ZURICH INVEST COMMON CONTRACTUAL FUND · As an umbrella CCF with segregated liability between its funds, the Manager may create different funds from time to time. As at 31 May 2020,

ZURICH INVEST COMMON CONTRACTUAL FUND

An open-ended common contractual fund established under the laws of Ireland and

constituted as an umbrella fund with segregated liability between Funds and with variable

capital pursuant to the European Communities (Undertakings for Collective Investment in

Transferable Securities) Regulations 2011, as amended.

Interim Report and Unaudited Condensed Financial Statements

for the financial period from 1 December 2019 to 31 May 2020

Zurich Invest Common Contractual Fund

Contents

Page

Directory 1

General information 2

Investment Manager’s Report 4

Condensed Statement of Financial Position 6

Condensed Statement of Comprehensive Income 7

Condensed Statement of Changes in Net Assets Attributable to Redeemable Participating Unitholders 8

Condensed Statement of Cash Flows 9

Schedule of Investments 10

Schedule of Portfolio Changes 25

Notes to the Condensed Financial Statements 27


1

Directory

Board of Directors of the Manager Investment Manager

Michael Bishop (Chair) (British)* Deutsche Asset Management International GmbH

Neil Clifford (Irish) Mainzer Landstraße 11-17

Teddy Otto (German) 60329 Frankfurt am Main

Kevin Nolan (Irish) (Resigned 18 December 2019) Germany

Dennis Murray (Irish)

Sarah Murphy (Irish)

David McGowan (Irish) (Appointed 12 February 2020)

*Independent Director

Registered Office Manager

2nd Floor, Block E Carne Global Fund Managers (Ireland) Limited

Iveagh Court 2nd Floor, Block E

Harcourt Road Iveagh Court

Dublin 2 Harcourt Road

Ireland Dublin 2

Registered number: C175698 Ireland

Irish Legal Advisor Administrator

A&L Goodbody (Ireland) Limited State Street Fund Services (Ireland) Limited

International Financial Services Centre 78 Sir John Rogerson’s Quay

North Wall Quay Dublin 2

Dublin 1 Ireland

Ireland

Depositary Global Services Co-ordinator and Promoter

State Street Custodial Services (Ireland) Limited Zurich Investment Ltd

78 Sir John Rogerson’s Quay Hagenholzstrasse 60

Dublin 2 8050 Zurich

Ireland Switzerland

Secretary Independent Auditors

Carne Global Financial Services Limited PricewaterhouseCoopers

2nd Floor, Block E One Spencer Dock

Iveagh Court North Wall Quay

Harcourt Road Dublin 1

Dublin 2 Ireland

Ireland


2

General Information

Background to the Common Contractual Fund

The Zurich Invest Common Contractual Fund (the “CCF”) is an open-ended umbrella common contractual fund, constituted by a

Deed of Constitution governed by the laws of Ireland and authorised under the Regulations by the Central Bank of Ireland (the

“Central Bank”).

The CCF was constituted on 30 April 2018 by the Deed of Constitution entered into by Carne Global Fund Managers (Ireland)

Limited (the “Manager”) and State Street Custodial Services (Ireland) Limited (the “Depositary”). As such, the CCF is not an

incorporated entity and does not have a separate legal personality. Instead, it is simply a description of a form of undivided co-

ownership by contractual arrangement whereby persons who acquire units and become legal unitholders in the CCF will have co-

ownership rights to the property of the relevant Fund of the CCF and the income that is derived from such property.

The CCF is authorised in Ireland as an undertaking for collective investment in transferable securities pursuant to the European

Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended (the “UCITS

Regulations”) and Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment

in Transferable Securities) Regulations 2015 (the “Central Bank UCITS Regulations”).

Units may be issued in relation to each Fund. Different Classes of Units may also be issued in relation to any Fund subject to

notifying and clearing in advance with the Central Bank of the creation of each Class of Units and the different Classes of Units

available for issue in each Fund will be set out in a Supplement for the relevant Fund. The different Classes of Units in a Fund may

have different charging structures, designation of units in different currencies or gains/losses on and costs of different financial

instruments employed for currency hedging between the Base Currency of a Fund or the underlying assets of a Fund and the

designated currency of the relevant Class of Units and the Minimum Initial Investment Amount and/or Minimum Additional

Investment Amount therefore may also differ. The different Classes of Units within a Fund together represent interests in a single

pool of assets of the Fund.

As an umbrella CCF with segregated liability between its funds, the Manager may create different funds from time to time.

As at 31 May 2020, the CCF has established one Fund namely Zurich Invest US Equity Index CCF Fund (the “Fund”), which

launched on 15 May 2018.

The Manager of the CCF is Carne Global Fund Managers (Ireland) Limited (the “Manager”), which in turn has appointed Deutsche

Asset Management International GmbH as Investment Manager (the “Investment Manager”) of the Fund. The Manager has also

appointed Zurich Invest Ltd as Global Services Co-ordinator (the “Global Services Co-ordinator”) of the Fund. Zurich Invest Ltd

is a wholly owned subsidiary of Zurich Insurance Company Ltd.

Net Asset Value and Valuation of Assets The Net Asset Value (“NAV”) of the Fund is calculated by the Administrator as at the Valuation Point for each Dealing Day by

valuing the assets of the Fund and deducting there from the liabilities of the Fund. The NAV of a Fund divided by the number of

units of the relevant Fund in issue as at the relevant Valuation Point (where the resulting sum is rounded to two decimal places)

is equal to the NAV of a unit of the relevant Fund. Where there is more than one class in issue in a Fund, the NAV per unit of the

relevant class is calculated by determining that proportion of the NAV of the relevant Fund which is attributable to the relevant class

at the Valuation Point, and by dividing this sum by the total number of units of the relevant class in issue at the relevant Valuation

Point (which is set out in the supplement to the Prospectus for the relevant Fund). The price at which units of any class will be issued

or redeemed on a Dealing Day, after the initial issue, is based on the NAV per unit or NAV per unit of a relevant Class (where there

is more than one class in issue in a Fund). The NAV per unit is the resulting sum rounded to two decimal places.


3

Investment objective and policy

Zurich Invest US Equity Index CCF Fund

The investment objective of the Fund is to track, before fees and expenses, the return performance of the MSCI USA (NDR) Index

(the “Index”). In order to seek to achieve its investment objective, the Investment Manager will aim to invest in the underlying

equity and equity related securities of the Index in similar weighting given to such constituents in the Index. The Investment Manager

may however also invest in a sample of Index constituents whose risk, return and other characteristics (including for example

currency, sector and country exposure and/or liquidity) closely resemble the risk, return and other characteristics of the Index

as a whole and in similar weighting given to such constituents in the Index. Therefore, while the Fund may from time to time invest

in all (or most) constituents of the Index, it is not expected that at all times it will hold every constituent (or a similar weighting

of any such constituent) of the Index.


4

Investment Manager’s Report

Coronavirus infects the financial markets

At the beginning of the new year, global equity markets continued their impressive momentum from the last quarter of 2019, before

falling sharply again from their new record levels. This was because the continuing spread of COVID-19 (coronavirus) and its

potential impact on the global economy scared investors. As the virus spread at an exponential rate, governments around the world

imposed temporary restrictions on public life (lockdowns). This led to a contraction of the global economy, and governments and

central banks took extraordinary measures to prevent a prolonged and deep economic crisis.

USD 2 trillion aid package and monetary policy support for the USA

As in China and Europe, the coronavirus spread rapidly in the USA and created a strong headwind for the US economy. At the end

of March, initial claims for unemployment benefits rose to an all-time high of over 6 million due to the sudden economic standstill.

The service sector was hit particularly hard by the consequences of the ban on contact and travel restrictions, with the purchasing

managers' index for the service sector falling to 39.1 points. The manufacturing sector held up better, but the sharp decline in new

orders suggested that worse might be ahead. At the end of March, the US Congress passed an aid package worth USD 2 trillion and

the Federal Reserve Bank (FED) also promised unlimited monetary policy support. These measures led to strong gains in US equity

markets at the end of the quarter.

Emergency bond purchase program and higher government spending in the euro zone

In order to compensate for the massive economic consequences of the corona pandemic in the euro zone, the economic stimulus

measures have been considerably extended. The European Central Bank announced an emergency bond purchase programme of

750 billion euros for the rest of this year. On the fiscal side, Germany has suspended its debt brake anchored in its constitution in

order to be able to spend more. Other eurozone countries also announced spending packages. In addition, numerous and extensive

programs to secure liquidity and for credit guarantees were set up.

Compensation for short-time working and refinancing facility in Switzerland

With fiscal measures amounting to around 6 percent of gross domestic product, the Swiss government took energetic action to

support companies and households. Short-time work compensation, which amounts to 80 percent of income, was extended. With

the COVID 19 refinancing facility, the Swiss National Bank offered bridge financing for companies in the event of liquidity

problems.

No fiscal policy measures in Japan yet

For the time being, Japan has only taken monetary policy measures to support the economy. This was because the number of

coronavirus infections was comparatively low compared to European countries. Although the Bank of Japan kept its key interest

rate unchanged, it decided to buy more corporate bonds and tradable fund units (ETFs) in the amount of 6 trillion yen (approx. 54

billion Swiss francs). The central bank also introduced a new instrument to facilitate bank lending to companies. While these various

measures were able to support the economy, fiscal policy measures may also be necessary in Japan in the future.

China's economy appears to be recovering

Towards the end of the quarter, the Chinese economy began to recover after the end of the lockdown. This was after the number of

new COVID-19 cases in China declined. Migrant workers gradually returned to the factories, Hubei Province was no longer locked

down and consumption began to recover. The purchasing managers' index also recovered from its record low of 29.6 points.

Nevertheless, the Chinese central bank announced further monetary policy measures to further support the economy. China, which

is further ahead than Western countries in overcoming the crisis, now seems to have the COVID-19 epidemic under control.

Strong price movements in physical gold

Despite sharp price movements, which could be due to emergency sales by investors, the gold price developed strongly in the first

quarter and is still at its highest level in over 6 years.


