有報資料

半期報告書(内国投資信託受益証券)-第2期(平成29年6月16日-平成30年6月15日)

【提出】: 2018/03/08 9:47
【資料】: PDFをみる
【項目】: 16項目

(3) 【中間注記表】

(重要な会計方針に係る事項に関する注記)
区分		当中間計算期間自平成29年6月16日至平成29年12月15日
	有価証券の評価基準及び評価方法	投資証券
		移動平均法に基づき、原則として時価で評価しております。時価評価にあたっては、投資法人が発行する投資証券の1口当たり純資産額に基づいて評価しております。なお、適正な評価額を入手できなかった場合又は入手した評価額が時価と認定できない事由が認められた場合は、委託会社が忠実義務に基づいて合理的な事由をもって時価と認めた価額又は受託会社と協議のうえ両者が合理的事由をもって時価と認めた価額で評価しております。

(中間貸借対照表に関する注記)
区分			前計算期間末平成29年6月15日現在	当中間計算期間末平成29年12月15日現在
1.	※1	期首元本額	100,000,000円	209,120,615円
		期中追加設定元本額	209,644,145円	179,028,465円
		期中一部解約元本額	100,523,530円	36,114,194円
2.		中間計算期間末日における受益権の総数	209,120,615口	352,034,886口

(中間損益及び剰余金計算書に関する注記)
区分	前中間計算期間自平成28年9月26日至平成29年3月25日	当中間計算期間自平成29年6月16日至平成29年12月15日
	該当事項はありません。	該当事項はありません。

(金融商品に関する注記)

金融商品の時価等に関する事項
区分		当中間計算期間末平成29年12月15日現在
1.	金融商品の時価及び中間貸借対照表計上額との差額	金融商品はすべて時価で計上されているため、中間貸借対照表計上額と時価との差額はありません。
2.	金融商品の時価の算定方法	(1)有価証券
		重要な会計方針に係る事項に関する注記に記載しております。
		(2)コール・ローン等の金銭債権及び金銭債務等
		これらは短期間で決済されるため、時価は帳簿価額にほぼ等しいことから、当該帳簿価額を時価としております。

(デリバティブ取引に関する注記)
ヘッジ会計が適用されていないデリバティブ取引
前計算期間末平成29年6月15日現在	当中間計算期間末平成29年12月15日現在
該当事項はありません。	該当事項はありません。

(1口当たり情報)
	前計算期間末平成29年6月15日現在	当中間計算期間末平成29年12月15日現在
1口当たり純資産額	1.0097円	1.0282円
(1万口当たり純資産額)	(10,097円)	(10,282円)

(参考)

当ファンドは、「システマティック・アルファ・ファンド-JPMシステマティック・アルファ(Iクラス)(円ヘッジ)」の投資証券(円建)及び「グローバル・マクロ・オポチュニティーズ・ファンド-JPMグローバル・マクロ・オポチュニティーズ(Iクラス)(円ヘッジ)」の投資証券(円建)を主要投資対象としており、中間貸借対照表の資産の部に計上された「投資証券」は、すべて同ファンドの投資証券であります。
なお、同ファンドの状況は次のとおりであります。

「システマティック・アルファ・ファンド-JPMシステマティック・アルファ(Iクラス)(円ヘッジ)」の状況

以下に記載した同ファンドの情報は、会計監査人により監査を受けた財務諸表を委託会社で抜粋・翻訳したものであります。
以下に記載した情報は監査の対象外であります。
(ユーロ建て)
貸借対照表
2016年6月30日

	(EUR)
資産
投資証券評価額	1,937,364,532
簿価:	1,906,490,777
現預金	85,926,035
投資証券の売却に係る未収金	23,036,585
申込みに係る未収金	4,292,204
純未収利息、未収配当金	1,357,943
税還付未収金	104,259
手数料免除額	22,882
その他の未収金	5,610
先物取引に係る純評価益	316,056
資産合計	2,052,426,106
負債
当座貸越	552,272
投資証券の購入に係る未払金	4,753,419
解約に係る未払金	5,542,612
未払運用報酬	1,440,937
未払サービス報酬	165,707
未払販売費用	1
その他の未払金	193,474
為替先渡契約に係る純評価損	26,886,710
その他デリバティブ契約の評価損	1,520,139
負債合計	41,055,271
純資産	2,011,370,835

損益計算書
2016年6月30日に終了した年度

	(EUR)
収益
純配当収益	20,116,447
純受取利息	3,108,154
銀行利息	48,536
収益合計	23,273,137
費用
運用報酬	17,288,241
サービス報酬	2,038,459
販売費用	6
管理費	1,159,291
登録料、名義書換代理人報酬	96,556
年次税	700,836
当座貸越利息	232,672
雑費	468,631
	21,984,692
控除:手数料報酬免除額	543,098
運用実績報酬控除前費用合計	21,441,594
費用合計	21,441,594
純投資利益(損失)	1,831,543
投資証券売却に係る純実現益	24,694,101
為替先渡契約に係る純実現益	11,978,722
先物取引に係る純実現損失	(2,975,472)
為替取引に係る純実現損失	(880,315)
その他デリバティブ取引に係る純実現益	2,443,392
純実現益	35,260,428
投資証券に係る純評価損失	(30,512,275)
為替先渡契約に係る純評価損失	(33,166,584)
先物取引に係る純評価損失	(841,351)
為替取引に係る純評価損失	(84,228)
その他デリバティブ取引に係る純評価益	1,169,185
純評価損失	(63,435,253)
運用の結果による純資産の減少	(26,343,282)

