訂正半期報告書(内国投資信託受益証券)-第5期(令和2年6月16日-令和3年6月15日)

(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 2020年6月16日 至 2020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 2020年6月15日現在	当中間計算期間末 2020年12月15日現在
1.	※1	期首元本額	835,860,004円	1,085,932,263円
		期中追加設定元本額	433,719,052円	216,652,612円
		期中一部解約元本額	183,646,793円	138,225,367円
2.		中間計算期間末日における受益権の総数	1,085,932,263口	1,164,359,508口
3.	※2	元本の欠損	貸借対照表上の純資産額が元本総額を下回っており、その差額は157,399,931円であります。	中間貸借対照表上の純資産額が元本総額を下回っており、その差額は168,466,267円であります。

(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 2019年6月18日 至 2019年12月17日	当中間計算期間 自 2020年6月16日 至 2020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 2020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 2020年6月15日現在	当中間計算期間末 2020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 2020年6月15日現在	当中間計算期間末 2020年12月15日現在
1口当たり純資産額	0.8551円	0.8553円
(1万口当たり純資産額)	(8,551円)	(8,553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。

純資産計算書
2019年6月30日現在

	(ユーロ)
資産
投資証券評価額	534,968,755
簿価:	520,684,742
現預金	35,758,219
申込みに係る未収金	408,586
純未収利息、未収配当金	351,831
税還付未収金	159,592
手数料免除額	46,959
為替先渡契約に係る純評価益	1,187,130
資産合計	572,881,072
負債
当座借越	620,589
解約に係る未払金	488,307
未払運用報酬	338,264
未払サービス報酬	47,999
その他の未払金	67,051
先物取引に係る純評価損	91,269
その他デリバティブ評価額	4,243,897
負債合計	5,897,376
純資産	566,983,696
過去の純資産
2018年6月30日	854,243,977
2017年6月30日	2,283,243,180

損益および純資産変動計算書
2019年6月30日をもって終了する年度

	(ユーロ)
期首現在純資産	854,243,977
収益
純配当収益	4,616,916
純受取利息	902,006
証券貸付収益	27,727
銀行利息	40,056
その他収益	284,625
収益合計	5,871,330
費用
運用報酬	5,518,647
サービス報酬	739,591
販売費用	148
管理費	658,872
登録料、名義書換代理人報酬	118,265
年次税	161,683
当座借越利息	256,872
雑費	194,869
	7,648,947
控除:手数料免除額	660,047
運用実績報酬控除前費用合計	6,988,900
費用合計	6,988,900
投資純利益/(損失)	(1,117,570)
投資証券売却に係る純実現損益	26,594,892
為替先渡契約に係る純実現損益	(10,722,189)
先物取引に係る純実現損益	(5,266,181)
為替取引に係る純実現損益	(426,743)
その他デリバティブ取引に係る純実現損益	(8,597,246)
純実現損益	1,582,533
投資証券に係る評価損益の純変動	(15,107,925)
為替先渡契約に係る評価損益の純変動	(1,897,353)
先物取引に係る評価損益の純変動	1,378,609
為替取引に係る評価損益の純変動	17,194
その他デリバティブ取引に係る評価損益の純変動	(6,440,379)
評価損益の純変動	(22,049,854)
運用の結果による純資産の増減	(21,584,891)
資本の増減
設定	201,897,565
解約	(467,312,536)
資本の増減による純資産増減	(265,414,971)
支払配当金	(260,419)
期末現在純資産	566,983,696