5

Investment Manager’s Report (continued)

Performance - Zurich Invest US Equity Index CCF Fund

Tracking error - Zurich Invest US Equity Index CCF Fund

The tracking error is the annualised standard deviation of the difference between the monthly (or daily) returns of the Fund and the

Index. As at 31 May 2020, the anticipated level of tracking error for the Fund is expected in normal market conditions not to exceed

1.00% of the Net Asset Value of the Fund per annum. The realised tracking error for the financial period ended 31 May 2020 is

0.08%.

Zurich Invest Ltd

June 2020

Performance Portfolio Benchmark

% %

1 Month 5,188 5,134

3 Months 3,883 3,782

Year to Date -4,455 -4,588

12 Months 13,133 12,790

Last 3 Years - -

Since Inception (15.05.2018) 16,691 16,186


6

Condensed Statement of Financial Position As at 31 May 2020

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

Zurich Invest Zurich Invest

Notes US Equity Index CCF US Equity Index CCF

31 May 2020 30 November 2019

USD USD

Assets

Financial assets held at fair value through profit or loss:

Transferable securities 596,525,151 646,494,421

Cash and cash equivalents 5 147,905 288,699

Receivable for securities sold 8,334,630 -

Dividends receivable 906,388 1,037,951

Total assets 605,914,074 647,821,071

Liabilities

Payable for securities purchased (2,178,174) -

Payable for fund units repurchased (6,251,081) -

Distribution payable 10 (890,523) -

Operating fees payable (97,440) (36,755)

Transaction fees payable (7,138) (18,157)

Total liabilities (9,424,356) (54,912)

Net assets attributable to redeemable participating unitholders 596,489,718 647,766,159

Net Asset

Value per Unit

Net Asset

Value per Unit

Class XG1 USD 112.79 115.84

Class XU1 GBP 154.99 157.64

Class XU2 GBP 154.09 156.50

Class XU3 GBP 151.23 153.81


7

Condensed Statement of Comprehensive Income For the financial period from 1 December 2019 to 31 May 2020

There are no recognised gains or losses arising during the financial period other than those dealt with in the Condensed

Statement of Comprehensive Income. In arriving at the results for the financial period all amounts relate to continuing

operations.

The accompanying notes form an integral part of these financial statements


Notes US Equity Index CCF US Equity Index CCF

31 May 2020 31 May 2019

USD USD

Income

Dividend income 6,111,166 8,136,684

Other income 896 3,217

Net (loss)/gain on financial assets at fair value through

profit or loss

(16,127,774)

3,081,775

Total investment (expense)/income (10,015,712) 11,221,676

Operating expenses

Operating fees (206,935) (210,433)

Transaction fees - (13,000)

Other fees - (27,719)

Total operating expenses (206,935) (251,152)

Finance cost

Interest expense (1,299) -

Distributions 10 (2,250,284) (2,091,124)

Total finance cost (2,251,583) (2,091,124)

Net (loss)/gain on financial assets from operations

before taxation

(12,474,230)

8,879,400

Withholding tax (844,968) (1,397,176)

Changes in net assets attributable to redeemable

participating unitholders resulting from operations (13,319,198) 7,482,224


8

Condensed Statement of Changes in Net Assets Attributable to Redeemable Participating Unitholders For the financial period from 1 December 2019 to 31 May 2020



US Equity Index CCF US Equity Index CCF

31 May 2020 31 May 2019

USD USD

Net assets attributable to redeemable participating

Unitholders at the beginning of the financial period 647,766,159 793,161,878

Changes in net assets attributable to redeemable participating

Unitholders resulting from operations (13,319,198) 7,482,224

Issue of units - 71,813,574

Redemption of units (37,957,243) (94,754,986)

Net (decrease) in net assets attributable to holders of

redeemable participating units from capital transactions (37,957,243) (22,941,412)

Net (decrease)/increase in net assets attributable to holders

of

redeemable participating units during the financial period (51,276,441) 777,702,690

Net assets attributable to holders of redeemable

participating units at the end of the financial period 596,489,718 777,702,690


9

Condensed Statement of Cash Flows For the financial period from 1 December 2019 to 31 May 2020



US Equity Index CCF US Equity Index CCF

31 May 2020 31 May 2019

USD USD

Cash flows from operating activities

Changes in net assets attributable to holders of redeemable

r

participating units

(13,319,198) 7,482,224

Adjustments for:

Net movement in financial assets and financial liabilities at fair value

through profit or loss 49,969,270

13,920,826

Net movement in other assets and receivables (8,203,067) 811,272

Net movement in other liabilities and accrued expenses 9,369,444 133,896

Net cash inflow from operating activities 37,816,449 22,348,218

Cash flows from financing activities

Proceeds from issue of redeemable participating units - 71,813,574

Payments for redeemable participating units redeemed (37,957,243) (94,754,986)

Net cash (outflow) from financing activities (37,957,243) (22,941,412)

Net (decrease) in cash and cash equivalents (140,794) (593,194)

Reconciliation of cash movement during the financial period

Net cash at the beginning of the financial period 288,699 1,038,333

Net cash at the end of the financial period 147,905 445,139


10


Schedule of Investments as at 31 May 2020

Fair Value % of

Holding USD Net Assets

Transferable Securities (100.01%) (30 November 2019: 99.80%)

Equities (100.01%) (30 November 2019: 99.80%)

Bermuda (0.36%) (30 November 2019: 0.43%)

9,302 Arch Capital Group Ltd 262,502 0.04

3,757 Athene Holding Ltd 108,540 0.02

5,381 Axalta Coating Systems Ltd 124,355 0.02

3,385 Bunge Ltd 132,083 0.02

978 Everest Re Group Ltd 194,045 0.03

8,858 IHS Markit Ltd 615,276 0.11

8,066 Invesco Ltd 64,286 0.01

14,597 Marvell Technology Group Ltd 476,154 0.08

945 RenaissanceRe Holdings Ltd 158,628 0.03

2,135,869 0.36

Canada (0.10%) (30 November 2019: 0.09%)

6,107 Waste Connections Inc 574,302 0.10

574,302 0.10

Curacao (0.10%) (30 November 2019: 0.18%)

32,554 Schlumberger Ltd 601,272 0.10

601,272 0.10

Ireland (2.18%) (30 November 2019: 2.34%)

14,231 Accenture Plc 2,869,254 0.48

2,183 Allegion Plc 217,645 0.04

5,282 Aon Plc 1,040,290 0.17

9,217 Eaton Corp Plc 782,523 0.13

1,046 Jazz Pharmaceuticals Plc 124,809 0.02

16,715 Johnson Controls International Plc 525,018 0.09

12,167 Linde Plc 2,461,871 0.41

30,185 Medtronic Plc 2,975,638 0.50

3,746 Pentair Plc 146,618 0.02

3,080 Perrigo Co Plc 168,692 0.03

5,189 Seagate Technology Plc 275,225 0.05

2,024 Steris Plc 335,761 0.06

5,310 Trane Technologies Plc 479,015 0.08

2,868 Willis Towers Watson Plc 581,917 0.10

12,984,276 2.18

Jersey (0.14%) (30 November 2019: 0.15%)

37,320 Amcor Plc 381,037 0.06

5,971 Aptiv Plc 449,915 0.08

830,952 0.14

Liberia (0.03%) (30 November 2019: 0.07%)

4,018 Royal Caribbean Cruises Ltd 208,414 0.03

208,414 0.03


11

Zurich Invest US Equity Index CCF Fund (continued)

Schedule of Investments as at 31 May 2020 (continued)

Fair Value % of


Transferable Securities (100.01%) (30 November 2019: 99.80%) (continued)

Equities (100.01%) (30 November 2019: 99.80%) (continued)

Netherlands (0.10%) (30 November 2019: 0.12%)

6,027 LyondellBasell Industries NV 384,281 0.07

12,071 Mylan NV 206,052 0.03

590,333 0.10

Panama (0.03%) (30 November 2019: 0.07%)

9,482 Carnival Corp 149,247 0.03

149,247 0.03

Singapore (Nil) (30 November 2019: 0.02%)

Switzerland (0.36%) (30 November 2019: 0.41%)

10,130 Chubb Ltd 1,235,252 0.21

3,153 Garmin Ltd 284,306 0.05

7,445 TE Connectivity Ltd 604,906 0.10

2,124,464 0.36

United Kingdom (0.09%) (30 November 2019: 0.30%)

3,748 Liberty Global Plc Class A 79,608 0.01

9,784 Liberty Global Plc Class C 201,843 0.04

7,879 Nielsen Holdings Plc 109,439 0.02

3,547 Sensata Technologies Holding Plc 126,451 0.02

517,341 0.09

United States (96.52%) (30 November 2019: 95.60%)

12,978 3M Co 2,030,278 0.34

39,734 Abbott Laboratories 3,771,551 0.63

39,572 AbbVie Inc 3,667,137 0.61

966 Abiomed Inc 216,287 0.04

17,193 Activision Blizzard Inc 1,237,552 0.21

10,748 Adobe Inc 4,155,177 0.70

1,679 Advance Auto Parts Inc 233,918 0.04

26,316 Advanced Micro Devices Inc 1,415,801 0.24

14,965 AES Corp 186,913 0.03

16,332 Aflac Inc 595,628 0.10

7,307 Agilent Technologies Inc 644,039 0.11

12,802 AGNC Investment Corp 165,658 0.03

5,095 Air Products & Chemicals Inc 1,231,207 0.21

3,378 Akamai Technologies Inc 357,392 0.06

2,512 Albemarle Corp 192,218 0.03

2,584 Alexandria Real Estate Equities Inc 397,212 0.07

4,709 Alexion Pharmaceuticals Inc 564,609 0.09

1,761 Align Technology Inc 432,537 0.07

260 Alleghany Corp 133,406 0.02

5,460 Alliant Energy Corp 269,506 0.05


12



Fair Value % of




United States (96.52%) (30 November 2019: 95.60%) (continued)

