291,909.68 100.00

* Contingent redemption fee : in case an investor subscribes to a NAV per share below the High Water Mark, such investor will pay performance fees in relation with any increase in NAV per share between the subscription price and the High Water Mark. ** Fund in liquidation.







Switzerland 8.96

95.71




95.71

PICTET ALTERNATIVE FUNDS - DISTRESSED



37




KING STREET EUROPE A USD S6 23,441.75 3,694,649.06 11.91

3,694,649.06 11.91

CAYMAN ISLANDS

ARCHER CAPITAL OFFSHORE C2 S1 NI 3,259.02 4,339,267.01 13.99

AVENUE INTERNATIONAL A SA0797 123.00 4,454,259.95 14.35

CFIP OVERSEAS FUND A SUB A5 05/12 * 14.85 9,041.86 0.03

CONTRARIAN FUND I OFFSHORE A -A REC.- 3,000,000.00 3,000,000.00 9.67

FEINGOLD OKEEFFE CAPITAL I OFFSHORE A 02/12 1,615.00 1,832,164.69 5.91

FEINGOLD OKEEFFE CAPITAL I OFFSHORE A 05/12 2,000.00 2,213,120.60 7.14



MAST CREDIT OPPORTUNITIES I C USD S26 2,807.00 2,861,384.14 9.23

MUDRICK DISTRESSED OPPORTUNITIES OFFSHORE A NI 444.95 551,457.92 1.78

MUDRICK DISTRESSED OPPORTUNITIES OFFSHORE A S.01/13 500.00 538,760.20 1.74

MUDRICK DISTRESSED OPPORTUNITIES OFFSHORE A S.08/13 1,000.00 1,018,433.50 3.28



VENOR CAPITAL OFFSHORE E2 INITIAL -A REC.- 2,000,000.00 2,000,000.00 6.45

YORK CREDIT OPPORTUNITIES A 09/13 USD 28,806.87 2,132,284.76 6.87

YORK CREDIT OPPORTUNITIES B S1 27,133.66 1,916,992.85 6.18

31,646,422.63 102.03

SWITZERLAND


1,140,581.92 3.68


BANK OVERDRAFT -3,451,614.51 -11.13

OTHER NET LIABILITIES -2,012,430.74 -6.49

TOTAL NET ASSETS 31,017,608.36 100.00

* Fund in liquidation.

PICTET ALTERNATIVE FUNDS - DISTRESSED







Switzerland 3.68

117.62




117.62


NOTES TO THE FINANCIAL STATEMENTS AS AT DECEMBER 31, 2013

39

NOTE 1 GENERAL

PICTET ALTERNATIVE FUNDS (the "SICAV") has the status of an undertaking for collective investment and the particular form of an "Investment Company with Variable Capital" (SICAV). The SICAV is governed by Luxembourg law in accordance with the provisions of Part II of the amended Law dated December 17, 2010 (the "Law"), relating to undertakings for collective investment. The articles of incorporation of the SICAV (the "Articles") were published in the Mémorial of December 15, 2004 amended by notarial act dated August 12, 2011.

The SICAV is registered in the Luxembourg Trade and Companies Register under number R.C.S. B 104 485.

Pictet Funds (Europe) S.A., a public limited company (société anonyme) with registered office at 15, avenue J.F. Kennedy, L-1855 Luxembourg, was appointed management company of the SICAV as of October 1, 2007. It is a management company within the meaning of chapter 15 of the Law.

Shares of the SICAV are issued in registered form only. They are freely transferable and entitled to participate equally in the profits and liquidation proceeds attributable to the SICAV. The shares, which are of no par value and which must be fully paid upon issue, carry no preferential or pre-emptive rights and each share is entitled to one vote at all meetings of the Shareholders.

As at December 31, 2013, the SICAV includes six sub-funds in operation:

• PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE, denominated in US Dollar (USD).

• PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES, denominated in US Dollar (USD).