投資有価証券明細表
2019年6月30日現在

投資対象	通貨	株数/額面	評価額 (ユーロ)		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 BTF, Reg. S 0% 2019/07/17	EUR	14,800,000	14,803,734		2.61
France Treasury Bill BTF, Reg. S 0% 2019/11/09	EUR	14,780,000	14,798,253		2.61
France Treasury Bill BTF, Reg. S 0% 2020/02/26	EUR	19,590,000	19,672,474		3.47
France Treasury Bill BTF, Reg. S 0% 2020/03/25	EUR	14,830,000	14,900,442		2.63
France Treasury Bill BTF, Reg. S 0% 2020/04/22	EUR	14,820,000	14,895,434		2.62
			79,070,337		13.94
ドイツ
Bundesschatzanweisungen, Reg. S 0% 2019/09/13	EUR	48,858,000	48,917,118		8.63
			48,917,118		8.63
日本
Japan Government Two Year Bond 0.1% 2019/07/15	JPY	1,690,000,000	13,779,987		2.43
			13,779,987		2.43
債券合計			141,767,442		25.00
転換社債
米国
FireEye, Inc. 0.875% 2024/1/6	USD	698,000	600,515		0.11
Wright Medical Group, Inc. 1.625% 2023/06/15	USD	647,000	619,718		0.11
			1,220,233		0.22
転換社債合計			1,220,233		0.22
株式
オーストラリア
Beach Energy Ltd.	AUD	135,211	165,335		0.03
Computershare Ltd.	AUD	78,132	779,959		0.14
DuluxGroup Ltd.	AUD	641,942	3,687,554		0.65
Kidman Resources Ltd.	AUD	1,447,604	1,678,721		0.30
Metcash Ltd.	AUD	473,840	748,708		0.13
Qantas Airways Ltd.	AUD	280,156	931,076		0.16
Regis Resources Ltd.	AUD	284,283	925,528		0.16
Sigma Healthcare Ltd.	AUD	4,572,942	1,570,487		0.28
Woodside Petroleum Ltd.	AUD	36,927	827,221		0.14
			11,314,589		1.99
バミューダ
Third Point Reinsurance Ltd.	USD	152,000	1,355,343		0.24
			1,355,343		0.24
カナダ
CGI, Inc.	CAD	13,121	881,618		0.16
Genworth MI Canada, Inc.	CAD	34,490	953,671		0.17
Imperial Oil Ltd.	CAD	33,136	802,092		0.14
Masonite International Corp.	USD	31,000	1,436,287		0.25
Sandstorm Gold Ltd.	CAD	66,807	328,715		0.06
WestJet Airlines Ltd.	CAD	297,976	6,137,449		1.08
			10,539,832		1.86
ケイマン諸島
Herbalife Nutrition Ltd.	USD	19,124	713,847		0.13
			713,847		0.13
ドイツ
Innogy SE	EUR	200,016	7,545,603		1.33
			7,545,603		1.33
アイルランド
Eaton Corp. plc	USD	42,179	3,077,710		0.54
Horizon Therapeutics plc	USD	34,312	728,253		0.13
ICON plc	USD	6,717	900,913		0.16
Ingersoll-Rand plc	USD	18,100	1,983,939		0.35
Jazz Pharmaceuticals plc	USD	11,400	1,396,520		0.25
Mallinckrodt plc	USD	148,364	1,184,112		0.21
STERIS plc	USD	7,504	968,398		0.17
			10,239,845		1.81
イスラエル
Mellanox Technologies Ltd.	USD	15,315	1,492,739		0.26
			1,492,739		0.26
日本
Brother Industries Ltd.	JPY	59,200	981,736		0.17
Capcom Co. Ltd.	JPY	43,900	773,645		0.14
Chubu Electric Power Co., Inc.	JPY	72,600	894,086		0.16
DMG Mori Co. Ltd.	JPY	14,500	203,988		0.04
Kaken Pharmaceutical Co. Ltd.	JPY	20,900	857,962		0.15
Kanamoto Co. Ltd.	JPY	31,300	710,454		0.13
Kansai Electric Power Co., Inc. (The)	JPY	71,800	722,813		0.13
KDDI Corp.	JPY	39,600	884,885		0.16
Kyowa Exeo Corp.	JPY	42,000	917,712		0.16
Maeda Corp.	JPY	85,900	603,702		0.11
Matsumotokiyoshi Holdings Co. Ltd.	JPY	31,400	807,702		0.14
Mitsubishi Corp.	JPY	35,400	819,679		0.14
Mitsubishi Gas Chemical Co., Inc.	JPY	59,300	694,033		0.12
Mitsui & Co. Ltd.	JPY	61,100	873,388		0.15
NET One Systems Co. Ltd.	JPY	34,500	833,156		0.15
Round One Corp.	JPY	11,600	129,096		0.02
Sankyu, Inc.	JPY	19,500	899,062		0.16
Seino Holdings Co. Ltd.	JPY	10,700	125,099		0.02
Sojitz Corp.	JPY	307,700	868,012		0.15
Sumitomo Chemical Co. Ltd.	JPY	244,000	993,682		0.17
Suzuken Co. Ltd.	JPY	4,800	246,941		0.04
Taiheiyo Cement Corp.	JPY	5,500	146,073		0.03
TS Tech Co. Ltd.	JPY	25,500	609,574		0.11
Zeon Corp.	JPY	92,800	905,658		0.16
			16,502,138		2.91
オランダ
Wessanen	EUR	192,827	2,190,515		0.39
			2,190,515		0.39
プエルトリコ
Popular, Inc.	USD	30,600	1,447,459		0.25
			1,447,459		0.25
スウェーデン
Electrolux AB	SEK	89,993	2,027,187		0.36
			2,027,187		0.36
スイス
Oriflame Holding AG	SEK	159,270	3,420,433		0.60
			3,420,433		0.60
英国
BrightSphere Investment Group plc	USD	120,700	1,200,309		0.21
Nielsen Holdings plc	USD	24,917	487,369		0.09
RPC Group plc	GBP	1,061,510	9,388,192		1.65
Smiths Group plc	GBP	133,225	2,325,213		0.41
			13,401,083		2.36
米国
Abercrombie & Fitch Co. ‘A’	USD	5,898	83,135		0.01
Advanced Disposal Services, Inc.	USD	218,413	6,158,222		1.09
Agilent Technologies, Inc.	USD	11,475	738,464		0.13
Allison Transmission Holdings, Inc.	USD	24,371	993,308		0.18
Alphabet, Inc. ‘A’	USD	890	841,251		0.15
American Eagle Outfitters, Inc.	USD	32,634	487,370		0.09
Anadarko Petroleum Corp.	USD	170,231	10,577,469		1.87
Apple, Inc.	USD	3,758	651,545		0.11
ArcBest Corp.	USD	3,551	86,505		0.02
Arcosa, Inc.	USD	20,400	668,017		0.12
Armstrong World Industries, Inc.	USD	20,700	1,799,028		0.32
Avnet, Inc.	USD	36,900	1,453,555		0.26
AXA Equitable Holdings, Inc.	USD	78,800	1,427,428		0.25
Bank of America Corp. Preference 7.25%	USD	622	751,688		0.13
Becton Dickinson and Co. Preference 6.125%	USD	14,462	787,380		0.14
Belden, Inc. Preference 6.75%	USD	10,153	690,983		0.12
Benchmark Electronics, Inc.	USD	60,300	1,307,910		0.23
Booking Holdings, Inc.	USD	900	1,464,375		0.26
Brady Corp. ‘A’	USD	20,624	890,504		0.16
Brinker International, Inc.	USD	35,300	1,228,651		0.22
Cars.com, Inc.	USD	26,100	450,435		0.08
Celanese Corp.	USD	16,200	1,531,252		0.27
CenterPoint Energy, Inc. Preference 7%	USD	12,563	555,469		0.10
Chemed Corp.	USD	2,707	843,044		0.15
Chemours Co. (The)	USD	44,200	957,147		0.17
CIRCOR International, Inc.	USD	60,194	2,451,259		0.43
Cisco Systems, Inc.	USD	17,808	865,518		0.15
CIT Group, Inc.	USD	33,000	1,501,265		0.26
Citigroup, Inc.	USD	25,800	1,574,210		0.28
Clearway Energy, Inc. ‘C’	USD	60,970	903,856		0.16
Colfax Corp. Preference 5.75%	USD	6,689	729,243		0.13
Comerica, Inc.	USD	23,205	1,461,435		0.26
Continental Building Products, Inc.	USD	32,446	739,527		0.13
Control4 Corp.	USD	112,097	2,340,299		0.41
Cracker Barrel Old Country Store, Inc.	USD	3,300	496,982		0.09
Cray, Inc.	USD	114,297	3,487,218		0.62
CSX Corp.	USD	21,500	1,457,654		0.26
Cummins, Inc.	USD	6,086	903,669		0.16
Cypress Semiconductor Corp.	USD	448,073	8,764,173		1.55
Danaher Corp.	USD	31,947	3,969,976		0.70
Delek US Holdings, Inc.	USD	42,300	1,474,523		0.26
Dell Technologies, Inc. ‘C’	USD	27,400	1,242,654		0.22
Deluxe Corp.	USD	37,400	1,355,792		0.24
Devon Energy Corp.	USD	50,100	1,242,476		0.22
Dick’s Sporting Goods, Inc.	USD	22,628	687,402		0.12
Dolby Laboratories, Inc. ‘A’	USD	16,954	965,579		0.17
Dominion Energy, Inc. Preference 6.75%	USD	14,716	645,880		0.11
Eagle Materials, Inc.	USD	6,000	480,212		0.08
Eastman Chemical Co.	USD	12,991	886,069		0.16
eBay, Inc.	USD	42,700	1,473,274		0.26
Ecolab, Inc.	USD	13,400	2,270,022		0.40
Element Solutions, Inc.	USD	160,300	1,438,505		0.25
Encompass Health Corp.	USD	14,833	812,791		0.14
Ensign Group, Inc. (The)	USD	31,100	1,546,790		0.27
Evergy, Inc.	USD	26,900	1,426,517		0.25
Fidelity Southern Corp.	USD	38,635	1,062,513		0.19
FTI Consulting, Inc.	USD	11,874	875,078		0.15
Gannett Co., Inc.	USD	269,832	1,917,703		0.34
Gap, Inc. (The)	USD	90,000	1,413,279		0.25
Genesee & Wyoming, Inc. ‘A’	USD	18,300	1,603,788		0.28
Gentex Corp.	USD	44,199	958,873		0.17
Global Brass & Copper Holdings, Inc.	USD	36,707	1,413,060		0.25
Group 1 Automotive, Inc.	USD	24,800	1,770,822		0.31
Gulfport Energy Corp.	USD	198,400	847,938		0.15
HD Supply Holdings, Inc.	USD	37,200	1,305,240		0.23
HEICO Corp.	USD	8,950	1,027,830		0.18
Herman Miller, Inc.	USD	25,927	1,019,032		0.18
Hewlett Packard Enterprise Co.	USD	30,822	405,478		0.07
HFF, Inc. ‘A’	USD	128,102	5,103,553		0.90
Hillenbrand, Inc.	USD	16,676	578,081		0.10
HollyFrontier Corp.	USD	16,430	660,413		0.12
Huntsman Corp.	USD	42,068	748,924		0.13
Ingredion, Inc.	USD	29,549	2,120,303		0.37
InterDigital, Inc.	USD	24,100	1,351,604		0.24
Investors Bancorp, Inc.	USD	133,000	1,294,002		0.23
Jabil, Inc.	USD	59,400	1,620,531		0.29
Jack in the Box, Inc.	USD	19,500	1,409,853		0.25
Jefferies Financial Group, Inc.	USD	91,139	1,539,253		0.27
John Wiley & Sons, Inc. ‘A’	USD	13,124	531,446		0.09
Johnson & Johnson	USD	6,905	845,723		0.15
