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LA FINANCIÈRE CONSTANCE SICAV Société d’Investissement à Capital Variable (SICAV) Annual Report, including Audited Financial Statements as at June 30, 2019

R.C.S. Luxembourg B205470

Subscriptions shall only be valid if made on the basis of the KIID ("Key Investor Information Document") or the current prospectus accompanied by the most recent annual report as well as by the most recent semi-annual report if published more recently than the most recent annual report. No one is authorised to state other information than the one contained in the prospectus as well as in the documents herein mentioned, which are available to the public. Copies of the complete prospectus and the latest financial reports of LA FINANCIÈRE CONSTANCE SICAV ("the Company") may be obtained, free of charge, upon request at the Company's registered office, 2, rue d'Arlon, L-8399 Windhof, Grand Duchy of Luxembourg.

Registre de Commerce et des SociétésNuméro RCS : B205470Référence de dépôt : L190208046Déposé et enregistré le 11/10/2019

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LA FINANCIÈRE CONSTANCE SICAV Société d’Investissement à Capital Variable (SICAV)

Annual Report, including Audited Financial Statements as at June 30, 2019

LA FINANCIÈRE CONSTANCE SICAV

Annual Report, including Audited Financial Statements as at June 30, 2019

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

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Table of contents

3

Organisation of the Company 4

General information 6

Management report 7

Report of the Réviseur d’entreprises agréé 10

Financial statements

Statement of net assets 13

Statement of operations and changes in net assets 14

Number of shares outstanding and net asset value per share 15

Sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE STRATÉGIE - Statement of investments and other net assets 16 - Industrial classification of investments 17

Sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS - Statement of investments and other net assets 18 - Industrial classification of investments 23

Notes to the financial statements 24

Unaudited Appendix 32


Organisation of the Company

4

REGISTERED OFFICE

2, rue d’Arlon, L-8399 Windhof, Grand Duchy of Luxembourg

BOARD OF DIRECTORS

Olivier ARMANGAU, Chairman, La Financière Constance Inc, 1010 Sherbrooke Ouest, Suite 1800, Montréal (QC) H3A 2R7, Canada

Raoul CHEVIGNARD, Independent Director, Cicerone Luxembourg S.à r.l., 3, rue Dicks, L-4081 Esch-sur-Alzette, Grand Duchy of Luxembourg

Gilles LABRY, Director, MAG ASSET MANAGEMENT SA, 18, boulevard Helvétique, CH-1207 Genève, Switzerland

MANAGEMENT COMPANY AND DOMICILIARY AGENT

Pure Capital S.A., 2, rue d’Arlon, L-8399 Windhof, Grand Duchy of Luxembourg

BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY

CHAIRMAN Thierry LEONARD, Managing Director, Pure Capital S.A. (until December 1, 2018)

Guy POURVEUR, Managing Director, Pure Capital S.A (since December 1, 2018)

DIRECTORS Guy POURVEUR, Managing Director, Pure Capital S.A. (until December 1, 2018)

Patrick VANDER EECKEN, Managing Director, Pure Capital S.A.

Bernard PONS, Managing Director, Pure Capital S.A.

Frédéric VENDITTI, Managing Director, Pure Capital S.A. (until December 1, 2018)

CONDUCTING PERSONS OF THE MANAGEMENT COMPANY

Thierry LEONARD, Managing Director, Pure Capital S.A.

Guy POURVEUR, Managing Director, Pure Capital S.A. (until December 1, 2018)

Patrick VANDER EECKEN, Managing Director, Pure Capital S.A. (until December 1, 2018)

Bernard PONS, Managing Director, Pure Capital S.A

Frédéric VENDITTI, Managing Director, Pure Capital S.A.

DEPOSITARY BANK AND PAYING AGENT

Société Générale Bank & Trust S.A., 11, avenue Emile Reuter, L-2420 Luxembourg, Grand Duchy of Luxembourg

ADMINISTRATIVE, TRANSFER AND REGISTRAR AGENT

Société Générale Bank & Trust S.A., 11, avenue Emile Reuter, L-2420 Luxembourg, Grand Duchy of Luxembourg

INVESTMENT MANAGER

La Financière Constance, Inc, 1010 Sherbrooke Ouest, Suite 1800, Montréal (QC), H3A 2R7, Canada


Organisation of the Company (continued)

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PRINCIPAL DISTRIBUTOR

Pure Capital S.A., 2, rue d’Arlon, L-8399 Windhof, Grand Duchy of Luxembourg

CABINET DE REVISION AGREE

KPMG Luxembourg, Société Coopérative, 39, avenue John F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg


General information

6

Before continuance in Luxembourg under the current undertaking for collective investment in transferable securities ("UCITS") format, LA FINANCIÈRE CONSTANCE SICAV (the "Company") was incorporated in Jersey, Channel Islands on July 2, 2008 as an open-ended investment company and commenced business on July 4, 2008. Its investment objective is to achieve a long term capital appreciation by investing in listed derivatives, mutual funds, hedge funds and currencies. On July 8, 2015, a decision has been reached to migrate the Company to Luxembourg where it continues as société anonyme incorporated under the laws of Luxembourg in order that the Company can take the form as an UCITS which is an investment fund structure that is not available to Jersey incorporated companies. As from March 18, 2016, the Company is listed on the official list of undertakings for collective investment pursuant to the law of December 17, 2010 concerning undertakings for collective investment, as amended (hereafter referred to as the "2010 Law ") and subject to the 2010 Law and to the law of August 10, 1915 on commercial companies, as amended (the "1915 Law"). It is subject in particular to the provisions of Part I of the 2010 Law, which relates specifically to UCITS, as defined by the Directive 2009/65/EC. However, such listing does not require any Luxembourg authority to approve or disapprove either the adequacy or the accuracy of the Prospectus (the "Prospectus") or the portfolio of securities held by the Company. The Company is an investment company with variable share capital consisting of various sub-funds, each relating to a portfolio of specific assets made up of transferable securities and money market instruments within the meaning of the 2010 Law and the Grand-Ducal regulation of February 8, 2008 ("Transferable Securities" and "Money Market Instruments" respectively) as well as other eligible assets in compliance with article 41 of the 2010 Law denominated in various currencies. The characteristics and investment policies of each sub-fund are defined in Appendix III in the Prospectus. A new Prospectus came into force in May 2019, replacing the previous Prospectus dated February 2018. At the date of the present report, the following sub-funds are open: - LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE STRATÉGIE - LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS

The financial year of the Company starts each year on 1 July and ends on the last day of June of each year. The annual general meeting of shareholders will be held in Luxembourg, at the registered office of the Company or at any other place in the municipality of the registered office of the Company which will be specified in the convening notice to the meeting, on the second Thursday in the month of October at 4:00 p.m. (CET). If this day is not a Bank Business Day, the annual general meeting will be held on the next following Bank Business Day. Shareholders will meet upon the call of the Board of Directors of the SICAV in accordance with the provisions of Luxembourg law. The financial statements of each sub-fund are expressed in its respective reference currency, whereas the consolidated accounts will be expressed in Euro. The annual reports, which are made available within 4 (four) months after the end of the financial year, as well as the semi-annual reports, which are made public within 2 (two) months after the end of the half-year, are held at the shareholders’ disposal at the registered office of the Company and of the Management Company. The changes in portfolios may be obtained on simple request and free of charge at the company’s registered office.


Management report

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

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Market Comments

The period under review was mainly characterised by the rhetoric of the trade war.

According to President Trump's tweets (a Deutsche Bank study showed that when markets were rising sharply, the president had a belligerent attitude towards China and vice versa when markets were down) and central bank interventions, market sentiment was volatile.

