2013 ANNUAL REPORT OF THE CARMIGNAC PATRIMOINE FRENCH MUTUAL FUND (FCP)

Transcription

1 2013 ANNUAL REPORT OF THE CARMIGNAC PATRIMOINE FRENCH MUTUAL FUND (FCP) (For the financial year ended 31 December 2013) The fund rules, the prospectus for Switzerland, the Key Investor Information Documents, the annual and semi-annual reports for Switzerland and the list of purchases and sales carried out on behalf of the fund during the financial year may be obtained free of charge from the Representative and Paying Agent in Switzerland, Banque Genevoise de Gestion SA, 15, rue Toepffer, CH-1206 Geneva. Tel: , Fax: , and from Carmignac Gestion. 24, place Vendôme Paris - Tel.: +33 (0) Fax: +33 (0) Société anonyme. Portfolio management company (authorisation no. GP 9708 of 13/03/97), with share capital of EUR 15,000,000, RCS Paris B

2 CABINET VIZZAVONA 22, avenue Bugeaud PARIS Tel. +33 (0) Fax +33 (0) KPMG AUDIT 1, Cours Valmy, Paris La défense cedex Tel. +33 (0) Fax +33 (0) CARMIGNAC PATRIMOINE FRENCH MUTUAL FUND (FCP) Statutory Auditor s Report For the financial year ended 31 December

3 Dear Sir/Madam, In accordance with the mission assigned to us by the management body of the fund s management company, we present our report for the financial year ended 31 December 2013 relative to: - the audit of the annual financial statements of the CARMIGNAC PATRIMOINE FCP which are attached to the present report, - the justification of our evaluations, - specific verifications and information required by law. The annual financial statements were prepared by the management company. Our role is to express an opinion on these financial statements based on our audit. I OPINION ON THE ANNUAL FINANCIAL STATEMENTS We conducted our audit in accordance with the professional auditing standards applicable in France. These standards require that we carry out our audit in order to obtain reasonable assurance about whether the annual financial statements are free of material misstatement. An audit consists in examining, on a test basis or by other methods of selection, evidence supporting the amounts and disclosures contained in the annual financial statements. An audit also consists in assessing the accounting principles used and the significant estimates made, as well as the overall presentation of the financial statements. We believe that the evidence gathered is pertinent and sufficient to serve as a basis for our opinion. In our opinion, the annual financial statements give, in accordance with French accounting rules and principles, a true and fair view of the financial position and assets and liabilities of the UCI and of the results of its operations at the end of the financial year. Without casting doubt on the opinion expressed above, we draw your attention to the following point in the notes to the annual financial statements under Accounting methods and rules concerning the impact of the change in the accounting regulations on the presentation of the annual financial statements. 3

4 II JUSTIFICATION OF THE EVALUATIONS In application of the provisions of Article L of the French Commercial Code in relation to the justification of our evaluations, we wish to highlight the following points: As part of our evaluation of the accounting principles used by the UCI and described in the notes to the annual financial statements under Accounting methods and rules, we have verified the correct application of the valuation methods used for the financial instruments in the portfolio. The evaluations were made in the context of our audit of the annual financial statements, taken as a whole, and therefore contributed to the formation of the opinion expressed in the first part of this report. III SPECIFIC VERIFICATIONS AND INFORMATION We have also carried out the specific verifications required by law in accordance with the professional auditing standards applicable in France. We have no comment as to the fair presentation and conformity with the annual financial statements of the information given in the annual report and in the documents sent to unitholders with respect to the financial position and the annual financial statements. Paris La Défense and Paris, 18 March 2014 KPMG Audit A department of KPMG S.A. [Signature] Cabinet Vizzavona [Signature] Isabelle Bousquié Partner Robert Mirri Partner 4

5 CARMIGNAC PATRIMOINE 2013 ANNUAL REPORT Main features of the UCI Classification Balanced. Method for determining and allocating dividends Distributable income Acc units Dis units Dividend policy Allocation of net realised capital gains or losses Accumulation (dividends are recorded on an accruals basis) Accumulation (dividends are recorded on an accruals basis) Distributed or carried forward as decided by the management company Distributed or carried forward as decided by the management company Countries in which the Fund is authorised for distribution A units: Austria, Belgium, France, Germany, Italy, Luxembourg, Netherlands, Spain, Sweden and Switzerland. E units: France, Italy, Netherlands and Spain. GBP units: France, UK. Investment objective The Fund s objective is to outperform its reference indicator, shown below, over a recommended investment period of 3 years: 50% MSCI AC World NR (USD) index, the MSCI international equity index, and 50% Citigroup WGBI All Maturities EUR index, the world bond index. Reference indicator The Fund s reference indicator is the following composite index: 50% MSCI AC World NR (USD) index, the MSCI international equity index, calculated with net dividends reinvested, and 50% Citigroup WGBI All Maturities EUR index, the world bond index, calculated dividends reinvested. The indicator is rebalanced each quarter. This composite index does not strictly define the investment universe but allows investors to assess the performance and risk profile that they can expect when investing in the Fund. The market risk of the Fund is comparable to that of its reference indicator. The MSCI AC WORLD NR (USD) index represents the largest international companies in the developed and emerging countries. It is calculated in dollars with net dividends reinvested by MSCI (Bloomberg code: MSEUACWF). Description of the Citigroup WGBI All Maturities EUR index: the reference indicator of the bond component is the Citigroup WGBI All Maturities EUR index. It is calculated in euro with dividends reinvested by Citigroup (Bloomberg code: SBWGEU). Investment strategy Strategies used The investment policy takes into account the principle of risk spreading by means of the diversification of investments. The allocation of the portfolio between the different asset classes and UCI categories (equities, balanced, bonds, money market, etc.) based on fundamental analysis of the global macroeconomic environment and of its indicators (growth, inflation, deficits, etc.) may vary according to the manager s expectations. 5

