WAY Global Momentum Fund

Transcription

1 WAY Global Momentum Fund Short Report for the six months ended 31 August 2015 Investment Objective and Policy The objective of the Fund is to achieve long-term capital growth. The Fund aims to achieve this by primarily investing in a diversified portfolio of globally focussed exchange traded funds, which invest principally in equities. The Fund may also invest in transferable securities, other Collective Investment Schemes (regulated and unregulated), deposits, money market instruments, derivatives and cash or near cash. The Fund is managed using a systematic and low-cost approach to gain exposure to a range of developed global equity markets via investing in and regular rebalancing of exchange traded funds (or similar instruments). The strategy relies on remaining exposed to each market whilst certain trend-following signals are positive (whilst there is positive market momentum) but withdrawing to cash during periods when those signals turn negative. This is intended to reduce volatility within long-only equity investment, thereby securing a much improved risk-return outcome. The asset allocation between markets favours no particular country and does not reflect market capitalisations. The Fund will always be very well diversified across developed global equity markets, or in cash where the trend-following signals are negative. The algorithms used within the management approach have been developed and back-tested by academic researchers and the detailed techniques used will continue to be refined as the research evolves. The Fund may invest in derivatives and forward transactions for investment purposes as well as for efficient portfolio management purposes (including hedging). Fund Facts Risk Profile Interim/Annual Accounting End Dates 31 August 28 February Ex-dividend (xd) Dates 01 September 01 March Income Distribution/ Accumulation Dates 31 October 30 April Please refer to the Full Prospectus for details of all the risks. The Fund has exposure to credit, counterparty and usual market risks. Past performance is not a guide to future performance. The value of investments and any income from them may go down as well as up. Exchange rate changes may cause the value of any overseas investments to rise or fall. You should always regard investments in the Fund as medium to long term. Page 1

2 Charges Share Class Initial Charge Annual Management Charge as at 31/08/15 Total Expense Ratios as at 31/08/15 Total Expense Ratios as at 28/02/15 Share Class A WAY Retail Net Accumulation 5.25% 1.35% 1.89% 2.08% Share Class A WAY Retail Net Income 5.25% 1.35% 1.89% 2.08% Share Class B WAY Institutional Net Accumulation 0% 0.60% 1.14% 1.33% Share Class C Retail Net Accumulation 5.25% 1.35% 1.89% 2.08% Share Class C Retail Net Income 5.25% 1.35% 1.89% 2.08% Share Class D Institutional Net Income 0% 0.60% 1.14% 1.33% Share Class D Institutional Net Accumulation 0% 0.60% 1.14% 1.33% Share Class E Net Accumulation 2.00% 0.75% 1.29% 1.56% Share Class E Net Income 2.00% 0.75% 1.29% 1.56% Share Class S Net Income 2.00% 0.85% 1.39% 1.58% Share Class T Net Income 2.00% 1.15% 1.69% 1.88% Distributions/Accumulations The distribution for A WAY Retail Net Income Share Class was p per Share, payable 31 October The distribution for B WAY Institutional Net Accumulation Share Class was p per Share, payable 31 October The distribution for C Retail Net Accumulation Share Class was p per Share, payable 31 October The distribution for D Institutional Net Accumulation Share Class was p per Share, payable 31 October The distribution for E Net Accumulation Share Class was p per Share, payable 31 October The distribution for E Net Income Share Class was p per Share, payable 31 October The distribution for T Net Income Share Class was p per Share, payable 31 October At the year end, expenses exceeded revenue on Share Classes A WAY Retail Net Accumulation, C Retail Net Income, D Institutional Net Income and S Net Income, generating shortfall positions. Therefore there will be no distribution on those Share Classes. Page 2

3 Comparative Tables Date of Share Class ( ) Shares in issue per Share (p) Share Class A WAY Retail Net Accumulation 28/02/13 4,701,163 4,528, /02/14 2,755,919 2,552, /02/15 1,497,949 1,360, /08/15 998, , Share Class A WAY Retail Net Income 28/02/13 1,372,488 1,316, /02/14 1,472,307 1,363, /02/15 1,259,072 1,143, /08/15 1,173,401 1,120, Share Class B WAY Institutional Net Accumulation 28/02/13 198, , /02/14 427, , /02/15 325, , /08/15 185, , Share Class C Retail Net Accumulation 28/02/13 1,097,253 1,052, /02/14 711, , /02/15 487, , /08/15 434, , Share Class C Retail Net Income 28/02/13 413, , /02/14 175, , /02/15 159, , /08/15 132, , Share Class D Institutional Net Accumulation 28/02/13 994, , /02/14 461, , /02/15 488, , /08/15 444, , Share Class D Institutional Net Income 28/02/15 4,013 3, /08/15 3,195 3, Share Class E Net Accumulation 28/02/ /02/14 856, , /02/15 6,231,257 5,212, /08/15 6,125,849 5,368, Share Class E Net Income 28/02/ /02/14 337, , /02/15 2,089,308 1,758, /08/15 1,762,267 1,559, Page 3