While the central banks had timidly embarked on a path of normalisation (the FED had moreover "worried" the market claiming to be on autopilot), commercial tensions and sluggish inflation, but above all market pressure (particularly following the sharp fall in December) and to a lesser extent President Trump's (on the FED) convinced them to adopt, once again, an extraordinarily accommodating tone, and new rate cuts and other asset purchases.

At the same time, corporate results were very good over the period, and valuations were driven by share buybacks (which were higher than capital expenditure!) and by lower interest rates.

Passive management continued to attract most of the flows, while active management, particularly European equity funds, experienced continuous outflows. The situation in Italy (tension with the European Commission over the deficit), uncertainties over Brexit, Hungarian and Polish populisms, and the German economic situation (a major victim of Sino-American trade tensions) made little advocating for the euro zone.

Investment Management report

CONSTANCE STRATÉGIE

As in the previous year, the Long/Short funds recorded disappointing performances. Preferred in the fund for its risk/return, exposure to this asset class is the largest with a weigh of 38.46%.

Victims of passive management (which does not discriminate on the quality of securities when it replicates an index) the "real" long / short and especially those with a "Value" bias, suffer from the comparison. Those with a "Momentum" and "Technical" strategy perform better. Performance varied from -9% to +4% depending on the funds in this category.

"Long Only" equity funds have logically performed well. The best was 8.89% on a "Value" fund and the least favourable -6.52% on an international equity fund. Equities represent 34.98% of the portfolio.

Defensive strategies, 16.91% of the portfolio, were affected by the low volatility and to a greater extent by the economy's Goldilocks environment. The bad economic news was bad enough to consider support from central bankers but too bad not to sink into recessive expectations and other drastic declines in corporate earnings. The untimely nature of presidential tweets and statements by central bankers also made it difficult to hold positions. The performance of this asset class represented in the fund was slightly dispersed and declined by an average of 2.5%.

The low inflation expectations and the subsequent giving-up of any monetary normalisation from the first quarter of 2019 onwards enabled the bond portfolio, which accounts for 9.11% of the portfolio, to record strong performances, especially since volatility is low.


Management report (continued)

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

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Performance from June 29, 2018 to June 28, 2019:

The A share in EUR is down by 1.86% and the CHF share is down by 2.54%.

The B share in EUR is down by 2.19%. As for the I shares in EUR and USD, they show a decrease of 0.53% and an increase of 0.91% respectively.

As for the fund's volatility, it is up compared to last year. Thus, annualized on a daily basis, it was 3.94%, 3.52% on a weekly basis and finally, on a monthly basis, it was 2.41%.

October 8, 2019

Established by the Investment Manager

Approved by the Board of Directors


Statement of net assets as at June 30, 2019

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

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COMBINED CONSTANCE STRATÉGIE

CONSTANCE ALTERNATIVE

OPTIONS

EUR EUR EUR

ASSETS

Investments in securities at market value (note 2) 17,620,812.26 5,323,165.08 12,297,647.18

Interest receivable on investments 8,244.57 - 8,244.57

Cash at banks 1,746,079.34 46,029.67 1,700,049.67

Formation expenses (note 2) 27,513.51 13,047.88 14,465.63

Other assets 26.07 - 26.07

Total assets 19,402,675.75 5,382,242.63 14,020,433.12

LIABILITIES

Net unrealised loss on forward exchange contracts (note 9) 5,676.90 - 5,676.90

Net unrealised loss on futures (note 10) 5,475.00 - 5,475.00

Management company fees payable (note 3) 2,524.31 1,191.76 1,332.55

Investment management fees payable (note 4) 20,059.69 5,395.62 14,664.07

Taxes and expenses payable 98,690.33 45,389.56 53,300.77

Total liabilities 132,426.23 51,976.94 80,449.29

TOTAL NET ASSETS 19,270,249.52 5,330,265.69 13,939,983.83


Statement of operations and changes in net assets for the year from July 1, 2018 to June 30, 2019


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COMBINED CONSTANCE STRATÉGIE

CONSTANCE ALTERNATIVE

OPTIONS

EUR EUR EUR INCOME

Dividends, net (note 2) 779.53 - 779.53

Interest on bonds (note 2) 36,912.00 - 36,912.00

Bank interest 4,371.07 14.07 4,357.00

Other income (note 12) 61,226.97 35,187.39 26,039.58

Total income 103,289.57 35,201.46 68,088.11

EXPENSES

Management company fees (note 3) 37,203.97 15,000.00 22,203.97

Investment management fees (note 4) 246,926.09 92,474.05 154,452.04

Administration, accounting and domiciliation fees (note 5) 63,363.29 28,259.55 35,103.74

Interest and bank fees 1,184.27 331.46 852.81

"Taxe d’abonnement" (note 6) 7,424.32 878.83 6,545.49

Depositary fees (note 5) 56,146.93 27,959.55 28,187.38

Transfer agent fees 16,503.45 8,262.85 8,240.60

Professional fees 72,584.40 17,537.40 55,047.00

Transaction fees (note 11) 234,258.55 5,837.86 228,420.69

Performance fees (note 7) 2,061.47 - 2,061.47

Amortization of formation expenses (note 2) 15,947.89 7,561.89 8,386.00

Other fees 18,264.91 2,336.01 15,928.90

Total expenses 771,869.54 206,439.45 565,430.09

NET INVESTMENT LOSS -668,579.97 -171,237.99 -497,341.98 NET REALISED GAIN/LOSS

- on investments 63,974.76 167,619.78 -103,645.02

- on forward exchange contracts 137,374.33 - 137,374.33

- on options 654,547.64 119,260.00 535,287.64

- on futures -422,194.36 -42,471.00 -379,723.36

Net realised gain/loss -234,877.60 73,170.79 -308,048.39 CHANGE IN NET UNREALISED RESULT

- on investments -197,589.86 -246,926.82 49,336.96

- on forward exchange contracts 8,923.56 - 8,923.56

- on options 41,373.15 -6,620.00 47,993.15

- on futures 19,587.30 - 19,587.30

- on currencies 5,936.97 22.93 5,914.04

Change in net unrealised appreciation/depreciation -121,768.88 -253,523.89 131,755.01 RESULT OF OPERATIONS -356,646.48 -180,353.10 -176,293.38

Subscriptions 950,629.44 59,643.07 890,986.37

Redemptions -8,865,527.34 -3,280,519.11 -5,585,008.23

DECREASE OF NET ASSETS DURING THE YEAR -8,271,544.38 -3,401,229.14 -4,870,315.24 NET ASSETS AT THE BEGINNING OF THE YEAR 27,541,793.90 8,731,494.83 18,810,299.07

NET ASSETS AT THE END OF THE YEAR 19,270,249.52 5,330,265.69 13,939,983.83


Number of shares outstanding and net asset value per share

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Sub-funds Class Currency Number of shares outstanding

Net asset value per share



30.06.2019 30.06.2019 30.06.2018 30.06.2017

CONSTANCE STRATÉGIE A EUR 61,335.7206 86.90 88.88 90.09

CONSTANCE ALTERNATIVE OPTIONS A EUR 70,303.0233 122.67 125.00 128.56

CONSTANCE ALTERNATIVE OPTIONS A CHF 13,520.8051 93.69 96.12 99.51

CONSTANCE ALTERNATIVE OPTIONS B EUR 22,258.1064 93.74 95.84 98.87

CONSTANCE ALTERNATIVE OPTIONS* B USD - - - 100.29

CONSTANCE ALTERNATIVE OPTIONS I EUR 2,026.4654 94.00 96.43 99.16

CONSTANCE ALTERNATIVE OPTIONS I USD 21,394.0389 101.03 100.12 100.59

(*) This share class was launched on May 19, 2017 and closed on May 4, 2018.