6 As the Fund is managed on an active, discretionary basis, its asset allocation may differ substantially from that of its reference indicator. Likewise, the portfolio established in each of the asset classes on the basis of detailed financial analysis may vary considerably from the weightings of the reference indicator in terms of geographical zones, sectors, ratings and maturities. Stock selection is based on detailed financial analysis, meetings organised by companies, visits to these companies and daily news. Depending on the situation, the criteria used for stock selection are the value of the assets, return, growth and quality of the management, in particular. The manager s decisions regarding exposure to foreign exchange risk will be made on the basis of a global macroeconomic analysis, in particular of the outlook for growth, inflation and monetary and fiscal policy of the different economic zones and countries. The manager will also take positions with a view to hedging units denominated in currencies other than the euro against exchange risks by using over-the-counter forward exchange contracts. Description of asset classes Debt securities and money market instruments The Fund's net assets are between 50% and 100% invested in eurozone, international and emerging money market instruments, treasury bills, government and/or private fixed and/or floating rate bonds and inflationlinked bonds (exposure to emerging countries may not exceed 25% of the net assets). The overall modified duration of the fixed income portfolio may differ considerably from that of the reference indicator. Modified duration is defined as the change in portfolio capital (as %) for a change in interest rates of 100 basis points. The Fund s modified duration may vary between -4 and +10. The weighted average rating of the bonds held directly by the Fund or through investment in UCIs is at least investment grade, according to at least one of the main rating agencies. The Fund may invest in unrated bonds or those with a rating below investment grade. There are no restrictions in terms of duration or allocation between private and public issuers. Equities Up to 50% of the net assets of the Fund is exposed to equities and other securities giving or capable of giving direct or indirect access to capital or voting rights and traded on eurozone and/or international markets. The Fund may be exposed to emerging market equities (within the limit of 25% of the net assets). The net assets of the Fund may be invested in small, mid and large caps. Currencies The Fund may use currencies other than the Fund's valuation currency for exposure or hedging purposes. It may invest in futures and options on regulated, organised or over-the-counter markets in order to generate exposure to currencies other than its valuation currency or to hedge the Fund against currency risk. The Fund s net currency exposure may differ from that of its reference indicator and/or equity and bond portfolio. Derivatives The Fund may invest in financial futures traded on eurozone and international regulated, organised or overthe-counter markets. With the aim of achieving the investment objective, the Fund may take positions to hedge and/or expose the portfolio to industrial sectors and geographical zones, through the following underlying instruments: currencies, bonds/credit, equities (all categories of capitalisation), ETFs, dividends and/or indices (including credit, commodities and volatility indices up to a limit of 10% of net assets for each of the latter two categories). Portfolio hedging or exposure is performed by buying or selling options (vanilla, barrier, all-or-nothing) and/or futures/forward contracts and/or swaps (including performance swaps). The Fund may use credit derivatives in order to hedge it against or expose it to credit risk through the use of index credit derivatives and single and multiple-issuer credit derivatives. Transactions carried out on the credit derivatives market are limited to 10% of the net assets. 6

7 Derivative transactions may be concluded with counterparties selected by the management company in accordance with its Best Execution/Best Selection policy and the approval procedure for new counterparties. The interest rate and equity derivatives markets may only be used to generate leverage amounting to a maximum of 100% of the assets of the Fund. Securities with embedded derivatives The Fund may invest in eurozone and/or international convertible bonds, including those of emerging countries in particular. The Fund may invest in securities with embedded derivatives (particularly warrants, convertible bonds, credit-linked notes, EMTN, subscription certificates) traded on eurozone and/or international regulated, organised or over-the-counter markets. In all cases, the amounts invested in securities with embedded derivatives may not exceed 10% of the net assets. UCIs and investment funds The Fund may invest up to 10% of its net assets in: - units or shares of French or foreign UCITS; - units or shares of French or European AIFs; - Foreign investment funds. Provided that the foreign UCITS, AIFs or investment funds meets the criteria of article R of the French Monetary and Financial Code. The Fund may invest in UCIs managed by Carmignac Gestion. The Fund may use trackers, listed index funds and exchange traded funds. Deposits and cash The Fund may use deposits in order to optimise its cash management and to manage the various subscription or redemption settlement dates of the underlying UCIs. Up to 20% of its assets may be invested in deposits with the same credit institution. This type of transaction will be made on an exceptional basis. The Fund may hold cash on an ancillary basis, in particular in order to meet its redemption obligations in relation to investors. Cash lending is prohibited. Cash borrowings The Fund may use cash borrowings, in particular in order to optimise its cash management and to manage the various subscription or redemption settlement dates of the underlying UCIs. These transactions shall be carried out within the regulatory limits. Temporary purchase and sale of securities The Fund may carry out temporary purchases/sales of securities in order to optimise its income, invest its cash or adjust the portfolio in view of changes in the assets under management. The Fund will carry out the following: - Securities repurchase and reverse repurchase transactions; - Securities lending/borrowing. Any temporary purchases or sales of securities shall be carried out under market conditions and within regulatory limits. Within the scope of these transactions, the FCP may receive/give financial guarantees (collateral); the section entitled Collateral management contains information on how these work and on their characteristics. Additional information can be found under fees and commissions. 7