• PICTET ALTERNATIVE FUNDS - MOSAIC EURO, denominated in Euro (EUR). • PICTET ALTERNATIVE FUNDS - GLOBAL, denominated in US Dollar (USD). • PICTET ALTERNATIVE FUNDS - COMMO, denominated in US Dollar (USD). • PICTET ALTERNATIVE FUNDS - DISTRESSED, denominated in US Dollar (USD).

On July 23, 2013, the Board of Directors of the SICAV decided to change the name of the subfund PICTET ALTERNATIVE FUNDS - PLEIAD into PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES as from August 1, 2013.

The SICAV offers the following classes of shares:

• I shares, issued at the discretion of the Board of Directors of the SICAV, are suitable for institutional investors;

• P shares and R shares, issued at the discretion of the Board of Directors of the SICAV, through their broad range of features, each meet different commercial practices in the countries in which the SICAV is marketed, and their flexibility enables them to be adapted where necessary in line with developments in their target markets. It should be noted that in some countries, part of the management fee may be passed on to the intermediaries involved in marketing the shares of the SICAV;


NOTES TO THE FINANCIAL STATEMENTS AS AT DECEMBER 31, 2013 (continued)

40

• D shares, issued at the discretion of the Board of Directors of the SICAV, are suitable for institutional investors who wish to invest a minimum initial amount and who have concluded a specific discretionary portfolio management agreement with Banque Pictet & Cie SA*, or any other entity of the Pictet Group;

• Z shares, issued at the discretion of the Board of Directors of the SICAV, are reserved for institutional investors who have concluded a specific remuneration agreement with Banque Pictet & Cie SA*, or any other entity of the Pictet Group;

• HI, HP, HR and HZ shares ("Hedged Shares") seek to hedge for their corresponding shares most of the exchange-rate risk of the USD against the CHF, the GBP and the EUR for all sub-funds except the PICTET ALTERNATIVE FUNDS - MOSAIC EURO sub-fund;

• HI, HP, HR and HZ shares ("Hedged Shares") seek to hedge for their corresponding shares most of the exchange-rate risk of the EUR against the CHF, the GBP and the USD for the PICTET ALTERNATIVE FUNDS - MOSAIC EURO sub-fund;

• HD shares ("Hedged Shares") seek to hedge for their corresponding shares most of the exchange-rate risk of the USD against the CHF and the EUR for the PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES sub-fund;

• OI, OP, OR and OZ shares ("Overlay shares") seek to hedge for their corresponding shares part of the exchanges-rate risk of the USD against the CHF and the EUR respectively for the PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE, the PICTET ALTERNATIVE FUNDS – PLEIAD CREDIT OPPORTUNITIES and the PICTET ALTERNATIVE FUNDS – DISTRESSED sub-funds, by using partially an active hedging technique. At the date of the present report only OP shares have been launched for PICTET ALTERNATIVE FUNDS – PLEIAD.

For the PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE and PICTET ALTERNATIVE FUNDS - DISTRESSED sub-funds, the reference currencies are the:

• US Dollar (USD) for I USD, P USD, R USD and Z USD shares; • Swiss Franc (CHF) for HD CHF, HI CHF, HP CHF, HR CHF and HZ CHF shares; • Euro (EUR) for the HI EUR, HP EUR, HR EUR and HZ EUR, shares; • British Pound (GBP) for the HI GBP, HP GBP, HR GBP and HZ GBP shares.

I, P, R and Z Shares are subject to a minimum initial subscription amount as follows:

I Shares USD 1,000,000.00P Shares USD 10,000.00R Shares USD 10,000.00Z Shares USD 10,000.00

The Hedged Shares are subject to the same minimum initial subscription amount as their corresponding shares.