投資	通貨	額面/簿価	評価額 (EUR)	純資産比 (%)
上場されている売買可能な有価証券および短期金融商品
債券
フランス
France Treasury Bill, Reg. S 0% 27/07/2016	EUR	100,000,000	100,104,916	4.98
France Treasury Bill, Reg. S 0% 28/09/2016	EUR	120,000,000	120,240,581	5.98
France Treasury Bill, Reg. S 0% 29/03/2017	EUR	100,000,000	100,431,577	4.99
			320,777,074	15.95
債券合計			320,777,074	15.95
転換社債
オランダ
Fiat Chrysler Automobiles NV 7.875% 15/12/2016	USD	46,500	2,481,632	0.12
			2,481,632	0.12
転換社債合計			2,481,632	0.12
株式
オーストラリア
AGL Energy Ltd.	AUD	272,509	3,510,945	0.18
Bank of Queensland Ltd.	AUD	505,514	3,574,333	0.18
BlueScope Steel Ltd.	AUD	777,844	3,311,904	0.17
Caltex Australia Ltd.	AUD	142,584	3,040,717	0.15
CSR Ltd.	AUD	1,340,455	3,259,444	0.16
Fairfax Media Ltd.	AUD	6,042,391	3,769,160	0.19
Flight Centre Travel Group Ltd.	AUD	137,495	2,900,918	0.14
Metcash Ltd.	AUD	2,557,507	3,250,553	0.16
Northern Star Resources Ltd.	AUD	1,151,750	3,802,176	0.19
OZ Minerals Ltd.	AUD	926,819	3,499,820	0.17
Pacific Brands Ltd.	AUD	1,326,606	1,016,095	0.05
Regis Resources Ltd.	AUD	1,535,667	3,508,122	0.17
Sims Metal Management Ltd.	AUD	496,361	2,598,178	0.13
Star Entertainment Group Ltd. (The)	AUD	827,231	2,990,951	0.15
			44,033,316	2.19
バミューダ
Argo Group International Holdings Ltd.	USD	82,336	3,775,202	0.19
Assured Guaranty Ltd.	USD	132,462	2,958,124	0.15
Axis Capital Holdings Ltd.	USD	63,478	3,065,290	0.15
Brookfield Business Partners LP	CAD	2,936	48,735	0.00
Everest Re Group Ltd.	USD	21,529	3,412,638	0.17
Marvell Technology Group Ltd.	USD	274,243	2,320,226	0.11
Nabors Industries Ltd.	USD	182,900	1,590,199	0.08
White Mountains Insurance Group Ltd.	USD	2,100	1,584,106	0.08
			18,754,520	0.93
カナダ
Bank of Montreal	CAD	59,452	3,389,280	0.17
Bankers Petroleum Ltd.	CAD	511,174	738,361	0.04
CAE, Inc.	CAD	281,352	3,047,487	0.15
Emera, Inc.	CAD	98,633	3,301,400	0.16
Enbridge Income Fund Holdings, Inc.	CAD	158,252	3,489,633	0.17
Open Text Corp.	CAD	49,347	2,609,797	0.13
PrairieSky Royalty Ltd.	CAD	4,312	71,814	0.00
Precision Drilling Corp.	CAD	749,140	3,490,191	0.17
Sun Life Financial, Inc.	CAD	114,562	3,325,832	0.17
Toronto-Dominion Bank (The)	CAD	96,944	3,719,692	0.19
Veresen, Inc.	CAD	534,664	3,970,723	0.20
			31,154,210	1.55
ドイツ
AIXTRON SE	EUR	356,503	1,951,141	0.10
KUKA AG	EUR	43,778	4,664,546	0.23
METRO AG	EUR	153,326	4,186,949	0.21
			10,802,636	0.54
アイルランド
Allergan plc Preference 0.055	USD	6,000	4,455,660	0.22
Eaton Corp. plc	USD	58,014	3,045,939	0.15
Mallinckrodt plc	USD	26,400	1,419,459	0.07
			8,921,058	0.44
イスラエル
Check Point Software Technologies Ltd.	USD	19,800	1,388,497	0.07
Mellanox Technologies Ltd.	USD	63,245	2,700,731	0.13
Orbotech Ltd.	USD	89,237	2,045,008	0.10
			6,134,236	0.30
イタリア
Snam SpA	EUR	769,191	4,070,943	0.20
			4,070,943	0.20
日本
Amada Holdings Co. Ltd.	JPY	323,700	2,926,647	0.15
Calsonic Kansei Corp.	JPY	464,000	3,143,303	0.16
Coca-Cola West Co. Ltd.	JPY	148,500	3,760,124	0.19
COMSYS Holdings Corp.	JPY	217,900	3,152,516	0.16
DCM Holdings Co. Ltd.	JPY	543,700	4,163,846	0.21
Fuji Electric Co. Ltd.	JPY	806,000	2,980,499	0.15
Fuji Heavy Industries Ltd.	JPY	93,600	2,857,866	0.14
FUJIFILM Holdings Corp.	JPY	65,000	2,246,895	0.11
Furukawa Electric Co. Ltd.	JPY	1,495,000	3,088,022	0.15
Haseko Corp.	JPY	326,100	2,918,377	0.14
Heiwa Corp.	JPY	203,200	3,675,246	0.18
Iida Group Holdings Co. Ltd.	JPY	189,400	3,457,973	0.17
ITOCHU Corp.	JPY	279,000	3,030,423	0.15
KDDI Corp.	JPY	133,500	3,643,214	0.18
Kinden Corp.	JPY	254,000	2,452,090	0.12
Konami Holdings Corp.	JPY	65,500	2,235,801	0.11
Kuraray Co. Ltd.	JPY	276,800	2,945,960	0.15
Medipal Holdings Corp.	JPY	210,600	3,091,140	0.15
Mitsubishi Gas Chemical Co., Inc.	JPY	741,000	3,443,816	0.17
Mitsubishi Tanabe Pharma Corp.	JPY	233,500	3,765,491	0.19
Mixi, Inc.	JPY	64,200	2,357,188	0.12
Morinaga & Co. Ltd.	JPY	753,000	4,237,729	0.21
Nexon Co. Ltd.	JPY	176,000	2,325,268	0.12
Nihon Unisys Ltd.	JPY	216,500	2,383,778	0.12
Nippo Corp.	JPY	199,000	3,033,219	0.15
NTT DOCOMO, Inc.	JPY	138,800	3,365,392	0.17
OKUMA Corp.	JPY	537,000	3,127,877	0.16
Rengo Co. Ltd.	JPY	593,000	3,435,895	0.17
Resona Holdings, Inc.	JPY	1,098,900	3,581,749	0.18
Sankyu, Inc.	JPY	665,000	3,186,640	0.16
SBI Holdings, Inc.	JPY	328,000	2,895,190	0.14
Sumitomo Chemical Co. Ltd.	JPY	925,000	3,392,212	0.17
Sumitomo Mitsui Trust Holdings, Inc.	JPY	1,023,000	2,956,962	0.15
Sumitomo Osaka Cement Co. Ltd.	JPY	946,000	3,634,820	0.18
Suzuken Co. Ltd.	JPY	97,700	2,747,040	0.14
Teijin Ltd.	JPY	985,000	2,909,627	0.14
TIS, Inc.	JPY	102,200	2,098,486	0.10
Ube Industries Ltd.	JPY	1,845,000	2,720,969	0.13
Ulvac, Inc.	JPY	84,200	2,297,449	0.11
UNY Group Holdings Co. Ltd.	JPY	478,000	3,600,029	0.18
Yamato Kogyo Co. Ltd.	JPY	149,900	3,037,245	0.15
			126,304,013	6.28
ルクセンブルク
Trinseo SA	USD	74,765	2,839,569	0.14
			2,839,569	0.14
オランダ
LyondellBasell Industries NV ‘A’	USD	20,400	1,346,249	0.07
			1,346,249	0.07
ノルウェー
Opera Software ASA	NOK	239,632	1,692,378	0.09
Treasure ASA	NOK	23,073	39,282	0.00
Wilh Wilhelmsen ASA	NOK	23,073	52,912	0.00
			1,784,572	0.09
パナマ
Carnival Corp.	USD	84,345	3,328,989	0.17
			3,328,989	0.17
スペイン
Fomento de Construcciones y Contratas SA	EUR	1,331,859	10,108,144	0.50
			10,108,144	0.50
スイス
Gategroup Holding AG	CHF	59,946	2,821,397	0.14
Syngenta AG	CHF	53,125	18,309,020	0.91
TE Connectivity Ltd.	USD	27,800	1,402,829	0.07
			22,533,246	1.12
英国
Coca-Cola European Partners plc	USD	70,421	2,238,111	0.11
Noble Corp. plc	USD	347,999	2,552,924	0.13
Rowan Cos. plc ‘A’	USD	223,713	3,470,486	0.17
			8,261,521	0.41
米国
Abercrombie & Fitch Co. ‘A’	USD	181,672	2,874,681	0.14
ABM Industries, Inc.	USD	111,476	3,592,555	0.18
ACCO Brands Corp.	USD	116,431	1,046,857	0.05
Aflac, Inc.	USD	62,715	3,973,707	0.20
Agilent Technologies, Inc.	USD	78,086	3,073,525	0.15
AGL Resources, Inc.	USD	284,408	16,879,402	0.84
Alcoa, Inc. Preference 0.05375	USD	112,050	3,253,224	0.16
Alere, Inc.	USD	296,452	11,031,213	0.55
Alphabet, Inc. ‘A’	USD	3,748	2,346,613	0.12
Altria Group, Inc.	USD	55,866	3,411,342	0.17
American Airlines Group, Inc.	USD	52,400	1,309,246	0.07
American Eagle Outfitters, Inc.	USD	106,000	1,496,591	0.07
American Financial Group, Inc.	USD	51,184	3,338,858	0.17
American International Group, Inc.	USD	28,400	1,318,396	0.07
American National Insurance Co.	USD	30,358	3,031,594	0.15
American Tower Corp., REIT Preference 5.25%	USD	36,600	3,663,490	0.18
Andersons, Inc. (The)	USD	52,343	1,656,731	0.08
Anthem, Inc. Preference 0.0525	USD	56,650	2,273,104	0.11
Applied Industrial Technologies, Inc.	USD	79,811	3,166,551	0.16
Applied Materials, Inc.	USD	67,900	1,442,426	0.07
Asbury Automotive Group, Inc.	USD	29,600	1,397,535	0.07
Ascena Retail Group, Inc.	USD	135,800	854,522	0.04
Assurant, Inc.	USD	19,000	1,451,270	0.07
AT&T, Inc.	USD	99,179	3,802,944	0.19
ATN International, Inc.	USD	44,308	3,074,265	0.15
AutoNation, Inc.	USD	32,900	1,383,313	0.07
Avery Dennison Corp.	USD	48,034	3,159,302	0.16
Axiall Corp.	USD	233,601	6,832,731	0.34
Babcock & Wilcox Enterprises, Inc.	USD	77,300	1,002,374	0.05
Bank of America Corp. Preference 7.25%	USD	5,452	5,819,148	0.29
Bankrate, Inc.	USD	188,300	1,266,186	0.06
Bemis Co., Inc.	USD	73,138	3,321,554	0.17
Beneficial Bancorp, Inc.	USD	121,000	1,386,726	0.07
Best Buy Co., Inc.	USD	51,800	1,411,914	0.07
Bob Evans Farms, Inc.	USD	36,600	1,246,350	0.06
Brady Corp. ‘A’	USD	111,750	3,017,825	0.15
Briggs & Stratton Corp.	USD	150,576	2,787,642	0.14
Brinker International, Inc.	USD	36,400	1,482,831	0.07
Builders FirstSource, Inc.	USD	140,800	1,385,024	0.07
Cabela’s, Inc.	USD	23,300	1,032,176	0.05
Cabot Corp.	USD	81,608	3,269,415	0.16
CACI International, Inc. ‘A’	USD	27,985	2,232,224	0.11
Campbell Soup Co.	USD	56,463	3,246,150	0.16
Carmike Cinemas, Inc.	USD	85,270	2,345,301	0.12
Carpenter Technology Corp.	USD	52,300	1,487,645	0.07
Cash America International, Inc.	USD	45,500	1,697,184	0.08
CDK Global, Inc.	USD	21,510	1,063,368	0.05
Celator Pharmaceuticals, Inc.	USD	302,787	8,224,474	0.41
CenterPoint Energy, Inc.	USD	172,169	3,700,819	0.18
CenturyLink, Inc.	USD	112,697	2,871,562	0.14
Chemical Financial Corp.	USD	93,492	3,073,956	0.15
Children’s Place, Inc. (The)	USD	22,800	1,630,359	0.08
Citrix Systems, Inc.	USD	96,905	6,989,968	0.35
Coherent, Inc.	USD	26,483	2,095,384	0.10
Columbia Pipeline Group, Inc.	USD	898,189	20,599,591	1.02
Comfort Systems USA, Inc.	USD	113,371	3,231,406	0.16
Commercial Metals Co.	USD	241,115	3,545,235	0.18
ConAgra Foods, Inc.	USD	107,300	4,484,990	0.22
Cooper-Standard Holding, Inc.	USD	50,136	3,434,662	0.17
Copart, Inc.	USD	33,900	1,466,070	0.07
Corning, Inc.	USD	80,900	1,451,505	0.07
Coty, Inc. ‘A’	USD	63,200	1,448,897	0.07
CR Bard, Inc.	USD	17,772	3,715,903	0.19
Cracker Barrel Old Country Store, Inc.	USD	28,251	4,324,032	0.22
Crown Castle International Corp., REIT Preference 4.5%	USD	40,100	4,311,064	0.21
Cvent, Inc.	USD	87,246	2,801,488	0.14
Cypress Semiconductor Corp.	USD	161,700	1,469,881	0.07
Danaher Corp.	USD	50,500	4,555,103	0.23
Dean Foods Co.	USD	207,955	3,293,375	0.16
Delta Air Lines, Inc.	USD	72,233	2,341,835	0.12
Demandware, Inc.	USD	213,073	14,353,543	0.71
Denbury Resources, Inc.	USD	904,458	2,941,254	0.15
DeVry Education Group, Inc.	USD	59,800	932,795	0.05
Diamond Offshore Drilling, Inc.	USD	142,345	3,063,586	0.15
DigitalGlobe, Inc.	USD	78,500	1,490,712	0.07
Discovery Communications, Inc. ‘C’	USD	62,900	1,342,150	0.07
Dolby Laboratories, Inc. ‘A’	USD	57,679	2,441,774	0.12
Dominion Resources, Inc. Preference 6.375%	USD	26,400	1,211,065	0.06
Domino’s Pizza, Inc.	USD	13,600	1,581,145	0.08
DR Horton, Inc.	USD	119,146	3,310,266	0.16
DreamWorks Animation SKG, Inc. ‘A’	USD	336,223	12,359,895	0.61
DSW, Inc. ‘A’	USD	79,000	1,488,836	0.07
Edison International	USD	50,205	3,432,614	0.17
EMCOR Group, Inc.	USD	80,394	3,489,087	0.17
Empire District Electric Co. (The)	USD	166,005	5,043,736	0.25
Energizer Holdings, Inc.	USD	81,063	3,674,175	0.18
ExamWorks Group, Inc.	USD	244,620	7,654,553	0.38
Exelon Corp.	USD	102,830	3,237,142	0.16
Exelon Corp. Preference 0.065	USD	120,050	5,203,132	0.26
Express Scripts Holding Co.	USD	22,100	1,498,396	0.07
Express, Inc.	USD	242,353	3,129,590	0.16
Exxon Mobil Corp.	USD	40,251	3,351,293	0.17
Fairchild Semiconductor International,Inc.	USD	1,081,215	19,301,854	0.96
FEI Co.	USD	98,383	9,425,967	0.47
Finish Line, Inc. (The) ‘A’	USD	91,500	1,647,040	0.08
Francesca’s Holdings Corp.	USD	158,200	1,564,012	0.08
Frontier Communications Corp. Preference 11.125%	USD	47,700	3,975,143	0.20
Fulton Financial Corp.	USD	269,192	3,208,587	0.16
Gannett Co., Inc.	USD	202,473	2,470,716	0.12
General Electric Co.	USD	55,100	1,527,389	0.08
Genesco, Inc.	USD	25,400	1,447,149	0.07
Gilead Sciences, Inc.	USD	19,300	1,420,624	0.07
GNC Holdings, Inc. ‘A’	USD	63,600	1,352,510	0.07
Goodyear Tire & Rubber Co. (The)	USD	134,626	3,088,197	0.15
Group 1 Automotive, Inc.	USD	27,300	1,219,689	0.06
Groupon, Inc.	USD	467,300	1,355,693	0.07
GrubHub, Inc.	USD	47,300	1,334,998	0.07
H&R Block, Inc.	USD	79,100	1,612,754	0.08
Harley-Davidson, Inc.	USD	36,400	1,442,391	0.07
Hartford Financial Services Group, Inc. (The)	USD	89,346	3,459,662	0.17
Hawaiian Electric Industries, Inc.	USD	297,615	8,931,342	0.44
Hawaiian Holdings, Inc.	USD	76,325	2,591,908	0.13
HeartWare International, Inc.	USD	179,142	9,263,771	0.46
Herman Miller, Inc.	USD	116,600	3,081,146	0.15
Hewlett Packard Enterprise Co.	USD	291,200	4,695,549	0.23
Hilton Worldwide Holdings, Inc.	USD	217,100	4,363,912	0.22
Honeywell International, Inc.	USD	41,500	4,282,567	0.21
Houghton Mifflin Harcourt Co.	USD	60,000	825,267	0.04
Huntsman Corp.	USD	415,500	4,948,743	0.25
Huron Consulting Group, Inc.	USD	28,100	1,502,902	0.08
Hyatt Hotels Corp. ‘A’	USD	35,800	1,549,689	0.08
inContact, Inc.	USD	224,046	2,784,351	0.14
Ingram Micro, Inc. ‘A’	USD	598,344	18,545,521	0.92
Insperity, Inc.	USD	23,300	1,568,648	0.08
Integrated Device Technology, Inc.	USD	71,400	1,282,662	0.06
Interpublic Group of Cos., Inc. (The)	USD	176,627	3,679,067	0.18
Investors Bancorp, Inc.	USD	138,200	1,361,935	0.07
Jack in the Box, Inc.	USD	19,600	1,479,733	0.07
JM Smucker Co. (The)	USD	24,869	3,344,085	0.17
Johnson & Johnson	USD	33,288	3,569,587	0.18
KAR Auction Services, Inc.	USD	86,845	3,208,915	0.16
KB Home	USD	372,526	4,998,224	0.25
Kennametal, Inc.	USD	160,151	3,100,329	0.15
Krispy Kreme Doughnuts, Inc.	USD	840,696	15,809,750	0.79
La Quinta Holdings, Inc.	USD	138,800	1,396,565	0.07
LDR Holding Corp.	USD	99,911	3,321,409	0.17
Leidos Holdings, Inc.	USD	54,137	2,302,542	0.11
Lexmark International, Inc. ‘A’	USD	322,506	10,870,696	0.54
Lincoln Electric Holdings, Inc.	USD	27,500	1,436,425	0.07
LinkedIn Corp. ‘A’	USD	112,541	19,185,243	0.95
LPL Financial Holdings, Inc.	USD	110,500	2,162,008	0.11
Magellan Health, Inc.	USD	53,022	3,095,303	0.15
Marketo, Inc.	USD	195,536	6,113,359	0.30
Marriott Vacations Worldwide Corp.	USD	27,500	1,651,895	0.08
MasTec, Inc.	USD	177,954	3,460,982	0.17
Match Group, Inc.	USD	184,298	2,406,432	0.12
Mattress Firm Holding Corp.	USD	35,487	1,076,766	0.05
MaxLinear, Inc. ‘A’	USD	121,255	1,936,127	0.10
MBIA, Inc.	USD	225,400	1,379,806	0.07
McDonald’s Corp.	USD	33,893	3,656,111	0.18
Mead Johnson Nutrition Co.	USD	19,900	1,577,747	0.08
Medivation, Inc.	USD	95,832	5,203,070	0.26
Mentor Graphics Corp.	USD	210,124	3,961,893	0.20
Meredith Corp.	USD	75,827	3,491,082	0.17
Microchip Technology, Inc.	USD	54,725	2,450,131	0.12
MKS Instruments, Inc.	USD	72,962	2,740,243	0.14
Molina Healthcare, Inc.	USD	55,850	2,538,180	0.13
Monsanto Co.	USD	98,741	9,151,157	0.46
Motorola Solutions, Inc.	USD	35,516	2,078,615	0.10
MSCI, Inc.	USD	20,900	1,414,685	0.07
Murphy USA, Inc.	USD	24,300	1,606,790	0.08
Nationstar Mortgage Holdings, Inc.	USD	128,700	1,288,575	0.06
Navient Corp.	USD	123,100	1,285,660	0.06
NCR Corp.	USD	54,200	1,322,528	0.07
NETGEAR, Inc.	USD	64,458	2,710,490	0.14
NeuStar, Inc. ‘A’	USD	115,200	2,386,096	0.12
NextEra Energy, Inc. Preference 5.799%	USD	24,245	1,424,855	0.07
NextEra Energy, Inc. Preference 6.371%	USD	48,000	2,709,294	0.14
Nordstrom, Inc.	USD	43,500	1,471,144	0.07
Northwest Natural Gas Co.	USD	64,844	3,682,197	0.18
Nuance Communications, Inc.	USD	269,052	3,738,178	0.19
Nucor Corp.	USD	73,274	3,194,581	0.16
NVIDIA Corp.	USD	53,635	2,251,518	0.11
Old Republic International Corp.	USD	226,283	3,860,474	0.19
Omnicom Group, Inc.	USD	43,246	3,109,702	0.16
ONE Gas, Inc.	USD	58,949	3,433,088	0.17
Owens & Minor, Inc.	USD	89,109	2,966,720	0.15
Owens Corning	USD	76,180	3,438,119	0.17
Panera Bread Co. ‘A’	USD	7,600	1,452,911	0.07
Parker-Hannifin Corp.	USD	31,320	2,945,653	0.15
Patterson Cos., Inc.	USD	73,212	3,134,581	0.16
Patterson-UTI Energy, Inc.	USD	196,492	3,658,021	0.18
PBF Energy, Inc. ‘A’	USD	108,488	2,236,826	0.11
Penske Automotive Group, Inc.	USD	42,300	1,201,488	0.06
PepsiCo, Inc.	USD	34,358	3,224,115	0.16
Pfizer, Inc.	USD	102,880	3,238,716	0.16
Piedmont Natural Gas Co., Inc.	USD	370,362	19,938,393	0.99
Plantronics, Inc.	USD	68,325	2,633,700	0.13
Polycom, Inc.	USD	109,100	1,083,993	0.05
PRA Health Sciences, Inc.	USD	76,374	2,842,624	0.14
Procter & Gamble Co. (The)	USD	43,880	3,311,605	0.17
Qlik Technologies, Inc.	USD	723,552	19,132,823	0.95
QLogic Corp.	USD	210,053	2,780,513	0.14
Quality Systems, Inc.	USD	293,038	3,090,812	0.15
Quanta Services, Inc.	USD	70,100	1,417,904	0.07
Questar Corp.	USD	851,434	19,312,825	0.96
Rackspace Hosting, Inc.	USD	66,500	1,230,529	0.06
Rambus, Inc.	USD	138,700	1,457,945	0.07
Reliance Steel & Aluminum Co.	USD	52,056	3,511,640	0.18
ResMed, Inc.	USD	64,426	3,607,460	0.18
Rite Aid Corp.	USD	2,728,967	18,694,078	0.93
Rofin-Sinar Technologies, Inc.	USD	52,147	1,491,737	0.07
RR Donnelley & Sons Co.	USD	219,621	3,234,137	0.16
Sanderson Farms, Inc.	USD	47,926	3,680,762	0.18
Sanmina Corp.	USD	173,431	4,062,595	0.20
Scholastic Corp.	USD	98,371	3,446,312	0.17
Selective Insurance Group, Inc.	USD	97,228	3,278,135	0.16
Semtech Corp.	USD	122,754	2,576,792	0.13
Sinclair Broadcast Group, Inc. ‘A’	USD	117,131	3,193,696	0.16
Sonic Automotive, Inc. ‘A’	USD	94,100	1,425,924	0.07
Sotheby’s	USD	55,400	1,356,294	0.07
SpartanNash Co.	USD	118,832	3,109,661	0.16
Spirit AeroSystems Holdings, Inc. ‘A’	USD	35,200	1,346,393	0.07
SPX FLOW, Inc.	USD	117,445	2,665,555	0.13
Starz ‘A’	USD	47,300	1,347,763	0.07
Steel Dynamics, Inc.	USD	159,162	3,435,548	0.17
Stepan Co.	USD	62,116	3,250,412	0.16
SUPERVALU, Inc.	USD	883,000	3,586,364	0.18
Swift Transportation Co.	USD	106,100	1,439,781	0.07
Sykes Enterprises, Inc.	USD	84,309	2,130,781	0.11
Symantec Corp.	USD	96,700	1,770,653	0.09
SYNNEX Corp.	USD	33,791	2,837,600	0.14
Talen Energy Corp.	USD	800,160	9,728,116	0.48
Tech Data Corp.	USD	32,824	2,080,954	0.10
TECO Energy, Inc.	USD	795,801	19,797,666	0.98
Teleflex, Inc.	USD	24,456	3,844,818	0.19
Thermo Fisher Scientific, Inc.	USD	26,428	3,459,219	0.17
Thor Industries, Inc.	USD	56,481	3,236,261	0.16
Time, Inc.	USD	107,700	1,567,581	0.08
Timken Co. (The)	USD	103,172	2,781,534	0.14
T-Mobile US, Inc. Preference 0.055	USD	61,550	4,068,211	0.20
Tumi Holdings, Inc.	USD	332,077	7,980,495	0.40
Twenty-First Century Fox, Inc. ‘A’	USD	57,300	1,394,047	0.07
Tyson Foods, Inc. Preference 0.0475	USD	107,000	6,947,627	0.35
Tyson Foods, Inc. ‘A’	USD	54,032	3,161,799	0.16
United Continental Holdings, Inc.	USD	36,700	1,345,497	0.07
United Technologies Corp.	USD	16,500	1,502,031	0.08
Universal Forest Products, Inc.	USD	42,786	3,431,109	0.17
USANA Health Sciences, Inc.	USD	13,700	1,343,762	0.07
Valspar Corp. (The)	USD	214,511	20,714,156	1.03
Varian Medical Systems, Inc.	USD	56,800	4,126,743	0.21
Virgin America, Inc.	USD	410,198	20,715,804	1.03
Vishay Intertechnology, Inc.	USD	214,352	2,309,080	0.12
Visteon Corp.	USD	22,400	1,327,307	0.07
Vitamin Shoppe, Inc.	USD	55,100	1,505,084	0.08
Vonage Holdings Corp.	USD	832,089	4,539,797	0.23
Voya Financial, Inc.	USD	49,900	1,098,425	0.06
Wabtec Corp.	USD	21,300	1,341,932	0.07
Wal-Mart Stores, Inc.	USD	60,397	3,946,364	0.20
Wells Fargo & Co. Preference 0.075	USD	5,454	6,245,552	0.31
Welltower, Inc., REIT Preference 0.065	USD	33,450	2,012,013	0.10
West Corp.	USD	158,199	2,730,244	0.14
Whole Foods Market, Inc.	USD	51,800	1,478,083	0.07
Worthington Industries, Inc.	USD	101,060	3,626,429	0.18
XenoPort, Inc.	USD	159,701	1,009,229	0.05
Xerox Corp.	USD	469,500	3,887,722	0.19
Yum! Brands, Inc.	USD	82,400	6,087,863	0.30
			981,670,386	48.81
株式合計			1,282,047,608	63.74
上場されている売買可能な有価証券および短期金融商品合計			1,605,306,314	79.81
その他の規制市場で取引されている売買可能な有価証券および短期金融商品
転換社債
バミューダ
Jazz Investments I Ltd. 1.875% 15/08/2021	USD	5,000,000	4,829,577	0.24
			4,829,577	0.24
ケイマン諸島
Ctrip.com International Ltd. 1.25% 15/10/2018	USD	6,365,000	6,942,502	0.35
SINA Corp. 1% 01/12/2018	USD	4,192,000	3,721,511	0.18
Vipshop Holdings Ltd. 1.5% 15/03/2019	USD	3,694,000	3,268,554	0.16
			13,932,567	0.69
オランダ
NXP Semiconductors NV 1% 01/12/2019	USD	5,400,000	5,267,822	0.26
Yandex NV 1.125% 15/12/2018	USD	6,502,000	5,472,486	0.27
			10,740,308	0.53
米国
Acorda Therapeutics, Inc. 1.75% 15/06/2021	USD	5,378,000	4,245,255	0.21
Akamai Technologies, Inc. 0% 15/02/2019	USD	4,490,000	3,960,841	0.20
Allscripts Healthcare Solutions, Inc. 1.25% 01/07/2020	USD	4,137,000	3,709,899	0.18
Anthem, Inc. 2.75% 15/10/2042	USD	2,629,000	4,321,991	0.22
BioMarin Pharmaceutical, Inc. 0.75% 15/10/2018	USD	2,652,000	2,664,489	0.13
BioMarin Pharmaceutical, Inc. 1.5% 15/10/2020	USD	2,583,000	2,704,083	0.13
Brocade Communications Systems, Inc. 1.375% 01/01/2020	USD	5,804,000	5,132,278	0.26
Brookdale Senior Living, Inc. 2.75% 15/06/2018	USD	4,466,000	3,962,247	0.20
Ciena Corp., 144A 3.75% 15/10/2018	USD	1,414,000	1,487,140	0.07
Citrix Systems, Inc. 0.5% 15/04/2019	USD	5,936,000	5,990,654	0.30
Euronet Worldwide, Inc. 1.5% 01/10/2044	USD	5,868,000	6,047,396	0.30
Hologic, Inc., STEP 2% 01/03/2042	USD	1,220,000	1,394,669	0.07
Hologic, Inc., STEP 0% 15/12/2043	USD	1,179,000	1,290,516	0.06
Hornbeck Offshore Services, Inc. 1.5% 01/09/2019	USD	5,730,000	3,025,074	0.15
Iconix Brand Group, Inc. 1.5% 15/03/2018	USD	1,365,000	1,000,751	0.05
Illumina, Inc. 0.5% 15/06/2021	USD	1,316,000	1,181,617	0.06
Intel Corp. 2.95% 15/12/2035	USD	1,552,000	1,786,320	0.09
Intel Corp. 3.25% 01/08/2039	USD	1,326,000	1,915,170	0.10
Ionis Pharmaceuticals, Inc. 1% 15/11/2021	USD	4,689,000	2,992,209	0.15
j2 Global, Inc. 3.25% 15/06/2029	USD	3,825,000	3,814,918	0.19
Lam Research Corp. 1.25% 15/05/2018	USD	1,921,000	2,478,772	0.12
Liberty Interactive LLC, 144A 1% 30/09/2043	USD	4,034,000	3,170,728	0.16
Liberty Media Corp. 1.375% 15/10/2023	USD	4,539,000	4,021,909	0.20
Macquarie Infrastructure Corp. 2.875% 15/07/2019	USD	3,730,000	3,823,062	0.19
MGIC Investment Corp. 2% 01/04/2020	USD	3,868,000	3,840,007	0.19
Microchip Technology, Inc. 1.625% 15/02/2025	USD	2,914,000	2,890,041	0.14
Micron Technology, Inc. 3% 15/11/2043	USD	6,480,000	4,390,135	0.22
Molina Healthcare, Inc. 1.125% 15/01/2020	USD	1,925,000	2,358,066	0.12
Molina Healthcare, Inc. 1.625% 15/08/2044	USD	2,485,000	2,453,391	0.12
Newmont Mining Corp. 1.625% 15/07/2017	USD	4,889,000	4,894,696	0.24
Novellus Systems, Inc. 2.625% 15/05/2041	USD	708,000	1,559,017	0.08
NRG Yield, Inc., 144A 3.5% 01/02/2019	USD	5,198,000	4,559,075	0.23
Nuance Communications, Inc. 2.75% 01/11/2031	USD	6,248,000	5,680,243	0.28
NVIDIA Corp. 1% 01/12/2018	USD	3,680,000	7,669,177	0.38
ON Semiconductor Corp. 2.625% 15/12/2026	USD	5,043,000	4,687,721	0.23
Palo Alto Networks, Inc. 0% 01/07/2019	USD	2,732,000	3,172,678	0.16
Priceline Group, Inc. (The) 1% 15/03/2018	USD	880,000	1,108,641	0.06
Priceline Group, Inc. (The) 0.35% 15/06/2020	USD	1,042,000	1,100,219	0.05
Prospect Capital Corp. 4.75% 15/04/2020	USD	4,938,000	4,222,758	0.21
Red Hat, Inc. 0.25% 01/10/2019	USD	3,336,000	3,634,927	0.18
Rovi Corp. 0.5% 01/03/2020	USD	5,247,000	4,498,801	0.22
Royal Gold, Inc. 2.875% 15/06/2019	USD	5,318,000	5,076,460	0.25
salesforce.com, Inc. 0.25% 01/04/2018	USD	3,375,000	3,921,809	0.20
SEACOR Holdings, Inc. 2.5% 15/12/2027	USD	5,866,000	5,171,351	0.26
Shutterfly, Inc. 0.25% 15/05/2018	USD	4,463,000	3,931,984	0.20
Spirit Realty Capital, Inc., REIT 2.875% 15/05/2019	USD	1,938,000	1,864,970	0.09
Spirit Realty Capital, Inc., REIT 3.75% 15/05/2021	USD	1,901,000	1,909,730	0.10
Starwood Property Trust, Inc., REIT 4.55% 01/03/2018	USD	1,636,000	1,524,585	0.08
Starwood Property Trust, Inc., REIT 4% 15/01/2019	USD	2,495,000	2,365,070	0.12
Trinity Industries, Inc. 3.875% 01/06/2036	USD	3,193,000	3,087,758	0.15
Verint Systems, Inc. 1.5% 01/06/2021	USD	3,798,000	3,106,947	0.15
Viavi Solutions, Inc. 0.625% 15/08/2033	USD	4,545,000	3,999,117	0.20
Xilinx, Inc. 2.625% 15/06/2017	USD	3,866,000	5,516,538	0.27
			180,317,900	8.97
転換社債合計			209,820,352	10.43
その他の規制市場で取引されている売買可能な有価証券および短期金融商品合計			209,820,352	10.43
その他の売買可能な有価証券および短期金融商品
株式
米国
Chelsea *	USD	968,318	1	0.00
Furiex Pharmaceuticals, Inc.*	USD	660	0	0.00
Leap Wireless International, Inc. Rights 01/03/2016 *	USD	936,393	2,122,729	0.11
			2,122,730	0.11
株式合計			2,122,730	0.11
その他の売買可能な有価証券および短期金融商品合計			2,122,730	0.11
UCITSもしくはその他のファンド
UCITS
ルクセンブルク
JPMorgan Euro Liquidity Fund - JPM Euro Liquidity X (flex dist.)†	EUR	120,115,136	120,115,136	5.97
			120,115,136	5.97
UCITS合計			120,115,136	5.97
UCITSもしくはその他のファンド合計			120,115,136	5.97
投資合計			1,937,364,532	96.32
現金			85,373,763	4.24
その他の負債			(11,367,460)	(0.56)
純資産			2,011,370,835	100.00