Lam Research Corp.	USD	6,081	1,004,614		0.18
Lincoln National Corp.	USD	27,100	1,517,234		0.27
Louisiana-Pacific Corp.	USD	106,804	2,447,003		0.43
Madison Square Garden Co. (The) ‘A’	USD	8,470	2,065,284		0.36
Magellan Health, Inc.	USD	8,600	539,885		0.10
ManpowerGroup, Inc.	USD	19,700	1,660,718		0.29
MEDNAX, Inc.	USD	57,900	1,256,871		0.22
Michaels Cos., Inc. (The)	USD	129,600	1,012,722		0.18
Multi-Color Corp.	USD	90,980	3,993,478		0.70
Navient Corp.	USD	184,900	2,180,674		0.38
Navigant Consulting, Inc.	USD	76,800	1,551,774		0.27
Nordstrom, Inc.	USD	35,400	988,940		0.17
Nuance Communications, Inc.	USD	155,325	2,171,638		0.38
Omnicom Group, Inc.	USD	12,475	893,396		0.16
Oracle Corp.	USD	48,379	2,421,479		0.43
Owens-Illinois, Inc.	USD	37,800	566,348		0.10
Parker-Hannifin Corp.	USD	6,296	935,017		0.16
Pfizer, Inc.	USD	21,882	837,749		0.15
Phillips 66	USD	9,581	780,243		0.14
Progress Software Corp.	USD	26,224	1,054,203		0.19
PulteGroup, Inc.	USD	32,428	905,344		0.16
QEP Resources, Inc.	USD	354,533	2,209,777		0.39
Ralph Lauren Corp.	USD	6,379	637,950		0.11
Realogy Holdings Corp.	USD	134,200	822,311		0.14
Red Hat, Inc.	USD	66,708	10,990,344		1.94
Regal Beloit Corp.	USD	13,662	973,483		0.17
Regions Financial Corp.	USD	115,163	1,489,731		0.26
Sempra Energy Preference 6.75%	USD	6,203	605,146		0.11
Shutterfly, Inc.	USD	146,799	6,515,172		1.15
Simply Good Foods Co. (The)	USD	42,674	898,422		0.16
Sinclair Broadcast Group, Inc. ‘A’	USD	47,375	2,230,971		0.39
SLM Corp.	USD	59,900	504,907		0.09
Sotheby’s	USD	41,086	2,091,278		0.37
Southwest Airlines Co.	USD	21,342	952,910		0.17
Spark Therapeutics, Inc.	USD	102,216	9,149,792		1.61
Stanley Black & Decker, Inc. Preference 5.375%	USD	7,609	676,535		0.12
Starbucks Corp.	USD	21,600	1,585,403		0.28
Steel Dynamics, Inc.	USD	25,156	672,486		0.12
SunTrust Banks, Inc.	USD	83,077	4,561,057		0.80
Target Corp.	USD	9,682	740,837		0.13
TEGNA, Inc.	USD	67,495	884,371		0.16
Teradyne, Inc.	USD	40,100	1,657,462		0.29
TiVo Corp.	USD	139,900	891,650		0.16
Tribune Media Co. ‘A’	USD	268,005	10,902,102		1.92
UnitedHealth Group, Inc.	USD	3,509	736,859		0.13
Versum Materials, Inc.	USD	205,504	9,309,252		1.64
Visa, Inc. ‘A’	USD	5,907	887,807		0.16
WABCO Holdings, Inc.	USD	84,068	9,757,504		1.72
WageWorks, Inc.	USD	54,871	2,444,421		0.43
Wells Fargo & Co. Preference 7.5%	USD	570	688,398		0.12
WESCO International, Inc.	USD	9,863	439,035		0.08
Worldpay, Inc.	USD	99,263	10,770,329		1.90
Zayo Group Holdings, Inc.	USD	327,350	9,520,185		1.68
			258,425,726		45.58
株式合計			340,616,339		60.07
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			483,604,014		85.29
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% 2021/08/15	USD	1,175,000	1,045,997		0.18
			1,045,997		0.18
ケイマン諸島
Herbalife Nutrition Ltd. 2.625% 2024/03/15	USD	535,000	456,506		0.08
Momo, Inc., 144A 1.25% 2025/07/01	USD	763,000	637,625		0.11
			1,094,131		0.19
ジャージー諸島
Ensco Jersey Finance Ltd. 3% 2024/01/31	USD	833,000	575,481		0.10
			575,481		0.10
オランダ
NXP Semiconductors NV 1% 2019/01/12	USD	646,000	603,329		0.11
			603,329		0.11
米国
Acorda Therapeutics, Inc. 1.75% 2021/06/15	USD	1,245,000	935,124		0.17
Akamai Technologies, Inc. 0.125% 2025/05/01	USD	665,000	623,481		0.11
Allscripts Healthcare Solutions, Inc. 1.25% 2020/07/01	USD	899,000	788,163		0.14
AMAG Pharmaceuticals, Inc. 3.25% 2022/06/01	USD	848,000	589,963		0.10
Anthem, Inc. 2.75% 2042/10/15	USD	241,000	829,852		0.15
Arconic, Inc. 1.625% 2019/10/15	USD	813,000	718,238		0.13
Ares Capital Corp. 3.75% 2022/02/01	USD	589,000	521,835		0.09
Assertio Therapeutics, Inc. 2.5% 2021/09/01	USD	924,000	583,930		0.10
BioMarin Pharmaceutical, Inc. 1.5% 2020/10/15	USD	565,000	554,738		0.10
Booking Holdings, Inc. 0.35% 2020/06/15	USD	270,000	337,560		0.06
Booking Holdings, Inc. 0.9% 2021/09/15	USD	310,000	310,086		0.06
Cheniere Energy, Inc. 4.25% 2045/03/15	USD	1,132,000	780,165		0.14
Chesapeake Energy Corp. 5.5% 2026/09/15	USD	759,000	532,776		0.09
Colony Capital, Inc., REIT 3.875% 2021/01/15	USD	690,000	589,241		0.10
Electronics For Imaging, Inc. 0.75% 2019/09/01	USD	895,000	780,356		0.14
Etsy, Inc. 0% 2023/03/01	USD	408,000	658,160		0.12
Euronet Worldwide, Inc., 144A 0.75% 2049/03/15	USD	318,000	336,312		0.06
Exact Sciences Corp. 1% 2025/01/15	USD	519,000	771,864		0.14
Exact Sciences Corp. 0.375% 2027/03/15	USD	317,000	346,164		0.06
Extra Space Storage LP, REIT, 144A 3.125% 2035/10/01	USD	579,000	603,703		0.11
Finisar Corp. 0.5% 2036/12/15	USD	719,000	615,869		0.11
Fortive Corp., 144A 0.875% 2022/02/15	USD	773,000	700,648		0.12
Illumina, Inc. 0.5% 2021/06/15	USD	329,000	435,946		0.08
Intel Corp. 3.25% 2039/08/01	USD	306,000	627,963		0.11
Intercept Pharmaceuticals, Inc. 3.25% 2023/07/01	USD	963,000	755,360		0.13
InterDigital, Inc. 1.5% 2020/03/01	USD	698,000	634,283		0.11
Ionis Pharmaceuticals, Inc. 1% 2021/11/15	USD	546,000	571,700		0.10
j2 Global, Inc. 3.25% 2029/06/15	USD	937,000	1,135,297		0.20
KBR, Inc., 144A 2.5% 2023/11/01	USD	653,000	663,119		0.12
Liberty Expedia Holdings, Inc., 144A 1% 2047/06/30	USD	677,000	593,150		0.10
Liberty Interactive LLC, 144A 1.75% 2046/09/30	USD	625,000	683,458		0.12
Liberty Media Corp., 144A 2.125% 2048/03/31	USD	672,000	572,509		0.10
Live Nation Entertainment, Inc. 2.5% 2023/03/15	USD	705,000	738,094		0.13
Lumentum Holdings, Inc. 0.25% 2024/03/15	USD	590,000	603,129		0.11
Macquarie Infrastructure Corp. 2% 2023/10/01	USD	741,000	579,899		0.10
Medicines Co. (The) 2.5% 2022/01/15	USD	644,000	673,357		0.12
MercadoLibre, Inc., 144A 2% 2028/08/15	USD	621,000	837,999		0.15
Microchip Technology, Inc. 1.625% 2025/02/15	USD	657,000	1,017,625		0.18
Nabors Industries, Inc. 0.75% 2024/01/15	USD	931,000	586,149		0.10
Neurocrine Biosciences, Inc. 2.25% 2024/05/15	USD	445,000	507,953		0.09
Nuance Communications, Inc. 1% 2035/12/15	USD	634,000	522,816		0.09
NuVasive, Inc. 2.25% 2021/03/15	USD	604,000	599,454		0.11
Oasis Petroleum, Inc. 2.625% 2023/09/15	USD	782,000	625,069		0.11
Okta, Inc. 0.25% 2023/02/15	USD	405,000	914,382		0.16
ON Semiconductor Corp. 1% 2020/12/01	USD	268,000	289,791		0.05
ON Semiconductor Corp. 1.625% 2023/10/15	USD	272,000	291,821		0.05
Palo Alto Networks, Inc., 144A 0.75% 2023/07/01	USD	602,000	559,930		0.10
RingCentral, Inc. 0% 2023/03/15	USD	471,000	617,932		0.11
ServiceNow, Inc. 0% 2022/06/01	USD	406,000	747,578		0.13
Silicon Laboratories, Inc. 1.375% 2022/03/01	USD	547,000	589,859		0.10
Spirit Realty Capital, Inc., REIT 3.75% 2021/05/15	USD	439,000	393,735		0.07
Splunk, Inc., 144A 1.125% 2025/09/15	USD	612,000	597,785		0.11
Supernus Pharmaceuticals, Inc. 0.625% 2023/04/01	USD	669,000	568,842		0.10
Synaptics, Inc. 0.5% 2022/06/15	USD	675,000	529,630		0.09
Teradyne, Inc. 1.25% 2023/12/15	USD	518,000	729,185		0.13
Veeco Instruments, Inc. 2.7% 2023/01/15	USD	684,000	531,788		0.09
Verint Systems, Inc. 1.5% 2021/06/01	USD	989,000	915,532		0.16
Viavi Solutions, Inc. 1% 2024/03/01	USD	594,000	612,546		0.11
Vishay Intertechnology, Inc., 144A 2.25% 2025/06/15	USD	691,000	556,172		0.10
Western Digital Corp., 144A 1.5% 2024/02/01	USD	753,000	588,007		0.10
Whiting Petroleum Corp. 1.25% 2020/04/01	USD	680,000	579,456		0.10
Workday, Inc. 0.25% 2022/10/01	USD	638,000	839,549		0.15
			38,926,077		6.87
転換社債合計			42,245,015		7.45
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			42,245,015		7.45
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
Furiex Pharmaceuticals LLC, CVR	USD	660	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
UCITSもしくはその他のファンド
UCITS
ルクセンブルク
JPMorgan EUR Liquidity LVNAV Fund - JPM EUR Liquidity LVNAV X (flex dist.)†	EUR	913	9,119,726		1.61
			9,119,726		1.61
UCITS合計			9,119,726		1.61
UCITSもしくはその他のファンド合計			9,119,726		1.61
投資合計			534,968,755		94.35
現金			35,137,630		6.20
その他の負債			(3,122,689)		(0.55)
純資産			566,983,696		100.00