7,259 Allstate Corp 710,003 0.12

6,323 Ally Financial Inc 110,273 0.02

2,288 Alnylam Pharmaceuticals Inc 309,498 0.05

6,773 Alphabet Inc Class A 9,709,230 1.63

6,841 Alphabet Inc Class C 9,775,241 1.63

7,538 Altice USA Inc 193,877 0.03

42,717 Altria Group Inc 1,668,099 0.28

9,516 Amazon.com Inc 23,241,592 3.89

217 Amerco 69,983 0.01

5,659 Ameren Corp 422,897 0.07

11,425 American Electric Power Co Inc 973,981 0.16

15,667 American Express Co 1,489,462 0.25

1,703 American Financial Group Inc 102,589 0.02

20,244 American International Group Inc 608,535 0.10

10,000 American Tower Corp 2,581,700 0.43

4,238 American Water Works Co Inc 538,226 0.09

2,995 Ameriprise Financial Inc 419,510 0.07

3,299 AmerisourceBergen Corp 314,527 0.05

5,138 Ametek Inc 471,206 0.08

13,407 Amgen Inc 3,079,588 0.52

6,659 Amphenol Corp 642,993 0.11

8,357 Analog Devices Inc 943,923 0.16

32,090 Annaly Capital Management Inc 197,674 0.03

2,019 Ansys Inc 571,377 0.10

5,796 Anthem Inc 1,704,662 0.29

3,368 AO Smith Corp 159,980 0.03

97,539 Apple Inc 31,011,549 5.19

21,194 Applied Materials Inc 1,190,679 0.20

5,621 Aramark 145,528 0.02

12,537 Archer-Daniels-Midland Co 492,829 0.08

1,148 Arista Networks Inc 268,012 0.04

2,049 Arrow Electronics Inc 141,545 0.02

4,046 Arthur J Gallagher & Co 381,457 0.06

1,281 Assurant Inc 131,405 0.02

159,900 AT&T Inc 4,934,514 0.83

2,635 Atmos Energy Corp 270,825 0.05

4,819 Autodesk Inc 1,013,821 0.17

1,870 Autoliv Inc 118,895 0.02

9,775 Automatic Data Processing Inc 1,431,940 0.24

518 AutoZone Inc 594,591 0.10

3,244 AvalonBay Communities Inc 506,096 0.08

1,976 Avery Dennison Corp 218,684 0.04

14,818 Baker Hughes a GE Co 244,645 0.04

6,693 Ball Corp

476,943

0.08


13



Fair Value % of





175,121 Bank of America Corp 4,223,919 0.71

18,026 Bank of New York Mellon Corp 670,026 0.11

11,032 Baxter International Inc 992,990 0.17

6,223 Becton Dickinson and Co 1,536,645 0.26

31,183 Berkshire Hathaway Inc 5,786,940 0.97

5,673 Best Buy Co Inc 443,005 0.07

3,916 Biogen Inc 1,202,564 0.20

4,243 BioMarin Pharmaceutical Inc 452,092 0.08

522 Bio-Rad Laboratories Inc 256,469 0.04

3,509 Black Knight Inc 270,123 0.05

3,397 BlackRock Inc 1,795,790 0.30

14,855 Blackstone Group Inc 843,764 0.14

11,959 Boeing Co 1,744,220 0.29

924 Booking Holdings Inc 1,514,824 0.25

2,805 Booz Allen Hamilton Holding Corp 223,727 0.04

4,611 BorgWarner Inc 148,244 0.02

3,631 Boston Properties Inc 312,193 0.05

31,412 Boston Scientific Corp 1,193,342 0.20

50,791 Bristol-Myers Squibb Co 3,033,239 0.51

8,959 Broadcom Inc 2,609,488 0.44

2,325 Broadridge Financial Solutions Inc 281,558 0.05

5,609 Brown & Brown Inc 225,482 0.04

6,619 Brown-Forman Corp 436,391 0.07

1,329 Burlington Stores Inc 278,651 0.05

9,368 Cabot Oil & Gas Corp 185,861 0.03

6,460 Cadence Design Systems Inc 589,733 0.10

2,159 Camden Property Trust 197,700 0.03

4,035 Campbell Soup Co 205,704 0.03

10,182 Capital One Financial Corp 692,783 0.12

6,781 Cardinal Health Inc 370,853 0.06

3,978 CarMax Inc 350,263 0.06

19,123 Carrier Global Corp 391,448 0.07

12,493 Caterpillar Inc 1,500,784 0.25

2,289 Cboe Global Markets Inc 243,687 0.04

7,406 CBRE Group Inc 325,716 0.05

3,061 CDK Global Inc 120,328 0.02

3,405 CDW Corp 377,649 0.06

2,977 Celanese Corp 267,662 0.04

12,945 Centene Corp 857,606 0.14

11,715 CenterPoint Energy Inc 208,293 0.03

22,817 CenturyLink Inc 224,291 0.04

6,766 Cerner Corp 493,241 0.08

3,617 CF Industries Holdings Inc 106,231 0.02

2,548 CH Robinson Worldwide Inc 206,719 0.03

26,459 Charles Schwab Corp 950,143 0.16

3,307 Charter Communications Inc 1,799,008 0.30


14



Fair Value % of


Transferable Securities (100.01%) (30 November2019: 99.80%) (continued)