30.06.2019 30.06.2018 30.06.2017

Net asset value

CONSTANCE STRATÉGIE EUR 5,330,265.69 8,731,494.83 13,308,610.72

CONSTANCE ALTERNATIVE OPTIONS EUR 13,939,983.83 18,810,299.07 26,076,151.71

LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE STRATÉGIE

Statement of investments and other net assets as at June 30, 2019 (expressed in EUR)


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

INVESTMENT FUNDS

FRANCE

LYXOR EURO STOXX 50 D -2X INV U ET PART D EUR 6,000.00 21,692.40 0.41MONETA MULTI CAPS C EUR 900.00 241,227.00 4.52

262,919.40 4.93

IRELAND

MONTLAKE BUTLER CREDIT OPP UCITS FD EUR SICAV EUR 4,500.00 485,556.75 9.11OAKS EMERGING UMBRELLA FUND PLC OAKS FUND SICAV EUR 29,000.00 423,690.00 7.95OLD MUTUAL GLOBAL INVESTMENT SIES EUR 180,000.00 271,692.00 5.10

1,180,938.75 22.16

LUXEMBOURG

ELEVA UCITS FUND SICAV ELEVA EUROPEAN SELECTION EUR 1,102.00 141,827.40 2.66EXANE 1 OVERDRIVE FD AC EUR 32.00 436,389.36 8.19EXANE FUNDS 2 EQUITY SELECT EUROPE A EUR 16.00 332,730.72 6.24LA FINANCIERE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS CLASS A CAP EUR (NOTE 2.12)

EUR 4,351.11 533,663.79 10.01

LA FINANCIERE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS CLASS B DIST RETAIL SICAV (NOTE 2.12)

EUR 10.00 937.30 0.02

LA FINANCIERE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS CLASS I INSTITUTION SICAV (NOTE 2.12)

EUR 1,009.99 94,919.14 1.78

MFS MERIDIAN FD EURP VALUE A1 EUR 8,000.00 370,320.00 6.95ORBIS SICAV GLOBAL EQUITY FUND INVESTOR DIS EUR 1,700.00 320,790.00 6.02PPF ABSOLUTE LONG SHORT EUROPE I EUR CAP EUR 5,002.50 508,454.22 9.54PROSPER STARS & STRIPES FUND SICAV EUR EUR 1,000.70 103,952.40 1.95PROTEA FUND SICAV CRAWFORD LAKE US EQ FUND USD 5,888.87 577,768.76 10.84SCHRODER INTL SELECTION FUND ASIAN TOT RET C EUR HEDG EUR 200.00 49,834.24 0.93SCHRODER INTL SELECTION FUND EUROP SPECIAL SIT A CAP EUR 500.00 95,825.10 1.80UNI-GLOBAL 100% MV EUROPE EUR 95.00 311,894.50 5.85

3,879,306.93 72.78

TOTAL INVESTMENTS 5,323,165.08 99.87

CASH AT BANKS

46,029.67 0.86OTHER NET LIABILITIES

-38,929.06 -0.73

TOTAL NET ASSETS 5,330,265.69 100.00


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Industrial classification of investments as at June 30, 2019

Industrial classification

(in % of net assets)

Investment funds 99.87 Cash at banks 0.86 Other net liabilities -0.73 100.00

LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS

Statement of investments and other net assets as at June 30, 2019 (expressed in EUR)


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I. TRANSFERABLE SECURITIES AND DERIVATIVES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING OR DEALT IN ON ANOTHER REGULATED MARKET

OPTIONS

INTERNATIONAL

CALL R2/201907/3550 EUR 200.00 12,000.00 0.09CALL SX5E/201907/3425 EUR 20.00 14,220.00 0.10CALL SX5E/201907/3575 EUR 80.00 3,760.00 0.03CALL SX5E/201908/3450 EUR -30.00 -22,290.00 -0.16CALL SX5E/201908/3500 EUR -35.00 -16,100.00 -0.12CALL SX5E/201908/3525 EUR -40.00 -13,800.00 -0.10CALL SX5E/201908/3550 EUR -30.00 -7,500.00 -0.05CALL SX5E/201908/3575 EUR -20.00 -3,480.00 -0.02CALL SX5E/201908/3600 EUR -60.00 -6,900.00 -0.05CALL SX5E/201908/3625 EUR 60.00 4,320.00 0.03CALL SX5E/201908/3650 EUR -20.00 -880.00 -0.01CALL SX5E/201908/3750 EUR -20.00 -120.00 0.00CALL SX5E/201909/3600 EUR -40.00 -10,480.00 -0.08CALL SX5E/201909/3625 EUR -80.00 -15,840.00 -0.11CALL SX5E/201909/3650 EUR 40.00 5,840.00 0.04CALL SX5E/201909/3675 EUR -90.00 -9,450.00 -0.07CALL SX5E/201909/3700 EUR -60.00 -4,380.00 -0.03CALL SX5E/201909/3775 EUR -12.00 -276.00 0.00CALL SX5E/201910/3700 EUR -40.00 -5,120.00 -0.04CALL SX5E/201910/3725 EUR -60.00 -5,700.00 -0.04CALL SX5E/201910/3750 EUR -40.00 -2,800.00 -0.02CALL SX5E/201910/3775 EUR 10.00 510.00 0.00CALL SX5E/201910/3800 EUR -20.00 -720.00 -0.01CALL SX5E/201911/3700 EUR -40.00 -8,360.00 -0.06CALL SX5E/201911/3725 EUR -80.00 -13,200.00 -0.09CALL SX5E/201911/3750 EUR -150.00 -19,350.00 -0.14CALL SX5E/201911/3775 EUR -70.00 -6,930.00 -0.05CALL SX5E/201911/3800 EUR -80.00 -6,080.00 -0.04CALL SX5E/201912/3,800 EUR -70.00 -8,820.00 -0.06CALL SX5E/201912/3750 EUR -75.00 -14,850.00 -0.11CALL SX5E/201912/3775 EUR -80.00 -12,720.00 -0.09CALL SX5E/201912/3825 EUR -80.00 -8,000.00 -0.06CALL SX5E/201912/3850 EUR -20.00 -1,560.00 -0.01CALL SX5E/201912/3900 EUR -10.00 -470.00 0.00CALL SX5E/201912/3950 EUR -20.00 -560.00 0.00CALL SX7E/201912/115 EUR 70.00 525.00 0.00PUT R2/201907/3200 EUR 150.00 1,800.00 0.01PUT R2/201907/3250 EUR 100.00 1,900.00 0.01PUT R2/201907/3275 EUR 100.00 2,500.00 0.02PUT R2/201907/3300 EUR 80.00 2,640.00 0.02PUT SX5E/201907/2550 EUR -20.00 -20.00 0.00PUT SX5E/201907/2575 EUR -30.00 -30.00 0.00PUT SX5E/201907/2625 EUR -20.00 -40.00 0.00PUT SX5E/201907/2650 EUR -30.00 -60.00 0.00PUT SX5E/201907/2675 EUR -20.00 -40.00 0.00


Statement of investments and other net assets as at June 30, 2019 (expressed in EUR) (continued)