4 Comparative Tables (continued) (continued) Date of Share Class ( ) Shares in issue per Share (p) Share Class S Net Income 28/02/ /02/15 16,778 16, /08/15 15,928 16, Share Class T Net Income 28/02/ /02/14 365, , /02/15 367, , /08/15 346, , Price and Revenue History Calendar Year Highest Published Share price (p) Lowest Published Share price (p) Net Revenue per Share (p) Share Class A WAY Retail Net Accumulation Share Class A WAY Retail Net Income Share Class B WAY Institutional Net Accumulation Share Class C Retail Net Accumulation Share Class C Retail Net Income Share Class D Institutional Net Accumulation Share Class D Institutional Net Income Page 4

5 Comparative Tables (continued) Price and Revenue History (continued) Calendar Year Highest Published Share price (p) Lowest Published Share price (p) Net Revenue per Share (p) Share Class E Net Accumulation Share Class E Net Income Share Class S Net Income Share Class T Net Income From 15 January to 31 December From 5 December to 31 December From 11 June to 31 December From 1 January to 31 August 2015 ᶧIncludes the distributions paid 30 April and payable 31 October Share Classes E Net Accumulation and Income and T Net Income were launched on 14 January However, the first dealings were on 15 January Share Class S Net Income was launched on 4 December However, the first dealing was on 5 December Share Class D Institutional Net Income was launched on 28 February However, the first dealing was on 11 June Major Holdings Top 10 Holdings % of Fund as at 31/08/15 db x-trackers II Sterling Cash UCITS ETF ishares UK Gilts 0-5yr UCITS ETF ishares Core MSCI World UCITS ETF 7.93 db x-trackers EURO STOXX 50 UCITS ETF 7.78 ishares MSCI Japan SmallCap UCITS ETF 7.21 ishares S&P SmallCap 600 UCITS ETF 7.14 ishares AEX UCITS ETF 6.84 Top 10 Holdings % of Fund as at 28/02/15 ishares MSCI Japan SmallCap UCITS ETF 7.44 ishares AEX UCITS ETF 7.31 Vanguard FTSE 100 UCITS ETF 7.31 ishares S&P SmallCap 600 UCITS ETF 7.19 ishares MSCI North America UCITS ETF 7.19 ishares Core MSCI Japan IMI UCITS ETF 7.16 ishares EURO STOXX Mid UCITS ETF 7.15 db x-trackers EURO STOXX 50 UCITS ETF 7.13 ishares MSCI Australia UCITS ETF 7.09 ishares EURO STOXX Small UCITS ETF 7.04 Page 5

6 Portfolio Information Breakdown by Geographic Region % % 14.62% % 7.21% 7.14% 5 0 United Kingdom [12.18%] Net other assets [1.71%] Europe [28.63%] Global [7.28%] Asia [28.72%] North America [21.48%] Comparative figures shown above in square brackets relate to 28 February 2015 Investment Manager s Report Investment Review A major theme of the review period has been whether the economic recovery in the USA and UK has been sufficiently robust to permit an interest rate rise, whereas in the Euro area and Japan, monetary policy remains accommodating with continued quantitative easing. The period witnessed further chapters in the Greek debt crisis, temporarily resolved by yet more indebtedness (deemed unsustainable by the IMF) and austerity; it seems that the Northern Europeans are being reminded of Greece s important geo-political role and the need to bind it to its fellow NATO members. Turbulence in the Middle East has provoked a stream of refugees trying to and largely succeeding in entering the European Union. The ructions of the Arab Spring have been replaced by the predations of ISIL. The central event has, however, been the deflation of the Chinese speculative stock market bubble, which increasingly gives concern about the state of the Chinese real economy, which some commentators think has slowed to a growth rate of some 4% 1 p.a, compared with the recent norm of 7% 1. The collapse of commodity, energy and shipping prices reinforces the view that there has been a substantial reduction in Chinese demand. During August the weakness of the Chinese marker spilt into other markets. During the review period the MSCI World Index (not a perfect comparator with the WAY Global Momentum Fund because of its heavy weighting in the comparatively well performing US market) declined by 5.8% 1. Page 6