†利害関係人のファンド

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) (ユーロ)		純資産比 (%)
AUD	2,543	EUR	1,554	10/07/2019	Barclays	12		-
AUD	1,000,000	EUR	612,658	15/07/2019	Merrill Lynch	2,971		-
CAD	69,435,193	EUR	46,083,796	16/07/2019	Standard Chartered	454,402		0.08
CHF	796,452	EUR	713,655	10/07/2019	BNP Paribas	3,160		-
CHF	4,171	EUR	3,737	10/07/2019	Goldman Sachs	17		-
CHF	691,161	EUR	617,669	15/07/2019	Standard Chartered	4,422		-
CHF	3,568,257	EUR	3,188,874	16/07/2019	Standard Chartered	22,838		0.01
EUR	14,937,902	AUD	24,175,630	15/07/2019	Standard Chartered	54,682		0.01
EUR	15,554	GBP	13,840	10/07/2019	ANZ	101		-
EUR	56,755	GBP	50,611	10/07/2019	Citibank	246		-
EUR	312,320	GBP	276,741	10/07/2019	Merrill Lynch	3,326		-
EUR	12,172,723	GBP	10,797,680	15/07/2019	BNP Paribas	118,689		0.02
EUR	6,102,254	GBP	5,413,114	16/07/2019	BNP Paribas	59,509		0.01
EUR	5,010,255	HUF	1,611,623,244	16/07/2019	Citibank	23,577		0.01
EUR	4,994,485	ILS	20,264,912	16/07/2019	Merrill Lynch	11,041		-
EUR	33,305	JPY	4,070,002	10/07/2019	ANZ	122		-
EUR	23,538,320	JPY	2,863,709,675	10/07/2019	Citibank	190,414		0.03
EUR	119,407	JPY	14,499,996	10/07/2019	Merrill Lynch	1,189		-
EUR	37,180,227	JPY	4,543,940,573	16/07/2019	BNP Paribas	134,763		0.03
EUR	20,271,040	JPY	2,477,382,593	16/07/2019	Merrill Lynch	73,640		0.01
EUR	575,419	MXN	12,438,777	16/07/2019	RBC	7,215		-
EUR	2,433	SEK	25,654	02/07/2019	BNP Paribas	5		-
EUR	4,522	SEK	47,651	10/07/2019	BNP Paribas	13		-
EUR	52,137	SEK	549,605	10/07/2019	Merrill Lynch	133		-
EUR	339,389,750	USD	383,239,917	15/07/2019	BNP Paribas	3,084,151		0.55
EUR	1,470,159	USD	1,667,177	15/07/2019	Credit Suisse	7,157		-
EUR	4,056,817	USD	4,582,257	15/07/2019	Goldman Sachs	35,736		0.01
EUR	546,498	USD	613,777	15/07/2019	Merrill Lynch	7,888		-
EUR	1,325,467	USD	1,500,000	15/07/2019	Standard Chartered	9,168		-
GBP	287,590	EUR	320,503	10/07/2019	ANZ	604		-
GBP	9,726	EUR	10,859	10/07/2019	Merrill Lynch	1		-
GBP	15,268	EUR	17,016	10/07/2019	State Street	32		-
IDR	79,836,302,985	USD	5,574,849	16/07/2019	BNP Paribas	61,047		0.01
INR	387,455,689	USD	5,559,384	16/07/2019	Merrill Lynch	39,116		0.01
JPY	3,500,004	EUR	28,489	10/07/2019	BNP Paribas	46		-
JPY	1,000,006	EUR	8,146	10/07/2019	Merrill Lynch	7		-
JPY	151,423,165	EUR	1,230,854	16/07/2019	RBC	3,656		-
JPY	133,142,225	EUR	1,085,019	16/07/2019	Toronto-Dominion Bank	452		-
MXN	110,565,379	EUR	4,921,266	16/07/2019	Credit Suisse	129,371		0.02
NOK	18,918,435	EUR	1,926,729	10/07/2019	BNP Paribas	19,418		-
NOK	10,005,315	EUR	1,020,461	16/07/2019	Barclays	8,477		-
NZD	57,694,325	EUR	33,840,418	16/07/2019	Standard Chartered	152,415		0.03
RUB	365,626,215	USD	5,593,899	16/07/2019	Standard Chartered	177,021		0.03
SEK	110,628	EUR	10,407	10/07/2019	Merrill Lynch	61		-
SEK	634,782,795	EUR	59,617,459	10/07/2019	Standard Chartered	446,792		0.08
SEK	9,906,243	USD	1,053,920	16/07/2019	Goldman Sachs	12,541		-
SEK	19,617,548	USD	2,071,920	16/07/2019	RBC	38,155		0.01
USD	3,610,861	EUR	3,165,095	15/07/2019	BNP Paribas	3,555		-
ZAR	80,955,046	EUR	4,715,050	16/07/2019	Citibank	304,395		0.05
為替先渡契約に係る評価益合計						5,707,749		1.01
AUD	482,830	EUR	299,290	10/07/2019	BNP Paribas	(1,972)		-
AUD	2,616	EUR	1,617	10/07/2019	State Street	(6)		-
AUD	2,000,000	EUR	1,237,481	15/07/2019	Goldman Sachs	(6,223)		-
AUD	3,500,000	EUR	2,163,751	15/07/2019	State Street	(9,049)		-
AUD	20,253,486	EUR	12,511,941	16/07/2019	HSBC	(43,925)		(0.01)
CHF	2,058	EUR	1,854	10/07/2019	Barclays	(2)		-
CHF	702,595	EUR	632,465	15/07/2019	Merrill Lynch	(83)		-
EUR	1,510	AUD	2,470	10/07/2019	Merrill Lynch	(11)		-
EUR	1,290,372	AUD	2,116,287	15/07/2019	Merrill Lynch	(12,476)		-
EUR	854,611	AUD	1,398,073	16/07/2019	RBC	(6,041)		-
EUR	9,542,407	CAD	14,376,486	15/07/2019	Merrill Lynch	(93,871)		(0.02)
EUR	757,692	CAD	1,139,796	16/07/2019	Goldman Sachs	(6,244)		-
EUR	1,841	CHF	2,059	10/07/2019	Goldman Sachs	(12)		-
EUR	170,841	CHF	191,395	10/07/2019	Merrill Lynch	(1,416)		-
EUR	182,808	CHF	204,957	10/07/2019	State Street	(1,655)		-
EUR	5,008	CHF	5,583	10/07/2019	Toronto-Dominion Bank	(17)		-
EUR	5,014,527	CZK	128,892,907	16/07/2019	Citibank	(48,268)		(0.01)
EUR	320,597	GBP	287,590	01/07/2019	ANZ	(592)		-
EUR	17,020	GBP	15,268	02/07/2019	State Street	(32)		-
EUR	12,850,044	JPY	1,690,018,473	16/07/2019	Goldman Sachs	(928,200)		(0.16)
EUR	56,348	NOK	551,532	10/07/2019	Merrill Lynch	(388)		-
EUR	12,758,776	NOK	125,217,485	16/07/2019	Merrill Lynch	(118,478)		(0.02)
EUR	2,359,496	NZD	4,055,631	16/07/2019	Barclays	(30,035)		(0.01)
EUR	4,987,738	PLN	21,364,637	16/07/2019	BNP Paribas	(38,553)		(0.01)
EUR	264,650	SEK	2,819,224	10/07/2019	BNP Paribas	(2,110)		-
EUR	242,804	SEK	2,590,959	10/07/2019	Merrill Lynch	(2,357)		-
EUR	40,541	SEK	430,319	10/07/2019	Standard Chartered	(176)		-
EUR	82,717	SEK	876,458	10/07/2019	State Street	(215)		-
EUR	90,639	SEK	964,018	10/07/2019	Toronto-Dominion Bank	(578)		-
EUR	3,488,852	SEK	37,156,055	15/07/2019	BNP Paribas	(26,810)		-
EUR	1,227,010	SEK	13,120,252	15/07/2019	Merrill Lynch	(14,413)		-
EUR	358,849	SEK	3,809,698	15/07/2019	Standard Chartered	(1,620)		-
EUR	204,496	SEK	2,172,984	15/07/2019	State Street	(1,110)		-
EUR	40,887,800	SEK	435,427,851	16/07/2019	Barclays	(311,615)		(0.06)
EUR	243,798	USD	277,819	10/07/2019	BNP Paribas	(102)		-
EUR	263,203	USD	300,000	15/07/2019	BNP Paribas	(56)		-
GBP	118,576	EUR	132,877	10/07/2019	ANZ	(482)		-
GBP	78,252,132	EUR	88,222,396	10/07/2019	Citibank	(850,379)		(0.15)
GBP	532,138	EUR	599,223	10/07/2019	Merrill Lynch	(5,067)		-
GBP	451,442	EUR	504,335	15/07/2019	BNP Paribas	(367)		-
JPY	223,534,838	CAD	2,762,626	16/07/2019	Goldman Sachs	(29,204)		(0.01)
JPY	134,286,200	CAD	1,644,777	16/07/2019	RBC	(7,597)		-
JPY	15,153,531,379	EUR	124,004,742	10/07/2019	BNP Paribas	(457,573)		(0.08)
JPY	19,999,999	EUR	163,552	10/07/2019	Toronto-Dominion Bank	(491)		-
JPY	121,738,740	EUR	999,125	16/07/2019	Merrill Lynch	(6,623)		-
JPY	95,791,110	EUR	783,704	16/07/2019	Standard Chartered	(2,746)		-
SEK	47,651	EUR	4,522	01/07/2019	BNP Paribas	(13)		-
SEK	25,654	EUR	2,433	10/07/2019	BNP Paribas	(5)		-
SEK	7,687,013	EUR	728,957	16/07/2019	Barclays	(1,626)		-
USD	1,415,710	AUD	2,032,173	15/07/2019	State Street	(8,733)		-
USD	698,749	CHF	691,161	15/07/2019	State Street	(8,916)		-
USD	94,038,156	EUR	83,307,124	10/07/2019	Citibank	(750,232)		(0.13)
USD	436,580	EUR	384,458	15/07/2019	Citibank	(1,345)		-
USD	3,472,750	EUR	3,093,714	15/07/2019	Merrill Lynch	(46,262)		(0.01)
USD	1,500,000	EUR	1,325,496	15/07/2019	State Street	(9,197)		-
USD	15,492,386	EUR	13,747,984	15/07/2019	Toronto-Dominion Bank	(152,908)		(0.03)
USD	11,205,091	EUR	9,891,063	16/07/2019	Merrill Lynch	(59,070)		(0.01)
USD	39,003,757	EUR	34,535,915	16/07/2019	Standard Chartered	(311,769)		(0.06)
USD	5,598,025	KRW	6,612,051,291	16/07/2019	Standard Chartered	(101,303)		(0.02)
為替先渡契約に係る評価損合計						(4,520,619)		(0.80)
為替先渡契約に係る純評価益						1,187,130		0.21

先物取引
銘柄	契約枚数	通貨	ｴｸｽﾎﾟｰｼﾞｬｰ (ユーロ)	評価益(損) (ユーロ)		純資産比 (%)
Australia 10 Year Bond, 16/09/2019	1,036	AUD	91,676,811	184,329		0.04
Australia 3 Year Bond, 16/09/2019	348	AUD	24,652,548	6,886		-
CAC 40 10 Euro Index, 19/07/2019	30	EUR	1,654,425	7,875		-
Canada 10 Year Bond, 19/09/2019	(139)	CAD	(13,314,513)	13,970		-
DAX Index, 20/09/2019	3	EUR	924,094	4,369		-
Euro-Bobl, 2019/6/9	176	EUR	23,660,560	10,591		-
Euro-Bund, 2019/6/9	60	EUR	10,362,300	4,500		-
Euro-Schatz, 2019/6/9	889	EUR	99,814,698	10,906		-
EURO STOXX 50 Index, 20/09/2019	46	EUR	1,586,310	7,130		-
FTSE 100 Index, 20/09/2019	15	GBP	1,230,636	1,089		-
FTSE/MIB Index, 20/09/2019	10	EUR	1,056,125	4,525		-
IBEX 35 Index, 19/07/2019	6	EUR	548,070	2,250		-
日本 10 Year Bond, 2019/12/9	16	JPY	20,069,644	14,349		0.01
Long Gilt, 26/09/2019	(31)	GBP	(4,513,293)	1,201		-
S&P 500 Emini Index, 20/09/2019	14	USD	1,804,792	2,444		-
US 10 Year Note, 19/09/2019	149	USD	16,729,098	2,012		-
先物取引に係る評価益合計				278,426		0.05
Canada 10 Year Bond, 19/09/2019	78	CAD	7,471,453	(7,676)		-
Euro-Bund, 2019/6/9	(161)	EUR	(27,805,505)	(13,682)		-
Euro-Buxl 30 Year Bond, 2019/6/9	20	EUR	4,055,000	(8,517)		-
Hang Seng Index, 30/07/2019	2	HKD	320,723	(596)		-
日本 10 Year Bond, 2019/12/9	(40)	JPY	(50,174,110)	(35,874)		(0.01)
Long Gilt, 26/09/2019	55	GBP	8,007,456	(6,104)		-
S&P 500 Emini Index, 20/09/2019	(1,375)	USD	(177,256,339)	(244,281)		(0.05)
SPI 200 Index, 19/09/2019	41	AUD	4,141,477	(27,782)		(0.01)
TOPIX Index, 2019/12/9	(13)	JPY	(1,643,907)	(2,120)		-
US 2 Year Note, 30/09/2019	168	USD	31,752,583	(9,467)		-
US 5 Year Note, 30/09/2019	129	USD	13,385,294	(1,929)		-
US 10 Year Note, 19/09/2019	80	USD	8,982,066	(5,374)		-
US Long Bond, 19/09/2019	37	USD	5,048,836	(6,293)		-
先物取引に係る評価損合計				(369,695)		(0.07)
先物取引に係る純評価損				(91,269)		(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	評価額 (ユーロ)		評価益(損) (ユーロ)		純資産比 (%)
1,302,291	USD	Barclays	Receive Bloomberg Commodity Index Pay Spread of 0.00% on Notional	17/07/2019	28,520		28,520		0.01
19,562,448	USD	Goldman Sachs	Receive S&P GSCI Equal Weight Select Excess Return Index Pay Spread of -0.01% on Notional	19/07/2019	185,981		185,981		0.03
163,941,727	USD	Societe Generale	Receive S&P GSCI Roll Weight Select Excess Return Index Pay Spread of 0.00% on Notional	29/08/2019	2,524,784		2,524,784		0.45
商品指数スワップ取引に係る評価益合計					2,739,285		2,739,285		0.49
505,664	USD	Barclays	Receive Bloomberg Commodity Index Pay Spread of 0.00% on Notiona	25/09/2019	(13,797)		(13,797)		-
1,532,246	USD	Barclays	Receive Bloomberg Commodity Index Pay Spread of 0.00% on Notional	12/09/2019	(53,773)		(53,773)		(0.01)
167,105,027	USD	Societe Generale	Receive S&P GSCI Equal Weight Select Excess Return Index Pay Spread of 0.00% on Notional	29/08/2019	(4,265,514)		(4,265,514)		(0.75)
25,382,075	USD	Goldman Sachs	Receive S&P GSCI Roll Weight Select Excess Return Index Pay Spread of 0.04% on Notional	19/07/2019	(530,724)		(530,724)		(0.10)
商品指数スワップ取引に係る評価損合計					(4,863,808)		(4,863,808)		(0.86)
商品指数スワップ取引に係る純評価損					(2,124,523)		(2,124,523)		(0.37)