5,427 Cheniere Energy Inc 240,687 0.04

42,663 Chevron Corp 3,912,197 0.66

589 Chipotle Mexican Grill Inc 591,303 0.10

5,181 Church & Dwight Co Inc 388,938 0.07

8,559 Cigna Corp 1,688,862 0.28

3,607 Cincinnati Financial Corp 212,633 0.04

95,890 Cisco Systems Inc 4,585,460 0.77

47,393 Citigroup Inc 2,270,599 0.38

9,700 Citizens Financial Group Inc 233,770 0.04

2,615 Citrix Systems Inc 387,334 0.06

2,836 Clorox Co 584,925 0.10

8,026 CME Group Inc 1,465,548 0.25

6,380 CMS Energy Corp 373,740 0.06

91,755 Coca-Cola Co 4,283,123 0.72

3,932 Cognex Corp 223,102 0.04

12,572 Cognizant Technology Solutions Corp 666,316 0.11

18,222 Colgate-Palmolive Co 1,317,997 0.22

102,267 Comcast Corp 4,049,773 0.68

2,973 Comerica Inc 108,069 0.02

11,207 Conagra Brands Inc 389,892 0.07

4,543 Concho Resources Inc 247,684 0.04

24,909 ConocoPhillips 1,050,662 0.18

7,440 Consolidated Edison Inc 558,446 0.09

3,794 Constellation Brands Inc 655,224 0.11

1,181 Cooper Cos Inc 374,353 0.06

5,007 Copart Inc 447,576 0.08

16,372 Corning Inc 373,118 0.06

15,829 Corteva Inc 432,290 0.07

810 CoStar Group Inc 532,008 0.09

10,045 Costco Wholesale Corp 3,098,581 0.52

9,301 Crown Castle International Corp 1,601,260 0.27

3,082 Crown Holdings Inc 201,655 0.03

17,250 CSX Corp 1,234,755 0.21

3,219 Cummins Inc 545,942 0.09

29,342 CVS Health Corp 1,923,955 0.32

14,098 Danaher Corp 2,348,868 0.39

2,923 Darden Restaurants Inc 224,662 0.04

1,723 DaVita Inc 139,494 0.02

6,651 Deere & Co 1,011,750 0.17

5,387 Dell Technologies Inc 267,411 0.04

3,966 Delta Air Lines Inc 99,983 0.02

5,200 Dentsply Sirona Inc 241,904 0.04

2,068 DexCom Inc 782,345 0.13

3,439 Diamondback Energy Inc 146,433 0.02

6,061 Digital Realty Trust Inc 870,117 0.15

7,158 Discover Financial Services 340,077 0.06


15



Fair Value % of





3,610 Discovery Inc Class A 78,518 0.01

7,151 Discovery Inc Class C 140,088 0.02

5,167 DISH Network Corp Class A 163,536 0.03

3,836 DocuSign Inc 536,043 0.09

5,725 Dollar General Corp 1,096,395 0.18

5,593 Dollar Tree Inc 547,387 0.09

18,333 Dominion Energy Inc 1,558,488 0.26

937 Domino's Pizza Inc 361,532 0.06

3,093 Dover Corp 300,794 0.05

16,713 Dow Inc 645,122 0.11

7,555 DR Horton Inc 417,792 0.07

4,537 Dropbox Inc 102,400 0.02

4,183 DTE Energy Co 449,965 0.08

16,503 Duke Energy Corp 1,413,152 0.24

8,306 Duke Realty Corp 286,391 0.05

16,185 DuPont de Nemours Inc 821,065 0.14

4,961 E*TRADE Financial Corp 225,924 0.04

3,708 East West Bancorp Inc 129,595 0.02

2,700 Eastman Chemical Co 183,816 0.03

17,057 eBay Inc 776,776 0.13

5,854 Ecolab Inc 1,244,443 0.21

8,231 Edison International 478,303 0.08

4,639 Edwards Lifesciences Corp 1,042,476 0.17

8,450 Elanco Animal Health Inc 180,915 0.03

6,448 Electronic Arts Inc 792,330 0.13

19,537 Eli Lilly & Co 2,988,184 0.50

13,935 Emerson Electric Co 850,314 0.14

4,492 Entergy Corp 457,375 0.08

13,458 EOG Resources Inc 685,954 0.11

1,288 EPAM Systems Inc 297,064 0.05

2,790 Equifax Inc 428,432 0.07

1,909 Equinix Inc 1,331,776 0.22

9,885 Equitable Holdings Inc 188,902 0.03

3,370 Equity LifeStyle Properties Inc 209,951 0.04

7,802 Equity Residential 472,489 0.08

604 Erie Indemnity Co 108,865 0.02

1,436 Essex Property Trust Inc 348,618 0.06

5,076 Essential Utilities Inc 222,126 0.04

4,847 Estee Lauder Cos Inc 957,137 0.16

5,305 Evergy Inc 327,265 0.05

7,480 Eversource Energy 626,076 0.10

3,235 Exact Sciences Corp 277,822 0.05

22,732 Exelon Corp 870,863 0.15

2,782 Expedia Group Inc 221,113 0.04

4,205 Expeditors International of Washington Inc 321,136 0.05

2,956 Extra Space Storage Inc 285,993 0.05

95,299 Exxon Mobil Corp 4,333,246 0.73


16



Fair Value % of





1,349 F5 Networks Inc 195,497 0.03

53,629 Facebook Inc 12,071,351 2.01

909 FactSet Research Systems Inc 279,527 0.05

13,636 Fastenal Co 562,621 0.09

1,704 Federal Realty Investment Trust 136,167 0.02

5,442 FedEx Corp 710,508 0.12

6,508 Fidelity National Financial Inc 207,605 0.03

13,849 Fidelity National Information Services Inc 1,922,657 0.32

15,991 Fifth Third Bancorp 310,065 0.05

3,840 First Republic Bank 415,373 0.07

12,086 FirstEnergy Corp 510,754 0.09

12,847 Fiserv Inc 1,371,674 0.23

1,928 FleetCor Technologies Inc 470,027 0.08

3,138 FLIR Systems Inc 144,976 0.02

3,168 FMC Corp 311,763 0.05

90,085 Ford Motor Co 514,385 0.09

3,204 Fortinet Inc 445,997 0.07

6,383 Fortive Corp 389,235 0.07

2,731 Fortune Brands Home & Security Inc 166,482 0.03

7,924 Fox Corp Class A 231,143 0.04

3,784 Fox Corp Class B 108,904 0.02

7,153 Franklin Resources Inc 134,977 0.02

30,963 Freeport-McMoRan Inc 280,834 0.05

2,166 Gartner Inc 263,602 0.04

5,420 General Dynamics Corp 795,819 0.13

196,912 General Electric Co 1,293,712 0.22

13,802 General Mills Inc 870,078 0.15

29,757 General Motors Co 770,111 0.13

3,406 Genuine Parts Co 284,094 0.05

28,472 Gilead Sciences Inc 2,215,976 0.37

6,868 Global Payments Inc 1,232,737 0.21

2,448 Globe Life Inc 188,545 0.03

4,122 GoDaddy Inc 318,425 0.05

7,141 Goldman Sachs Group Inc 1,403,135 0.24

1,601 Guidewire Software Inc 164,231 0.03

18,580 Halliburton Co 218,315 0.04

7,382 Hartford Financial Services Group Inc 282,657 0.05

2,658 Hasbro Inc 195,390 0.03

6,043 HCA Healthcare Inc 645,997 0.11

4,016 HD Supply Holdings Inc 127,347 0.02

11,193 Healthpeak Properties Inc 275,796 0.05

1,015 HEICO Corp 102,271 0.02

1,797 HEICO Corp Class A 150,858 0.03

2,791 Henry Schein Inc 169,470 0.03


17



Fair Value % of





3,419 Hershey Co 463,890 0.08

6,280 Hess Corp 298,112 0.05

30,091 Hewlett Packard Enterprise Co 292,184 0.05

6,095 Hilton Worldwide Holdings Inc 483,394 0.08

3,805 HollyFrontier Corp 119,667 0.02

5,704 Hologic Inc 302,312 0.05

24,317 Home Depot Inc 6,042,287 1.01

16,038 Honeywell International Inc 2,339,142 0.39

6,872 Hormel Foods Corp 335,560 0.06

17,616 Host Hotels & Resorts Inc 210,335 0.04

8,638 Howmet Aerospace Inc 112,985 0.02

33,230 HP Inc 503,102 0.08

2,942 Humana Inc 1,208,132 0.20

22,345 Huntington Bancshares Inc 198,647 0.03

823 Huntington Ingalls Industries Inc 164,509 0.03

1,789 IAC 483,692 0.08

1,495 IDEX Corp 238,258 0.04

1,920 IDEXX Laboratories Inc 593,050 0.10

7,257 Illinois Tool Works Inc 1,251,542 0.21

3,241 Illumina Inc 1,176,645 0.20

4,349 Incyte Corp 443,207 0.07

8,160 Ingersoll Rand Inc 230,112 0.04

1,631 Ingredion Inc 137,379 0.02

1,385 Insulet Corp 261,169 0.04

95,344 Intel Corp 5,999,997 1.01

12,637 Intercontinental Exchange Inc 1,228,948 0.21

19,939 International Business Machines Corp 2,490,381 0.42

1,922 International Flavors & Fragrances Inc 255,991 0.04

8,931 International Paper Co 304,101 0.05

8,712 Interpublic Group of Cos Inc 149,062 0.02

5,915 Intuit Inc 1,717,243 0.29

2,648 Intuitive Surgical Inc 1,535,919 0.26

12,615 Invitation Homes Inc 331,775 0.06

3,179 Ionis Pharmaceuticals Inc 178,692 0.03

918 IPG Photonics Corp 142,657 0.02

4,298 IQVIA Holdings Inc 642,637 0.11

6,330 Iron Mountain Inc 163,061 0.03

1,581 Jack Henry & Associates Inc 285,940 0.05

3,002 Jacobs Engineering Group Inc 252,228 0.04

1,606 JB Hunt Transport Services Inc 192,190 0.03

2,237 JM Smucker Co 254,861 0.04

59,441 Johnson & Johnson 8,841,848 1.47

1,066 Jones Lang LaSalle Inc 109,158 0.02

68,526 JPMorgan Chase & Co 6,668,264 1.12

7,801 Juniper Networks Inc 189,252 0.03


18



Fair Value % of





2,157 Kansas City Southern 324,672 0.05

5,200 Kellogg Co 339,612 0.06

22,524 KeyCorp 266,909 0.04

4,033 Keysight Technologies Inc 436,088 0.07

7,981 Kimberly-Clark Corp 1,128,833 0.19

44,868 Kinder Morgan Inc 708,914 0.12

10,772 KKR & Co Inc 298,923 0.05

3,681 KLA Corp 647,709 0.11

2,889 Knight-Swift Transportation Holdings Inc 120,211 0.02

14,015 Kraft Heinz Co 427,037 0.07

18,466 Kroger Co 602,361 0.10

5,006 L3Harris Technologies Inc 998,447 0.17

2,013 Laboratory Corp of America Holdings 352,919 0.06

3,382 Lam Research Corp 925,552 0.16

2,878 Lamb Weston Holdings Inc 172,853 0.03

7,754 Las Vegas Sands Corp 371,727 0.06

1,334 Lear Corp 141,471 0.02

2,737 Leidos Holdings Inc 288,179 0.05

6,152 Lennar Corp 371,950 0.06

831 Lennox International Inc 177,701 0.03

2,409 Liberty Broadband Corp 329,118 0.06

4,205 Liberty Media Corp-Liberty Formula One 145,703 0.02

2 Liberty Media Corp- Liberty S/R 22 -

4,198 Liberty Media Corp-Liberty SiriusXM Class C 153,101 0.03

1,996 Liberty Media Corp-Liberty SiriusXM Class A 72,854 0.01

3,994 Lincoln National Corp 151,492 0.03

3,356 Live Nation Entertainment Inc 164,981 0.03

7,461 LKQ Corp 204,879 0.03

5,673 Lockheed Martin Corp 2,203,620 0.37

6,489 Loews Corp 215,694 0.04

17,245 Lowe's Cos Inc 2,247,886 0.38

2,785 Lululemon Athletica Inc 835,765 0.14

2,919 M&T Bank Corp 308,422 0.05

14,968 Marathon Petroleum Corp 525,976 0.09

331 Markel Corp 297,046 0.05

895 MarketAxess Holdings Inc 455,188 0.08

6,624 Marriott International Inc 586,224 0.10

11,484 Marsh & McLennan Cos Inc 1,216,385 0.20

1,504 Martin Marietta Materials Inc 288,903 0.05

6,045 Masco Corp 281,999 0.05

19,948 Mastercard Inc 6,002,153 1.01

1,333 Match Group Inc 118,690 0.02

5,709 Maxim Integrated Products Inc 329,295 0.06

2,620 McCormick & Co Inc 458,919 0.08

16,771 McDonald's Corp 3,124,773 0.52


19



Fair Value % of





3,631 McKesson Corp 576,131 0.10

11,996 Medical Properties Trust Inc 216,888 0.04

1,013 MercadoLibre Inc 862,742 0.14