為替先渡契約
買い	契約額	売り	契約額	決済日	取引相手	評価益(損) (EUR)	純資産比(%)
AUD	498,476	EUR	325,382	15/07/2016	RBC	7,797	-
AUD	59,819,361	EUR	39,045,434	21/07/2016	Bank of America	919,032	0.05
BRL	50,951,275	USD	14,699,038	21/07/2016	Goldman Sachs	972,656	0.05
CHF	7,744	EUR	7,141	01/07/2016	Standard Chartered	5	-
CHF	247,015	EUR	227,049	04/07/2016	Deutsche Bank	911	-
CHF	73,792	EUR	67,449	15/07/2016	RBC	672	-
CHF	5,816	EUR	5,354	15/07/2016	State Street	15	-
COP	49,834,249,552	USD	16,625,271	21/07/2016	Goldman Sachs	303,287	0.02
EUR	6,599,745	AUD	9,867,199	21/07/2016	J.P. Morgan	7,609	-
EUR	57,322,048	CAD	82,725,987	21/07/2016	Standard Chartered	43,678	-
EUR	2,531,249	CAD	3,635,846	21/07/2016	Deutsche Bank	13,838	-
EUR	372,762	CAD	537,458	21/07/2016	Toronto-Dominion Bank	633	-
EUR	1,091	CHF	1,178	15/07/2016	HSBC	3	-
EUR	17,593	CHF	18,959	15/07/2016	Standard Chartered	91	-
EUR	2,278	CHF	2,463	15/07/2016	Morgan Stanley	5	-
EUR	77,915	CHF	84,124	15/07/2016	Citibank	255	-
EUR	12,599,455	CZK	340,722,411	21/07/2016	Standard Chartered	32,416	-
EUR	229,675	GBP	182,600	15/07/2016	ANZ	9,021	-
EUR	20,986	GBP	16,644	15/07/2016	Morgan Stanley	874	-
EUR	55,771	GBP	43,351	15/07/2016	Deutsche Bank	3,385	-
EUR	42,065	GBP	32,375	15/07/2016	Standard Chartered	2,942	-
EUR	43,766,087	GBP	34,250,821	21/07/2016	Goldman Sachs	2,384,674	0.12
EUR	2,172,077	GBP	1,737,748	21/07/2016	Standard Chartered	72,551	0.01
EUR	12,701,844	HUF	3,963,871,658	21/07/2016	State Street	197,241	0.01
EUR	3,411,732	NOK	31,680,000	21/07/2016	Goldman Sachs	11,083	-
EUR	12,618,820	RON	56,959,158	21/07/2016	HSBC	24,511	-
EUR	44,451	SEK	418,646	04/07/2016	BNP Paribas	67	-
EUR	890,520	SEK	8,290,753	15/07/2016	Citibank	11,488	-
EUR	284,349	SEK	2,670,571	15/07/2016	BNP Paribas	1,201	-
EUR	26,011	SEK	242,727	15/07/2016	Deutsche Bank	276	-
EUR	14,607	SEK	136,586	15/07/2016	Standard Chartered	126	-
EUR	49,268,192	SEK	457,443,489	21/07/2016	J.P. Morgan	765,372	0.04
EUR	5,733,576	USD	6,328,085	15/07/2016	Morgan Stanley	43,255	-
EUR	5,146,499	USD	5,706,978	21/07/2016	Deutsche Bank	15,874	-
EUR	5,215,754	USD	5,795,800	21/07/2016	Standard Chartered	5,277	-
EUR	11,421,165	USD	12,670,762	21/07/2016	RBC	30,035	-
EUR	374,980	USD	416,095	21/07/2016	Toronto-Dominion Bank	906	-
EUR	3,772,593	USD	4,178,596	21/07/2016	Morgan Stanley	15,998	-
GBP	3,937,962	EUR	4,715,371	21/07/2016	Deutsche Bank	42,425	-
JPY	11,979,301,717	EUR	101,002,766	15/07/2016	UBS	3,842,505	0.19
JPY	2,043,815,148	EUR	16,978,852	21/07/2016	Standard Chartered	908,546	0.05
JPY	530,269,055	EUR	4,518,739	21/07/2016	Morgan Stanley	122,157	0.01
NOK	330,000	EUR	35,178	15/07/2016	Citibank	254	-
NOK	248,866	EUR	26,601	15/07/2016	Deutsche Bank	120	-
NOK	70,445,612	EUR	7,502,573	15/07/2016	Bank of America	61,134	-
NOK	521,016	EUR	55,570	15/07/2016	State Street	371	-
NZD	111,331,263	EUR	69,588,476	21/07/2016	UBS	1,473,857	0.07
RUB	944,821,571	USD	14,581,142	21/07/2016	Bank of America	48,547	-
SEK	1,095,002	EUR	115,966	15/07/2016	BNP Paribas	133	-
TRY	40,512,733	EUR	12,173,305	21/07/2016	Bank of America	400,759	0.02
USD	1,354,889	EUR	1,191,505	15/07/2016	Citibank	26,835	-
USD	3,913,470	EUR	3,451,113	15/07/2016	State Street	67,946	-
USD	6,156	EUR	5,443	15/07/2016	ANZ	93	-
USD	342,024,558	EUR	304,526,938	15/07/2016	RBC	3,027,390	0.15
USD	2,027	EUR	1,804	15/07/2016	Societe Generale	18	-
USD	351,098	EUR	311,631	15/07/2016	Goldman Sachs	4,082	-
USD	1,058,649	EUR	937,735	15/07/2016	Morgan Stanley	14,221	-
USD	74,953,404	EUR	66,353,015	21/07/2016	Standard Chartered	1,030,773	0.05
USD	10,610,130	EUR	9,422,265	21/07/2016	Morgan Stanley	116,338	0.01
USD	3,328,312	EUR	2,958,844	21/07/2016	BNP Paribas	33,338	-
USD	2,767,259	EUR	2,455,016	21/07/2016	HSBC	32,775	-
USD	2,132,447	JPY	218,205,220	21/07/2016	BNP Paribas	7,365	-
ZAR	252,134,814	EUR	14,805,429	21/07/2016	State Street	542,621	0.03
為替先渡契約に係る評価益合計						17,703,663	0.88
AUD	2,496	EUR	1,676	15/07/2016	Deutsche Bank	(7)	-
CAD	152,885,548	EUR	105,936,635	21/07/2016	Standard Chartered	(80,720)	-
CAD	9,547,141	EUR	6,610,376	21/07/2016	Bank of America	(63)	-
CAD	9,420,765	EUR	6,536,848	21/07/2016	Deutsche Bank	(14,036)	-
CAD	4,768,059	EUR	3,306,837	21/07/2016	RBC	(5,497)	-
CHF	74,644,165	EUR	68,909,324	15/07/2016	Bank of America	(1,437)	-
CHF	13,012	EUR	12,031	15/07/2016	Standard Chartered	(19)	-
EUR	1,326	AUD	2,000	15/07/2016	Deutsche Bank	(11)	-
EUR	41,692,661	AUD	63,875,033	21/07/2016	Bank of America	(981,341)	(0.05)
EUR	217,575	CAD	317,345	21/07/2016	Toronto-Dominion Bank	(2,151)	-
EUR	55,896	CHF	60,994	15/07/2016	State Street	(411)	-
EUR	7,144	CHF	7,744	15/07/2016	Standard Chartered	(4)	-
EUR	568,024	CHF	616,994	15/07/2016	Deutsche Bank	(1,555)	-
EUR	102,037,873	CHF	111,166,604	21/07/2016	State Street	(604,606)	(0.03)
EUR	12,495,937	ILS	54,369,135	21/07/2016	BNP Paribas	(200,570)	(0.01)
EUR	171,961,195	JPY	20,741,799,048	21/07/2016	Standard Chartered	(9,570,295)	(0.48)
EUR	3,276,980	JPY	392,889,167	21/07/2016	HSBC	(161,572)	(0.01)
EUR	3,404,213	JPY	400,106,299	21/07/2016	BNP Paribas	(97,503)	(0.01)
EUR	115,952	SEK	1,095,002	01/07/2016	BNP Paribas	(138)	-
EUR	14,305,574	THB	570,773,788	21/07/2016	HSBC	(302,104)	(0.02)
EUR	996,816	USD	1,125,109	15/07/2016	Citibank	(14,901)	-
EUR	6,076,621	USD	6,850,398	15/07/2016	BNP Paribas	(83,373)	-
EUR	2,815,191	USD	3,154,637	15/07/2016	Standard Chartered	(21,513)	-
EUR	671,688	USD	757,296	15/07/2016	Deutsche Bank	(9,286)	-
EUR	292,804	USD	325,834	15/07/2016	RBC	(192)	-
EUR	579,892,649	USD	655,987,901	21/07/2016	HSBC	(9,846,399)	(0.49)
EUR	18,534,563	USD	20,906,005	21/07/2016	Deutsche Bank	(260,124)	(0.01)
EUR	8,972,279	USD	10,099,515	21/07/2016	Standard Chartered	(107,277)	(0.01)
EUR	29,582,140	USD	33,363,670	21/07/2016	BNP Paribas	(412,099)	(0.02)
EUR	2,739,815	USD	3,109,816	21/07/2016	RBC	(55,938)	-
EUR	284,666,990	USD	322,050,596	21/07/2016	Goldman Sachs	(4,859,406)	(0.24)
EUR	798,186	USD	904,804	21/07/2016	Bank of America	(15,241)	-
EUR	377,162,363	USD	426,717,725	21/07/2016	Barclays	(6,460,726)	(0.32)
EUR	1,321,919	USD	1,490,661	21/07/2016	Toronto-Dominion Bank	(18,198)	-
GBP	229,240	EUR	289,197	15/07/2016	Citibank	(12,182)	-
GBP	35,016,170	EUR	44,111,415	15/07/2016	BNP Paribas	(1,797,743)	(0.09)
GBP	32,634	EUR	39,939	15/07/2016	Societe Generale	(504)	-
GBP	1,898,940	EUR	2,431,050	21/07/2016	BNP Paribas	(136,775)	(0.01)
GBP	1,947,960	EUR	2,524,510	21/07/2016	Goldman Sachs	(171,009)	(0.01)
JPY	936,332,715	EUR	8,389,206	21/07/2016	Deutsche Bank	(194,456)	(0.01)
NOK	398,529	EUR	42,883	15/07/2016	Citibank	(93)	-
SEK	2,946,630	EUR	318,065	15/07/2016	Citibank	(5,647)	-
SEK	2,352,240	EUR	253,533	15/07/2016	State Street	(4,135)	-
SEK	2,117,604,001	EUR	227,077,991	15/07/2016	Standard Chartered	(2,557,644)	(0.13)
SEK	2,118,340,897	EUR	227,220,706	15/07/2016	BNP Paribas	(2,622,229)	(0.13)
SEK	2,118,873,218	EUR	227,316,627	15/07/2016	Bank of America	(2,661,711)	(0.13)
SEK	485,124	EUR	51,884	15/07/2016	Deutsche Bank	(448)	-
SEK	1,455,754	EUR	155,066	15/07/2016	HSBC	(719)	-
SEK	13,406,436	EUR	1,428,730	21/07/2016	J.P. Morgan	(7,243)	-
USD	251,867	EUR	227,934	01/07/2016	Morgan Stanley	(1,361)	-
USD	980,078	EUR	882,492	05/07/2016	Morgan Stanley	(872)	-
USD	18,763,409	EUR	16,882,845	21/07/2016	Morgan Stanley	(14,372)	-
USD	11,597,089	EUR	10,474,713	21/07/2016	RBC	(48,825)	-
USD	15,870,631	EUR	14,431,533	21/07/2016	Bank of America	(163,692)	(0.01)
為替先渡契約に係る評価損合計						(44,590,373)	(2.22)
為替先渡契約に係る純評価損						(26,886,710)	(1.34)