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	ｴｸｽﾎﾟｰｼﾞｬｰ (ユーロ)	評価益(損) (ユーロ)		純資産比 (%)
Receive AUD-1M-BBSW-REUTR Pay Performance of the underlying equity basket of 1 Security	AUD	13/08/2021	UBS	(1,139,035)	57,404		0.01
Receive Performance of the underlying equity basket of 4 Securities Pay AUD-1M-BBSW-REUTR +0.225%	AUD	13/08/2021	UBS	2,761,049	7,101		–
Receive AUD-1M-BBSW-REUTR Pay Performance of the underlying equity basket of 10 Securities	AUD	13/08/2021	UBS	(6,157,995)
Receive Performance of the underlying equity basket of 1 Security Pay 1M EURIBOR	EUR	31/12/2020	Bank of America
Receive Performance of the underlying equity basket of 1 Security Pay 1M EURIBOR +0.20%	EUR	31/12/2020	Bank of America	5,476,409	337		–
Receive Performance of the underlying equity basket of 1 Security Pay GBP-1M-LIBOR-BBA +0.225%	GBP	13/08/2021	UBS
Receive Performance of the underlying equity basket of 1 Security Pay GBP-1M-LIBOR-BBA +0.25%	GBP	15/11/2021	UBS	1,928,860	101,405		0.02
Receive Performance of the underlying equity basket of 4 Securities Pay GBP-1M-LIBOR-BBA +0.225%	GBP	13/08/2021	UBS	3,212,276	13,957		–
Receive GBP-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 7 Securities	GBP	13/08/2021	UBS	(3,296,949)
Receive Performance of the underlying equity basket of 3 Securities Pay 1M LIBOR	GBP	29/05/2020	Bank of America
Receive Performance of the underlying equity basket of 3 Securities Pay 1M LIBOR +0.20%	GBP	29/05/2020	Bank of America	4,388,968	4,838		–
Receive Performance of the underlying equity basket of 54 Securities Pay USD-1M-LIBOR-BBA +0.225%	USD	13/08/2021	UBS
Receive Performance of the underlying equity basket of 54 Securities Pay USD-1M-LIBOR-BBA +0.25%	USD	16/11/2021	UBS	158,245,644	910,169		0.16
Receive USD-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 15 Securities	USD	13/08/2021	UBS
Receive USD-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 15 Securities	USD	16/11/2021	UBS	(63,392,120)
Receive Performance of the underlying equity basket of 182 Securities Pay 1M LIBOR	USD	15/04/2020	Bank of America
Receive Performance of the underlying equity basket of 182 Securities Pay 1M LIBOR +0.20%	USD	15/04/2020	Bank of America	126,627,561	1,759,068		0.31
Receive 1M LIBOR Pay Performance of the underlying equity basket of 80 Securities	USD	15/11/2019	Bank of America
Receive 1M LIBOR Pay Performance of the underlying equity basket of 80 Securities	USD	15/04/2020	Bank of America	(46,401,655)
トータル・リターン・スワップ取引に係る評価益合計					2,854,279		0.50
Receive Performance of the underlying equity basket of 6 Securities Pay 1M BBR	AUD	15/04/2020	Bank of America
Receive Performance of the underlying equity basket of 6 Securities Pay 1M BBR +0.35%	AUD	15/04/2020	Bank of America	3,757,284	(79,524)		(0.01)
Receive 1M BBR Pay Performance of the underlying equity basket of 6 Securities	AUD	15/11/2019	Bank of America
Receive 1M BBR -0.35% Pay Performance of the underlying equity basket of 6 Securities	AUD	15/11/2019	Bank of America	(2,395,181)
Receive Performance of the underlying equity basket of 1 Security Pay CAD-1M-CDOR-BANK +0.225%	CAD	13/08/2021	UBS	1,321,262	(45,680)		(0.01)
Receive Performance of the underlying equity basket of 4 Securities Pay CAD-1M-CDOR-BANK +0.225%	CAD	13/08/2021	UBS	2,286,516	(75,217)		(0.01)
Receive CAD-1M-CDOR-BANK Pay Performance of the underlying equity basket of 4 Securities	CAD	13/08/2021	UBS	(1,695,371)
Receive Performance of the underlying equity basket of 11 Securities Pay 1M BA	CAD	2019/12/11	Bank of America
Receive Performance of the underlying equity basket of 11 Securities Pay 1M BA +0.50%	CAD	2019/12/11	Bank of America	7,739,236	(213,372)		(0.04)
Receive 1M BA Pay Performance of the underlying equity basket of 19 Securities	CAD	15/11/2019	Bank of America	(13,101,192)
Receive Performance of the underlying equity basket of 3 Securities Pay CHF-1M-LIBOR-BBA +0.225%	CHF	13/08/2021	UBS	2,752,334	(87,171)		(0.02)
Receive CHF-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 2 Securities	CHF	13/08/2021	UBS	(1,047,172)
Receive Performance of the underlying equity basket of 5 Securities Pay 1M LIBOR	CHF	30/10/2020	Bank of America
Receive Performance of the underlying equity basket of 5 Securities Pay 1M LIBOR +0.20%	CHF	30/10/2020	Bank of America	4,502,388	(238,446)		(0.04)
Receive 1M LIBOR Pay Performance of the underlying equity basket of 6 Securities	CHF	30/10/2020	Bank of America	(3,471,827)
Receive Performance of the underlying equity basket of 2 Securities Pay EUR-1M-LIBOR-BBA +0.25%	EUR	2019/3/12	UBS
Receive Performance of the underlying equity basket of 2 Securities Pay EUR-1M-LIBOR-BBA +0.225%	EUR	13/08/2021	UBS	9,988,417	(165,144)		(0.03)
Receive Performance of the underlying equity basket of 37 Securities Pay EUR-1M-LIBOR-BBA +0.225%	EUR	13/08/2021	UBS
Receive Performance of the underlying equity basket of 37 Securities Pay EUR-1M-LIBOR-BBA +0.25%	EUR	13/08/2021	UBS	29,496,714	(492,453)		(0.09)
Receive EUR-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 30 Securities	EUR	13/08/2021	UBS	(17,170,203)
Receive Performance of the underlying equity basket of 42 Securities Pay 1M EURIBOR	EUR	30/10/2020	Bank of America
Receive Performance of the underlying equity basket of 42 Securities Pay 1M EURIBOR +0.20%	EUR	30/10/2020	Bank of America	27,046,673	(464,437)		(0.08)
Receive 1M EURIBOR Pay Performance of the underlying equity basket of 40 Securities	EUR	30/10/2020	Bank of America	(21,450,309)
Receive Performance of the underlying equity basket of 22 Securities Pay 1M LIBOR	GBP	30/10/2020	Bank of America
Receive Performance of the underlying equity basket of 22 Securities Pay 1M LIBOR +0.20%	GBP	30/10/2020	Bank of America	16,937,229	(247,530)		(0.04)
Receive 1M LIBOR Pay Performance of the underlying equity basket of 19 Securities	GBP	30/10/2020	Bank of America	(11,661,859)
Receive Performance of the underlying equity basket of 60 Securities Pay JPY-1M-LIBOR-BBA +0.225%	JPY	13/08/2021	UBS	45,236,056	(186,912)		(0.03)
Receive JPY-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 59 Securities	JPY	13/08/2021	UBS	(38,149,413)
Receive 1M LIBOR Pay Performance of the underlying equity basket of 36 Securities	JPY	17/01/2020	Bank of America
Receive 1M LIBOR -0.35% Pay Performance of the underlying equity basket of 36 Securities	JPY	17/01/2020	Bank of America
Receive 1M LIBOR -0.75% Pay Performance of the underlying equity basket of 36 Securities	JPY	17/01/2020	Bank of America
Receive 1M LIBOR -1.00% Pay Performance of the underlying equity basket of 36 Securities	JPY	17/01/2020	Bank of America
Receive 1M LIBOR -1.25% Pay Performance of the underlying equity basket of 36 Securities	JPY	17/01/2020	Bank of America	(15,893,565)	(620,446)		(0.11)
Receive Performance of the underlying equity basket of 34 Securities Pay USD-1M-LIBOR-BBA +0.225%	USD	13/08/2021	UBS	23,172,003	(2,008,310)		(0.35)
Receive USD-1M-LIBOR-BBA Pay Performance of the underlying equity basket of 167 Securities	USD	13/08/2021	UBS	(98,402,406)
Receive Performance of the underlying equity basket of 1 Security Pay 1M LIBOR	USD	15/11/2019	Bank of America
Receive Performance of the underlying equity basket of 1 Security Pay 1M LIBOR +0.20%	USD	15/11/2019	Bank of America	101,804	(49,011)		(0.01)
Receive 1M LIBOR Pay Performance of the underlying equity basket of 1 Security	USD	15/05/2020	Bank of America	(9,765,609)
トータル・リターン・スワップ取引に係る評価損合計					(4,973,653)		(0.87)
トータル・リターン・スワップ取引に係る純評価損					(2,119,374)		(0.37)