57,487 Merck & Co Inc 4,640,351 0.78

17,831 MetLife Inc 642,094 0.11

515 Mettler-Toledo International Inc 409,425 0.07

11,862 MGM Resorts International 203,789 0.03

5,607 Microchip Technology Inc 538,384 0.09

25,047 Micron Technology Inc 1,200,002 0.20

161,078 Microsoft Corp 29,517,543 4.95

2,621 Mid-America Apartment Communities Inc 304,980 0.04

1,462 Mohawk Industries Inc 136,258 0.02

4,270 Molson Coors Brewing Co 162,089 0.03

32,239 Mondelez International Inc 1,680,297 0.28

1,064 MongoDB Inc 246,965 0.04

9,107 Monster Beverage Corp 654,884 0.11

3,795 Moody's Corp 1,014,821 0.17

26,844 Morgan Stanley 1,186,505 0.20

8,426 Mosaic Co 101,870 0.02

3,951 Motorola Solutions Inc 534,689 0.09

1,822 MSCI Inc 599,165 0.10

10,072 News Corp 123,382 0.02

2,770 Nasdaq Inc 328,134 0.06

9,238 National Oilwell Varco Inc 115,198 0.02

3,600 National Retail Properties Inc 113,004 0.02

5,372 NetApp Inc 239,269 0.04

9,898 Netflix Inc 4,154,488 0.70

1,685 Neurocrine Biosciences Inc 210,221 0.04

6,847 Newell Brands Inc 90,038 0.02

18,169 Newmont Corp 1,062,341 0.18

11,084 NextEra Energy Inc 2,832,627 0.47

28,048 NIKE Inc 2,764,972 0.46

8,924 NiSource Inc 212,659 0.04

5,801 Norfolk Southern Corp 1,034,260 0.17

4,424 Northern Trust Corp 349,540 0.06

3,630 Northrop Grumman Corp 1,216,776 0.20

12,290 NortonLifeLock Inc 279,966 0.05

5,011 NRG Energy Inc 180,647 0.03

7,040 Nucor Corp 297,510 0.05

13,769 NVIDIA Corp 4,888,270 0.82

79 NVR Inc 254,507 0.04

20,358 Occidental Petroleum Corp 263,636 0.04

4,674 OGE Energy Corp 146,390 0.02

2,365 Okta Inc 462,547 0.08

2,214 Old Dominion Freight Line Inc 378,793 0.06


20



Fair Value % of





5,135 Omega Healthcare Investors Inc 159,904 0.03

5,276 Omnicom Group Inc 289,072 0.05

10,193 ON Semiconductor Corp 168,083 0.03

9,142 ONEOK Inc 335,420 0.06

50,517 Oracle Corp 2,716,299 0.46

1,627 O'Reilly Automotive Inc 678,849 0.11

9,561 Otis Worldwide Corp 503,387 0.08

2,591 Owens Corning 136,028 0.02

7,431 PACCAR Inc 548,854 0.09

1,743 Packaging Corp of America 176,758 0.03

2,228 Palo Alto Networks Inc 524,182 0.09

3,086 Parker-Hannifin Corp 555,387 0.09

7,105 Paychex Inc 513,549 0.09

1,041 Paycom Software Inc 309,416 0.05

24,840 PayPal Holdings Inc 3,850,448 0.65

8,977 People's United Financial Inc 102,787 0.02

30,976 PepsiCo Inc 4,074,893 0.68

2,705 PerkinElmer Inc 271,771 0.05

124,963 Pfizer Inc 4,772,337 0.80

34,896 Philip Morris International Inc 2,559,971 0.43

10,042 Phillips 66 785,887 0.13

2,605 Pinnacle West Capital Corp 202,930 0.03

6,559 Pinterest Inc 133,082 0.02

3,820 Pioneer Natural Resources Co 349,912 0.06

9,742 PNC Financial Services Group Inc 1,110,978 0.19

5,252 PPG Industries Inc 533,971 0.09

17,121 PPL Corp 478,361 0.08

6,461 Principal Financial Group Inc 249,524 0.04

55,050 Procter & Gamble Co 6,381,395 1.07

12,935 Progressive Corp 1,004,791 0.17

16,661 Prologis Inc 1,524,482 0.26

9,162 Prudential Financial Inc 558,516 0.09

2,689 PTC Inc 205,386 0.03

11,495 Public Service Enterprise Group Inc 586,705 0.10

3,390 Public Storage 687,289 0.12

6,148 PulteGroup Inc 208,848 0.04

2,327 Qorvo Inc 243,730 0.04

25,651 QUALCOMM Inc 2,074,653 0.35

2,841 Quest Diagnostics Inc 336,033 0.06

1,271 Ralph Lauren Corp 95,973 0.02

2,531 Raymond James Financial Inc 175,348 0.03

34,084 Raytheon Technologies Corp 2,199,100 0.37

7,400 Realty Income Corp 409,294 0.07

3,559 Regency Centers Corp 152,290 0.03

2,249 Regeneron Pharmaceuticals Inc 1,378,210 0.23


21



Fair Value % of





19,815 Regions Financial Corp 224,108 0.04

1,585 Reinsurance Group of America Inc 143,839 0.02

4,951 Republic Services Inc 423,112 0.07

3,054 ResMed Inc 491,144 0.08

1,684 RingCentral Inc 461,837 0.08

2,807 Robert Half International Inc 142,427 0.02

2,725 Rockwell Automation Inc 589,036 0.10

1,927 Roku Inc 211,026 0.04

2,922 Rollins Inc 122,140 0.02

2,332 Roper Technologies Inc 918,342 0.15

8,058 Ross Stores Inc 781,304 0.13

3,042 RPM International Inc 227,481 0.04

5,529 S&P Global Inc 1,797,036 0.30

18,867 salesforce.com Inc 3,297,763 0.55

1,743 Sarepta Therapeutics Inc 265,407 0.04

2,508 SBA Communications Corp 787,838 0.13

3,450 Sealed Air Corp 110,745 0.02

2,685 Seattle Genetics Inc 422,109 0.07

2,222 SEI Investments Co 120,477 0.02

6,559 Sempra Energy 828,467 0.14

4,238 ServiceNow Inc 1,644,047 0.28

1,813 Sherwin-Williams Co 1,076,650 0.18

1,354 Signature Bank 139,340 0.02

6,856 Simon Property Group Inc 395,591 0.07

24,827 Sirius XM Holdings Inc 144,493 0.02

3,668 Skyworks Solutions Inc 434,805 0.07

19,473 Snap Inc 368,819 0.06

1,281 Snap-on Inc 166,133 0.03

23,210 Southern Co 1,324,595 0.22

3,270 Southwest Airlines Co 104,967 0.02

3,499 Splunk Inc 650,254 0.11

8,048 Square Inc 652,532 0.11

5,189 SS&C Technologies Holdings Inc 300,417 0.05

3,342 Stanley Black & Decker Inc 419,254 0.07

26,547 Starbucks Corp 2,070,401 0.35

8,227 State Street Corp 501,518 0.08

4,927 Steel Dynamics Inc 130,861 0.02

2,061 Cintas Corp 511,046 0.09

7,540 Stryker Corp 1,475,804 0.25

2,186 Sun Communities Inc 299,897 0.05

1,218 SVB Financial Group 261,566 0.04

13,645 Synchrony Financial 277,949 0.05

3,481 Synopsys Inc 629,748 0.11

11,017 Sysco Corp 607,698 0.10

5,223 T Rowe Price Group Inc 631,461 0.11


22



Fair Value % of





2,604 Take-Two Interactive Software Inc 354,587 0.06

11,221 Target Corp 1,372,665 0.23

5,442 TD Ameritrade Holding Corp 202,823 0.03

758 Teledyne Technologies Inc 283,583 0.05

1,108 Teleflex Inc 402,049 0.07

3,907 Teradyne Inc 261,847 0.04

3,319 Tesla Inc 2,771,365 0.46

21,329 Texas Instruments Inc 2,532,605 0.42

5,611 Textron Inc 173,773 0.03

9,036 Thermo Fisher Scientific Inc 3,155,281 0.53

2,552 Tiffany & Co 326,988 0.05

27,744 TJX Cos Inc 1,463,773 0.25

9,469 T-Mobile US Inc 947,279 0.16

2,382 Tractor Supply Co 290,652 0.05

1,075 TransDigm Group Inc 456,682 0.08

4,355 TransUnion 375,793 0.06

5,829 Travelers Cos Inc 623,586 0.10

5,608 Trimble Inc 219,385 0.04

30,314 Truist Financial Corp 1,114,949 0.19

2,556 Twilio Inc 505,066 0.08

17,091 Twitter Inc 529,308 0.09

908 Tyler Technologies Inc 340,781 0.06

6,726 Tyson Foods Inc 413,245 0.07

21,374 Uber Technologies Inc 776,304 0.13

6,148 UDR Inc 227,353 0.04

4,112 UGI Corp 130,926 0.02

1,285 Ulta Salon Cosmetics & Fragrance Inc 313,553 0.05

15,610 Union Pacific Corp 2,651,515 0.44

15,733 United Parcel Service Inc 1,568,737 0.26

21,379 UnitedHealth Group Inc 6,517,387 1.09

1,640 United Rentals Inc 227,780 0.04

1,939 Universal Health Services Inc 204,468 0.03

30,828 US Bancorp 1,096,244 0.18

866 Vail Resorts Inc 171,754 0.03

9,097 Valero Energy Corp 606,224 0.10

1,777 Varian Medical Systems Inc 215,710 0.04

2,820 Veeva Systems Inc 617,213 0.10

8,468 Ventas Inc 295,957 0.05

22,011 VEREIT Inc 120,620 0.02

2,467 VeriSign Inc 540,298 0.09

3,634 Verisk Analytics Inc 627,519 0.11

93,297 Verizon Communications Inc 5,353,382 0.90

5,971 Vertex Pharmaceuticals Inc 1,719,409 0.29

7,722 VF Corp 433,204 0.07

11,812 ViacomCBS Inc 244,981 0.04


23



Fair Value % of





10,845 VICI Properties Inc 212,779 0.04

38,031 Visa Inc 7,425,171 1.24

7,721 Vistra Energy Corp 157,817 0.03

1,952 VMware Inc 305,039 0.05

4,075 Vornado Realty Trust 147,556 0.02

2,767 Voya Financial Inc 124,653 0.02

3,139 Vulcan Materials Co 340,016 0.06

16,521 Walgreens Boots Alliance Inc 709,412 0.12

32,092 Walmart Inc 3,981,334 0.67

40,657 Walt Disney Co 4,769,066 0.80

9,587 Waste Management Inc 1,023,412 0.17

1,318 Waters Corp 263,402 0.04

1,362 Wayfair Inc 233,651 0.04

6,834 WEC Energy Group Inc 626,883 0.11

87,629 Wells Fargo & Co 2,319,540 0.39

9,516 Welltower Inc 482,176 0.08

1,708 West Pharmaceutical Services Inc 368,996 0.06

6,862 Western Digital Corp 304,467 0.05

7,952 Western Union Co 159,199 0.03

3,978 Westinghouse Air Brake Technologies Corp 242,936 0.04

5,842 Westrock Co 163,927 0.03

16,350 Weyerhaeuser Co 330,107 0.06

1,594 Whirlpool Corp 194,181 0.03

27,669 Williams Cos Inc 565,278 0.09

3,828 Workday Inc 702,170 0.12

3,994 WP Carey Inc 239,281 0.04

2,885 WR Berkley Corp 167,186 0.03

1,106 WW Grainger Inc 342,440 0.06

2,343 Wynn Resorts Ltd 195,125 0.03

11,280 Xcel Energy Inc 733,538 0.12

5,252 Xilinx Inc 482,921 0.08

1,970 XPO Logistics Inc 155,256 0.03

3,618 Xylem Inc 240,018 0.04

7,144 Yum! Brands Inc 641,031 0.11

1,288 Zebra Technologies Corp 336,580 0.06

2,894 Zillow Group Inc 167,823 0.03

4,666 Zimmer Biomet Holdings Inc 589,502 0.10

3,615 Zions Bancorp NA 118,952 0.02

10,762 Zoetis Inc 1,500,115 0.25

575,808,681 96.52


24



Fair Value % of

USD Net Assets

Total Equities 596,525,151 100.01

Total Transferable Securities 596,525,151 100.01

Total Investments 596,525,151 100.01

Other Net Liabilities (35,433) (0.01)

Net Assets 596,489,718 100.00

Analysis of Total Assets % of Total Assets

Transferable securities listed on an official stock exchange listing (30 November 2019: 99.80%) 98.45

Other current assets (30 November 2019: 0.20%) 1.55

Total Assets 100.00


25


Significant Changes in Portfolio Composition for the financial period from 1 December 2019 to 31 May 2020

Listed below are the largest cumulative investment purchases during the financial period ended 31 May 2020 in excess of 1% of

total purchases. At minimum, the 20 largest purchases are to be disclosed.