先物取引
銘柄	契約枚数	通貨	持ち高 (EUR)	評価益(損) (EUR)	純資産比 (%)
Australia 3 Year Bond, 15/09/2016	405	AUD	30,663,894	10,610	-
Australia 10 Year Bond, 15/09/2016	2,149	AUD	195,793,808	333,100	0.02
Canada 10 Year Bond, 21/09/2016	186	CAD	19,040,503	25,127	-
DAX Index, 16/09/2016	(3)	EUR	(718,331)	731	-
Euro-Bund, 08/09/2016	168	EUR	28,048,440	6,275	-
Euro-Buxl 30 Year Bond, 08/09/2016	43	EUR	8,415,530	45,622	-
FTSE 100 Index, 16/09/2016	37	GBP	2,828,334	24,090	-
FTSE MIB Index, 16/09/2016	(29)	EUR	(2,308,762)	1,812	-
IBEX 35 Index, 15/07/2016	(8)	EUR	(643,760)	340	-
Japan 10 Year Bond, 12/09/2016	(159)	JPY	(212,808,353)	83,498	-
S&P 500 Emini Index, 16/09/2016	(3,202)	USD	(296,990,236)	673,300	0.03
SPI 200 Index, 15/09/2016	41	AUD	3,548,992	38,180	-
US 2 Year Note, 30/09/2016	418	USD	82,439,673	8,968	-
US Long Bond, 21/09/2016	67	USD	10,424,112	815	-
先物取引に係る評価益合計				1,252,468	0.05
CAC 40 10 Euro Index, 15/07/2016	(18)	EUR	(756,765)	(2,350)	-
Canada 10 Year Bond, 21/09/2016	(2,422)	CAD	(247,936,014)	(327,192)	(0.01)
EURO STOXX 50 Index, 16/09/2016	(25)	EUR	(706,625)	(1,875)	-
Euro-Bobl, 08/09/2016	401	EUR	53,555,555	(6,014)	-
Euro-Bund, 08/09/2016	(1,029)	EUR	(171,796,695)	(36,015)	-
Euro-Schatz, 08/09/2016	1,200	EUR	134,457,000	(15,000)	-
Japan 10 Year Bond, 12/09/2016	44	JPY	58,890,362	(32,559)	-
Long Gilt, 28/09/2016	1,513	GBP	234,055,247	(210,325)	(0.01)
S&P 500 Emini Index, 16/09/2016	89	USD	8,254,882	(18,714)	-
Topix Index, 08/09/2016	(22)	JPY	(2,398,246)	(1,926)	-
US 5 Year Note, 30/09/2016	245	USD	26,897,672	(14,362)	-
US 10 Year Note, 21/09/2016	2,277	USD	272,283,213	(270,080)	(0.01)
先物取引に係る評価損合計				(936,412)	(0.03)
先物取引に係る純評価益				316,056	0.02