For the PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES sub-fund, the reference currencies are the:

• US Dollar (USD) for I USD, P USD, R USD, Z USD and D USD shares; • Swiss Franc (CHF) for HI CHF, HP CHF, HR CHF, HZ CHF and HD CHF shares; • Euro (EUR) for the HI EUR, HP EUR, HR EUR, HZ EUR and HD EUR shares;




41

D, I, P, R and Z Shares are subject to a minimum initial subscription amount as follows:

D Shares USD 100,000,000.00I Shares USD 1,000,000.00P Shares USD 10,000.00R Shares USD 10,000.00Z Shares USD 10,000.00

The Hedged Shares and the Overlay Shares are subject to the same minimum initial subscription amount as their corresponding shares.

For the PICTET ALTERNATIVE FUNDS - MOSAIC EURO sub-fund, the reference currencies are the:

• Euro (EUR) for I EUR, P EUR, R EUR and Z EUR shares; • Swiss Franc (CHF) for HI CHF, HP CHF, HR CHF and HZ CHF shares; • US Dollar (USD) for the HI USD, HP USD, HR USD and HZ USD shares; • British Pound (GBP) for the HI GBP, HP GBP, HR GBP and HZ GBP shares.

I, P, R and Z shares are subject to a minimum initial subscription amount as follows:

I Shares EUR 1,000,000.00 P Shares EUR 10,000.00R Shares EUR 10,000.00 Z Shares EUR 10,000.00


For the PICTET ALTERNATIVE FUNDS - GLOBAL sub-fund, the reference currencies is the:

• US Dollar (USD) for the I USD, P USD and R USD shares.

I, P, R and Z shares are subject to a minimum initial subscription amount as follows:

I Shares USD 1,000,000.00P Shares USD 10,000.00R Shares USD 10,000.00Z Shares USD 10,000.00




42

For the PICTET ALTERNATIVE FUNDS - COMMO sub-fund, the reference currencies are the:

• US Dollar (USD) for I USD, P USD, R USD and Z USD shares; • Swiss Franc (CHF) for HI CHF, HP CHF, HR CHF and HZ CHF shares; • Euro (EUR) for the HI EUR, HP EUR, HR EUR and HZ EUR shares; • British Pound (GBP) for the HI GBP, HP GBP, HR GBP and HZ GBP shares.

I, P, R and Z Shares are subject to a minimum initial subscription amount as follows:

I Shares USD 1,000,000.00 P Shares USD 10,000.00R Shares USD 10,000.00Z Shares USD 10,000.00


On April 26, 2013, due to the small amounts invested in hedged classes of shares denominated in GBP, the Board of Directors of the SICAV decided to merge all the PICTET ALTERNATIVE FUNDS - PLEAID CREDIT OPPORTUNITIES sub-fund's hedged classes of shares denominated in GBP, as follows: class HI GBP merged into class I USD, class HP GBP merged into class P USD, class HR GBP merged into class R USD, an class HZ GBP merged into class Z USD as from the Valuation Day of June 2013, with effect on July 1, 2013.

As from July 1, 2013, shareholders of the sub-fund PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES who have concluded a specific discretionary portfolio management agreement with Banque Pictet & Cie SA*, or any other entity of the Pictet Group, have been automatically switched into new classes D shares.

NOTE 2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

a) General

The financial statements are presented in accordance with generally accepted accounting principles and legal reporting requirements applicable in Luxembourg.

b) Presentation of financial statements

The reference currency of the SICAV is the USD.

The accounting year of the SICAV terminates on December 31.




43

c) Valuation of investment securities

Securities held by the SICAV (including shares or units in closed-end UCIs) which are quoted or dealt in on a stock exchange are valued at their latest available publicised stock exchange closing price and where appropriate on the average price on the stock exchange which is normally the principal market for such security. Securities dealt in on any other organised market are valued in a manner as near as possible to that for quoted securities.

The valuation of assets denominated in a currency other than the reference currency of the relevant sub-fund is determined by taking into account the rate of exchange prevailing at the time of determination of the net asset value.