Major Purchases Shares Cost USD

Uber Technologies Inc 17,211 590,045

Berkshire Hathaway Inc 2,694 512,982

BlackRock Inc 742 381,193

Amazon.com Inc 148 291,324

Apple Inc 987 284,710

Tesla Inc 385 283,721

Microsoft Corp 1,454 250,131

Alphabet Inc Class A 201 246,505

Regeneron Pharmaceuticals Inc 380 219,723

NVIDIA Corp 630 213,877

DocuSign Inc 1,413 180,592

Under Armour Inc Class C 8,086 151,188

Digital Realty Trust Inc 1,117 143,331

Pinterest Inc 6,559 127,497

Altice USA Inc 4,790 120,792

Lululemon Athletica Inc 404 114,909

Advanced Micro Devices Inc 2,172 112,396

Air Products & Chemicals Inc 458 108,485

Procter & Gamble Co 866 108,144

Alphabet Inc Class C 75 107,543

Bank of New York Mellon Corp 2,109 107,322

RPM International Inc 1,291 97,157

Booking Holdings Inc 46 92,086

Match Group Inc 1,333 91,480

Black Knight Inc 1,420 90,791

RingCentral Inc 546 90,509

Brown & Brown Inc 2,206 87,242

Ingersoll Rand Inc 3,475 82,557

Dell Technologies Inc Class V

1,788 81,510


26


Significant Changes in Portfolio Composition for the financial period from 1 December 2019 to 31 May 2020

(continued)

Listed below are the largest cumulative investment sales during the financial period ended 31 May 2020 in excess of 1% of total

sales. At minimum, the 20 largest sales are to be disclosed.

Major Sales Shares Proceeds USD

Apple Inc 9,620 2,858,364

Microsoft Corp 10,754 1,832,019

Amazon.com Inc 484 945,063

Alphabet Inc Class C 585 798,011

Bank of America Corp 31,609 795,410

Facebook Inc 3,348 688,041

JPMorgan Chase & Co 6,124 641,587

Alphabet Inc Class A 465 611,149

Visa Inc 3,131 590,274

Intel Corp 9,808 584,964

Procter & Gamble Co 4,761 566,972

Mastercard Inc 1,655 472,178

Berkshire Hathaway Inc 2,207 447,897

AT&T Inc 12,450 411,067

Home Depot Inc 1,789 396,345

Wells Fargo & Co 9,844 333,251

Verizon Communications Inc 5,658 332,171

Johnson & Johnson 2,270 326,555

McDonald's Corp 1,502 290,915

UnitedHealth Group Inc 1,020 284,624


27

Notes to the Condensed Financial Statements for the financial period from 1 December 2019 to 31 May 2020

1. General information

The Zurich Invest Common Contractual Fund (the “CCF”) is an open-ended common contractual fund, constituted by a Deed

of Constitution governed by the laws of Ireland and authorised under the Regulations by the Central Bank of Ireland (the

“Central Bank”). The CCF was constituted on 30 April 2018 by the Deed of Constitution entered into by Carne Global Fund

Managers (Ireland) Limited (the “Manager”) and State Street Custodial Services (Ireland) Limited (the “Depositary”). The CCF

is authorised in Ireland as an undertaking for collective investment in transferable securities pursuant to the European

Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended (the “UCITS

Regulations”) and Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective

Investment in Transferable Securities) Regulations 2015 (the “Central Bank UCITS Regulations”).

As an umbrella CCF with segregated liability between its funds, the Manager may create different funds from time to time.

As at 31 May 2020, the CCF has established one Fund namely Zurich Invest US Equity Index CCF Fund (the “Fund”), which

launched on 15 May 2018.

The Manager of the CCF has appointed Deutsche Asset Management International GmbH as Investment Manager

(the “Investment Manager”) of the Fund. The Manager has also appointed Zurich Invest Ltd as Global Services Co-ordinator

(the “Global Services Co-ordinator”) of the Fund. Zurich Invest Ltd is a wholly owned subsidiary of Zurich Insurance Company

Ltd.

2. Significant accounting policies

The principal accounting policies applied in the preparation of these financial statements are set out below. All references

to net assets throughout this document refer to net assets attributable to unitholders.

Basis of Preparation

These condensed unaudited financial statements are prepared in accordance with International Financial Reporting Standards

("IFRS"), issued by the International Accounting Standard Board ("IASB") as adopted for use in the European Union (“EU”)

and interpretations issued by the International Financial Reporting Interpretations Committee (“IFRIC”) of the IASB and

pursuant to the provisions of the European Communities (Undertakings for Collective Investment in Transferable Securities)

Regulations, 2015, as amended (the “UCITS Regulations”). Specifically, these financial statements have been prepared in

accordance with IAS (International Accounting Standard) 34: Interim Financial Reporting and have been prepared on a going

concern basis.

These financial statements do not contain all of the information and disclosures required in the most recent annual report and

audited financial statements and should be read in conjunction with the annual audited financial statements of the CCF for the

financial year ended 30 November 2019 which were prepared in accordance with IFRS as adopted by the EU and the UCITS

Regulations. The same accounting policies, critical estimates, assumptions and methods of computation have been followed in

these condensed unaudited financial statements as were applied in the preparation of the CCF’s annual financial statements.

Although these estimates are based on management’s best knowledge of the amounts, events or actions, actual results ultimately

may differ from those estimates.

Critical accounting estimates and judgements

The preparation of financial statements in conformity with IFRS as adopted by the European Union requires Management to

make certain accounting estimates and assumptions. Actual results may differ from those estimates and assumptions. It also

requires the Directors of the Manager to exercise critical judgement in the process of applying the CCF’s accounting policies.


28


(continued)

2. Significant accounting policies (continued)

a) New standards, amendments and interpretations issued and effective for the financial period ended 31 May 2020

IFRS 16 “Leases” was issued in January 2016 and became effective for periods beginning on or after 1 January 2019. The new

standard is not expected to have any impact on the CCF’s financial position, performance or disclosures in its financial

statements.

IFRIC 23 “Uncertainty over Income Tax Treatments” was issued in June 2017 and became effective for periods beginning on

or after 1 January 2019. It clarifies the accounting for uncertainties in income taxes which is applied to the determination of

taxable profits (tax loss), tax bases, unused tax losses, unused tax credits and tax rates, when there is uncertainty over income

tax treatments in accordance with IAS 12. It clarifies that the CCF should consider whether tax treatments should be considered

independently or collectively, whether the relevant tax authority will or will not accept each tax treatment and, the requirement

to reassess its judgements and estimates if facts and circumstances change. The application of IFRIC 23 is not expected to have

a significant effect on the CCF’s financial position, performance or disclosures in its financial statements.

b) New standards, amendments and interpretations issued but not effective for the financial period ended 31 May 2020

and not early adopted

IFRS 17 “Insurance Contracts” was issued in May 2017 and will become effective for accounting periods beginning on or after

1 January 2021. It applies to: insurance contracts, including reinsurance contracts, issued by an entity; reinsurance contracts

held by an entity; and investment contracts with discretionary participation features issued by an entity that issues insurance

contracts. An insurance contract is defined as ‘a contract under which one party (the issuer) accepts significant insurance risk

from another party (the policyholder) by agreeing to compensate the policyholder if a specified uncertain future event (the

insured event) adversely affects the policyholder’. The new standard is not expected to have a significant impact on the CCF’s

financial position, performance or disclosures in its financial statements.

There are no further standards, amendments or interpretations to existing standards that would be expected to have a significant

impact on the CCF.

3. Taxation

Taxation of the CCF

The CCF is a common contractual fund as defined in section 739I of the Taxes Consolidation Act, 1997 the (“TCA”), in which

the unitholders by contractual arrangement participate and share in the property of the CCF as co-owners.

Section 739I of the TCA provides that a common contractual fund shall not be chargeable to tax in respect of its relevant income

and relevant gains (relevant profits). Instead, the relevant profits of the common contractual fund shall be treated as arising, or

as the case may be, accruing to each unitholder of the common contractual fund in proportion to the value of the units

beneficially owned by the unitholder, as if the relevant profits had arisen or as the case may be, accrued, to the unitholders in

the common contractual fund without passing through the hands of the common contractual fund.

This tax treatment is subject to each of the units of the common contractual fund being an asset of a pension fund or being

beneficially owned by a person other than an individual, or being held by an intermediary, a depositary or trustee for the benefit

of a person other than an individual. On the basis that the units of the CCF are held by persons described above, the CCF shall

not be chargeable to tax in respect of its relevant profits.


29


(continued)

3. Taxation (continued)

Taxation of Unitholders

Distributions, interest or capital gains (if any) derived from securities may be subject to taxes, including withholding taxes

imposed by the country of source. The CCF has been constituted by the Manager with the objective that it would be viewed as

tax transparent. As such, where double taxation treaties apply, those treaties between the countries where the unitholders and

the investments are located will be relevant. The objective of the Manager is that the CCF may effectively be ignored for double

taxation treaty purposes.