8 Collateral management Within the scope of OTC derivatives transactions and temporary purchases/sales of securities, the FCP may receive financial assets constituting guarantees with the objective of reducing its exposure to counterparty risk. The financial guarantees received shall primarily take the form of cash, in the case of OTC derivatives transactions, and cash and eligible government bonds, in the case of temporary purchases/sales of securities. The counterparty risk inherent in OTC derivatives transactions, combined with the risk resulting from temporary purchases/sales of securities, may not exceed 10% of the FCP s net assets where the counterparty is one of the credit institutions defined in the current regulations, or 5% of its assets in other cases. For example, any financial guarantee (collateral) received and used to reduce exposure to counterparty risk will comply with the following: - it shall be given in the form of cash or bonds issued or guaranteed by OECD member states, by their regional public authorities or by supranational institutions and bodies with EU, regional or worldwide scope; - it shall be held by the Custodian of the UCITS or by one of its agents or a third party under its supervision or by any third-party custodian subject to prudential supervision and which is not linked in any way to the provider of the financial guarantees; - in accordance with the regulations in force, they shall at all times fulfil liquidity, valuation, issuer credit rating, correlation and diversification criteria, and exposure to any given issuer shall not exceed 20% of the net assets; - financial guarantees received in the form of cash shall be mainly deposited with eligible entities and/or used in reverse repurchase transactions, and to a lesser extent invested in first-rate government bonds and short-term money market UCITS. Government bonds received as collateral shall be subject to a discount of between 1% and 10%. Risk profile Your money is mainly invested in financial instruments selected by the management company. These instruments are subject to the evolution and fluctuations of the markets. The risk profile of the Fund is suitable for an investment horizon of over 3 years. Potential investors should be aware that the value of the Fund's assets is subject to the fluctuations of the international equity, bond and currency markets and that it may vary substantially. The risk factors described below are not exhaustive. It is up to each investor to analyse the risk associated with such an investment and to form his/her own opinion independent of CARMIGNAC GESTION, where necessary seeking the opinion of any advisers specialised in such matters in order to ensure that this investment is appropriate in relation to his/her financial situation. Risk of capital loss: the FCP does not guarantee or protect the capital invested. Equity risk: 0% to 50% of the net assets of the Fund is exposed to the equity risk of the eurozone, international and emerging markets through investments in financial instruments. Furthermore, regarding the small and mid-cap markets, the volume of stocks listed on the stock exchange is relatively low; market downturns are therefore more acute and more abrupt than for large caps. The net asset value of the Fund may therefore decline rapidly and significantly. Risk associated with currency exposure: Exposure is calculated as the sum of the absolute values of net exposure in each currency. Currency appreciations or depreciations may cause the net asset value to fall. Interest rate risk: Interest rate risk results in a decline in the net asset value in the event of a rise in interest rates. When the modified duration of the portfolio is positive, a rise in interest rates may lead to a reduction in the value of the portfolio. When the modified duration of the portfolio is negative, a fall in interest rates may lead to a reduction in the value of the portfolio. 8