商品指数スワップ取引
みなし元本	通貨	取引相手	銘柄	満期日	リスク残高 (EUR)	評価益(損) (EUR)	純資産比 (%)
363,818,782	USD	Macquarie Bank Receive	S&P GSCI Roll Weight Select TR Index Pay Spread of 0.01% on Notional	30/09/2016	9,829,112	9,829,112	0.49
91,826,464	USD	Macquarie Bank Receive	S&P GSCI Roll Weight Select TR Index Pay Spread of 0.01% on Notional	12/08/2016	7,081,889	7,081,889	0.35
886,334	USD	Macquarie Bank Receive	BCOM Index Excess Return Pay Spread of 0.07% on Notional	12/08/2016	73,462	73,462	0.01
941,874	USD	Macquarie Bank Receive	BCOM Index Excess Return Pay Spread of 0% on Notional	26/08/2016	49,625	49,625	-
2,213,328	USD	Macquarie Bank Receive	BCOM Index Excess Return Pay Spread of 0.07% on Notional	09/09/2016	26,682	26,682	-
商品指数スワップ取引に係る評価益合計					17,060,770	17,060,770	0.85
84,141,157	USD	Macquarie Bank Receive	Spread of 0.06% on Notional Pay S&P GSCI Equal Weight Select Excess Return Index	12/08/2016	(7,419,641)	(7,419,641)	(0.37)
374,931,760	USD	Macquarie Bank Receive	Spread of 0.06% on Notional Pay S&P GSCI Equal Weight Select Excess Return Index	30/09/2016	(10,193,612)	(10,193,612)	(0.51)
商品指数スワップ取引に係る評価損合計					(17,613,253)	(17,613,253)	(0.88)
商品指数スワップ取引に係る純評価損					(552,483)	(552,483)	(0.03)

トータル・リターン・スワップ取引
受払内容	通貨	満期日	取引相手	リスク残高 (EUR)	評価益(損) (EUR)	純資産比 (%)
Receive of the underlying equity basket of 1 Security Pay CAD-1M-CDOR 0.15%	CAD	21/08/2018	UBS	3,938,558	4,796,441	0.24
Receive CAD-1D-CORRA Pay of the underlying equity basket of 2 Securities	CAD	21/08/2018	UBS	(14,624,604)
Receive of the underlying equity basket of 6 Securities Pay CAD-1M-CDOR 0.15%	CAD	21/08/2018	UBS	16,620,652	5,104,283	0.25
Receive CAD-1D-CORRA Pay of the underlying equity basket of 12 Securities	CAD	21/08/2018	UBS	(34,318,809)
Receive CAD-BA-CDOR Pay of the underlying equity basket of 1 Security	CAD	03/08/2017	Bank of America	(2,780,916)	18,967	-
Receive of the underlying equity basket of 7 Securities Pay CHF-1M-LIBOR 0.25%	CHF	21/08/2018	UBS	22,659,441	1,585,185	0.08
Receive CHF-1D-LIBID Pay of the underlying equity basket of 7 Securities	CHF	21/08/2018	UBS	(17,742,653)
Receive of the underlying equity basket of 4 Securities Pay GBP-1M-LIBOR 0.25%	GBP	21/08/2018	UBS	55,857,967	2,816,193	0.14
Receive GBP-1D-LIBID Pay of the underlying equity basket of 1 Security	GBP	21/08/2018	UBS	(4,749)
Receive of the underlying equity basket of 31 Securities Pay GBP-1M-LIBOR 0.25%	GBP	21/08/2018	UBS	88,256,615	10,886,523	0.54
Receive GBP-1D-LIBID Pay of the underlying equity basket of 29 Securities	GBP	21/08/2018	UBS	(69,334,382)
Receive of the underlying equity basket of 1 Security Pay JPY-1M-LIBOR 0.4%	JPY	21/08/2018	UBS	16,140,017	1,555,273	0.08
Receive JPY-1D-LIBID Pay of the underlying equity basket of 1 Security	JPY	21/08/2018	UBS	(15,883,220)
Receive of the underlying equity basket of 1 Security Pay SEK-1M-STIBOR 0.35%	SEK	21/08/2018	UBS	7,166,167	509,313	0.02
Receive of the underlying equity basket of 76 Securities Pay USD-1M-LIBOR 0.25%	USD	20/08/2018	UBS
Receive of the underlying equity basket of 76 Securities Pay USD-1M-LIBOR 0.25%	USD	21/08/2018	UBS	224,374,127	15,288,969	0.76
Receive USD-1D-FUNDS Pay of the underlying equity basket of 157 Securities	USD	20/08/2018	UBS
Receive USD-1D-FUNDS Pay of the underlying equity basket of 157 Securities	USD	21/08/2018	UBS	(421,744,715)
トータル・リターン・スワップ取引に係る評価益合計					42,561,147	2.11
Receive AUD-1D-BBSWBID Pay of the underlying equity basket of 12 Securities	AUD	21/08/2018	UBS	(34,574,212)	(14,322,194)	(0.71)
Receive of the underlying equity basket of 1 Security Pay EUR-1M-LIBOR 0.25%	EUR	21/08/2018	UBS	18,250,357	(4,498,550)	(0.22)
Receive EUR-1D-LIBID Pay of the underlying equity basket of 2 Securities	EUR	21/08/2018	UBS	(39,229,968)
Receive of the underlying equity basket of 54 Securities Pay EUR-1M-LIBOR 0.25%	EUR	21/08/2018	UBS
Receive of the underlying equity basket of 54 Securities Pay EUR-1M-LIBOR 0.75%	EUR	21/08/2018	UBS	155,262,578	(23,509,633)	(1.17)
Receive EUR-1D-LIBID Pay of the underlying equity basket of 45 Securities	EUR	21/08/2018	UBS
Receive EUR-1D-LIBID Pay of the underlying equity basket of 45 Securities	EUR	21/08/2018	UBS	(110,465,923)
Receive JPY-1D-LIBID Pay of the underlying equity basket of 44 Securities	JPY	21/08/2018	UBS	(125,377,489)	(1,043,165)	(0.05)
Receive of the underlying equity basket of 15 Securities Pay USD-1M-LIBOR 0.25%	USD	21/08/2018	UBS	185,354,527	(19,405)	-
Receive USD-1D-FUNDS Pay of the underlying equity basket of 12 Securities	USD	21/08/2018	UBS	(99,771,430)
Receive of the underlying equity basket of 1 Security Pay USD-LIBOR-BBA 0.25%	USD	03/08/2017	Bank of America	4,516,867	(107,644)	(0.01)
Receive USD-LIBOR-BBA Pay of the underlying equity basket of 1 Security	USD	27/07/2017	Bank of America	(2,986,811)	(28,212)	-
トータル・リターン・スワップ取引に係る評価損合計					(43,528,803)	(2.16)
トータル・リターン・スワップ取引に係る純評価損					(967,656)	(0.05)