4. Operating Expenses

The CCF may pay out of the assets of the Fund the fees and expenses (including performance fees, if any) payable to (unless

excluded in the relevant Supplement):

the Manager, Investment Manager, the Depositary, the Administrator and any distributors (as may be set out in the relevant

Supplement);

the fees and expenses of any other service provider;

the fees and expenses of sub-custodians and any facilities agent/Paying Agent or representative appointed in compliance with

the requirements of another jurisdiction (which will be at normal commercial rates);

the fees and expenses of the auditors, tax and legal advisers;

any fees in respect of circulating details of the Net Asset Value, any costs incurred in respect of Unitholder communications

and/or approvals, marketing and distribution costs, costs incurred in respect of the distributions to Unitholders, the costs of

printing and distributing this Prospectus, any Supplements, Key Investor Information Documents (“KIIDs”), reports, accounts

and any explanatory memoranda, any necessary translation fees, the costs of publishing prices and any costs incurred as a

result of periodic updates of the Prospectus, or of a change in law or the introduction of any new law (including any costs

incurred as a result of compliance with any applicable code, whether or not having the force of law) and fees connected with

any listing the units on an exchange and/or market and registering the CCF for sale in other jurisdictions;

extraordinary expenses including litigation costs and any amount payable under indemnity provisions contained in the Deed

of Constitution or any agreement with any appointee of the Manager;

investment transaction charges (including brokerage costs or other expenses of acquiring and disposing of investments);

taxes including withholding taxes, stamp duties and value added tax;

borrowing costs;

in cases where investments of the Fund are held through wholly owned subsidiaries, the operating costs including audit and

administration fees and expenses may be charged as an expense of the Fund.

Such fees, duties and charges will be charged to the Fund in respect of which they were incurred or, where an expense is not

considered by the Manager to be attributable to any one Fund, the expense will be allocated by the Manager in such manner

and on such basis as the Manager in its discretion deems fair and equitable. In the case of any fees or expenses of a regular or

recurring nature, such as audit fees, the Manager may calculate such fees and expenses on an estimated figure for yearly or

other periods in advance and accrue the same in equal proportions over any period.

The cost of establishing the CCF, obtaining authorisation from the Central Bank, where applicable listing the Funds on Euronext

Dublin, filing fees, the preparation and printing of this Prospectus and the fees of all professionals relating to it, including tax

and legal advice, incurred in relation to obtaining authorisation of the CCF and approval of its initial Fund will be paid by

Zurich Insurance Company Ltd. The costs of establishing subsequent Funds may be borne by the relevant Fund and where

appropriate details thereof will be set out in the relevant Supplement.


30


(continued)

4. Operating Expenses (continued)

The cost of establishing the CCF, obtaining authorisation from the Central Bank, where applicable listing the Funds on Euronext

Dublin, filing fees, the preparation and printing of this Prospectus and the fees of all professionals relating to it, including tax

and legal advice, incurred in relation to obtaining authorisation of the CCF and approval of its initial Fund will be paid by

Zurich Insurance Company Ltd. The costs of establishing subsequent Funds may be borne by the relevant Fund and where

appropriate details thereof will be set out in the relevant Supplement.

The aggregate charges and expenses payable out of the assets of the Fund for the relevant Class of Units will not exceed 2%

per annum of the Net Asset Value of the relevant Class of Units (the Capped Fee). The Capped Fee shall be used to cover fees

payable to the Manager, the Administrator, the Depositary, the Investment Manager and such further fees and expenses as

detailed above. Such fees and expenses will be accrued on each Dealing Day and paid monthly in arrears.

As at 31 May 2020, the capped fee for all Class of Units was 0.07%.

5. Cash and cash equivalents

Cash comprises current and overnight deposits with banks. Cash and deposits, including overnight deposits are held with State

Street Bank and Trust Company, an affiliate of State Street Custodial Services (Ireland) Limited (the “Depositary”).

6. Redeemable Participating Units

The following table shows the movement in the number of units for the financial period ended 31 May 2020 and the Net Asset

Value as at 31 May 2020.

Class XG1

USD

Units

Class XU1

GBP

Units

Class XU2

GBP

Units

Units in issue at the beginning of the period 2,395,000 90,972 1,815,758

Units issued - - -

Units redeemed - (9,702) (191,160)

Units in issue at the end of period 2,395,000 81,270 1,624,598

Net Asset Value as at 31 May 2020 270,122,382 12,596,223 250,340,223

Class XU3

GBP

Units

Units in issue at the beginning of the period 467,006

Units issued -

Units redeemed (47,560)

Units in issue at the end of period 419,446

Net Asset Value as at 31 May 2020 63,430,890


31


(continued)

6. Redeemable Participating Units (continued)

The following table shows the movement in the number of units for the financial period ended 30 November 2019 and the Net

Asset value as at 30 November 2019.

Class XG1

USD

Units

Class XU1

GBP

Units

Class XU2

GBP

Units

Units in issue at the beginning of the period 2,395,000 116,792 2,157,349

Units issued - - 60,348

Units redeemed - (25,820) (401,939)

Units in issue at the end of period 2,395,000 90,972 1,815,758

Net Asset Value as at 30 November 2019 277,428,432 14,340,802 284,167,861

Class XU3

GBP

Units

Class X1

USD*

Units

Units in issue at the beginning of the period 543,533 1,734,675

Units issued 126 751,117

Units redeemed (76,653) (2,485,792)

Units in issue at the end of period 467,006 -

Net Asset Value as at 30 November 2019 71,829,064 -

*Class X1 USD units terminated 8 July 2019

7. Financial instruments and associated risks

The CCF is exposed to a variety of financial risks in pursuing its stated investment objective and policy such as: credit risk, liquidity

risk and market risk (which in turn includes currency risk, interest rate risk and price risk). The CCF takes exposure to certain of these

risks to generate investment returns on its portfolio, although these risks can also potentially result in a reduction in the CCF’s net

assets. The Investment Manager will use its best endeavors to minimise the potentially adverse effects of these risks on the CCF’s

performance where it can do so while still managing the investments of the CCF in a way that is consistent with the CCF’s investment

objective and policy.

(a) Market risk

Market price risk is defined as risk that the fair value of a financial instrument or its future cash flows will fluctuate because of changes

in market prices. The Fund holds equity investments and is directly affected by movements in market prices.

The management of market risk is effected through asset allocation and diversification based on the Fund’s investment objective

as well as the Investment Manager’s developed investment process, which includes in-depth research as well as continuing analysis

of invested companies and the macroeconomics of the invested areas.

The maximum risk arising from an investment in a financial instrument is determined by the fair value of the financial instruments.

The value of market price risk that the Fund is exposed to at 31 May 2020 is the fair value of investments as disclosed in the Fund’s

Schedule of Investments.

(i) Foreign Currency risk

Currency risk is defined as the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes

in foreign exchange rates. The Fund is exposed to currency risk as monetary assets and liabilities of the Fund may be denominated in

a currency other than the functional currency of the Fund. Currency risk on non-monetary assets i.e. equities, is included in market

price risk.


32


(continued)

7. Financial instruments and associated risks (continued)

(a) Market risk (continued)

(i) Foreign Currency risk (continued)

The fluctuations in the rate of exchange between the currency in which the asset or liability is denominated and the functional currency

could result in an appreciation or depreciation in the fair value of that asset. In accordance with the Fund's policy, the Investment

Manager monitors the Fund's currency exposure on a regular basis and the Investment Manager may attempt to mitigate this risk by

using financial derivative instruments.

The Fund may use financial derivative instruments on behalf of a specific Class in order to hedge some or all of the foreign exchange

risk for such Class. The Fund that hedges foreign exchange risk for any Class may enter into forward currency contracts in order to

hedge some or all of the foreign exchange risk for the relevant Class. To the extent that hedging is successful, the performance of the

relevant Class is likely to move in line with the performance of the underlying assets. The use of hedged currency Classes may

substantially limit holders of the relevant Classes from benefiting if the currency of each of these Classes falls against the base currency

and/or the currency in which the assets of the Fund are denominated. The Fund had not engaged in any hedging

as at 31 May 2020.

(ii) Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market

interest rates. The Fund holds equity investments which are non-interest bearing.

The Fund is subject to interest rate risk on the cash it holds, the value of which is as disclosed in the Condensed Statement of Financial

Position. The Fund is not subject to significant amounts of risk due to fluctuations in the prevailing levels of market interest rates as

any excess cash is invested at short term market interest rates.

The Fund’s interest rate risk is monitored on an ongoing basis by the Investment Manager.

(b) Liquidity risk

The Fund’s assets generally comprise of equity securities. Liquidity is a factor that the Investment Manager considers when investing

in any financial instrument. The main financial liability of the Fund is the redemption of redeemable participating units. As the Fund

is open ended, the Fund is required to redeem units on request by Unitholders at a price equivalent to the Net Asset Value per unit,

subject to settlement and dealing restrictions laid down in the Prospectus. All of the Fund's investments held are equity securities and

can be sold promptly at a fair price and converted into cash within seven days. All financial liabilities of the Fund held at the financial

period ended 31 May 2020 and the financial year ended 30 November 2019, fall due within one month.

The Investment Manager manages the Fund's liquidity position on a daily basis. Also the Investment Manager is able, through the

provisions in the Prospectus, to defer the processing of redemptions of significant size to facilitate an orderly disposition of securities

in order to protect the interest of the remaining Unitholders.

(c) Credit risk

Credit risk is the risk that an issuer or counterparty may be unable to meet a commitment that it has entered into with the CCF. The

Fund has exposure to counterparty risk on cash balances held with the Depositary. Investments in equity securities are not exposed to

credit risk except for exposure to the Depository.