「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。
純資産計算書
2019年12月31日現在

	ユーロ
資産
取得原価	3,889,757,279
未実現利益/(損失)	209,113,538
投資有価証券-時価	4,098,870,817
現金預金およびブローカー預託金	88,523,114
定期預金	-
証券発行未収金	9,325,157
投資有価証券売却未収金	236,652
未収配当金	1,130,979
未収利息	3,125,822
未収還付税額	395,809
未収報酬免除額	2,610
買建オプション契約公正価値	2,883,464
金融先物契約未実現利益	288,470
先渡為替契約未実現利益	69,688,809
スワップ契約公正価値	-
その他資産	11,843
資 産 合 計	4,274,483,546
負債
当座借越	245
ブローカー未払金	604,980
証券買戻未払金	11,417,179
投資有価証券購入未払金	8,670,414
未払利息	50,910
未払販売報酬	330,486
未払運用および顧問報酬	3,239,062
未払ファンドサービス報酬	322,213
未払実績報酬	-
売建オプション契約公正価値	-
金融先物契約未実現損失	306,782
先渡為替契約未実現損失	61,369,252
スワップ契約公正価値	-
その他負	324,323
負 債 合 計	86,635,846
純 資 産 額 合 計	4,187,847,700

その他負債は主に取締役報酬、監査および税務関連報酬および
費用、登録、発行、発送、印刷、法務ならびにマーケッティング費用から構成されている。
損益および純資産変動計算書
2019年12月31日をもって終了する会計年度

	ユーロ
期首現在純資産額	5,632,573,440
収益
受取配当金、源泉課税控除後	21,984,435
受取利息、源泉課税控除後	(4,516,838)
スワップ契約にかかる受取利息	-
証券貸付取引収益	7,304
受取銀行利息	237,968
その他の収益	-
収益合計	17,712,869
費用
運用および顧問報酬	44,848,588
販売報酬	4,511,625
ファンドサービス報酬	4,515,582
税金	1,687,266
保管、支払代行、事務および所在地代行報酬	1,516,896
登録および名義書換代行報酬	397,664
スワップ契約にかかる支払利息	-
銀行その他支払利息	972,656
実績報酬	-
その他の費	1,144,290
控除:報酬免除額	(1,351,810)
費用合計	58,242,757
投資純利益(損失)	(40,529,888)
実現純利益(損失):
売却投資証券	259,920,047
TBA証券	-
オプション契約	(148,670,922)
金融先物契約	(160,478,210)
先渡為替契約	(146,463,220)
スワップ契約	-
通貨取引	29,330,133
当期実現純利益(損失)	(166,362,172)
未実現増価(減価)純増減:
投資有価証券	268,501,955
オプション契約	(2,608,900)
金融先物契約	(4,321,685)
先渡為替契約	17,921,766
スワップ契約	-
通貨取引	378,770
当期未実現増価(減価)純増減	279,871,906
事業活動による純資産増減	72,979,846
資本の増減
設定	1,187,733,541
解約	(2,704,084,809)
資本の増減による純資産増減	(1,516,351,268)
支払配当金	(1,354,318)
期末現在純資産額	4,187,847,700

*その他の費用は主に取締役報酬、監査および
税務関連費用、登録、発行、発送、印刷、法務ならびにマーケッティング費用から構成されている。

投資有価証券明細表
2019年12月31日現在

投資対象	通貨	株数/額面金額	時価(ユーロ)		純資産 に占める 割合(%)
証券取引所に上場を承認されている譲渡性有価証券および短期金融市場商品
債券
アメリカ
US Treasury 2.375% 15/05/2029	USD	554,900,000	513,941,126		12.28
US Treasury 1.625% 15/08/2029	USD	302,115,600	262,229,760		6.26
			776,170,886		18.54
債券合計			776,170,886		18.54
株式
ケイマン諸島
Alibaba Group Holding Ltd., ADR	USD	509,893	96,783,060		2.31
China Resources Land Ltd.	HKD	2,590,000	11,516,282		0.28
			108,299,342		2.59
中国
China Railway Construction Corp. Ltd. ‘H’	HKD	8,754,500	8,551,777		0.20
China Vanke Co. Ltd. ‘H’	HKD	2,927,600	11,132,642		0.27
CRRC Corp. Ltd. ‘H’	HKD	21,260,000	13,808,631		0.33
Ping An Insurance Group Co. of China Ltd. ‘H’	HKD	4,620,500	48,717,834		1.16
			82,210,884		1.96
フランス
Alstom SA	EUR	224,820	9,495,273		0.23
Danone SA	EUR	322,942	23,862,184		0.57
LVMH Moet Hennessy Louis Vuitton SE	EUR	53,798	22,305,996		0.53
			55,663,453		1.33
ドイツ
Siemens AG	EUR	239,988	28,028,199		0.67
			28,028,199		0.67
香港
AIA Group Ltd.	HKD	5,300,200	49,636,343		1.19
China Overseas Land & Investment Ltd.	HKD	2,954,000	10,252,571		0.24
			59,888,914		1.43
インド
HDFC Bank Ltd.	INR	2,562,429	40,779,520		0.97
IndusInd Bank Ltd.	INR	1,103,263	20,820,165		0.50
State Bank of India	INR	5,064,314	21,111,324		0.51
			82,711,009		1.98
アイルランド
Medtronic plc	USD	154,161	15,477,378		0.37
			15,477,378		0.37
イタリア
Enel SpA	EUR	8,484,032	60,007,558		1.43
			60,007,558		1.43
日本
Shin-Etsu Chemical Co. Ltd.	JPY	254,500	25,203,505		0.60
			25,203,505		0.60
韓国
SK Hynix, Inc.	KRW	1,070,850	77,875,792		1.86
			77,875,792		1.86
スペイン
Iberdrola SA	EUR	6,484,492	59,560,059		1.42
			59,560,059		1.42
スイス
Nestle SA	CHF	475,661	45,952,892		1.10
Roche Holding AG	CHF	84,886	24,575,126		0.58
			70,528,018		1.68
イギリス
Atlassian Corp. plc ‘A’	USD	136,746	14,465,676		0.35
Diageo plc	GBP	1,127,821	42,508,877		1.02
Persimmon plc	GBP	994,366	31,573,425		0.75
Taylor Wimpey plc	GBP	13,966,593	31,890,978		0.76
			120,438,956		2.88
アメリカ
Abbott Laboratories	USD	300,152	23,190,062		0.55
Adobe, Inc.	USD	144,235	42,214,872		1.01
Alphabet, Inc. ‘A’	USD	88,694	105,850,384		2.53
Amazon.com, Inc.	USD	54,467	89,753,516		2.14
Becton Dickinson and Co.	USD	65,495	15,752,387		0.38
Humana, Inc.	USD	55,641	18,169,710		0.43
Johnson & Johnson	USD	303,219	39,163,041		0.94
Mastercard, Inc. ‘A’	USD	68,335	18,123,965		0.43
Micron Technology, Inc.	USD	1,295,681	61,987,236		1.48
Microsoft Corp.	USD	883,825	123,861,062		2.96
NVIDIA Corp.	USD	254,436	53,281,128		1.27
PayPal Holdings, Inc.	USD	548,886	52,893,213		1.26
salesforce.com, Inc.	USD	514,310	74,553,959		1.78
ServiceNow, Inc.	USD	194,259	48,835,700		1.17
Square, Inc. ‘A’	USD	314,328	17,361,661		0.41
Stryker Corp.	USD	147,408	27,371,981		0.65
Thermo Fisher Scientific, Inc.	USD	143,884	41,588,945		0.99
UnitedHealth Group, Inc.	USD	75,303	19,651,235		0.47
Visa, Inc. ‘A’	USD	101,862	17,006,354		0.41
Workday, Inc. ‘A’	USD	222,819	32,510,160		0.78
			923,120,571		22.04
株式合計			1,769,013,638		42.24
証券取引所に上場を承認されている譲渡性有価証券および短期金融市場商品合計			2,545,184,524		60.78
その他の規制市場で取引される譲渡性有価証券および短期金融市場商品
債券
日本
Japan Treasury Bill 0% 14/01/2020	JPY	21,000,000,000	172,307,748		4.11
Japan Treasury Bill 0% 20/01/2020	JPY	29,300,000,000	240,417,114		5.74
Japan Treasury Bill 0% 09/03/2020	JPY	25,500,000,000	209,280,715		5.00
Japan Treasury Bill 0% 16/03/2020	JPY	23,350,000,000	191,640,191		4.58
Japan Treasury Bill 0% 23/03/2020	JPY	19,000,000,000	155,942,554		3.72
			969,588,322		23.15
アメリカ
US Treasury Bill 0% 19/03/2020	USD	230,500,000	204,768,413		4.89
			204,768,413		4.89
債券合計			1,174,356,735		28.04
その他の規制市場で取引される譲渡性有価証券および短期金融市場商品合計			1,174,356,735		28.04
他の譲渡性有価証券および短期金融市場商品
株式
中国
China Hongxing Sports*	SGD	7,500,000	0		0.00
			0		0.00
株式合計			0		0.00
他の譲渡性有価証券および短期金融市場商品合計			0		0.00
UCITSと認められたユニットまたは他の集団投資事業
集団投資スキーム - UCITS
ルクセンブルク
JPMorgan EUR Liquidity LVNAV Fund - JPM EUR Liquidity LVNAV X (flex dist.)†	EUR	38,061	379,329,558		9.06
			379,329,558		9.06
集団投資スキーム - UCITS合計			379,329,558		9.06
UCITSと認められたユニットまたは他の集団投資事業合計			379,329,558		9.06
投資有価証券合計			4,098,870,817		97.88
現金			87,917,889		2.10
その他の資産/(負債)			1,058,994		0.02
純資産合計			4,187,847,700		100.00