For non-quoted securities or securities not traded or dealt in on any stock exchange or other regulated market as well as quoted or non-quoted securities on such other market for which no valuation price is available, or securities for which the quoted prices are, in the opinion of the Board of Directors of the SICAV, not representative of the fair market value, the value thereof shall be determined based on the valuation method proposed in good faith by the Board of Directors of the SICAV taking into consideration:

- the latest available price; - the basis of recent events that may have an impact on the value of the securities; or - any other available assessment.

In determining the value of the assets of the SICAV, shares in open-ended Underlying Funds including shares of other sub-funds of the SICAV in case of investment by a sub-fund in one or more sub-funds of the SICAV, are valued at the current net asset value for such shares or units as of the relevant Valuation Day, or if no such actual net asset value is available as of such Valuation Day, they shall be valued at the estimated net asset value as of such Valuation Day, or if no such estimated net asset value is available they shall be valued at the last available actual or estimated net asset value which is calculated prior to such Valuation Day whichever is the closer to such Valuation Day. If events have occurred which may have resulted in a material change in the net asset value of such shares or units since the date on which such actual or estimated net asset value was calculated, the value of such shares or units may be adjusted in order to reflect, in the reasonable opinion of the Board of Directors of the SICAV, such change but the Board Directors of the SICAV is required to revise or recalculate the Net Asset Value on the basis of which subscriptions, redemptions or conversions may have been previously accepted.

If events have occurred which may have resulted in a material change of the net asset value of such shares or units in other Investment Funds since the day on which the latest official net asset value of these UCIs was calculated, the value of such shares or units may be adjusted in order to reflect, in the reasonable opinion of the Board of Directors of the SICAV, such change of value.

Liquid assets and money market instruments and cash are valued at face value, plus any accrued interest or on an amortised cost basis.

Futures and options are valued by reference to the previous day's closing price on the relevant market; the market prices used are the futures exchanges settlement prices.



44

Swaps are valued at fair value based on the last available closing price of the underlying security.

All other securities and assets are valued at fair market value as determined in good faith pursuant to procedures established by the Board of Directors of the SICAV.

Valuation of illiquid investments:

In respect of shares or units held by the SICAV, for which issues and redemptions are restricted and a secondary market trading is effected between dealers who, as main market makers, offer prices in response to market conditions, the Board of Directors of the SICAV may decide to value such shares or units in line with the realisation prices so established.

d) Formation expenses

The expenses incurred by the SICAV in relation to the launch of new sub-funds will be borne by, and payable out of the assets of, those sub-funds, unless otherwise decided by the Board of Directors of the SICAV, and may be amortized over a period not exceeding five years, it being understood that the new sub-fund will also be charged a prorata portion of the initial establishment expenses unamortized as of its launch.

e) Conversion of foreign currencies

Cash at banks, other net assets as well as the market value of the investment portfolio in currencies other than the currency of the sub-fund are converted into the base currency of the sub-fund at the exchange rates prevailing at the end of the year.

Income and expenses in currencies other than the currency of the sub-fund are converted into the currency of the sub-fund at the exchange rate applicable on the payment date.

Resulting foreign exchange gains and losses are recorded in the statement of operations and changes in net assets.

f) Net realised gain/loss on sales of investments

The net realised gain/loss on sales of investments is calculated on the basis of the average cost of the investments sold.

g) Cost of investment securities

Cost of investment securities in currencies other than the currency of the sub-fund is translated into the currency of the sub-fund at the exchange rate applicable at purchase date.

h) Income

Dividends are recorded at ex-date. Interest is recorded on an accrual basis.



45

i) Valuation of forward foreign exchange contracts

The unrealised gains or losses resulting from outstanding forward foreign exchange contracts are determined on the basis of the forward rates applicable on this date and are included in the statement of net assets.

j) Loans

Loans are recorded in the accounts up to the amount of cash received. Interest is accrued, recorded separately and is included in the appropriate liabilities account.

k) Transaction fees

Transaction fees represent the costs incurred by the SICAV in connection with purchases and sales of investments. Transactions fees include brokerage fees, bank commissions, foreign tax, depositary fees and other fees. Transaction fees are included in the statement of operations and changes in net assets and cover the financial year ended December 31, 2013.