「グローバル・マクロ・オポチュニティーズ・ファンド-JPMグローバル・マクロ・オポチュニティーズ(Iクラス)(円ヘッジ)」の状況
以下に記載した同ファンドの情報は、会計監査人により監査を受けた財務諸表を委託会社で抜粋・翻訳したものであります。
以下に記載した情報は監査の対象外であります。
(ユーロ建て)
貸借対照表
2016年12月31日

	(EUR)
資産
投資証券評価額	4,875,631,474
簿価:	4,735,759,535
現預金	906,329,017
投資証券の売却に係る未収金	14,622,823
申込みに係る未収金	8,036,903
純未収利息、未収配当金	8,715,524
税還付未収金	1,381,543
手数料免除額	250,010
その他の未収金	390,675
先物取引に係る純評価益	10,850,772
その他デリバティブ契約の評価益	41,508,484
資産合計	5,867,717,225
負債
当座貸越	5,255,614
投資証券の購入に係る未払金	5,304,598
解約に係る未払金	43,760,899
未払運用報酬	4,456,965
未払サービス報酬	497,967
未払販売費	451,326
その他の未払金	389,160
為替先渡契約に係る純評価損	51,040,009
負債合計	111,156,538
純資産	5,756,560,687

損益計算書
2016年12月31日に終了した年度

	(EUR)
収益
純配当収益	90,157,750
純受取利息	9,569,972
銀行利息	109,913
その他収益	4,465
収益合計	99,842,100
費用
運用報酬	47,308,004
サービス報酬	4,984,251
販売費	5,412,915
管理費	1,695,237
登録料、名義書換代理人報酬	419,726
年次税	2,333,912
当座貸越利息	2,234,844
スワップ取引に係る利息	7,670,663
雑費	1,174,117
	73,233,669
控除:手数料免除額	2,135,818
運用実績報酬控除前費用合計	71,097,851
費用合計	71,097,851
純投資利益(損失)	28,744,249
投資証券売却に係る純実現損失	(41,548,669)
為替先渡契約に係る純実現益	63,806,454
先物取引に係る純実現損失	(435,402,094)
為替取引に係る純実現益	156,778,290
その他デリバティブ取引に係る純実現損失	(276,068,350)
純実現損失	(532,434,369)
投資証券に係る純評価益	131,271,553
為替先渡契約に係る純評価損失	(40,495,305)
先物取引に係る純評価益	11,530,913
為替取引に係る純評価損失	(7,877,131)
その他デリバティブ取引に係る純評価益	12,160,567
純評価益	106,590,597
運用の結果による純資産の減少	(397,099,523)

投資	通貨	額面/簿価	評価額 (EUR)	純資産比 (%)
上場されている売買可能な有価証券および短期金融商品
債券
米国
US Treasury 1.625% 15/08/2022	USD	17,600,000	16,241,636	0.28
US Treasury 2.25% 15/11/2024	USD	107,450,000	100,907,517	1.76
US Treasury 2.125% 15/05/2025	USD	335,700,000	311,008,830	5.40
US Treasury Bill 0% 16/02/2017	USD	90,000,000	85,259,098	1.48
US Treasury Bill 0% 23/02/2017	USD	130,000,000	123,140,348	2.14
US Treasury Bill 0% 23/03/2017	USD	182,500,000	172,799,151	3.00
			809,356,580	14.06
債券合計			809,356,580	14.06
株式
ケイマン諸島
Alibaba Group Holding Ltd., ADR	USD	201,694	16,714,477	0.29
			16,714,477	0.29
フランス
Atos SE	EUR	228,046	22,969,933	0.40
Capgemini SA	EUR	859,716	69,151,256	1.20
Credit Agricole SA	EUR	3,351,473	39,513,867	0.68
Orange SA	EUR	7,062,842	101,722,582	1.77
Safran SA	EUR	419,823	28,629,830	0.50
Sanofi	EUR	346,334	26,406,236	0.46
Thales SA	EUR	144,566	13,311,637	0.23
			301,705,341	5.24
ドイツ
Allianz SE	EUR	190,112	29,771,539	0.52
Daimler AG	EUR	445,451	31,446,613	0.55
Deutsche Telekom AG	EUR	3,675,420	59,872,592	1.04
Deutsche Wohnen AG	EUR	1,062,177	31,870,621	0.55
Innogy SE	EUR	732,293	24,160,177	0.42
Merck KGaA	EUR	805,594	79,838,394	1.39
RWE AG	EUR	2,465,892	29,103,690	0.50
			286,063,626	4.97
アイルランド
Medtronic plc	USD	504,829	34,196,134	0.59
			34,196,134	0.59
イタリア
Enel SpA	EUR	39,122,194	162,787,449	2.83
Italgas SpA	EUR	5,967,535	22,235,036	0.38
			185,022,485	3.21
日本
Asahi Kasei Corp.	JPY	3,274,000	27,088,882	0.47
Astellas Pharma, Inc.	JPY	8,811,000	116,023,864	2.02
East Japan Railway Co.	JPY	330,400	27,095,654	0.47
Fuji Heavy Industries Ltd.	JPY	713,600	27,620,925	0.48
Honda Motor Co. Ltd.	JPY	965,500	26,748,505	0.46
Japan Tobacco, Inc.	JPY	944,800	29,485,262	0.51
KDDI Corp.	JPY	2,363,200	56,802,452	0.99
Mazda Motor Corp.	JPY	1,972,800	30,599,300	0.53
Mitsubishi Corp.	JPY	1,638,600	33,105,883	0.58
Mitsubishi Electric Corp.	JPY	2,565,100	33,907,590	0.59
Mitsubishi UFJ Financial Group, Inc.	JPY	4,578,700	26,754,802	0.46
Mitsui & Co. Ltd.	JPY	2,061,000	26,875,822	0.47
Mizuho Financial Group, Inc.	JPY	16,848,600	28,674,332	0.50
Nippon Telegraph & Telephone Corp.	JPY	2,510,400	100,103,919	1.74
NTT DOCOMO, Inc.	JPY	1,261,800	27,275,805	0.47
Sumitomo Chemical Co. Ltd.	JPY	6,006,000	27,114,296	0.47
Sumitomo Mitsui Financial Group, Inc.	JPY	796,900	28,823,121	0.50
Sumitomo Mitsui Trust Holdings, Inc.	JPY	755,400	25,656,834	0.45
Suzuki Motor Corp.	JPY	1,278,200	42,671,443	0.74
Tokyo Electron Ltd.	JPY	1,687,700	151,287,324	2.63
Toyota Motor Corp.	JPY	481,600	26,874,441	0.47
West Japan Railway Co.	JPY	397,700	23,151,689	0.40
			943,742,145	16.40
ジャージー
WPP plc	GBP	2,240,271	47,715,314	0.83
			47,715,314	0.83
オランダ
ING Groep NV	EUR	8,137,287	108,246,260	1.88
Koninklijke Ahold Delhaize NV	EUR	378,244	7,536,512	0.13
			115,782,772	2.01
ノルウェー
Marine Harvest ASA	NOK	7,412,046	127,741,760	2.22
			127,741,760	2.22
シンガポール
Broadcom Ltd.	USD	522,997	88,654,989	1.54
			88,654,989	1.54
韓国
KT&G Corp.	KRW	324,266	25,862,206	0.45
Samsung Electronics Co. Ltd.	KRW	63,427	89,982,281	1.56
SK Hynix, Inc.	KRW	4,103,186	144,557,513	2.51
			260,402,000	4.52
スペイン
Enagas SA	EUR	1,702,794	41,382,151	0.72
Endesa SA	EUR	1,428,064	28,800,481	0.50
Iberdrola SA	EUR	9,968,971	61,982,077	1.08
			132,164,709	2.30
スイス
Roche Holding AG	CHF	175,277	37,996,628	0.66
			37,996,628	0.66
台湾
Taiwan Semiconductor Manufacturing Co. Ltd., ADR	USD	2,156,541	59,155,560	1.03
Taiwan Semiconductor Manufacturing Co. Ltd.	TWD	10,923,000	57,896,651	1.00
			117,052,211	2.03
英国
AstraZeneca plc	GBP	331,020	17,223,751	0.30
British American Tobacco plc	GBP	1,940,663	105,259,875	1.83
GlaxoSmithKline plc	GBP	6,005,986	110,066,972	1.91
Imperial Brands plc	GBP	2,915,780	121,151,166	2.11
Legal & General Group plc	GBP	10,931,380	31,751,387	0.55
Prudential plc	GBP	5,248,152	100,121,381	1.74
			485,574,532	8.44
米国
Alphabet, Inc. ‘A’	USD	109,220	82,375,685	1.43
Amgen, Inc.	USD	226,207	31,658,732	0.55
Applied Materials, Inc.	USD	1,996,168	61,161,052	1.06
AT&T, Inc.	USD	869,438	35,160,067	0.61
CBS Corp. (Non-Voting) ‘B’	USD	1,130,528	68,591,211	1.19
Johnson & Johnson	USD	287,472	31,489,169	0.55
Merck & Co., Inc.	USD	563,642	31,314,929	0.55
Micron Technology, Inc.	USD	9,366,338	195,091,358	3.39
Oracle Corp.	USD	548,292	20,031,768	0.35
Pfizer, Inc.	USD	1,394,812	43,000,381	0.75
Raytheon Co.	USD	1,026,572	138,317,012	2.40
Time Warner, Inc.	USD	620,046	56,558,291	0.98
Walt Disney Co. (The)	USD	326,645	32,287,705	0.56
			827,037,360	14.37
株式合計			4,007,566,483	69.62
上場されている売買可能な有価証券および短期金融商品合計			4,816,923,063	83.68
その他の規制市場で取引されている売買可能な有価証券および短期金融商品
債券
米国
US Treasury Bill 0% 09/03/2017	USD	62,000,000	58,708,411	1.02
			58,708,411	1.02
債券合計			58,708,411	1.02
その他の規制市場で取引されている売買可能な有価証券および短期金融商品合計			58,708,411	1.02
その他の売買可能な有価証券および短期金融商品
株式
バミューダ
China Hongxing Sports Ltd.*	SGD	7,500,000	0	0.00
			0	0.00
株式合計			0	0.00
その他の売買可能な有価証券および短期金融商品合計			0	0.00
投資合計			4,875,631,474	84.70
現金			901,073,403	15.65
その他の負債			(20,144,190)	(0.35)
純資産			5,756,560,687	100.00