7 Investment Manager s Report (continued) Investment Review (continued) The WAY Global Momentum Fund s methodology is, of course, not to try and analyse these macro developments but to follow the trends in markets. During the period the Fund depreciated by 10.23% 1. At the beginning of the period it was 93.3% 1 invested, which had reduced to 36.69% 1 at the end (db x-trackers II Sterling Cash UCITS ETF and ishares UK gilts 0-5yr UCITS ETF being treated as cash). The following positions were sold: ishares Core MSCI Pacific ex-japan UCITS ETF; ishares MSCI USA UCITS ETF; ishares MSCI North America UCITS ETF; ishares EUROSTOXX Mid UCITS ETF; ishares EUROSTOXX Small UCITS ETF; ishares Core MSCI Japan IMI UCITS ETF; ishares MSCI Australia UCITS ETF; ishares MSCI World UCITS ETF; Vanguard FTSE 100 UCITS ETF and Vanguard S&P 500 UCITS ETF. The positive positions were in the USA and Japan. Outlook The Global Momentum Fund will continue to be managed according to the formulaically generated trend following signals without judgemental predictions. Source: 1 Apex Fund Services (UK) Limited valuations. Investment Manager WM Capital Management Ltd 3 September 2015 Important events during the period The Investment Association (IA) has published, in accordance with FRS 102, a revised Statement of Recommended Practice (SORP) in May 2014 which supersedes the previous SORP for the preparation of Financial Statements by UK Authorised Funds. The recommendations of this SORP are applicable to accounting periods beginning on or after 1 January 2015 and as a result the requirement for Umbrella Funds to present aggregated accounts has been removed for the interim Financial Statements of the Company. Significant Information On 22 July 2014, WAY Fund Managers Limited was authorised by the FCA as an Alternative Investment Fund Manager ( AIFM ). Under the Alternative Investment Fund Managers Directive, acting as the Alternative Investment Fund Manager, WAY Fund Managers is required to disclose how those whose actions have a material impact on the fund are remunerated. The remuneration strategy across WAY Fund Managers is governed by the Remuneration Committee, a committee of the WAY Fund Managers Board. The Remuneration Committee has established an AIFM Remuneration Policy designed to ensure the AIFM Remuneration Code in the UK Financial Authority handbook is met proportionally for all AIFM Remuneration Code Staff. Page 7

8 Significant Information (continued) WAY Fund Managers considers its activities as non complex due to the fact that regulation limits the AIF strategies conducted and the scope of investment in such a way that investor risk is mitigated. The discretion of WAY Fund Managers and the portfolio manager is strictly controlled within certain pre-defined parameters as determined in the prospectus of each Alternative Investment Fund. In its role as an AIFM, WAY Fund Managers deem itself as lower risk due to the nature of the activities it conducts. WAY Fund Managers does not pay any form of variable remuneration currently. Therefore WAY Fund Managers have provided a basic overview of how staff whose actions have a material impact on the Fund are remunerated. August 2015 Number of Beneficiaries Total remuneration paid Fixed remuneration Variable remuneration paid Carried interest paid by the AIF Total remuneration paid by the AIFM during the financial year , , Remuneration paid to employees of the AIFM who have a material impact on the risk profile of the AIF 5 163, , Due to the size and structure of WAY Fund Managers, it is determined that employees of the AIFM who have a material impact on the risk profile of the AIF include the Board and the Head of Risk and Compliance. The delegated investment manager is subject to regulatory requirements on remuneration that WAY Fund Managers deem to be equally as effective as those detailed in the Alternative Investment Fund Managers Directive, which would include the Capital Requirements Directive or Markets in Financial Instruments Directive. The information in this report is designed to enable shareholders to make an informed judgment on the activities of the Fund during the period it covers and the result of those activities at the end of the period. The long Report and Accounts are available free of charge on request. For more information about the activities and performance of the Fund during the period and previous periods, please contact: Authorised Corporate Director Depositary Investment Manager Auditor WAY Fund Managers Limited Cedar House, 3 Cedar Park, Cobham Road, Wimborne, Dorset, BH21 7SB Customer Service Centre: Northern Trust Global Services Limited 50 Bank Street, Canary Wharf, London, E14 5NT WM Capital Management Ltd Fairway, Well Lane, Danbury, Chelmsford, Essex, CM3 4AB Grant Thornton UK LLP 30 Finsbury Square, London, EC2P 2YU Authorised and regulated by the Financial Conduct Authority (FCA) Authorised by the Prudential Regulation Authority (PRA) and regulated by the FCA and the PRA Authorised and regulated by the FCA Please note that telephone calls may be recorded for monitoring and training purposes, and to confirm investors' instructions Page 8