9 Risk associated with emerging countries: The operating and supervision conditions of these markets may deviate from the standards prevailing on the large international markets. Credit risk: The Fund is invested in securities rated investment grade and in high-yield bonds. Credit risk is the risk that the issuer may default. Should the quality of corporate bond issuers decline, for example in the event of a downgrade in their rating by the financial rating agencies, the value of the corporate bonds or even the derivatives linked to the issuer of such bonds (Credit Default Swaps) may fall. The net asset value of the Fund may decrease. Furthermore, a more specific credit risk linked to the use of credit derivatives, such as credit default swaps, exists. The table below shows the situations in which the use of credit default swaps presents a risk: Holding the underlying of the CDS YES YES NO YES Aim of the manager s use of the CDS Sell protection Purchase protection Sell protection Purchase protection Existence of credit risk Yes, in the event of the downgrading of the issuer of the underlying security Yes, depending on the nature of the issuer's default Yes, in the event of the downgrading of the issuer of the underlying security Yes, in the event of the downgrading of the issuer of the underlying security This credit risk is controlled by a qualitative analysis carried out by the team of credit analysts on the evaluation of companies solvency. Currency risk: The exchange risk is linked to exposure, through its investments and use of financial futures instruments, to a currency other than that used for Fund valuation. For units denominated in a currency other than the euro, the exchange risk linked with variations in the euro compared with the valuation currency is marginal thanks to systematic hedging. This hedging may cause a lag among units in different currencies. Volatility risk: The increase or decrease in volatility may lead to a fall in net asset value. The Fund is exposed to this risk, particularly through derivative products with volatility as the underlying instrument. Risk associated with commodity indices: Changes in commodity prices and the volatility of the sector may cause the net asset value to fall. Liquidity risk: The markets in which the FCP participates may occasionally be subject to temporary illiquidity. These market distortions may have an impact on the pricing conditions under which the FCP might be caused to liquidate, initiate or modify its positions. Risk associated with discretionary management: Discretionary management is based on the expected evolution of the financial markets. The FCP s performance will depend on the companies selected by the Management Company. There is a risk that the Management Company may not invest in the best performing companies. 9

10 Counterparty risk: Counterparty risk arises from all the OTC financial contracts concluded with a single counterparty, such as temporary purchases/sales of securities and any other derivative contract concluded over the counter. Counterparty risk measures the risk of loss incurred by the UCITS due to a counterparty in a transaction defaulting on its obligations before the definitive settlement of the transaction via financial flows. To reduce exposure of the UCITS to counterparty risk, the management company may create a guarantee in favour of the UCITS. Target subscribers and investor profile The Fund s units have not been registered under the US Securities Act of As such, they may not be offered or sold directly or indirectly on behalf of or to a US person as defined in US Regulation S. Furthermore, units of this Fund may not be offered or sold, either directly or indirectly, to US persons and/or to any entities held by one or more US persons as defined by the US Foreign Account Tax Compliance Act (FATCA). Excluding this exception, the Fund is open to all subscribers, excluding units denominated in sterling which are reserved for investors resident in the UK, Switzerland and Luxembourg. The FCP may be used within unit-linked life insurance policies. The appropriate investment amount depends on your personal situation. To determine their level of investment, investors are invited to seek professional advice in order to diversify their investments and to determine the proportion of their financial portfolio or their assets to be invested in this FCP relative to, more specifically, the recommended investment period and exposure to the aforementioned risks, their personal assets, needs and own objectives. The recommended minimum investment period is three years. 10

11 Investment policy Management report Carmignac Patrimoine gained 3.53% in 2013, trailing its reference indicator (+4.67%). This lag was mainly attributable to the impact of the change in US monetary policy in May and June on our investments in the emerging world, equities and bonds alike. Investment strategy The US Federal Reserve s U-turn in May was a low point of 2013 for Carmignac Patrimoine. We were not expecting Ben Bernanke to mention the conditions for QE tapering when, just a few months earlier, he had been encouraging central banks to pursue accommodative monetary policies. The Fund was therefore positioned in expectation of the Fed maintaining its accommodative policy. Following this intervention, with US yields at risk of rising, we took a moderately short duration stance along with significant exposure to the dollar. Carmignac Patrimoine s modified duration was managed in the 2 to - 2 range from May, ending the year at The portfolio s equity exposure was raised towards its maximum level at the beginning of September, while the allocation to European equities and stocks benefiting from stronger US growth was increased at the expense of emerging market investments. We kept our Japanese equity exposure and short positioning on the yen, taking into account the economic and monetary policy being followed in Japan. We are maintaining a significant allocation to sovereign debt in Europe s periphery given the economic stabilisation brought about by the ECB. Italian and Spanish debt show less tightening potential than in 2013 but still offer attractive carry. We are also keeping our credit allocation close to 25% to take advantage of the yield, while any narrowing of credit spreads is likely to be modest. We prefer European corporate issuers in the financial sector. For the currency component, the upturn in UK growth in the second half of 2013 should continue in We exposed the Fund to sterling, which should benefit from this improvement in economic conditions. Performance Regarding the equity component, the Fund made a gross positive contribution of +5.09% against +8.67% for its reference indicator. The Fund benefited from its exposure to the consumer and financial sectors in In terms of gross performance, bonds had a negative effect of 0.27% on the Fund and 3.99% on the reference indicator. Corporate bonds made a positive contribution to Fund performance, largely on account of the financial sector. We benefited from both carry and a tightening of spreads over the year, especially on European banks. The Fund also drew strength from its allocation to government bonds in Europe s periphery as southern European (Spanish and Italian) yields continued to fall. However, this positive contribution was completely wiped out by our exposure to emerging market local debt, badly affected during the summer by fears of a reduction in the Fed s bond purchases. We closed the emerging market government bond component after seeing high volatility in June. Although we think that the asset class still offers numerous opportunities, we are avoiding this segment of the market as we want to keep the portfolio balanced, taking into account our positioning in emerging market equities and the persistently high level of equity exposure. Currency derivatives added 0.24% to the Fund s gross performance over the year. The yen s depreciation was a highlight of 2013, having a very positive effect. We remain positioned to take advantage of the yen s ongoing weakness, confident in the Bank of Japan s determination to reach its 2% inflation target as it applies new monetary easing measures, most notably to offset the impact of a 3% VAT increase, which could reduce GDP growth by 0.8%. Past performance does not reflect current or future performance and the performance data do not take into account the fees and charges received upon the issue and redemption of the shares. 11