NOTE 3 MANAGEMENT FEE AND SERVICE FEE

An annual management fee and service fee are calculated on the average net asset values of the classes and are paid to the Management Company in payment for the services provided by it to the SICAV. These fees will also enable the Management Company to remunerate the Investment Manager, investment advisers and distributors, if applicable, and the Administrative Agent for the functions of transfer agent, administrative agent and paying agent.

Such fees cannot exceed the amounts specified below:

For the PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE sub-fund:

Type of shares Fees (max %) * Management Service I USD 1.50% 0.15% P USD 2.00% 0.15% R USD 2.50% 0.15% Z USD 0.00% 0.15% HI CHF 1.50% 0.20% HP CHF 2.00% 0.20% HR CHF 2.50% 0.20% HZ CHF 0.00% 0.20% HI EUR 1.50% 0.20% HP EUR 2.00% 0.20% HR EUR 2.50% 0.20% HZ EUR 0.00% 0.20% HI GBP** 1.50% 0.20% HP GBP** 2.00% 0.20% HR GBP** 2.50% 0.20% HZ GBP** 0.00% 0.20%



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Type of shares Fees (max %) * Management Service OI CHF** 1.75% 0.20% OP CHF** 2.00% 0.20% OR CHF** 2.50% 0.20% OZ CHF** 0.00% 0.20% OI EUR** 1.75% 0.20% OP EUR** 2.00% 0.20% OR EUR** 2.50% 0.20% OZ EUR** 0.00% 0.20%

* Maximum percentage per year of the average net assets attributable to this type of shares during the relevant quarter.

** As at December 31, 2013, this type of shares was not activated yet.

For the PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES (NOTE 1) sub-fund:

Type of shares Fees (max %) * Management Service I USD 1.50% 0.15% P USD 2.00% 0.15% R USD 2.50% 0.15% Z USD 0.00% 0.15% D USD 1.25% 0.15% HI CHF 1.50% 0.20% HP CHF 2.00% 0.20% HR CHF 2.50% 0.20% HZ CHF 0.00% 0.20% HD CHF 1.25% 0.15% HI EUR 1.50% 0.20% HP EUR 2.00% 0.20% HR EUR 2.50% 0.20% HZ EUR 0.00% 0.20% HD EUR 1.25% 0.15% HI GBP*** 1.50% 0.20% HP GBP*** 2.00% 0.20% HR GBP*** 2.50% 0.20% HZ GBP*** 0.00% 0.20% OI CHF** 1.75% 0.20% OP CHF 2.00% 0.20% OR CHF** 2.50% 0.20% OZ CHF** 0.00% 0.20%



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Type of shares Fees (max %) * Management Service OI EUR** 1.75% 0.20% OP EUR 2.00% 0.20% OR EUR** 2.50% 0.20% OZ EUR** 0.00% 0.20%


** As at December 31, 2013, this type of shares was not activated.

*** As at December 31, 2013, these share classes were merged (note 1).

For the PICTET ALTERNATIVE FUNDS - MOSAIC EURO sub-fund:

Type of shares Fees (max %) * Management Service I EUR 1.50% 0.15% P EUR 2.00% 0.15% R EUR 2.50% 0.15% Z EUR 0.00% 0.15% HI CHF 1.50% 0.20% HP CHF 2.00% 0.20% HR CHF 2.50% 0.20% HZ CHF 0.00% 0.20% HI USD 1.50% 0.20% HP USD 2.00% 0.20% HR USD 2.50% 0.20% HZ USD 0.00% 0.20% HI GBP 1.50% 0.20% HP GBP 2.00% 0.20% HR GBP 2.50% 0.20% HZ GBP 0.00% 0.20%