*有価証券は取締役会の指示により公正価値で評価されている。
†利害関係人のファンド
先渡為替契約明細表

買建通貨	買建額	売建通貨	売建額	満期日	カウンターパーティー		未実現損益 (ユーロ)		純資産に 占める割合(%)
AUD	9,264	EUR	5,785	02/01/2020	Merrill Lynch		12		-
AUD	67,159	EUR	41,888	17/01/2020	Barclays		111		-
AUD	119,006	EUR	73,552	17/01/2020	BNP Paribas		869		-
AUD	4,143	EUR	2,540	17/01/2020	HSBC		51		-
AUD	13,346,702	EUR	8,242,069	17/01/2020	Merrill Lynch		104,357		-
BRL	360,568	USD	84,559	03/01/2020	Citibank		4,584		-
BRL	52,134,973	USD	12,378,146	03/01/2020	HSBC		527,649		0.01
BRL	3,132,733	USD	767,914	04/02/2020	Citibank		9,429		-
BRL	52,668,688	USD	12,983,008	04/02/2020	HSBC		93,996		-
CHF	612,665	EUR	562,133	17/01/2020	Barclays		2,765		-
CHF	98,041,543	EUR	89,278,989	17/01/2020	Goldman Sachs		1,118,486		0.03
CHF	36,667	EUR	33,499	17/01/2020	HSBC		309		-
CHF	37,474	EUR	34,414	17/01/2020	Merrill Lynch		137		-
CZK	445,404	EUR	17,467	17/01/2020	BNP Paribas		46		-
CZK	814,537,006	EUR	31,928,380	17/01/2020	Citibank		98,512		-
CZK	30,999	EUR	1,216	17/01/2020	Goldman Sachs		3		-
CZK	5,127,114	EUR	201,237	17/01/2020	HSBC		357		-
EUR	3,576,361	GBP	3,009,832	17/01/2020	HSBC		33,204		-
EUR	356,774	GBP	300,769	17/01/2020	Merrill Lynch		2,710		-
EUR	7,343,484	GBP	6,193,201	17/01/2020	Toronto-Dominion Bank		52,884		-
EUR	10,095,609	GBP	8,448,076	22/01/2020	HSBC		152,356		-
EUR	99,167,719	GBP	82,913,505	22/01/2020	Standard Chartered		1,579,824		0.04
EUR	177,923,964	HKD	1,555,784,399	22/01/2020	RBC		118,729		-
EUR	44,739	HUF	14,786,820	17/01/2020	Citibank		24		-
EUR	16,343	HUF	5,381,922	17/01/2020	Goldman Sachs		68		-
EUR	945,246,441	JPY	113,467,533,982	06/01/2020	HSBC		14,279,641		0.34
EUR	428,521	JPY	51,991,504	17/01/2020	Merrill Lynch		1,978		-
EUR	47,475	JPY	5,768,257	17/01/2020	Toronto-Dominion Bank		152		-
EUR	156,375,771	JPY	18,964,982,950	22/01/2020	Barclays		792,619		0.02
EUR	933	SEK	9,747	17/01/2020	Merrill Lynch		2		-
EUR	135,909	SGD	205,042	17/01/2020	HSBC		123		-
EUR	11,581,694	USD	12,906,940	03/01/2020	Citibank		78,593		-
EUR	149,127,753	USD	165,588,683	06/01/2020	BNP Paribas		1,576,953		0.04
EUR	64,287,189	USD	71,338,985	06/01/2020	Citibank		719,291		0.02
EUR	539,137,211	USD	595,361,347	06/01/2020	HSBC		8,629,680		0.21
EUR	20,959,602	USD	23,210,153	06/01/2020	Merrill Lynch		277,773		0.01
EUR	18,403,561	USD	20,398,138	06/01/2020	Standard Chartered		227,429		0.01
EUR	13,540,607	USD	15,000,000	06/01/2020	Toronto-Dominion Bank		174,585		-
EUR	2,780	USD	3,119	08/01/2020	Merrill Lynch		1		-
EUR	340,848	USD	378,228	17/01/2020	BNP Paribas		4,058		-
EUR	18,145	USD	20,255	17/01/2020	Goldman Sachs		109		-
EUR	1,372,137	USD	1,522,175	17/01/2020	HSBC		16,732		-
EUR	4,276,651	USD	4,774,577	17/01/2020	Merrill Lynch		25,178		-
EUR	3,134	USD	3,504	17/01/2020	Standard Chartered		14		-
EUR	1,373,720	USD	1,531,395	17/01/2020	State Street		10,105		-
EUR	67,945,122	USD	75,424,683	22/01/2020	BNP Paribas		805,939		0.02
EUR	916,499,768	USD	1,027,231,897	22/01/2020	Citibank		2,110,629		0.05
EUR	540,914,473	USD	603,672,742	22/01/2020	HSBC		3,555,965		0.09
EUR	3,579,402	USD	4,000,000	22/01/2020	Merrill Lynch		18,808		-
EUR	281,925,008	USD	314,869,720	22/01/2020	RBC		1,644,136		0.04
EUR	136,714,128	USD	152,982,814	22/01/2020	Standard Chartered		536,675		0.01
EUR	1,143,000	USD	1,277,374	04/02/2020	HSBC		6,902		-
GBP	47,806	EUR	56,000	02/01/2020	Merrill Lynch		304		-
GBP	133,223	EUR	156,612	17/01/2020	Citibank		216		-
GBP	27,839	EUR	32,433	17/01/2020	Merrill Lynch		339		-
GBP	231,248	EUR	271,874	17/01/2020	State Street		350		-
GBP	820,248	EUR	957,035	17/01/2020	Toronto-Dominion Bank		8,556		-
GBP	9,014,415	EUR	10,576,588	22/01/2020	Goldman Sachs		33,238		-
HUF	2,752,003	EUR	8,307	17/01/2020	HSBC		16		-
INR	6,772,959,403	USD	93,529,785	24/03/2020	Goldman Sachs		562,297		0.01
JPY	103,367,533,957	EUR	843,237,764	06/01/2020	Barclays		4,861,590		0.12
JPY	38,263,403,195	EUR	312,092,154	17/01/2020	BNP Paribas		1,824,054		0.04
KRW	393,683,617,653	USD	336,481,724	06/01/2020	Citibank		4,167,177		0.10
KRW	17,032,533,427	USD	14,653,028	06/01/2020	Credit Suisse		95,366		-
KRW	6,595,544,834	USD	5,707,612	06/01/2020	HSBC		7,089		-
KRW	27,651,928,114	USD	23,589,770	22/01/2020	Goldman Sachs		333,297		0.01
KRW	144,033,679,509	USD	122,887,200	22/01/2020	Standard Chartered		1,724,920		0.04
MXN	51,623,720	EUR	2,419,762	06/01/2020	Citibank		19,115		-
MXN	1,923,640,612	USD	98,164,963	06/01/2020	Goldman Sachs		3,407,538		0.08
MXN	1,348,747,749	USD	69,895,761	24/03/2020	Goldman Sachs		690,659		0.02
PLN	803,351	EUR	187,552	17/01/2020	Goldman Sachs		1,171		-
PLN	4,108	EUR	963	17/01/2020	HSBC		2		-
RUB	5,841,039,430	USD	93,180,175	22/01/2020	Citibank		524,769		0.01
SGD	57,790	EUR	38,240	02/01/2020	Credit Suisse		60		-
SGD	9,692	EUR	6,409	03/01/2020	HSBC		14		-
SGD	141,845	EUR	93,812	17/01/2020	Barclays		122		-
SGD	23,611,305	EUR	15,580,739	17/01/2020	BNP Paribas		55,457		-
SGD	24,423	EUR	16,168	17/01/2020	Toronto-Dominion Bank		5		-
ZAR	78,341,615	EUR	4,790,763	06/01/2020	BNP Paribas		190,373		0.01
ZAR	74,542,308	EUR	4,522,430	06/01/2020	Citibank		217,137		0.01
ZAR	4,821,223,439	EUR	298,537,677	06/01/2020	HSBC		8,006,544		0.19
ZAR	73,652,353	EUR	4,660,935	22/01/2020	Goldman Sachs		6,885		-
ZAR	80,683,231	EUR	4,955,191	22/01/2020	State Street		158,221		-
ZAR	248,063,317	USD	16,776,534	06/01/2020	State Street		823,388		0.02
ZAR	483,148,417	USD	33,373,413	22/01/2020	Barclays		912,904		0.02
ZAR	873,387,083	USD	60,318,045	22/01/2020	Goldman Sachs		1,660,094		0.04
先渡為替契約未実現利益合計 - 資産							69,688,809		1.66
CNH	1,212,328	EUR	154,951	17/01/2020	BNP Paribas		(3)		-
CNH	213,397,913	EUR	27,338,960	17/01/2020	Citibank		(64,546)		-
CNH	1,105,172	EUR	141,996	17/01/2020	Goldman Sachs		(744)		-
CZK	74,480	EUR	2,929	17/01/2020	BNP Paribas		(1)		-
EUR	10,439	AUD	16,911	17/01/2020	Goldman Sachs		(136)		-
EUR	149,130	AUD	240,746	17/01/2020	HSBC		(1,421)		-
EUR	5,781	AUD	9,264	17/01/2020	Merrill Lynch		(12)		-
EUR	39,943	CHF	43,720	17/01/2020	BNP Paribas		(368)		-
EUR	14,275	CHF	15,531	17/01/2020	Credit Suisse		(45)		-
EUR	12,960	CHF	14,157	17/01/2020	HSBC		(93)		-
EUR	150,332	CHF	164,139	17/01/2020	Merrill Lynch		(1,009)		-
EUR	35,443	CHF	38,736	17/01/2020	Toronto-Dominion Bank		(273)		-
EUR	71,958,821	CHF	79,028,941	22/01/2020	Barclays		(911,498)		(0.02)
EUR	23,236	CZK	592,384	02/01/2020	Citibank		(76)		-
EUR	1,601	CZK	40,703	03/01/2020	Citibank		(1)		-
EUR	573,730	CZK	14,611,597	17/01/2020	Citibank		(785)		-
EUR	69,788	CZK	1,781,535	17/01/2020	HSBC		(260)		-
EUR	162,656	CZK	4,153,249	17/01/2020	RBC		(646)		-
EUR	97,392	GBP	83,099	03/01/2020	Toronto-Dominion Bank		(479)		-
EUR	55,970	GBP	47,806	17/01/2020	Merrill Lynch		(306)		-
EUR	15,898,768	GBP	13,545,146	22/01/2020	Merrill Lynch		(43,657)		-
EUR	5,770	HUF	1,909,771	17/01/2020	BNP Paribas		(5)		-
EUR	4,751	HUF	1,572,963	17/01/2020	Citibank		(5)		-
EUR	4,843	HUF	1,604,343	17/01/2020	Standard Chartered		(9)		-
EUR	765,743	JPY	93,489,997	17/01/2020	HSBC		(1,257)		-
EUR	843,144,910	JPY	103,367,533,957	22/01/2020	Barclays		(4,851,989)		(0.12)
EUR	22,655,384	JPY	2,777,733,538	22/01/2020	Toronto-Dominion Bank		(132,327)		-
EUR	91,397,992	MXN	1,975,264,332	06/01/2020	Goldman Sachs		(1,920,095)		(0.05)
EUR	995	PLN	4,275	17/01/2020	HSBC		(9)		-
EUR	12,217	SEK	128,866	17/01/2020	BNP Paribas		(104)		-
EUR	9,535	SEK	100,465	17/01/2020	Citibank		(71)		-
EUR	38,208	SGD	57,790	17/01/2020	Credit Suisse		(62)		-
EUR	305,737	SGD	462,135	17/01/2020	HSBC		(304)		-
EUR	80,442	SGD	121,716	17/01/2020	RBC		(162)		-
EUR	312,812,274	ZAR	5,222,170,679	06/01/2020	Barclays		(19,225,074)		(0.46)
EUR	297,588,679	ZAR	4,821,223,439	22/01/2020	HSBC		(7,963,074)		(0.19)
GBP	36,793	EUR	43,685	17/01/2020	BNP Paribas		(372)		-
GBP	133,756,424	EUR	159,968,608	17/01/2020	Citibank		(2,511,315)		(0.06)
GBP	1,330	EUR	1,591	17/01/2020	HSBC		(26)		-
GBP	47,969	EUR	57,275	17/01/2020	Merrill Lynch		(806)		-
GBP	656,919	EUR	785,877	17/01/2020	RBC		(12,555)		-
GBP	2,456	EUR	2,916	17/01/2020	Standard Chartered		(25)		-
GBP	1,200,000	EUR	1,423,788	22/01/2020	Toronto-Dominion Bank		(11,407)		-
HKD	104,419,180	EUR	11,960,582	22/01/2020	Citibank		(26,874)		-
HKD	156,483,090	EUR	18,001,802	22/01/2020	HSBC		(117,889)		-
HUF	3,479,542	EUR	10,527	17/01/2020	Citibank		(5)		-
HUF	564,568,799	EUR	1,716,459	17/01/2020	Standard Chartered		(9,199)		-
INR	3,332,320,640	USD	46,333,713	24/03/2020	Goldman Sachs		(4,182)		-
JPY	51,991,504	EUR	428,557	06/01/2020	Merrill Lynch		(1,983)		-
JPY	10,100,000,025	EUR	83,675,977	06/01/2020	State Street		(808,531)		(0.02)
JPY	223,374,748	EUR	1,842,711	17/01/2020	Barclays		(10,125)		-
JPY	2,000,000	EUR	16,484	17/01/2020	Merrill Lynch		(76)		-
JPY	135,999,997	EUR	1,127,922	17/01/2020	Toronto-Dominion Bank		(12,166)		-
JPY	3,990,590,526	EUR	33,133,800	22/01/2020	State Street		(396,167)		(0.01)
MXN	1,328,955,206	EUR	62,943,983	22/01/2020	Goldman Sachs		(385,606)		(0.01)
SEK	1,679,728	EUR	161,017	17/01/2020	Merrill Lynch		(425)		-
SEK	268,972,633	EUR	25,764,657	17/01/2020	Standard Chartered		(49,248)		-
SGD	194,246	EUR	129,055	17/01/2020	BNP Paribas		(418)		-
USD	1,174,560	BRL	4,940,014	03/01/2020	Citibank		(48,502)		-
USD	11,732,545	BRL	47,555,527	03/01/2020	HSBC		(87,666)		-
USD	1,271,934	BRL	5,202,354	04/02/2020	Citibank		(18,591)		-
USD	97,121,367	CNY	678,241,240	22/01/2020	BNP Paribas		(198,068)		(0.01)
USD	10,160,646	CNY	71,258,639	22/01/2020	Standard Chartered		(59,353)		-
USD	1,190,784	EUR	1,065,246	02/01/2020	Merrill Lynch		(3,979)		-
USD	128,336	EUR	115,927	03/01/2020	Citibank		(1,550)		-
USD	12,334,204	EUR	11,171,114	03/01/2020	HSBC		(178,454)		-
USD	136,179,951	EUR	122,781,560	06/01/2020	Barclays		(1,435,945)		(0.03)
USD	146,329,831	EUR	132,429,082	06/01/2020	BNP Paribas		(2,039,231)		(0.05)
USD	344,702,485	EUR	309,241,496	06/01/2020	HSBC		(2,088,093)		(0.05)
USD	212,211,070	EUR	192,123,066	06/01/2020	RBC		(3,028,542)		(0.07)
USD	128,382,791	EUR	114,918,454	06/01/2020	Standard Chartered		(520,638)		(0.01)
USD	37,238,018	EUR	33,486,035	06/01/2020	State Street		(304,423)		(0.01)
USD	451,436,997	EUR	402,703,770	17/01/2020	HSBC		(726,328)		(0.02)
USD	2,639,911	EUR	2,365,513	17/01/2020	Merrill Lynch		(14,831)		-
USD	2,337,637	EUR	2,105,505	17/01/2020	State Street		(23,980)		-
USD	189,535	EUR	170,422	17/01/2020	Toronto-Dominion Bank		(1,652)		-
USD	175,846,143	EUR	158,015,293	22/01/2020	BNP Paribas		(1,486,078)		(0.04)
USD	9,778,771	EUR	8,808,968	22/01/2020	Goldman Sachs		(104,408)		-
USD	93,482,187	EUR	83,869,185	22/01/2020	HSBC		(656,138)		(0.02)
USD	5,138,076	EUR	4,603,631	22/01/2020	Toronto-Dominion Bank		(29,980)		-
USD	12,939,448	EUR	11,578,823	04/02/2020	Citibank		(70,457)		-
USD	816,690	EUR	730,244	04/02/2020	HSBC		(3,879)		-
USD	56,003,978	INR	4,005,124,500	22/01/2020	Goldman Sachs		(72,157)		-
USD	36,277,245	INR	2,592,662,146	22/01/2020	Standard Chartered		(25,488)		-
USD	357,637,023	KRW	417,311,695,914	06/01/2020	HSBC		(3,561,537)		(0.09)
USD	80,436,300	KRW	94,127,715,003	22/01/2020	BNP Paribas		(1,013,264)		(0.02)
USD	336,591,045	KRW	393,683,617,653	22/01/2020	Citibank		(4,085,734)		(0.10)
先渡為替契約未実現損失合計 - 負債							(61,369,252)		(1.46)
先渡為替契約未実現純利益 - 資産							8,319,557		0.20