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PUT SX5E/201907/2825 EUR -20.00 -60.00 0.00PUT SX5E/201907/2850 EUR -20.00 -60.00 0.00PUT SX5E/201907/2925 EUR -35.00 -140.00 0.00PUT SX5E/201907/2950 EUR -35.00 -175.00 0.00PUT SX5E/201907/3200 EUR 100.00 2,400.00 0.02PUT SX5E/201907/3275 EUR 100.00 4,800.00 0.03PUT SX5E/201908/2600 EUR -20.00 -160.00 0.00PUT SX5E/201908/2850 EUR -30.00 -540.00 0.00PUT SX5E/201908/2900 EUR -20.00 -440.00 0.00PUT SX5E/201908/2925 EUR -20.00 -500.00 0.00PUT SX5E/201908/2950 EUR -25.00 -700.00 -0.01PUT SX5E/201908/3025 EUR -50.00 -2,050.00 -0.01PUT SX5E/201908/3050 EUR -80.00 -3,680.00 -0.03PUT SX5E/201908/3075 EUR -80.00 -4,240.00 -0.03PUT SX5E/201908/3100 EUR -60.00 -3,660.00 -0.03PUT SX5E/201908/3125 EUR -90.00 -6,300.00 -0.05PUT SX5E/201908/3150 EUR -80.00 -6,480.00 -0.05PUT SX5E/201909/2,550 EUR -20.00 -360.00 0.00PUT SX5E/201909/2650 EUR -20.00 -520.00 0.00PUT SX5E/201909/2700 EUR -20.00 -620.00 0.00PUT SX5E/201909/2800 EUR -20.00 -880.00 -0.01PUT SX5E/201909/2825 EUR -20.00 -960.00 -0.01PUT SX5E/201909/2900 EUR -70.00 -4,480.00 -0.03PUT SX5E/201909/2925 EUR -20.00 -1,420.00 -0.01PUT SX5E/201909/2950 EUR -80.00 -6,240.00 -0.04PUT SX5E/201909/2975 EUR -70.00 -6,090.00 -0.04PUT SX5E/201909/3,75 EUR -70.00 -9,310.00 -0.07PUT SX5E/201909/3000 EUR -40.00 -3,840.00 -0.03PUT SX5E/201909/3025 EUR -80.00 -8,560.00 -0.06PUT SX5E/201909/3050 EUR -80.00 -9,520.00 -0.07PUT SX5E/201909/3250 EUR 30.00 8,940.00 0.06PUT SX5E/201910/2450 EUR -30.00 -720.00 -0.01PUT SX5E/201910/2500 EUR -30.00 -840.00 -0.01PUT SX5E/201910/2550 EUR -30.00 -990.00 -0.01PUT SX5E/201910/2600 EUR -20.00 -780.00 -0.01PUT SX5E/201910/2650 EUR -20.00 -920.00 -0.01PUT SX5E/201910/2750 EUR -70.00 -4,480.00 -0.03PUT SX5E/201910/2800 EUR -80.00 -6,080.00 -0.04PUT SX5E/201910/2850 EUR -80.00 -7,200.00 -0.05PUT SX5E/201910/2900 EUR -80.00 -8,640.00 -0.06PUT SX5E/201910/2925 EUR -60.00 -7,140.00 -0.05PUT SX5E/201910/2950 EUR -80.00 -10,400.00 -0.07PUT SX5E/201910/2975 EUR -60.00 -8,580.00 -0.06PUT SX5E/201910/3025 EUR -40.00 -6,960.00 -0.05PUT SX5E/201910/3150 EUR 50.00 14,250.00 0.10PUT SX5E/201910/3200 EUR 50.00 17,400.00 0.12PUT SX5E/201911/2350 EUR -80.00 -2,480.00 -0.02PUT SX5E/201911/2400 EUR -80.00 -2,880.00 -0.02PUT SX5E/201911/2500 EUR -80.00 -3,840.00 -0.03PUT SX5E/201911/2550 EUR -20.00 -1,100.00 -0.01PUT SX5E/201911/2600 EUR -20.00 -1,280.00 -0.01PUT SX5E/201911/2625 EUR -70.00 -4,830.00 -0.03




20


PUT SX5E/201911/2650 EUR -100.00 -7,500.00 -0.05PUT SX5E/201911/2675 EUR -80.00 -6,400.00 -0.05PUT SX5E/201911/2700 EUR -70.00 -6,090.00 -0.04PUT SX5E/201911/2725 EUR -80.00 -7,520.00 -0.05PUT SX5E/201911/2750 EUR -40.00 -4,080.00 -0.03PUT SX5E/201911/2800 EUR -65.00 -7,735.00 -0.06PUT SX5E/201911/2850 EUR -70.00 -9,800.00 -0.07PUT SX5E/201911/2900 EUR -80.00 -13,200.00 -0.09PUT SX5E/201911/3025 EUR -70.00 -17,780.00 -0.13PUT SX5E/201911/3200 EUR 20.00 9,440.00 0.07PUT SX5E/201912/2250 EUR -80.00 -2,880.00 -0.02PUT SX5E/201912/2300 EUR -80.00 -3,280.00 -0.02PUT SX5E/201912/2350 EUR -100.00 -4,700.00 -0.03PUT SX5E/201912/2450 EUR -120.00 -7,440.00 -0.05PUT SX5E/201912/2500 EUR -110.00 -7,920.00 -0.06PUT SX5E/201912/2550 EUR -110.00 -9,130.00 -0.07PUT SX5E/201912/2600 EUR -60.00 -5,700.00 -0.04PUT SX5E/201912/2700 EUR -85.00 -10,880.00 -0.08PUT SX5E/201912/2750 EUR -60.00 -8,880.00 -0.06PUT SX5E/201912/2800 EUR -70.00 -12,040.00 -0.09PUT SX5E/201912/2850 EUR -65.00 -13,065.00 -0.09PUT SX5E/201912/2900 EUR -40.00 -9,360.00 -0.07PUT SX5E/201912/2925 EUR -60.00 -15,180.00 -0.11PUT SX5E/201912/3200 EUR 40.00 24,080.00 0.18PUT VIX/201907/145 USD 300.00 18,456.27 0.13PUT VIX/201908/14 USD -300.00 -13,606.43 -0.10PUT WSXE/201907/3200 EUR 290.00 1,740.00 0.01

-441,696.16 -3.17

TOTAL OPTIONS -441,696.16 -3.17

BONDS

AUSTRALIA

FRN AUST & NZ BANKING GROUP 28/10/2019 EUR 450,000.00 450,576.00 3.23FRN NATIONAL AUSTRALIA BANK 19/04/2021 EUR 450,000.00 453,586.50 3.26

904,162.50 6.49

BELGIUM

FRN ANHEUSER-BUSCH INBEV NV 17/03/2020 EUR 500,000.00 502,080.00 3.60

502,080.00 3.60

CANADA

FRN ROYAL BANK OF CANADA 06/08/2020 EUR 350,000.00 350,955.50 2.52

350,955.50 2.52

DENMARK

FRN DANSKE BANK AS 03/03/2020 EUR 500,000.00 500,150.00 3.59

500,150.00 3.59




21


FRANCE

FRN BNP PARIBAS 22/09/2022 EUR 300,000.00 304,035.00 2.18FRN CARREFOUR BANQUE 21/10/2019 EUR 500,000.00 501,110.00 3.59FRN GECINA 30/06/2022 EUR 400,000.00 399,472.00 2.87FRN RCI BANQUE SA 12/04/2021 EUR 500,000.00 501,355.00 3.60

1,705,972.00 12.24

GERMANY

FRN WL BANK 14/04/2020 EUR 600,000.00 600,054.00 4.30

600,054.00 4.30

NETHERLANDS

FRN DEUTSCHE TELEKOM INT FIN 03/04/2020 EUR 450,000.00 450,499.50 3.230.125% BMW FINANCE NV 03/07/2020 EUR 400,000.00 401,244.00 2.880.25% DAIMLER INTL FINANCE BV 11/05/2022 EUR 300,000.00 301,779.00 2.16