12 Regulatory information Policy for the selection of intermediaries In its capacity as management company, Carmignac Gestion selects service providers whose execution policy guarantees the best possible result when executing orders transmitted on behalf of its UCITS or its clients. It also selects service providers to aid in making investment decisions and to execute orders. In both cases, Carmignac Gestion has defined a policy for selecting and evaluating intermediaries according to certain criteria. You can find the updated version of this policy at where you will also find a report on intermediary fees. Communication on environmental, social and governance criteria (ESG) With regard to MSCI ESG criteria, Carmignac Patrimoine suffers structurally when compared with its reference indicator due to its significant exposure to emerging markets. However, 90% of its holdings hold a score equal to or higher than B, and scores of between A and AAA represent nearly 28% of the portfolio. In terms of human capital criteria, the Fund has scores close to those of its reference indicator. Stocks in our portfolio with muted scores included Yum! Brands, particularly as a result of its use of palm oil not certified as being sustainable. However, the company has indicated that it is planning to reduce palm oil consumption at its 39,000 restaurants. Yum! Brands has nevertheless made significant progress, particularly in Asia, in the use of cardboard and paper that has either been recycled or contains cellulose sourced from logging sites that comply with sustainable development standards. We remain diligent in light of both of these social and environmental criteria. Our management team's strong local presence enables us to perform an in-depth analysis of the stocks in which we invest. In the emerging world, we also tend to pay particular attention to corporate governance and to the quality of the management teams. Overall risk calculation method The method for determining the overall risk for this Fund is the relative VaR method. The model and parameters used are as follows: VaR (99%, 20 days) calculated using a historical approach based on two years' rolling data. The Fund's reference indicator is the following: 50% MSCI All Countries World NR converted into EUR + 50% Citigroup World Global Bond Index All Maturities. Maximum, minimum and average VaR levels over the year are shown in the table below: VaR 99%, 20 days Min Average Max Carmignac Patrimoine Leverage Min Averag Max Carmignac Patrimoine 0.80 e Life of the Fund January 2013: - Addition of two derivative underlyings: volatility index (maximum 10% of net assets) and commodity index (maximum 10% of net assets). Addition of 3 risks: volatility, commodity indices and emerging markets. Update of reference indicator (dividends reinvested) and Bloomberg codes; - Update of regulatory references, glossary; - Definition of US nationals: addition of FATCA criteria; - Removal of the pre-centralisation time by Carmignac Gestion; - Update of the evaluation time of exchange rates; - Update of the definition of distributable income. 12

13 March 2013: - Creation of two yen units. A JPY Inc B JPY Inc JPY 10,000 JPY 10,000 FR FR Half-yearly Distribution Payment in April and October Half-yearly Distribution Payment in April and October JPY (hedged) JPY All investors All investors JPY 25,000,000,000 1 unit JPY 25,000,000,000 1 unit Settlement/ delivery deadline: four French AND Japanese business days Settlement/ delivery deadline: four French AND Japanese business days Entry fees: 4% Management fees: 1% Entry fees: 4% Management fees: 1% - Withdrawal of the notion of prohibited sale in United States: only prohibited to US persons. The minimum subscription amount does not apply to the Carmignac group. - Clarification on the definition of performance fees: (2) The performance fees are based on a comparison between the performance of the fund (except unhedged units) and its reference indicator over the financial year. Regarding unhedged units, performance fees are calculated on the basis of the unit s performance compared with that of the reference indicator converted into the currency of the unit. June 2013: - Update of ESMA rules for collateral and temporary sales of securities; - Clarification on single centralising agent: Caceis Bank France. November 2013: - Change in units nomenclature; - Quarterly rather than annual rebalancing of the composite index; - Names of rating agencies deleted from prospectuses; - Change to the UCITS/UCI nomenclatures following the AIFM Directive; - Clarification on the VaR calculation; - Removal of pure registered securities. 13

14 ANNUAL FINANCIAL STATEMENTS OF CARMIGNAC PATRIMOINE The annual financial statements presented here have been established, on the one hand, in accordance with the new regulatory provisions, more precisely Ordinance No of 1 August 2011, which introduced the change to the scope of distributable income in UCIs with possible distribution of realised net capital gains and losses and, on the other hand, according to the same valuation methods as those in the previous financial year. 14