金融先物契約

証券名	契約数	通貨	グローバルエクスポージャー (ユーロ)		未実現損益 (ユーロ)		純資産に 占める割合(%)
MSCI Emerging Markets Index, 20/03/2020	2,354	USD	117,470,277		288,470		0.01
金融先物契約未実現利益合計 - 資産					288,470		0.01
Euro-BTP, 06/03/2020	1,824	EUR	259,847,040		-		-
Euro-Bund, 06/03/2020	(1,345)	EUR	(229,309,050)		-		-
FTSE 100 Index, 20/03/2020	704	GBP	62,177,257		(306,782)		(0.01)
STOXX 600 Health Care Index, 20/03/2020	2,591	EUR	116,724,550		-		-
金融先物契約未実現損失合計 - 負債					(306,782)		(0.01)
金融先物契約未実現純損失 - 負債					(18,312)		-

買建オプション契約

数量	証券名	通貨	カウンターパーティー	グローバルエクスポージャー (米ドル)		時価 (ユーロ)		純資産に 占める割合(%)
690,229,000	Foreign Exchange USD/AUD, Put, 0.677, 04/02/2020	AUD	Citibank	59,390,681		311,596		0.01
690,229,000	Foreign Exchange USD/AUD, Put, 0.680, 03/02/2020	AUD	Citibank	80,570,764		428,148		0.01
2,898	S&P 500 Index, Put, 3,150.000, 10/01/2020	USD	Goldman Sachs	813,247,584		2,143,720		0.05
買建オプション契約時価合計 - 資産						2,883,464		0.07