For the PICTET ALTERNATIVE FUNDS - GLOBAL sub-fund:

Type of shares Fees (max %) * Management Service I USD 1.25% 0.13% P USD 1.50% 0.13% R USD 2.00% 0.13% Z USD** 0.00% 0.13% HI CHF** 1.25% 0.13% HP CHF** 1.50% 0.13% HR CHF** 2.00% 0.13%



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Type of shares Fees (max %) * Management Service HZ CHF** 0.00% 0.13% HI EUR** 1.25% 0.13% HP EUR** 1.50% 0.13% HR EUR** 2.00% 0.13% HZ EUR** 0.00% 0.13%



For the PICTET ALTERNATIVE FUNDS - COMMO sub-fund:

Type of shares Fees (max %) * Management Service I USD 1.50% 0.15% P USD 2.00% 0.15% R USD** 2.50% 0.15% Z USD 0.00% 0.15% HI CHF 1.50% 0.20% HP CHF 2.00% 0.20% HR CHF** 2.50% 0.20% HZ CHF 0.00% 0.20% HI EUR** 1.50% 0.20% HP EUR 2.00% 0.20% HR EUR** 2.50% 0.20% HZ EUR 0.00% 0.20% HI GBP** 1.50% 0.20% HP GBP** 2.00% 0.20% HR GBP** 2.50% 0.20% HZ GBP** 0.00% 0.20%



For the PICTET ALTERNATIVE FUNDS - DISTRESSED sub-fund:

Type of shares Fees (max %) * Management Service I USD** 1.50% 0.15% P USD 2.00% 0.15% R USD** 2.50% 0.15% Z USD 0.00% 0.15% HI CHF** 1.50% 0.20% HP CHF 2.00% 0.20%



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Type of shares Fees (max %) * Management Service HR CHF** 2.50% 0.20% HZ CHF** 0.00% 0.20% HI EUR** 1.50% 0.20% HP EUR 2.00% 0.20% HR EUR** 2.50% 0.20% HZ EUR** 0.00% 0.20% HI GBP** 1.50% 0.20% HP GBP** 2.00% 0.20% HR GBP** 2.50% 0.20% HZ GBP** 0.00% 0.20% OI CHF** 1.75% 0.20% OP CHF** 2.00% 0.20% OR CHF** 2.50% 0.20% OZ CHF** 0.00% 0.20% OI EUR** 1.75% 0.20% OP EUR** 2.00% 0.20% OR EUR** 2.50% 0.20% OZ EUR** 0.00% 0.20%



NOTE 4 OTHER FEES PAYABLE

As at December 31, 2013, the other fees payable include administration fees, custody fees and service fees.

NOTE 5 DIRECTORS FEES

The Directors Fees paid for the year ended December 31, 2013 are included in the statement of operations and changes in net assets under the caption "Other expenses" and amount to the following:

Sub-fund

Currency Directors Fees

PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE USD 968.24PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES USD 9,323.53PICTET ALTERNATIVE FUNDS - MOSAIC EURO EUR 4,922.40PICTET ALTERNATIVE FUNDS - GLOBAL USD 397.56PICTET ALTERNATIVE FUNDS - COMMO USD 889.34PICTET ALTERNATIVE FUNDS - DISTRESSED USD 515.46



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NOTE 6 TAXE D’ABONNEMENT

Under current law and practice the SICAV is not liable to any Luxembourg income tax, nor are dividends, if any, paid by the SICAV liable to any Luxembourg withholding tax. However, the SICAV is normally liable in Luxembourg to a tax of 0.05% per annum of its net assets. Such tax rate is reduced to a rate of 0.01% in respect of the net assets attributable to such classes of shares which are reserved for institutional investors within the meaning of, and as provided for in, article 174 of the Law.