15 CARMIGNAC PATRIMOINE BALANCE SHEET ASSETS 31/12/ /12/2012 Net fixed assets Deposits Financial instruments 27,343,804, ,219,235, Equities and similar securities 13,542,080, ,642,990, Traded on a regulated or similar market 13,542,080, ,642,990, Not traded on a regulated or similar market Bonds and similar securities 12,075,426, ,229,811, Traded on a regulated or similar market 12,075,426, ,229,811, Not traded on a regulated or similar market Debt securities 1,507,656, ,220,914, Traded on a regulated or similar market 1,507,656, ,220,914, Transferable debt securities 1,507,656, ,220,914, Other debt securities Not traded on a regulated or similar market Undertakings for Collective Investment 62,805, Coordinated European UCIs and standard French UCIs 62,805, UCIs reserved for specific investors - FCPR (French venture capital funds) - FCIMT (French futures funds) Listed FCCs (securitisation funds) and investment funds Unlisted FCCs (securitisation funds) and investment funds Temporary transactions on securities Receivables on securities received under a repurchase agreement (pension) Receivables on securities lent Securities borrowed Securities transferred under a repurchase agreement (pension) Other temporary transactions Forward financial instruments 155,834, ,518, Transactions on a regulated or similar market 150,352, ,509, Other transactions 5,482, ,008, Other financial instruments Receivables 11,269,613, ,833,588, Currency forward exchange contracts 10,545,973, ,562,079, Other 723,639, ,508, Financial accounts 4,423, ,121,482, Cash 4,423, ,121,482, Total assets 38,617,841, ,174,305,

16 CARMIGNAC PATRIMOINE BALANCE SHEET LIABILITIES 31/12/ /12/2012 Equity capital Share capital 27,224,228, ,708,016, Non-distributed prior net capital gains and losses (a) Retained earnings (a) 6, Net capital gains and losses for the financial year (a, b) -426,796, Profit/(loss) for the financial year (a, b) 329,205, ,856, Total share capital (= Amount corresponding to the net assets) 27,126,644, ,013,873, Financial instruments 150,029, ,509, Sales of financial instruments Temporary transactions on securities Payables on securities transferred under a repurchase agreement (pension) Payables on securities borrowed Other temporary transactions Forward financial instruments 150,029, ,509, Transactions on a regulated or similar market 150,029, ,509, Other transactions Payables 11,074,245, ,092,794, Currency forward exchange contracts 10,462,933, ,511,366, Other 611,311, ,427, Financial accounts 266,922, , Short-term bank loans 266,922, , Borrowings Total liabilities 38,617,841, ,174,305, (a) Including accruals and deferrals (b) Less interim dividends paid for the financial year 16

17 CARMIGNAC PATRIMOINE OFF-BALANCE SHEET Hedging transactions 31/12/ /12/2012 Commitment on regulated or similar markets Futures contracts CBO CBOT UST ,569, CBO CBOT UST 5A ,068,711, CBO CBOT USTB ,695, CME S&P500 MINI ,522, EUREX EUROBD ,529,766, Commitment on OTC markets Other commitments Other transactions Commitment on regulated or similar markets Futures contracts BC00 UBS CARM ,135, BC00 UBS CARM ,072, BC00 UBS CARM ,562, BC00 UBS CARM ,375, BC00 UBS CARM ,318, BC00 UBS CARM ,344, BC00 UBS CARM ,888, CBO CBOT UST ,681,421, CBO CBOT UST 5A ,934,518, EUREX EUROSTX 387,020, OSE OS NIKKEI ,456, SIM SGX NIK ,561, S&P500 MINI ,011, TSE TSE TOPIX I ,844, Options EUREX EURO BUND 01/2013 PUT ,064, Commitment on OTC markets Options EUR/USD OTC 01/2013 CALL ,500, EUR/USD OTC 01/2013 CALL ,500, EUR/USD OTC 01/2013 CALL ,875, EUR/USD OTC 01/2013 CALL ,400, GBP/CAD C ,999, Other commitments 17

18 CARMIGNAC PATRIMOINE INCOME STATEMENT 31/12/ /12/2012 Income from financial transactions Income from deposits and financial accounts 78, , Income from equities and similar securities 177,964, ,463, Income from bonds and similar securities 621,649, ,513, Income from debt securities 9,543, ,271, Income from temporary purchases and sales of securities 1,883, ,824, Income from financial futures 14,351, Other financial income Total (1) 811,120, ,941, Payables on financial transactions Payables on temporary purchases and sales of securities 78, , Payables on financial futures -189, Payables on financial debts 1,100, , Other payables Total (2) 1,178, , Profit/(loss) on financial transactions (1-2) 809,941, ,047, Other income (3) Management fee and depreciation allowance (4) 451,554, ,744, Net profit/(loss) for the financial year (L ) ( ) 358,386, ,303, Income equalisation for the financial year (5) -28,640, ,553, Interim dividends on income paid for the financial year (6) -541, Profit/(loss) ( ) 329,205, ,856,