33


(continued)


(c) Credit risk (continued)

The CCF’s Depositary is State Street Custodial Services (Ireland) Limited. All of the assets and cash of the Fund is held within the

custodial network of the Depositary. Bankruptcy or insolvency of the Depositary or of its parent company, State Street Corporation,

may cause the Fund’s rights with respect to its equity securities and cash held by the Depositary to be delayed or limited. The S&P

credit rating of State Street Corporation as at 31 May 2020 is A (30 November 2019: A).

All securities, cash at bank balances and bank overdrafts and cash or non-cash collateral received by the Fund are held by the

Depositary through its affiliates in the State Street group, or through a sub-depositary within the State Street custodial network.

Derivatives, cash deposited as margin or other similar investments/monies deposited by or entered into on behalf of the CCF with a

counterparty, options exchange, clearing broker or other parties are not held within the State Street custodial network. The Depositary

is therefore not liable in any way for the default of any counterparty.

The Investment Manager may use forward currency contracts to hedge against foreign currency exposure. These have a similar credit

or default risk to a regular currency spot transaction. Forward currency contracts are ‘Over the Counter’ traded and therefore have

counterparty risk which arises from the potential failure of counterparties to meet their obligations under the contract or arrangement.

Forward contracts also carry roll risk, which is the risk that when a forward contract expires, a new forward to replace the expired one

cannot be put into place at the same cost or on the same hedge basis. This may occur due to changes in market liquidity or interest

rates, resulting in a potential slippage or loss in the hedge position due to the contract expiration and roll. As at 31 May 2020 and 30

November 2019 the Fund had not entered into any forward currency contracts.

The Fund’s credit risk is monitored on an ongoing basis by the Investment Manager.

Offsetting financial assets and liabilities

The Fund was not subject to offsetting agreements during the financial period ended 31 May 2020 and financial year ended 30

November 2019.

(d) Fair Value Hierarchy

In relation to fair value measurement, IFRS 13 Fair value measurement requires the CCF to classify fair value measurements using a

fair value hierarchy that reflects the significance of the inputs used in making the measurements.

IFRS 13 requires an entity to provide a quantitative and qualitative analysis of those instruments recognised at fair value based on a

three-level measurement hierarchy.

The fair value hierarchy has the following levels as defined under IFRS 13:

Level 1 - Quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2 - Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (as prices)

or indirectly (derived from prices).

Level 3 - Inputs for the asset or liability that are not based on observable market data (unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis

of the lowest level input that is significant to the fair value measurement in its entirety.

For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement

uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement.

Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors

specific to the asset or liability.


34


(continued)


(d) Fair Value Hierarchy (continued)

The determination of what constitutes ‘observable’ requires significant judgement by the CCF. The CCF considers observable data

to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided

by independent sources that are actively involved in the relevant market.

Cash at bank, bank overdrafts and other short-term investments in an active market are categorised as Level 1.

Receivable for securities sold and other receivables include the contractual amounts for settlement of trades and other obligations due

to the CCF. Payable for securities purchased and other payables represent the contractual amounts and obligations due by the CCF

for settlement of trades and expenses. All receivable and payable balances are categorised as Level 2.

The redeemable units can be repurchased by the CCF at any time for cash equal to a proportionate unit of the Fund's net asset value.

These units are not traded on an active market. Level 2 is deemed to be the most appropriate categorisation for net assets attributable

to holders of redeemable units.

The following table analyses within the fair value hierarchy of financial assets measured at fair value at 31 May 2020.


Level 1 Level 2 Level 3 Total

Financial assets held at fair value through profit or loss USD USD USD USD

Designated at fair value through profit or loss

Equities 596,525,151 - - 596,525,151

596,525,151 - - 596,525,151

The following table analyses within the fair value hierarchy of financial assets measured at fair value at 30 November 2019.


Level 1 Level 2 Level 3 Total

Financial assets held at fair value through profit or loss USD USD USD USD

Designated at fair value through profit or loss

Equities 646,494,421 - - 646,494,421

646,494,421 - - 646,494,421

Transfers between levels of the fair value hierarchy are deemed to have occurred at the end of the financial period and are deemed to

have occurred when the pricing source or methodology used to price an investment has changed which triggers a change in level as

defined under IFRS 13. There were no transfers between levels during the financial period ended 31 May 2020 and financial year

ended 30 November 2019.

8. Foreign Exchange Rates

The following exchange rates (against the USD) were used to convert the investments and other assets and liabilities denominated in

currencies other than USD at 31 May 2020 and 30 November 2019:

31 May 2020 30 November 2019

Euro 0.8990 0.9069

Pound Sterling 0.8089 0.7731


35


(continued)

9. Related Party Disclosures

The Directors who are listed on page 1, the Manager, Carne Global Fund Managers (Ireland) Limited, the Investment Manager,

Deutsche Asset Management International GmbH and the Global Services Co-ordinator and Promoter, Zurich Invest Limited

represent related parties for the purpose of the accounting standards to which the CCF is subject.

Carne Global Fund Managers (Ireland) Limited, as Manager, is considered a related party to the CCF as it is considered to have

significant influence over the CCF in its role as Manager. During the financial period ended 31 May 2020, the Manager received fees

of 33,016 USD (31 May 2019: 39,806 USD) of which 5,462 USD (30 November 2019: 11,622 USD) was payable at the financial

period end.

Carne Global Financial Services Limited, the parent Company of the Manager, charged fees of 4,080 USD (31 May 2019:

4,701 USD) during the financial period ended 31 May 2020, in respect of other fund governance services to the CCF, of which

912 USD (30 November 2019: USD 2,205) was payable at financial period end.

During the financial period from 1 December 2019 to 31 May 2020, other than as disclosed above, no Director or connected person

of any Director has any interest, beneficial or non-beneficial, in the share capital of the CCF or any material interest in the CCF or in

any agreement or arrangement with the CCF.

Significant Unitholders

The following table details the number of unitholders with significant holdings (at least 20%) of the relevant Fund and the percentage

of that holding as at 31 May 2020.

Fund

Number of

significant

unitholders

Total holding

as at

31 May 2020

Aggregate

holdings as a % of

the Fund as at 31

May 2020

Zurich Invest US Equity Index CCF Fund 2 4,520,313 100.00

The following table details the number of shareholders with significant holdings (at least 20%) of the relevant Fund and the percentage

of that holding as at 30 November 2019.

Fund

Number of

significant

unitholders

Total holding

as at 30

November 2019

Aggregate

holding as a % of

the Fund as at 30

November 2019

Zurich Invest US Equity Index CCF Fund 2 4,768,737 100.00

Dealings with Connected Persons

Regulation 41(1) of the UCITS Regulations “Restrictions on transactions with connected persons” states that “a responsible person

shall ensure that any transaction between a UCITS and a connected person is a) conducted at arm’s length; and b) in the best interest

of the unitholders of the UCITS”. As required under Central Bank’s UCITS Regulation 78.4, the Directors of the Manager as the

responsible person, is satisfied that (a) there are in place arrangements, evidenced by written procedures, to ensure that the obligations

that are prescribed by Regulation 41(1) are applied to all transactions with a connected party; and (b) all transactions with a connected

parties that were entered into during the financial period to which the report relates complied with the obligations that are prescribed

by Regulation 41(1).


36


(continued)

10. Distributions

The following distributions were declared by the Fund during the financial period ended 31 May 2020:

Zurich Invest US Equity Index CCF Fund Value Per Unit

USD USD Ex-date

Class XG1 USD 1,359,762 0.57 28 Feb 2020

Class XG1 USD 890,522 0.37 29 May 2020

Total 2,250,284

The following distributions were declared by the Fund during the financial year ended 30 November 2019:

Zurich Invest US Equity Index CCF Fund Value Per Unit

USD USD Ex-date

Class XG1 USD 1,243,420 0.52 28 Feb 2019 Class XG1 USD 847,704 0.35 31 May 2019 Class XG1 USD 866,672 0.36 30 Aug 2019 Class XG1 USD 453,251 0.19 31 Oct 2019 Total 3,411,047

11. Efficient Portfolio Management

The Manager, on behalf of the Fund may employ techniques and instruments as described in the Prospectus or the Supplement of the

Fund for efficient portfolio management.

The CCF has not entered into any Financial Derivative Instruments (“FDI”) during the financial period ended 31 May 2020.

12. Soft commissions and Directed Brokerage Services

The CCF has not entered into any soft commission or direct brokerage services arrangements during the financial period ended 31

May 2020 and financial year ended 30 November 2019.

13. Commitment and Contingent Liabilities

There are no significant commitments or contingent liabilities as at 31 May 2020 (30 November 2019: Nil).

14. Seasonal and cyclical changes

The CCF is not subject to seasonal or cyclical changes.


37


(continued)

15. Significant events during the financial period

Kevin Nolan resigned as a Director of the Manager on 18 December 2019.

David McGowan was appointed as a Director of the Manager on 12 February 2020.

The COVID-19 epidemic is believed to have originated in Wuhan, Hubei, China. While containment efforts were made to slow

the spread of the epidemic the outbreak has now spread globally and has led to the World Health Organisation declaring the

COVID-19 outbreak a pandemic on 11 March 2020. The Board is aware that global financial markets have been monitoring and

reacting to the outbreak. All markets have incurred increased volatility and uncertainty since the onset of the pandemic.

The Board has also noted the operational risks that are posed to the Fund and its service providers due to global and local

movement restrictions that have been enacted by various governments. COVID-19 pandemic is an unprecedented event and the

eventual impact on the global economy and markets will largely depend on the scale and duration of the outbreak. We have

reviewed the viability of the Fund as a result of increased market volatility and uncertainty and can confirm that the Fund is still

a viable going concern. The Board will continue to monitor this situation as the ultimate extent of the effect of this on the entity

is not possible to estimate at this time.

There have been no other significant events during the financial period.

16. Significant events since the financial period end

Since the period end the performance of the Fund to 13 July 2020 has been 4.34%.

Subscriptions to the Fund were Nil from period end to 13 July 2020 and redemptions were €9,166,618 for the same period.

There have been no other significant events affecting the CCF since 31 May 2020 that require amendment to or disclosure in the

Financial Statements.

17. Approval of financial statements

The Financial Statements were approved by the Board of Directors on 24 July 2020.