為替先渡契約
買い	契約額	売り	契約額	決済日	取引相手	評価益(損) (EUR)	純資産比 (%)
AUD	83,883,434	CAD	81,199,332	23/01/2017	Goldman Sachs	128,994	-
AUD	83,883,434	MXN	1,244,696,786	23/01/2017	Goldman Sachs	426,695	0.01
AUD	333,626,770	USD	240,380,423	23/01/2017	Goldman Sachs	621,255	0.01
BRL	26,395,596	EUR	7,184,232	03/01/2017	J.P. Morgan	502,820	0.01
BRL	27,419,698	EUR	7,783,294	02/02/2017	J.P. Morgan	112,981	-
CAD	46,441,641	EUR	31,964,414	23/01/2017	UBS	776,623	0.01
CAD	254,260,864	GBP	151,325,514	23/01/2017	Goldman Sachs	1,730,319	0.04
CAD	139,335,752	USD	103,115,427	23/01/2017	BNP Paribas	610,452	0.01
CAD	51,425,404	USD	38,220,932	23/01/2017	Societe Generale	70,459	-
CHF	10,360,407	EUR	9,603,968	17/01/2017	Merrill Lynch	55,907	-
CHF	248,636	EUR	231,225	17/01/2017	RBC	599	-
CHF	50,377	EUR	46,869	17/01/2017	ANZ	102	-
CHF	50,905	EUR	47,446	17/01/2017	HSBC	16	-
CHF	3,406,111	EUR	3,164,478	23/01/2017	Standard Chartered	11,784	-
CHF	12,044,447	EUR	11,170,293	23/01/2017	Toronto-Dominion Bank	61,379	-
EUR	12,659	AUD	18,339	03/01/2017	Credit Suisse	93	-
EUR	24,262	AUD	35,228	04/01/2017	Credit Suisse	128	-
EUR	160,921	AUD	231,343	17/01/2017	Barclays	2,618	-
EUR	1,746,960	AUD	2,520,446	17/01/2017	Goldman Sachs	22,271	-
EUR	35,914	AUD	52,469	17/01/2017	Credit Suisse	11	-
EUR	5,036,886	AUD	7,237,240	23/01/2017	Deutsche Bank	86,813	-
EUR	9,388	CHF	10,061	17/01/2017	Barclays	7	-
EUR	265,778	CHF	283,933	17/01/2017	ANZ	1,043	-
EUR	101,489	GBP	86,222	03/01/2017	Toronto-Dominion Bank	280	-
EUR	1,642,227	GBP	1,374,579	17/01/2017	HSBC	29,484	-
EUR	445,718	GBP	376,587	17/01/2017	Toronto-Dominion Bank	3,882	-
EUR	23,497	GBP	19,778	17/01/2017	RBC	292	-
EUR	21,560,091	GBP	18,369,122	23/01/2017	HSBC	11,046	-
EUR	32,507,174	JPY	3,972,688,631	17/01/2017	ANZ	247,359	-
EUR	8,501,176	JPY	1,038,399,993	17/01/2017	Merrill Lynch	68,955	-
EUR	2,929,683	JPY	360,000,005	17/01/2017	RBC	6,339	-
EUR	13,827,738	JPY	1,597,514,814	23/01/2017	HSBC	855,072	0.02
EUR	279,849,979	JPY	32,876,612,513	23/01/2017	Citibank	12,874,475	0.23
EUR	44,587,816	JPY	5,374,967,169	23/01/2017	Deutsche Bank	940,236	0.01
EUR	18,693,800	JPY	2,194,359,050	23/01/2017	State Street	874,443	0.02
EUR	254,117,251	JPY	30,651,824,132	23/01/2017	BNP Paribas	5,208,208	0.09
EUR	78,768,702	JPY	9,592,110,158	23/01/2017	Goldman Sachs	875,688	0.01
EUR	67,618,634	JPY	8,279,388,455	23/01/2017	National Australia Bank	385,615	-
EUR	13,954	SGD	21,071	03/01/2017	Toronto-Dominion Bank	126	-
EUR	644,750	SGD	978,573	17/01/2017	Societe Generale	3,179	-
EUR	60,476	SGD	91,677	17/01/2017	Toronto-Dominion Bank	371	-
EUR	42,454	SGD	64,134	17/01/2017	Barclays	407	-
EUR	78,307	SGD	118,814	17/01/2017	Credit Suisse	411	-
EUR	1,974	USD	2,051	04/01/2017	ANZ	30	-
EUR	9,966,573	USD	10,425,514	17/01/2017	Citibank	93,796	-
EUR	21,053,465	USD	21,895,679	17/01/2017	Standard Chartered	318,644	0.01
EUR	6,736,280	USD	7,060,000	17/01/2017	ANZ	50,586	-
EUR	4,549,648	USD	4,732,584	17/01/2017	State Street	67,974	-
EUR	44,901	USD	46,992	17/01/2017	Merrill Lynch	401	-
EUR	17,504	USD	18,323	17/01/2017	Barclays	153	-
EUR	292,563	USD	306,421	17/01/2017	National Australia Bank	2,388	-
EUR	53,019,321	USD	55,249,685	23/01/2017	Standard Chartered	713,952	0.01
EUR	173,247,171	USD	181,296,665	23/01/2017	National Australia Bank	1,612,003	0.02
EUR	38,240,681	USD	40,100,555	23/01/2017	Deutsche Bank	277,128	0.01
EUR	21,883,011	USD	22,898,847	23/01/2017	Citibank	204,469	-
EUR	30,662,680	USD	32,103,182	23/01/2017	Merrill Lynch	270,311	0.01
GBP	12,339	EUR	14,449	17/01/2017	RBC	28	-
GBP	25,491	EUR	29,870	17/01/2017	Barclays	37	-
GBP	2,223,875	EUR	2,602,729	17/01/2017	HSBC	6,464	-
GBP	7,379,008	EUR	8,177,093	23/01/2017	State Street	479,312	0.01
GBP	17,226,377	EUR	19,159,738	23/01/2017	HSBC	1,048,738	0.02
GBP	21,900,232	EUR	24,562,982	23/01/2017	Goldman Sachs	1,128,452	0.02
HKD	40,515,970	EUR	4,747,290	23/01/2017	RBC	199,511	-
HKD	5,080,036	EUR	612,642	23/01/2017	ANZ	7,605	-
JPY	1,380,851,410	EUR	11,181,028	17/01/2017	ANZ	32,035	-
NOK	118,932,220	EUR	13,042,790	23/01/2017	Standard Chartered	37,459	-
NOK	95,856,596	EUR	10,509,855	23/01/2017	BNP Paribas	32,520	-
PLN	11,515,167	EUR	2,587,067	17/01/2017	HSBC	21,726	-
PLN	155,191	EUR	34,903	17/01/2017	RBC	256	-
PLN	73,694	EUR	16,558	17/01/2017	Barclays	138	-
PLN	147,142	EUR	33,182	17/01/2017	Goldman Sachs	154	-
PLN	54,974	EUR	12,430	17/01/2017	Credit Suisse	25	-
SEK	28,287,450	EUR	2,923,497	17/01/2017	Barclays	37,653	-
SEK	243,962	EUR	25,134	17/01/2017	State Street	404	-
SEK	461,549	EUR	47,142	17/01/2017	UBS	1,173	-
SEK	143,946	EUR	14,919	17/01/2017	Toronto-Dominion Bank	149	-
SEK	144,982	EUR	15,044	17/01/2017	RBC	133	-
SGD	34,826,164	EUR	22,750,152	23/01/2017	Credit Suisse	74,847	-
SGD	34,989,872	EUR	22,809,765	23/01/2017	State Street	122,527	-
SGD	33,015,970	EUR	21,525,042	23/01/2017	Goldman Sachs	113,559	-
USD	356,064,137	AUD	482,906,870	23/01/2017	Barclays	6,794,061	0.12
USD	341,230,151	AUD	464,560,199	23/01/2017	HSBC	5,299,213	0.09
USD	52,441,379	AUD	70,293,457	23/01/2017	National Australia Bank	1,567,928	0.03
USD	52,403,211	AUD	70,293,458	23/01/2017	Goldman Sachs	1,531,793	0.03
USD	35,985,238	AUD	48,276,607	23/01/2017	Citibank	1,047,673	0.02
USD	145,318,582	CAD	194,589,429	23/01/2017	Citibank	390,189	0.01
USD	158,746	EUR	147,365	17/01/2017	State Street	2,965	-
USD	629,101,000	EUR	594,090,083	17/01/2017	BNP Paribas	1,657,419	0.03
USD	639,193,267	EUR	605,080,982	17/01/2017	Goldman Sachs	223,717	-
USD	6,935,183	EUR	6,499,052	17/01/2017	Citibank	68,443	-
USD	803,436,111	EUR	738,521,745	23/01/2017	Citibank	22,098,382	0.39
USD	52,143,032	EUR	47,776,674	23/01/2017	Goldman Sachs	1,587,599	0.03
USD	105,323,881	EUR	99,022,263	23/01/2017	State Street	688,794	0.01
USD	334,252,663	JPY	35,743,957,792	23/01/2017	Goldman Sachs	26,180,108	0.46
USD	63,983,064	JPY	6,676,082,474	23/01/2017	Deutsche Bank	6,360,012	0.11
USD	71,285,927	JPY	7,438,294,404	23/01/2017	Credit Suisse	7,084,133	0.12
USD	530,135,629	JPY	55,347,500,900	23/01/2017	Citibank	52,433,106	0.91
USD	76,793,018	JPY	8,623,510,300	23/01/2017	HSBC	2,673,164	0.05
USD	113,020,583	KRW	127,540,159,105	23/01/2017	Citibank	6,682,191	0.11
USD	1,339,967,258	KRW	1,531,635,224,159	23/01/2017	HSBC	63,866,991	1.11
USD	64,535,482	MXN	1,327,346,433	23/01/2017	Citibank	367,667	0.01
USD	125,018,533	MXN	2,561,756,132	23/01/2017	BNP Paribas	1,150,895	0.02
USD	126,834,005	MXN	2,604,156,908	23/01/2017	HSBC	929,702	0.02
USD	60,941,917	MXN	1,248,328,134	23/01/2017	Goldman Sachs	580,846	0.01
USD	88,339,095	TWD	2,792,200,942	23/01/2017	HSBC	2,055,922	0.03
USD	37,426,327	TWD	1,181,362,012	23/01/2017	Citibank	917,781	0.02
USD	130,786,724	ZAR	1,790,508,183	23/01/2017	HSBC	573,333	0.01
USD	106,571,305	ZAR	1,459,046,422	23/01/2017	Citibank	463,438	0.01
ZAR	512,085,538	EUR	32,816,530	23/01/2017	HSBC	2,431,160	0.04
ZAR	602,151,047	EUR	40,323,153	23/01/2017	BNP Paribas	1,123,894	0.02
ZAR	1,486,084,145	USD	104,602,249	23/01/2017	Goldman Sachs	3,261,736	0.06
ZAR	1,687,757,168	USD	116,317,542	23/01/2017	Citibank	6,052,250	0.10
ZAR	1,308,598,343	USD	89,913,312	23/01/2017	HSBC	4,951,243	0.09
ZAR	1,319,871,595	USD	93,016,018	23/01/2017	BNP Paribas	2,789,841	0.05
為替先渡契約に係る評価益合計						270,453,566	4.70
AUD	166,696,156	CAD	163,151,929	23/01/2017	BNP Paribas	(1,005,396)	(0.02)
AUD	28,450,701	EUR	19,932,961	17/01/2017	Citibank	(464,736)	(0.01)
AUD	1,312,317	EUR	911,812	17/01/2017	RBC	(13,821)	-
AUD	1,417,742	EUR	998,712	17/01/2017	Goldman Sachs	(28,580)	-
AUD	172,265	EUR	120,396	17/01/2017	Credit Suisse	(2,519)	-
AUD	332,100	EUR	232,167	17/01/2017	Barclays	(4,917)	-
AUD	351,368	EUR	246,112	17/01/2017	Societe Generale	(5,679)	-
AUD	18,299	EUR	12,741	17/01/2017	National Australia Bank	(219)	-
AUD	83,348,078	MXN	1,249,213,983	23/01/2017	BNP Paribas	(146,144)	-
AUD	115,926,410	USD	85,451,504	23/01/2017	Westpac Banking	(1,607,220)	(0.03)
AUD	41,605,176	USD	31,170,173	23/01/2017	State Street	(1,052,284)	(0.02)
AUD	152,704,552	USD	113,057,869	23/01/2017	BNP Paribas	(2,587,174)	(0.05)
BRL	224,785	EUR	64,910	02/02/2017	J.P. Morgan	(177)	-
CAD	278,650,308	USD	209,169,222	23/01/2017	Citibank	(1,575,817)	(0.03)
CAD	164,969,455	USD	125,018,533	23/01/2017	BNP Paribas	(2,053,829)	(0.04)
CAD	179,044,164	USD	133,610,461	23/01/2017	Deutsche Bank	(265,312)	(0.01)
CHF	25,328	EUR	23,724	17/01/2017	ANZ	(109)	-
CHF	51,182	EUR	47,889	17/01/2017	HSBC	(168)	-
CHF	18,115	EUR	16,891	17/01/2017	Toronto-Dominion Bank	(2)	-
CHF	1,965	EUR	1,832	17/01/2017	Barclays	-	-
EUR	187,089	AUD	274,028	17/01/2017	RBC	(423)	-
EUR	7,567,896	BRL	26,395,596	03/01/2017	J.P. Morgan	(119,156)	-
EUR	14,531,103	CAD	21,354,139	23/01/2017	Merrill Lynch	(523,418)	(0.01)
EUR	578,282,644	CAD	847,449,506	23/01/2017	Barclays	(19,163,422)	(0.33)
EUR	2,889	CHF	3,100	04/01/2017	Merrill Lynch	-	-
EUR	178,348	CHF	191,894	17/01/2017	RBC	(571)	-
EUR	28,817	CHF	31,208	17/01/2017	Barclays	(281)	-
EUR	13,048	CHF	14,121	17/01/2017	Toronto-Dominion Bank	(119)	-
EUR	80,903	CHF	87,238	17/01/2017	ANZ	(436)	-
EUR	66,794,231	CHF	72,668,042	23/01/2017	HSBC	(970,076)	(0.02)
EUR	445,678	GBP	381,938	04/01/2017	HSBC	(2,626)	-
EUR	3,127	GBP	2,678	17/01/2017	HSBC	(15)	-
EUR	1,598,890	GBP	1,374,044	17/01/2017	Barclays	(13,227)	-
EUR	659,189,715	GBP	596,954,296	23/01/2017	Barclays	(41,104,779)	(0.71)
EUR	15,352,038	HKD	131,808,470	23/01/2017	ANZ	(741,130)	(0.01)
EUR	6,104,511	JPY	754,457,122	17/01/2017	Deutsche Bank	(21,981)	-
EUR	182,700,716	NOK	1,662,320,738	23/01/2017	BNP Paribas	(122,483)	-
EUR	46,841	PLN	209,268	17/01/2017	Barclays	(569)	-
EUR	172,628	PLN	764,543	17/01/2017	Goldman Sachs	(581)	-
EUR	15,145	SEK	148,290	17/01/2017	RBC	(378)	-
EUR	27,460	SEK	262,943	17/01/2017	State Street	(65)	-
EUR	196,501	SGD	300,424	17/01/2017	Societe Generale	(463)	-
EUR	117,092	SGD	178,716	17/01/2017	Toronto-Dominion Bank	(77)	-
EUR	305,261	SGD	466,558	17/01/2017	Credit Suisse	(623)	-
EUR	132,772,357	SGD	203,386,405	23/01/2017	HSBC	(526,689)	(0.01)
EUR	10,997,358	USD	11,724,305	17/01/2017	Deutsche Bank	(105,352)	-
EUR	39,605,498	USD	42,445,892	17/01/2017	Citibank	(590,010)	(0.01)
EUR	6,032,458	USD	6,490,092	17/01/2017	Toronto-Dominion Bank	(113,545)	-
EUR	7,788,664	USD	8,248,159	17/01/2017	Standard Chartered	(22,196)	-
EUR	2,457,876	USD	2,648,668	17/01/2017	Goldman Sachs	(50,366)	-
EUR	74,383	USD	79,117	17/01/2017	ANZ	(539)	-
EUR	9,249,844	USD	9,847,189	17/01/2017	Morgan Stanley	(75,270)	-
EUR	13,555,339	USD	14,370,271	17/01/2017	State Street	(53,054)	-
EUR	1,185,454,323	USD	1,312,397,159	23/01/2017	HSBC	(57,003,762)	(0.99)
EUR	40,398,107	USD	44,698,041	23/01/2017	RBC	(1,917,927)	(0.03)
EUR	938,553,339	USD	1,038,508,679	23/01/2017	Credit Suisse	(44,612,084)	(0.77)
EUR	84,335,308	USD	92,139,851	23/01/2017	Goldman Sachs	(2,894,310)	(0.05)
EUR	36,111,602	USD	40,084,456	23/01/2017	UBS	(1,836,710)	(0.03)
EUR	138,359,808	USD	150,377,614	23/01/2017	Standard Chartered	(4,004,019)	(0.08)
EUR	41,364,318	USD	44,400,252	23/01/2017	J.P. Morgan	(669,796)	(0.01)
EUR	104,812,935	ZAR	1,686,616,000	23/01/2017	Goldman Sachs	(11,279,620)	(0.20)
EUR	104,577,016	ZAR	1,686,599,000	23/01/2017	Societe Generale	(11,514,369)	(0.20)
EUR	104,508,240	ZAR	1,686,624,000	23/01/2017	HSBC	(11,584,865)	(0.20)
EUR	104,635,853	ZAR	1,686,623,647	23/01/2017	Toronto-Dominion Bank	(11,457,228)	(0.20)
GBP	858,119	EUR	1,020,150	17/01/2017	Standard Chartered	(13,350)	-
GBP	139,738,280	EUR	165,821,097	17/01/2017	Merrill Lynch	(1,871,176)	(0.03)
GBP	1,247,499	EUR	1,483,717	17/01/2017	Barclays	(20,072)	-
GBP	5,287,882	EUR	6,282,464	17/01/2017	HSBC	(78,382)	-
GBP	87,844	EUR	103,362	17/01/2017	Toronto-Dominion Bank	(298)	-
GBP	38,914,077	EUR	46,105,033	23/01/2017	Merrill Lynch	(454,446)	(0.01)
GBP	54,432,596	EUR	63,930,404	23/01/2017	Citibank	(74,850)	-
HKD	77,767,264	EUR	9,586,586	23/01/2017	HSBC	(91,584)	-
JPY	440,000,000	EUR	3,603,055	04/01/2017	ANZ	(30,365)	-
JPY	1,193,683	EUR	9,748	17/01/2017	Merrill Lynch	(54)	-
JPY	41,969,808,000	EUR	345,124,309	17/01/2017	RBC	(4,312,746)	(0.08)
JPY	42,384,939,788	EUR	348,822,872	17/01/2017	Deutsche Bank	(4,640,272)	(0.08)
JPY	1,154,678,643	EUR	9,471,990	17/01/2017	ANZ	(95,539)	-
JPY	4,977,754,302	EUR	42,619,219	23/01/2017	Goldman Sachs	(2,197,218)	(0.04)
JPY	3,717,931,316	EUR	30,309,857	23/01/2017	Barclays	(118,286)	-
JPY	35,058,605,435	EUR	287,503,903	23/01/2017	HSBC	(2,809,461)	(0.05)
JPY	41,213,037,783	USD	399,169,929	23/01/2017	BNP Paribas	(43,226,037)	(0.75)
KRW	224,559,040,450	USD	191,283,709	23/01/2017	HSBC	(4,465,385)	(0.08)
KRW	44,094,937,049	USD	37,412,979	23/01/2017	Standard Chartered	(736,781)	(0.01)
NOK	68,375,776	EUR	7,589,456	23/01/2017	Morgan Stanley	(69,440)	-
NOK	53,971,965	EUR	5,997,298	23/01/2017	Citibank	(61,424)	-
NOK	243,444,722	USD	28,573,291	23/01/2017	BNP Paribas	(276,368)	(0.01)
SGD	35,423	EUR	23,318	04/01/2017	Credit Suisse	(73)	-
SGD	51,160,115	EUR	33,829,716	17/01/2017	Societe Generale	(288,219)	(0.01)
SGD	631,032	EUR	417,133	17/01/2017	Toronto-Dominion Bank	(3,417)	-
SGD	627,852	EUR	415,225	17/01/2017	Barclays	(3,595)	-
SGD	20,868,881	EUR	13,762,989	23/01/2017	State Street	(85,566)	-
SGD	21,041,731	EUR	13,821,756	23/01/2017	RBC	(31,048)	-
SGD	58,643,788	USD	41,224,413	23/01/2017	HSBC	(592,497)	(0.01)
USD	229,467,631	CAD	308,728,045	23/01/2017	Citibank	(412,095)	(0.01)
USD	21,895,679	EUR	21,071,971	03/01/2017	Standard Chartered	(318,166)	(0.01)
USD	5,066,044	EUR	4,831,291	04/01/2017	ANZ	(29,842)	-
USD	884,042	EUR	845,032	17/01/2017	State Street	(7,860)	-
USD	11,868,371	EUR	11,365,129	17/01/2017	Goldman Sachs	(125,991)	-
USD	368,500	EUR	352,026	17/01/2017	Citibank	(3,063)	-
USD	15,039,504	EUR	14,350,987	17/01/2017	Deutsche Bank	(108,843)	-
USD	123,008	EUR	117,625	17/01/2017	ANZ	(1,138)	-
USD	32,141	EUR	30,451	17/01/2017	Morgan Stanley	(13)	-
USD	55,150,801	KRW	66,969,618,080	23/01/2017	HSBC	(462,510)	(0.01)
USD	266,186,935	ZAR	3,900,503,674	23/01/2017	Citibank	(16,476,543)	(0.28)
USD	120,948,040	ZAR	1,706,910,177	23/01/2017	Goldman Sachs	(2,986,849)	(0.05)
為替先渡契約に係る評価損合計						(321,493,575)	(5.59)
為替先渡契約に係る純評価損						(51,040,009)	(0.89)