19 NOTES TO THE FINANCIAL STATEMENTS OF CARMIGNAC PATRIMOINE Accounting methods and rules The annual financial statements are established in accordance with the provisions laid down in Accounting Regulatory Committee (CRC) regulation no , as amended, with regard to the accounting guidelines applicable to UCITS. Article 18 of Ordinance provides for the possibility of distributing net capital gains for financial years beginning on or after 1 January The accounting guidelines applicable to UCITS have been amended to take this additional possibility into account. The changes relate to the definition of distributable income. Realised capital gains, net of fees, less realised capital losses, net of fees, are added to the net profit to determine the distributable income. The data of previous financial years have not been restated. The general principles of accounting apply: - a true and fair view, comparability, continuity of operations, - lawfulness and fairness, - prudence, - consistency of methods from one financial year to the next. Income from fixed income securities is recorded on the basis of accrued interest. Purchases and sales of securities are recorded exclusive of costs. The accounting currency of the portfolio is the EURO. There are 12 months in the financial year. Valuation rules for the assets Financial instruments are recorded in the financial statements using the historical cost method and they are entered on the balance sheet at their current value as determined by the last-known market value or, where a market does not exist, by any external means or by using financial models. Differences between the current values used to calculate the net asset value and the historical costs of transferable securities when first included in the portfolio are recorded in valuation differentials accounts. Securities that are not denominated in the currency of the portfolio are valued in accordance with the principle described below; the valuation is then converted into the currency of the portfolio on the basis of the exchange rate prevailing on the valuation day. Deposits: Deposits with a residual maturity of less than or equal to 3 months are valued using the straight-line method. Equities, bonds and other securities traded on a regulated or similar market: For the calculation of the net asset value, equities and other securities traded on a regulated or similar market are valued on the basis of the last market price of the day. Bonds and other similar securities are valued at the closing price supplied by various financial service providers. Interest accrued on bonds and other similar securities is calculated up to the date of the net asset value. French government bonds are valued on the basis of the mid price of a contributor (a primary dealer selected by the French Treasury), supplied by an information server. This price is subject to a reliability check by means of a comparison with the prices of several other primary dealers. 19

20 Equities, bonds and other securities not traded on a regulated or similar market: Securities not traded on a regulated market are valued by the management company using methods based on the market value and the yield, while taking account of recent prices observed for significant transactions. Transferable debt securities: Transferable debt securities and similar securities that are not traded in large volumes are valued on the basis of an actuarial method, the reference rate (as defined below) being increased, where applicable, by a differential representative of the intrinsic characteristics of the issuer: Transferable debt securities with a maturity of less than or equal to 1 year: Interbank rate in euro (Euribor); Transferable debt securities with a maturity exceeding 1 year: valued using rates for French treasury bills (BTAN and OAT) with similar maturity dates for the longer durations. Transferable debt securities with a residual maturity of less than three months may be valued using the straight-line method. French treasury bills are valued on the basis of market prices, as published daily by the Bank of France. UCIs held by the Fund: Units or shares of UCITS shall be valued at their last known net asset value. Temporary transactions on securities: Securities received under repurchase agreements are recorded as an asset under the heading "Receivables on securities received under a repurchase agreement (pension)" at the contract amount, plus any accrued interest receivable. Securities transferred under a repurchase agreement are recorded as securities purchased at their current value. The payables on securities transferred under a repurchase agreement are recorded as securities sold at the value determined in the contract, plus any accrued interest payable. Securities lent are valued at their current value and are recorded as an asset under the heading "Receivables on securities lent" at their current value, plus any accrued interest receivable. Securities borrowed are recorded as an asset under the heading "Securities borrowed" at the contract amount and as a liability under the heading "Payables on securities borrowed" at the contract amount, plus any accrued interest payable. Forward financial instruments: Forward financial instruments traded on a regulated or similar market: Forward financial instruments traded on regulated markets are valued at the settlement price of that day. Forward financial instruments not traded on a regulated or similar market: Swaps: Interest rate and/or currency swaps are valued at their market value by discounting future interest payments at the interest rate and/or currency exchange rate prevailing on the market. This price is adjusted to the issuer's risk. Index swaps are valued using an actuarial method on the basis of a reference rate provided by the counterparty. Other swaps are valued at their market value or at a value estimated according to the terms and conditions determined by the management company. 20