Such tax is payable quarterly and calculated on the Net Asset Value of the relevant class at the end of the relevant quarter. For the portion of the assets of the SICAV invested in other UCIs which are established in Luxembourg, no such tax is payable as provided for in article 174 of the Law if they are already provided for elsewhere.

NOTE 7 SUBSCRIPTIONS AND REDEMPTIONS

a) Subscriptions

Shares in each class are issued at the relevant Net Asset Value per share (the "Subscription Price"), as determined as of each "Valuation Day", being the last calendar day of each month. The net asset value is made public as soon as practicable after the relevant Valuation Day.

A Subscription Charge of up to 3.50% of the relevant Subscription Price may be added to the Subscription Price to compensate financial intermediaries and other persons who assist in the placement of shares.

b) Redemptions

For the PICTET ALTERNATIVE FUNDS - WORLD EQUITY HEDGE and PICTET ALTERNATIVE FUNDS - GLOBAL sub-funds

Shares in each class of the sub-funds are redeemable on a monthly basis, based on the Net Asset Value, minus a Redemption Adjustment (the "Redemption Price") calculated as of the monthly Valuation Day (the "Redemption Valuation Day"). The Board of Directors of the SICAV may determine additional Redemption Valuation Days for which all shareholders in identical situations will be treated equally.

A Redemption Charge of up to 3.00% of the relevant Redemption Price may be levied on the Redemption Price to compensate financial intermediaries and other persons who assist in the placement of shares.

For the PICTET ALTERNATIVE FUNDS - MOSAIC EURO and PICTET ALTERNATIVE FUNDS – COMMO sub-funds

Shares in each class of the sub-funds are redeemable on a quarterly basis, based on the relevant Net Asset Value (the "Redemption Price") calculated as of the Valuation Day of the months of March, June, September and December (the "Redemption Valuation Day"). The Board of Directors of the SICAV may determine additional Redemption Valuation Days for which all shareholders in identical situations will be treated equally.



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For the PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES sub-fund

Shares of Class D and their corresponding Hedged shares of the Sub-Fund are redeemable on a quarterly basis, based on the relevant Net Asset Value (the "Redemption Price") calculated as of the Valuation Days of the months of February, May, August and November (the "Redemption Valuation Day") as defined under point "Valuation Day" hereabove. The Board of Directors may determine additional Redemption Valuation Days for which all shareholders in identical situations will be treated equally.

Shareholders of Classes I, P, R and Z shares and their corresponding Hedged shares and Overlay shares are normally not allowed to redeem their Shares in the Sub-Fund during the soft Lock Up Period, as defined in the current prospectus, except if they agree to pay an early redemption fee of 5% of the Redemption Price for the benefit of the Sub-Fund.

After the soft Lock Up Period, Classes I, P, R and Z shares and their corresponding Hedged shares and Overlay shares are redeemable on a quarterly basis, based on the relevant Net Asset Value (the "Redemption Price") calculated as of the Valuation Day of the months of February, May, August and November (the "Redemption Valuation Day"). The Board of Directors may determine additional Redemption Valuation Days for which all shareholders in identical situations will be treated equally, in the best interest of all the Shareholders.


For the PICTET ALTERNATIVE FUNDS - DISTRESSED sub-fund

Shareholders are normally not allowed to redeem their shares in the sub-fund during a "Lock Up Period" of one year, as defined in the current prospectus. However, during the lock up period, redemptions requests on a given Redemption Valuation Day may be exceptionally submitted to the approval of the Board of Directors of the SICAV. The Board of Directors of the SICAV reserves the right to accept or reject these requests, for which all shareholders in identical situations will be treated equally.

After the Lock Up Period, Shares in each Class of the Sub-Fund are redeemable on a quarterly basis, based on the relevant Net Asset Value (the "Redemption Price") calculated as of the Valuation Day of the months of March, June, September and December (the "Redemption Valuation Day"), as defined under point "Valuation Day" hereabove. The Board of Directors may determine additional Redemption Valuation Days for which all shareholders in identical situations will be treated equally, in the best interest of all the Shareholders.