1,153,522.50 8.27

SWEDEN

FRN LANSFORSAKRINGAR BANK 02/08/2019 EUR 500,000.00 500,185.00 3.59FRN SCANIA CV AB 20/04/2020 EUR 400,000.00 400,336.00 2.87

900,521.00 6.46

UNITED KINGDOM

FRN ABBEY NATL TREASURY SERV 13/08/2019 EUR 300,000.00 300,222.00 2.15FRN CREDIT AGRICOLE 20/04/2022 EUR 500,000.00 505,530.00 3.631.523% BPLN 26/09/2022 EUR 250,000.00 263,092.50 1.89

1,068,844.50 7.67

UNITED STATES

FRN BANK OF AMERICA 21/09/2021 EUR 400,000.00 400,416.00 2.87FRN CITIGROUP INC 11/11/2019 EUR 350,000.00 350,602.00 2.52FRN COCA COLA COMPANY 09/09/2019 EUR 450,000.00 450,306.00 3.23FRN GENERAL MILLS INC 15/01/2020 EUR 450,000.00 451,129.50 3.24FRN MCDONALD'S CORP 26/08/2019 EUR 300,000.00 300,102.00 2.15FRN MORGAN STANLEY 08/11/2022 EUR 450,000.00 451,800.00 3.24FRN UNITED PARCEL SERVICE 15/07/2020 EUR 400,000.00 401,228.00 2.88FRN WELLS FARGO & COMPANY 26/04/2021 EUR 650,000.00 654,641.00 4.700.5% BERKSHIRE HATHAWAY INC 13/03/2020 EUR 300,000.00 301,350.00 2.160.65% HONEYWELL INTERNATIONAL 21/02/2020 EUR 300,000.00 301,581.00 2.16

4,063,155.50 29.15

TOTAL BONDS 11,749,417.50 84.29

TOTAL I. 11,307,721.34 81.12




22


II. INVESTMENT FUNDS

IRELAND

ISHARES ETF EUR CORPORATE BOND FUND EUR 2,081.00 289,924.92 2.08ISHARES EURO COVERED BOND ETF EUR 765.00 121,252.50 0.87ISHARES II PLC - BARCLAYS EUR GOV BOND 3-5 EUR 1,770.00 306,900.30 2.20ISHARES III EUR GOV 5-7YR EUR 1,684.00 271,848.12 1.95

989,925.84 7.10

TOTAL II. 989,925.84 7.10

TOTAL INVESTMENTS 12,297,647.18 88.22

CASH AT BANKS

1,700,049.67 12.20OTHER NET LIABILITIES

-57,713.02 -0.42

TOTAL NET ASSETS 13,939,983.83 100.00


23

Industrial classification of investments as at June 30, 2019

Industrial classification

(in % of net assets)

Bonds 84.29 Investment funds 7.10 Options -3.17 Cash at banks 12.20 Other net liabilities -0.42 100.00


Notes to the financial statements as at June 30, 2019

24

NOTE 1 - PRESENTATION OF THE FINANCIAL STATEMENTS

The financial statements of the Company are established in accordance with the Luxembourg legal and regulatory requirements concerning the Undertakings of Collective Investment.

The combined figures in the financial statements are expressed in Euro.

NOTE 2 - PRINCIPAL ACCOUNTING METHODS

The assets of each sub-fund of the Company are valued in accordance with the following principles:

1. The value of any cash at hand or on deposit, bills, demand notes and accounts receivable, prepaid expenses, dividends and interests matured but not yet received is valued at the par-value of the assets, except if it appears that such value is unlikely to be received. In such a case, subject to the approval of the Board of Directors, the value is determined by deducting a certain amount to reflect the true value of the assets.

2. The value of Transferable Securities, Money Market Instruments and/or financial derivative instruments listed on an official Stock Exchange or dealt in on a regulated market which operates regularly and is recognised and open to the public (a "Regulated Market(s)"), as defined by laws and regulations in force, is based on the latest available price and if such Transferable Securities are dealt in on several markets, on the basis of the latest known price on the stock exchange which is normally the principal market for such securities. If the latest known price is not representative, the value is determined based on a reasonably foreseeable sales price to be determined prudently and in good faith.

3. In the event that any Transferable Securities or/and Money Market Instruments are not listed or dealt in on any stock exchange or any other Regulated Market operating regularly, recognised and open to the public, as defined by the laws and regulations in force, the value of such assets is assessed on the basis of their foreseeable sales price estimated prudently and in good faith.

4. The liquidating value of derivative contracts not traded on exchanges or on other Regulated Markets shall mean their net liquidating value determined by the Board of Directors in a fair and reasonable manner, on a basis consistently applied for each different variety of contracts. The liquidating value of futures, forward and options contracts traded on exchanges or on other Regulated Markets is based upon the last available settlement prices of these contracts on exchanges and Regulated Markets on which the particular futures, forward or options contracts are traded by the Company; provided that if a futures, forward and options contract could not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors may deem fair and reasonable.

5. The value of Money Market Instruments not listed or dealt in on any stock exchange or any other Regulated Market and with remaining maturity of less than 12 (twelve) months and of more than 90 (ninety) days are deemed to be the nominal value thereof, increased by any interest accrued thereon. Money market instruments with a remaining maturity of 90 (ninety) days or less are valued by the amortised cost method, which approximates market value.

6. Units of UCITS and/or other UCI are valued at their last determined and available net asset value or, if such price is not representative of the fair market value of such assets, then the price is determined by the Board of Directors of the Management Company on a fair and equitable basis. Units or shares of a closed-ended UCI are valued at their last available stock market value.

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

The Board of Directors, at its sole discretion, may permit some other method of valuation to be used if it considers that such valuation better reflects the fair value of any asset of the Company.


Notes to the financial statements as at June 30, 2019 (continued)

25

Every other asset is assessed on the basis of the foreseeable realisation value which is estimated prudently and in good faith.

In the event that extraordinary circumstances render valuations as aforesaid impracticable or inadequate, the Company is authorised, prudently and in good faith, to follow other rules in order to achieve a fair valuation of its assets.

The value of the net assets per share of each class, as well as their issue, redemption and conversion prices are made available at the registered office of the Company every Bank Business Day.

Costs related to the establishment of any new sub-fund are borne by such new sub-fund and amortised over a period of one year from the date of the establishment of such sub-fund or over any other period as the Board of Directors of the Company determine, with a maximum of five years starting on the date of the sub-fund’s establishment.

When a sub-fund is liquidated, any setting-up costs that have not yet been amortised are charged to the sub-fund being liquidated. All these expenses are accrued in each sub-fund at each net asset value calculation.

8. Translation of foreign currencies

Securities denominated in currencies other than the currency of the sub-fund are valued in such currency at the last known buy exchange rate.

The following exchange rates are used as at June 30, 2019:

1 EUR = 1.138800 USD 1 EUR = 1.110350 CHF

The acquisition cost of investments denominated in a currency other than that of the sub-funds in question are translated into the currency of the sub-fund at the exchange rate applicable on the acquisition date.

9. Net realised gain/loss on investments

The net realised gain or loss on investments is determined on the basis of the average cost of investments sold.

10. Change in net unrealised appreciation/depreciation

Unrealised appreciation or depreciation on all components of the statement of net assets at the end of the financial year are accounted for in the statement of operations and changes in net assets.

11. Income, expenses and accruals

Interest income is accounted on a day-to-day basis and dividends are booked on an ex-dividend basis. Interest and dividend are stated net of irrecoverable withholding taxes, if any.



26

12. Cross-investments

The value of cross-investments within the Company has not been deducted for the calculation of the combined total net assets of the Company.