先物取引
銘柄	契約枚数	通貨	持ち高 (EUR)	評価益(損) (EUR)	純資産比 (%)
CBOE Volatility Index, 15/02/2017	4,997	USD	78,032,244	473,640	0.01
Euro-Buxl 30 Year Bond, 08/03/2017	(2,355)	EUR	(408,309,900)	6,217,200	0.11
FTSE 100 Index, 17/03/2017	(6,256)	GBP	(517,709,472)	183,585	-
Long Gilt, 29/03/2017	(4,529)	GBP	(668,939,392)	174,578	-
MSCI Singapore Index, 27/01/2017	(12,007)	SGD	(251,998,460)	1,536,576	0.03
STOXX 600 Automobiles & Parts Index, 17/03/2017	3,383	EUR	91,704,673	160,693	-
STOXX 600 Banks Index, 17/03/2017	36,969	EUR	310,632,022	1,016,647	0.02
STOXX 600 Insurance Index, 17/03/2017	10,983	EUR	147,638,977	631,522	0.01
XAY Consumer Discretionary Index, 17/03/2017	(1,377)	USD	(107,501,856)	593,861	0.01
先物取引に係る評価益合計				10,988,302	0.19
US 10 Year Note, 22/03/2017	(2,082)	USD	(244,627,287)	(46,262)	-
Yen Denominated Nikkei 225 Index, 09/03/2017	(2,354)	JPY	(182,034,063)	(91,268)	-
先物取引に係る評価損合計				(137,530)	-
先物取引に係る純評価益				10,850,772	0.19

オプション取引(買い)
契約数	取引内容	通貨	取引相手	リスク残高 (EUR)	評価額 (EUR)	純資産比 (%)
421,560,000	Foreign Exchange USD/AUD, Put, 0.735, 06/01/2017	AUD	BNP Paribas	536,443,958	5,870,377	0.1
843,120,000	Foreign Exchange USD/AUD, Put, 0.743, 04/01/2017	AUD	Goldman Sachs	1,151,490,731	17,449,153	0.3
8,586	S&P 500 Index, Put, 2,240.000, 20/01/2017	USD	Goldman Sachs	669,199,255	18,188,954	0.32
オプション取引(買い)合計					41,508,484	0.72

半期報告書(内国投資信託受益証券)-第2期(平成29年6月16日-平成30年6月15日)

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