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NOTE 8 EXCHANGE RATES AS AT DECEMBER 31, 2013

The following exchange rates were used for the conversion of the SICAV’s net assets into USD as at December 31, 2013:

1 USD = 0.725716 EUR

1 USD = 0.889350 CHF

1 USD = 0.603774 GBP

NOTE 9 FORWARD FOREIGN EXCHANGE CONTRACTS

Forward foreign exchange contracts on identical currency pairs listed below are aggregated. Only the longest maturity date is shown.

The SICAV had the following forward foreign exchange contracts outstanding as at December 31, 2013:


Purchase Sale MaturityCHF 25,618,194.85 USD 28,682,028.05 31/03/2014EUR 13,216,993.34 USD 18,151,840.30 31/03/2014USD 24,290,290.00 EUR 17,700,000.00 31/03/2014

The net unrealised gain on these contracts as at December 31, 2013 was USD 97,216.59 and is included in the statement of net assets.

PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES

Purchase Sale MaturityCHF 133,105,318.31 USD 148,722,752.27 31/03/2014EUR 148,070,292.29 USD 203,114,910.72 31/03/2014USD 154,369,973.97 EUR 112,699,999.98 31/03/2014



Purchase Sale MaturityCHF 127,639,468.38 EUR 103,942,750.41 31/03/2014EUR 130,301,675.72 USD 178,500,000.00 31/03/2014GBP 2,034,602.30 EUR 2,430,740.00 31/01/2014USD 16,098,146.25 EUR 11,675,052.58 31/01/2014

The net unrealised gain on these contracts as at December 31, 2013 was EUR 1,037,778.02 and is included in the statement of net assets.



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Purchase Sale MaturityUSD 472,919.72 CHF 420,000.00 31/01/2014USD 2,276,670.00 EUR 1,650,000.00 31/01/2014



Purchase Sale MaturityCHF 7,491,142.61 USD 8,370,533.86 31/03/2014EUR 18,345,740.55 USD 25,165,356.04 31/03/2014


NOTE 10 LOANS AND GUARANTEES

On December 18, 2012, the SICAV entered into a credit facility agreement (the "Facility Agreement") with Bank of America, N.A. (London Branch) acting as lender. The Master Facility Agreement was amended and restated by amendment and restatement dated December 13, 2013. Under the terms of this agreement, the SICAV agreed to pledge all its present and future assets in accordance with the terms and conditions of the Pledge Agreement entered into on December 18, 2012 between the SICAV, Pictet & Cie (Europe) S.A. as custodian and Banque Pictet & Cie SA* as sub-custodian.

As at December 31, 2013, loans outstanding under the facility agreement of Bank of America amounted to EUR 3,000,000 for the PICTET ALTERNATIVE FUNDS - MOSAIC EURO sub-fund and to USD 2,000,000 for the PICTET ALTERNATIVE FUNDS - DISTRESSED sub-fund.

NOTE 11 CROSS INVESTMENTS BETWEEN SUB-FUNDS

As at December 31, 2013, the sub-fund PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES invests in another sub-fund of the SICAV:

Investee sub-fund Investment amount in USD

% of net assets

PICTET ALTERNATIVE FUNDS - DISTRESSED Z USD 30,865,466.09 5.60 PICTET ALTERNATIVE FUNDS - DISTRESSED Z USD -REC- 3,000,000.00 0.54

The total amount of cross investments for the PICTET ALTERNATIVE FUNDS - PLEIAD CREDIT OPPORTUNITIES sub-fund stands at USD 33,865,466.09 and represents 6.14% of its net assets.

In accordance with article 181(8) of the law of 17 December 2010 on Undertakings for Collective Investment, the management fee detailed in Note 3 does not apply to cross investments among this sub-fund.


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