21 Off-balance sheet commitments: Futures contracts are recorded at their market value as off-balance sheet commitments on the basis of the price used in the portfolio. Options are converted into the underlying equivalent. Swap commitments are recorded at their nominal value or, where there is no nominal value, at an equivalent amount. Financial instruments: NAME CME S&P500 MINI 0314 BC00 UBS CARM 0314 CBO CBOT UST 5A 0314 CBO CBOT UST 10A 0314 BC00 UBS CARM 0314 BC00 UBS CARM 0314 BC00 UBS CARM 0314 BC00 UBS CARM 0314 BC00 UBS CARM 0314 BC00 UBS CARM 0314 GBP/CAD C DESCRIPTION S&P 500 Future Forward on baskets of Asian equities 5-year US government bond future 10-year US government bond future Forward on baskets of Asian equities Forward on baskets of Asian equities Forward on baskets of Asian equities Forward on baskets of Asian equities Forward on baskets of Asian equities Forward on baskets of Asian equities GBP/CAD currency option Management fees: Management fees are calculated on each valuation day on the basis of the net assets. These fees are recorded in the Fund's income statement. The management fees are paid in full to the Management Company responsible for all of the operating costs of the Funds. Management fees do not include transaction fees. The rate applied is 1.5% of the net assets on A EUR acc, A CHF acc Hdg, A USD acc Hdg and A EUR Y dis units, 2% of the net assets on E EUR acc units, 1.00% of the net assets on F GBP Qdis Hdg, A JPY inc Hdg and B JPY inc units, and 0.85% of the net assets on F GBP acc Hdg units. The performance fees are based on a comparison between the performance of the fund and its reference indicator over the financial year. The Fund s reference indicator is the following composite index: 50% MSCI AC World Free index, the Morgan Stanley international equity index, converted into euro, + +50% Citigroup WGBI All Maturities EUR index, the world bond index. The fund s performance is calculated according to changes in the net asset value. If the performance since the beginning of the financial year is positive and exceeds the performance of the composite index (50% MSCI AC World EUR, the Morgan Stanley international equity index, + +50% Citigroup WGBI All Maturities EUR, the world bond index), a daily provision of a maximum of 10% of this outperformance is established. In the event of underperformance in relation to this index, a daily amount corresponding to a maximum of 10% of this underperformance is deducted from the provision established since the beginning of the year. This provision is deducted annually from the last net asset value of the month of December by the management company. If over the financial year the fund s performance is lower than that of its reference indicator, the variable part of the management fees shall be zero. If during the year the fund s performance since the beginning of the calendar year is positive and greater than that of its reference indicator calculated over the same period, this outperformance shall be the basis for a provision for the variable management fees on calculation of the net asset value. In the event that the fund underperforms in relation to its reference indicator between two net asset value calculation dates, any provision previously made shall be readjusted by a reduction in the provision. Such reductions in the provision are limited to the amount of previous contributions. 21

22 This variable part of the management fees shall only be received definitively at the close of each financial year if the performance of the fund has been positive and greater than that of its reference indicator over the year. It is deducted annually from the last net asset value of the month of December by the management company. Dividend policy The net profit/loss for the financial year is equal to the amount of interest, arrears, dividends, premiums and prizes, plus income generated by temporary cash holdings. Management fees and payables on financial transactions are charged against this income. Realised or unrealised gains or losses, as well as subscription and redemption fees, do not constitute income. Distributable income is equal to the net income for the financial year plus retained earnings, plus or minus the balance of the income equalisation accounts for the last financial year. In accordance with the provisions of the full prospectus, distributable income shall be accumulated in full by the Fund. Allocation of distributable income Definition of distributable income: Distributable income is made up of: Income: The net income for the financial year is equal to the amount of interest, arrears, premiums and prizes, dividends, director s fees and any other income relating to the securities constituting the portfolio, plus income generated by temporary cash holdings and minus the amount of management fees and interest charges on loans. This is increased by retained earnings, plus or minus the balance of the Income equalisation accounts. Capital gains and losses: Realised capital gains, net of fees, minus realised capital losses, net of fees, recognised during the financial year, plus net capital gains of a similar nature recognised during previous financial years and which have not been distributed or accumulated, plus or minus the balance of the capital gains equalisation account. Allocation of distributable income: Distributable income Dividend policy Allocation of net realised capital gains or losses Units Accumulation units: A EUR acc, E EUR acc, F GBP acc Hdg, A CHF acc Hdg, A USD acc Hdg Distribution units: A EUR Y dis, F GBP Qdis Hdg, A JPY inc, B JPY inc: Accumulation units: A EUR acc, E EUR acc, F GBP acc Hdg, A CHF acc Hdg, A USD acc Hdg Distribution units: A EUR Y dis, F GBP Qdis Hdg, A JPY inc, B JPY inc: 22

23 CARMIGNAC PATRIMOINE CHANGES IN NET ASSETS 31/12/ /12/2012 Net assets at the beginning of the financial year 28,013,873, ,686,103, Subscriptions (including subscription fees paid to the UCI) 8,099,367, ,971,203, Redemptions (after deduction of redemption fees paid to the UCI) -9,832,049, ,958,605, Realised gains on deposits and financial instruments 1,046,185, ,068, Realised losses on deposits and financial instruments -962,028, ,462, Realised gains on forward financial instruments 2,346,013, ,706,837, Realised losses on forward financial instruments -2,591,172, ,309,934, Transaction costs -86,449, ,963, Foreign exchange differences -980,696, ,996, Changes in the valuation differential of deposits and financial instruments 1,606,309, ,787,378, Valuation differential for the financial year N 3,449,751, ,843,442, Valuation differential for the financial year N-1-1,843,442, ,063, Changes in the valuation differential of forward financial instruments 110,404, ,941, Valuation differential for the financial year N 148,663, ,258, Valuation differential for the financial year N-1-38,258, ,683, Dividends paid in the previous financial year on net capital gains and losses Dividends paid in the previous financial year on income -965, Net profit/(loss) for the financial year prior to the income equalisation 358,386, ,303, account Interim dividend(s) paid during the financial year on net capital gains and losses Interim dividend(s) paid during the financial year on income -541, Other items* 6, Net assets at the end of the financial year 27,126,644, ,013,873, * account adjustment variable management fees 23