The value of those cross-investments as at June 30, 2019 amounted to:

Investing sub-fund Invested sub-fund Currency Market Value (in EUR)

% of net assets

CONSTANCE STRATÉGIE CONSTANCE ALTERNATIVE OPTIONS CLASS A CAP EUR EUR 533,663.79 10.01%

CONSTANCE STRATÉGIE CONSTANCE ALTERNATIVE OPTIONS CLASS B DIST RETAIL SICAV EUR 937.30 0.02%

CONSTANCE STRATÉGIE CONSTANCE ALTERNATIVE OPTIONS CLASS I INSTITUTION SICAV EUR 94,919.14 1.78%

The net assets at the end of the financial year of combined figures are EUR 18,640,729.29 without taking into account the cross-investments values.

NOTE 3 - MANAGEMENT COMPANY FEES


The Management Company is entitled to receive out of the net assets of the sub-fund a management company fee which is calculated as follows, and for any share class: max 0.12% of the total net assets per annum payable monthly and calculated on the average total net assets for the relevant month.


The Management Company is entitled to receive out of the net assets of the sub-fund a management company fee which is calculated as follows, and for any share class up to 0.12% of the total net assets per annum payable monthly and calculated on the average total net assets for the relevant month.

The Management Company is entitled to an additional fee of up to 0.10% of the total net assets per annum of the A CHF Hedged and I USD Hedged share classes in relation to the Hedging process, payable monthly and calculated on the average total net assets for the relevant month.

All these expenses are accrued in each sub-fund at each net asset value calculation.

As of June 6, 2019, this additional fee is no longer paid to the Management Company.

NOTE 4 - INVESTMENT MANAGEMENT FEES

The Investment Manager is entitled to receive out of the net assets of each sub-fund an investment management fee which is calculated as follows:


Class A: 1.50% of the total net assets per annum payable monthly and calculated on the average total net assets for the relevant month.


Class A: 1.00% of the total net assets per annum payable monthly and calculated on the average total net assets for the relevant month.



27

Class B: 1.25% of the total net assets per annum payable monthly and calculated on the average total net assets for the relevant month.

Class I: 0.85% of the total net assets per annum payable monthly and calculated on the average total net assets for the relevant month.

As of June 6, 2019, the Investment Manager is entitled to an additional fee of up to 0.10% of the total net assets per annum of the Class A, B and I CHF Hedged share classes, Class A and I USD Hedged share classes in relation to the hedging process, payable monthly and calculated on the average total net assets for the relevant month. These hedging fees have been waived by the Investment Manager as from the date of takeover until the end of the audit period.

As any sub-fund may invest its assets in other UCITS and/or other UCIs, there is a risk for the investor to bear the cost of a double fee structure. Any sub-fund, that invests a substantial proportion of its assets in other UCITS and/or other UCIs, shall disclose the maximum level of the management fees that may be charged both to the sub-fund itself and to the UCITS, and/or other UCIs in which it intends to invest. The maximum management fees shall be 3.50%. When the Company invests in the units of other UCITS and/or other UCIs that are managed, directly or by delegation, by the same management company or by any other company, with which the management company is linked by common management or control, or by a substantial direct or indirect holding, that management company or other company may not charge subscription or redemption fees on account of the Company's investment in the units of such other UCITS and/or UCIs.

NOTE 5 - DEPOSITARY BANK, CENTRAL ADMINISTRATION AGENT AND REGISTRAR AGENT FEES

The Company pays to the Depositary Bank, the Administrative Agent and the Registrar Agent a maximum annual fee of 0.30% based on the total net assets of the sub-fund, which is payable on a monthly basis and which does not include any transaction related fees and costs of sub-custodians or similar agents. The Depositary Bank, the Administrative Agent as well as the Registrar Agent are also entitled to be reimbursed of reasonable out of pocket expenses which are not included in the above mentioned rate. The amount paid by the Company to the Depositary Bank, the Administrative Agent and the Registrar Agent is mentioned in the annual report of the Company. Investors may consult the relevant agreements during usual business hours at the registered office of the Company.

NOTE 6 - SUBSCRIPTION TAX ("TAXE D’ABONNEMENT")

Under current law and practice, the Company is liable, to an annual subscription tax of 0.05% (except those sub-funds or share classes, which may benefit from the lower rate of 0.01% as more fully described in article 174 of the 2010 Law). No such tax is due on the portion of the assets of the Company invested in other Luxembourg UCITS or UCIs (if any) provided that such assets subject to the subscription tax. This tax is payable quarterly and calculated on the basis of the Company’s net assets at the end of the relevant quarter.

NOTE 7 - PERFORMANCE FEES


No performance fees.


The Investment Manager is entitled to a performance fee when the sub-fund exhibits a positive absolute performance during the calendar year, subject to an Absolute High Water Mark.

The performance fee amounts to 10.00% of the sub-fund’s performance.

The Absolute High Water Mark is the greater of (i) the net asset value per share at the end of any calendar year where a performance fee has been paid or (ii) the initial offer price per share.



28

The performance fees are payable in arrears at the end of the calendar year. It is calculated and accrued in the net asset value on a daily basis.

At the year ended June 30, 2019, the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS payed performance fees amounting to EUR 2,061.47.

NOTE 8 - OPTIONS CONTRACTS

As at June 30, 2019, the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS has the following options contracts outstanding:

Currency Quantity Description

Commitment value

(in EUR)*

Market value

(in EUR) EUR 200 CALL R2/201907/3550 - 12,000.00

EUR 150 PUT R2/201907/3200 - 1,800.00

EUR 100 PUT R2/201907/3275 - 2,500.00

EUR 100 PUT R2/201907/3250 - 1,900.00

EUR 80 PUT R2/201907/3300 - 2,640.00

EUR 80 CALL SX5E/201907/3575 - 3,760.00

EUR 20 CALL SX5E/201907/3425 - 14,220.00

EUR -35 PUT SX5E/201907/2950 8,510.54 -175.00

EUR -20 PUT SX5E/201907/2625 1,389.48 -40.00

EUR -20 PUT SX5E/201907/2550 694.74 -20.00

EUR -30 PUT SX5E/201907/2650 2,084.21 -60.00

EUR 100 PUT SX5E/201907/3200 - 2,400.00

EUR -20 PUT SX5E/201907/2675 1,389.48 -40.00

EUR -30 PUT SX5E/201907/2575 1,042.11 -30.00

EUR -20 PUT SX5E/201907/2825 2,778.95 -60.00

EUR -20 PUT SX5E/201907/2850 2,778.95 -60.00

EUR -35 PUT SX5E/201907/2925 7,294.75 -140.00

EUR 100 PUT SX5E/201907/3275 - 4,800.00

EUR -20 CALL SX5E/201908/3650 -56,273.78 -880.00

EUR -20 CALL SX5E/201908/3750 -10,421.07 -120.00

EUR 60 CALL SX5E/201908/3625 - 4,320.00

EUR -40 CALL SX5E/201908/3525 -494,653.46 -13,800.00

EUR -35 CALL SX5E/201908/3500 -515,495.60 -16,100.00

EUR -30 CALL SX5E/201908/3450 -575,243.06 -22,290.00

EUR -20 CALL SX5E/201908/3575 -155,621.31 -3,480.00

EUR -30 CALL SX5E/201908/3550 -300,126.82 -7,500.00

EUR -60 CALL SX5E/201908/3600 -348,063.74 -6,900.00

EUR -80 PUT SX5E/201908/3050 116,715.98 -3,680.00

EUR -60 PUT SX5E/201908/3100 114,631.77 -3,660.00

EUR -20 PUT SX5E/201908/2600 4,168.43 -160.00

EUR -30 PUT SX5E/201908/2850 16,673.71 -540.00

EUR -20 PUT SX5E/201908/2900 13,894.76 -440.00

EUR -25 PUT SX5E/201908/2950 22,578.99 -700.00

EUR -20 PUT SX5E/201908/2925 15,978.97 -500.00

EUR -50 PUT SX5E/201908/3025 64,263.27 -2,050.00

EUR -80 PUT SX5E/201908/3150 202,863.50 -6,480.00

EUR -90 PUT SX5E/201908/3125 200,084.54 -6,300.00

EUR -80 PUT SX5E/201908/3075 133,389.70 -4,240.00

EUR -40 CALL SX5E/201909/3600 -341,811.10 -10,480.00

EUR -60 CALL SX5E/201909/3700 -195,916.12 -4,380.00

EUR -90 CALL SX5E/201909/3675 -387,663.80 -9,450.00

EUR -80 CALL SX5E/201909/3625 -555,790.40 -15,840.00



29


Commitment value

(in EUR)*

Market value

(in EUR) EUR -12 CALL SX5E/201909/3775 -15,423.18 -276.00

EUR 40 CALL SX5E/201909/3650 - 5,840.00

EUR -20 PUT SX5E/201909/2650 11,115.81 -520.00

EUR -80 PUT SX5E/201909/3050 216,758.26 -9,520.00

EUR -70 PUT SX5E/201909/2900 99,694.90 -4,480.00

EUR -20 PUT SX5E/201909/2700 13,200.02 -620.00

EUR -20 PUT SX5E/201909/2800 19,452.66 -880.00

EUR -20 PUT SX5E/201909/2550 7,642.12 -360.00

EUR -80 PUT SX5E/201909/2950 141,726.55 -6,240.00

EUR -40 PUT SX5E/201909/3000 87,536.99 -3,840.00

EUR -80 PUT SX5E/201909/3025 194,526.64 -8,560.00

EUR -70 PUT SX5E/201909/2975 136,168.65 -6,090.00

EUR 30 PUT SX5E/201909/3250 - 8,940.00

EUR -20 PUT SX5E/201909/2825 20,842.14 -960.00

EUR -20 PUT SX5E/201909/2925 31,957.95 -1,420.00

EUR -70 PUT SX5E/201909/3750 211,547.72 -9,310.00

EUR -20 CALL SX5E/201910/3800 -32,652.69 -720.00

EUR 10 CALL SX5E/201910/3775 - 510.00

EUR -40 CALL SX5E/201910/3700 -180,631.88 -5,120.00

EUR -40 CALL SX5E/201910/3750 -111,158.08 -2,800.00

EUR -60 CALL SX5E/201910/3725 -214,674.04 -5,700.00

EUR -30 PUT SX5E/201910/2500 14,589.50 -840.00

EUR -20 PUT SX5E/201910/2600 13,894.76 -780.00

EUR 50 PUT SX5E/201910/3200 - 17,400.00

EUR -30 PUT SX5E/201910/2450 12,505.28 -720.00

EUR -80 PUT SX5E/201910/2800 113,937.03 -6,080.00

EUR -80 PUT SX5E/201910/2850 136,168.65 -7,200.00

EUR -70 PUT SX5E/201910/2750 82,673.82 -4,480.00

EUR -20 PUT SX5E/201910/2650 16,673.71 -920.00

EUR -30 PUT SX5E/201910/2550 17,715.82 -990.00

EUR 50 PUT SX5E/201910/3150 - 14,250.00

EUR -80 PUT SX5E/201910/2900 163,958.17 -8,640.00

EUR -80 PUT SX5E/201910/2950 200,084.54 -10,400.00

EUR -60 PUT SX5E/201910/2925 135,473.91 -7,140.00

EUR -60 PUT SX5E/201910/2975 164,652.91 -8,580.00

EUR -40 PUT SX5E/201910/3025 132,000.22 -6,960.00

EUR -40 CALL SX5E/201911/3700 -234,821.44 -8,360.00

EUR -80 CALL SX5E/201911/3725 -394,611.18 -13,200.00

EUR -150 CALL SX5E/201911/3750 -609,632.62 -19,350.00

EUR -70 CALL SX5E/201911/3775 -228,568.80 -6,930.00

EUR -80 CALL SX5E/201911/3800 -211,200.35 -6,080.00

EUR -20 PUT SX5E/201911/2600 20,147.40 -1,280.00

EUR -100 PUT SX5E/201911/2650 118,105.46 -7,500.00

EUR -20 PUT SX5E/201911/2550 17,368.45 -1,100.00

EUR -80 PUT SX5E/201911/2500 58,357.99 -3,840.00

EUR -70 PUT SX5E/201911/2700 97,263.32 -6,090.00

EUR -80 PUT SX5E/201911/2400 41,684.28 -2,880.00

EUR -80 PUT SX5E/201911/2350 36,126.38 -2,480.00

EUR -40 PUT SX5E/201911/2750 65,305.37 -4,080.00

EUR 20 PUT SX5E/201911/3200 - 9,440.00

EUR -70 PUT SX5E/201911/2625 75,379.07 -4,830.00

EUR -80 PUT SX5E/201911/2675 102,821.22 -6,400.00



30


Commitment value

(in EUR)*

Market value

(in EUR) EUR -65 PUT SX5E/201911/2800 124,184.42 -7,735.00

EUR -70 PUT SX5E/201911/2850 158,052.90 -9,800.00

EUR -70 PUT SX5E/201911/3025 289,358.38 -17,780.00

EUR -80 PUT SX5E/201911/2725 119,494.94 -7,520.00

EUR -80 PUT SX5E/201911/2900 216,758.26 -13,200.00

EUR -70 CALL SX5E/201912/3800 -255,316.22 -8,820.00

EUR -20 CALL SX5E/201912/3850 -49,326.40 -1,560.00

EUR -10 CALL SX5E/201912/3900 -16,326.34 -470.00

EUR -20 CALL SX5E/201912/3950 -21,536.88 -560.00

EUR -75 CALL SX5E/201912/3750 -382,974.32 -14,850.00

EUR -80 CALL SX5E/201912/3775 -347,369.00 -12,720.00

EUR -80 CALL SX5E/201912/3825 -241,768.82 -8,000.00

EUR -70 PUT SX5E/201912/2800 172,642.39 -12,040.00

EUR -40 PUT SX5E/201912/2900 133,389.70 -9,360.00

EUR 40 PUT SX5E/201912/3200 - 24,080.00

EUR -60 PUT SX5E/201912/2600 79,200.13 -5,700.00

EUR -120 PUT SX5E/201912/2450 104,210.70 -7,440.00

EUR -110 PUT SX5E/201912/2500 106,989.65 -7,920.00

EUR -100 PUT SX5E/201912/2350 62,526.42 -4,700.00

EUR -85 PUT SX5E/201912/2700 153,537.10 -10,880.00

EUR -65 PUT SX5E/201912/2850 185,147.68 -13,065.00

EUR -80 PUT SX5E/201912/2300 44,463.23 -3,280.00

EUR -80 PUT SX5E/201912/2250 36,126.38 -2,880.00

EUR -60 PUT SX5E/201912/2750 127,137.05 -8,880.00

EUR -110 PUT SX5E/201912/2550 126,094.95 -9,130.00

EUR -60 PUT SX5E/201912/2925 216,758.26 -15,180.00

EUR 70 CALL SX7E/201912/115 - 525.00

USD 300 PUT VIX/201907/145 - 18,456.27

USD -300 PUT VIX/201908/14 77,567.92 -13,606.43

EUR 290 PUT WSXE/201907/3200 - 1,740.00

Total -989,167.54 -441,696.16

*Commitment value: number of contracts * notional contract size * market value of underlying equity share * delta

NOTE 9 - FORWARD EXCHANGE CONTRACTS

As at June 30, 2019, the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS has the following forward exchange contracts outstanding:

Currency Purchase Currency Sale Counterparty Maturity

Unrealised loss (in EUR)

EUR 193,093.80 CHF -218,000.00 Société Générale Paris September 30, 2019 -3,399.66

CHF 1,484,000.00 EUR -1,338,382.63 Société Générale Paris September 30, 2019 -765.24

USD 2,158,000.00 EUR -1,883,309.84 Société Générale Paris September 30, 2019 -1,512.00 Total -5,676.90



31

NOTE 10 - FUTURES CONTRACTS

As at June 30, 2019, the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS has the following futures contracts outstanding:

Description Currency Maturity

Commitment (in EUR)

Unrealised gain/loss (in EUR)

Purchase of 50 VSTOXX 1019 EUR October 16, 2019 85,000.00 800.00

Purchase of 30 VSTOXX 0919 EUR September 18, 2019 47,250.00 -2,320.00

Purchase of 70 VSTOXX 1119 EUR November 20, 2019 113,750.00 -3,955.00

Total 246,000.00 -5,475.00

NOTE 11 - TRANSACTION FEES

The depositary transaction fees for the year ended June 30, 2019 amount to EUR 5,837.86 for the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE STRATÉGIE and amount to EUR 228,420.69 for the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS. They are booked in the statement of operations and changes in net assets.

NOTE 12 - OTHER INCOME

Other Income includes mainly the income equalisation results. Income equalisation is a method used by funds to ensure incoming and outgoing investors do not affect the value of shares for the remaining investors. At issue and redemption of shares, an appropriate portion of the issue proceeds and redemption payout is credited or debited respectively to the income equalisation account. The amount transferred to/from income equalisation account is determined according to the pro-rata share of the different realised income and expenditure. Capital sums paid for income equalisation are returned to investors as an average amount per share and similarly income equalisation on redemptions is averaged leaving no scope for an investor to create an artificial return due to income equalisation.

NOTE 13 - SUBSEQUENT EVENTS

There were no subsequent events.


Unaudited Appendix

32

GLOBAL EXPOSURE

LA FINANCIÈRE CONSTANCE SICAV – CONSTANCE STRATÉGIE

The methodology used for the calculation of the global risk of the UCITS is the commitment approach as dictated by the guidelines of ESMA 10-788. As the Investment Manager is using for a limited part derivatives instruments for the management of the UCITS, the global risk related to the positions on the financial derivatives instruments (included those embedded within transferable securities and/or money market instruments) is determined by commitment approach.

The Management Company of the Company, after a risk profile assessment, decided to adopt the commitment approach to determine the global market risk exposure for the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE STRATÉGIE.


The methodology used for the calculation of the global risk of the UCITS is an absolute VaR approach as dictated by the guidelines of ESMA 10-788. As the Investment Manager invests in derivatives instruments as a main part of the management of the UCITS, the global risk related to the positions on the financial derivatives instruments (included those embedded within transferable securities and/or money market instruments) is determined by VaR. Looking at the nature of instruments (principally options), a Monte-Caro model is used for calculating this Absolute VaR (99%, 20 days).

The global market risk exposure information for the sub-fund LA FINANCIÈRE CONSTANCE SICAV - CONSTANCE ALTERNATIVE OPTIONS using VaR for the the year from June 30, 2018 until June 30, 2019, is as follows:

Sub-fund Global Risk

calculation Method

VaR model

Reference Portfolio

VaR limit

Lowest utilisation

of VaR limit

Highest utilisation

of VaR limit

Average utilisation

of VaR limit

Average level of

leverage reached during

the year

Constance Alternative

Options

Absolute VaR

Monte-Carlo (99%,

20 Days)

(absolute) 20% -1.64% -16.96% -5.38% 1,107.90%

REMUNERATION POLICY

European Directive 2014/91/EU amending Directive 2009/65/EC on undertakings for collective investment in transferable securities, which is applicable to the SICAV, came into force on March 18, 2016. It is implemented in national law under the Luxembourg Act of May 10, 2016 implementing Directive 2014/91/EU. Due to these new regulations, the SICAV is required to publish information relating to the remuneration of identified employees within the meaning of the Act in the annual report.


Unaudited Appendix (continued)

33

The total remuneration paid by the Management Company and by the Investment Manager during the financial year is as follows:

Number of Beneficiaries

Total remuneration

paid (EUR)

Fixed remuneration

paid (EUR)

Variable remuneration

paid (EUR)

Amount paid directly by the UCITS itself to the

Management Company (including management

company fees, performance fees, domiciliation fees and

hedging fees) (EUR)

Total remuneration paid by the Management Company during the financial year to executives and senior management

9 1,953,449.03 1,473,061.08 480,387.95

46,961.07

Total remuneration paid by the Management Company during the financial year to other staff

5 235,907.13 222,411.25 13,495.88

Total remuneration paid by the Investment Manager during the financial year to executives and senior management

1 87,094.92 87,094.92 -

-

Total remuneration paid by the Investment Manager during the financial year to other staff

2 78,666.73 78,666.73 -

The Management Company has implemented a remuneration policy that is designed as not to encourage excessive risk taking. In that context, it integrates in its performance management system risk criteria specific to the activities of the business units concerned. The Management Company has implemented a series of safeguards that refrain to staff taking undue risk compared to the activity profile. The Remuneration Policy supports the business strategy, company values and a long-term interest of the Management Company, of the managed UCITS and/or UCI’s and of the underlying investors of any managed UCITS and/or UCI’s. The governance structure of the Remuneration Policy aims at preventing internal conflicts of interest.

More specifically the Management Company has determined and applies remuneration policies and practices that comply with the legal requirements, in particular the principles listed in Article 111ter of the 2010 Law. These practices and policies are compatible and consistent with the risk-management process defined by the Management Company and neither encourage the acceptance of risks that are incompatible with the risk profiles and the constitutional documents of the funds under its management nor prevent the Management Company from acting at its own discretion in the best interests of the Company.

The remuneration policies and practices include fixed and variable portions of salaries and potentially, voluntary pension benefits. The remuneration policies and practices apply to categories of employees, including senior management, risk bearers, employees with oversight functions and employees whose overall remuneration places them in the same income bracket as senior management and risk bearers, whose activities have a material influence on the risk profiles of the Management Company or the funds under its management.


Unaudited Appendix (continued)

34

The remuneration policies and practices are compatible with sound and effective risk management and are consistent with the business strategy, the objectives, values and interests of the Management Company and of the UCITS under its management and investors in such UCITS as well as with EU Level 2 Regulation. Compliance with the remuneration principles, including the implementation thereof, shall be verified once a year. The ratio between the fixed and variable portions of overall remuneration is appropriate. Performance fees are based on employees' qualifications and skills as well as their level of responsibility and contribution towards the Management Company’s added value. The pension scheme is consistent with the business strategy, the objectives, values and long-term interests of both the Management Company and the UCITS under its management. Details of the up-to-date remuneration policy, including, but not limited to, a description of how remuneration and benefits are calculated, the identities of persons responsible for awarding the remuneration and benefits including the composition of the remuneration committee, where such a committee exists, may be available free of charge at the registered office of the Fund.

A hard copy will be made available free of charge to investors on request.

SECURITIES FINANCING TRANSACTIONS REGULATION ("SFTR")

Concerning the transparency of securities financing transactions and of reuse of cash collateral (regulation EU 2015/2365, hereafter "SFTR") and at the date of the financial statements, the Company is not in the scope of the publication requirements of SFTR. No transactions were carried out during the reporting year.