FIDEURAM MULTIMANAGER FUND

Transcription

1 Semi-annual report JUNE 30, 2011 (not audited) No subscriptions can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current prospectus accompanied by the last available annual and semi-annual reports.

2 Table of contents Page Board of Directors & Independent Auditor 2 Statements of Net Assets & Information on Net Assets 3 Statements of Investment Portfolio FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL 4 Geographical Breakdowns 7 Economical Breakdowns 8 Forward Foreign Exchange Contracts 9 Notes to the Financial Statements 10 Copies of the annual and semi-annual reports are available at the registered office of Fideuram Gestions S.A., 17 A rue des Bains, Luxembourg. Monthly issue and redemption prices per unit of the compartments of the Fund are available at the registered and at the administrative offices of Fideuram Gestions S.A.. The updated articles of the Management Regulations were lodged at the offices of the Chief Registrar of the District Court of Luxembourg (Greffier en chef du Tribunal d'arrondissement de et à Luxembourg) on April 7, 2008 where they are available for inspection and where copies thereof can be obtained upon request.

3 BOARD OF DIRECTORS & INDEPENDENT AUDITOR FIDEURAM GESTIONS S.A. BOARD OF DIRECTORS Franco Tutino Chairman Professor of Economy and Bank Management at the University La Sapienza Roma Via di Monteverde 74, Roma Italy Tommaso Corcos Vice-Chairman Managing Director of Fideuram Investimenti SGR S.p.A. 43, Via Del Serafico, Roma Italy Raffaele Artigliere Ianniciello Director Chairman of Fideuram Fiduciaria, 31, Piazzale Giulio Douhet, Roma Italy Claudio Colombatto Director Head of Information Systems and Operating Services Banca Fideuram S.p.A., 31, Piazzale Giulio Douhet, Roma Italy Alex Schmitt Director Attorney-at-Law Bonn & Schmitt & Steichen 22-24, Rives de Clausen Luxembourg INDEPENDENT AUDITOR Ernst & Young S.A. 7, rue Gabriel Lippmann, Parc d'activité Syrdall 2, Munsbach Luxembourg 2

4 STATEMENTS OF NET ASSETS AS OF JUNE 30, 2011 (Currency-EUR) FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL ASSETS:... Investments in UCIs, at cost 97,989,218 Net... unrealized appreciation / (depreciation) (628,007)... Investments in UCIs, at fair value 97,361,211 Cash... at banks 5,628, Unrealized gain on forward foreign exchange contracts 6,470,438 Total Assets: 109,460,545 LIABILITIES:... Bank overdraft (8,064,927) Other... payables and accrued expenses (538,171) Total Liabilities: (8,603,098) Total net assets 100,857,447 INFORMATION ON NET ASSETS AS OF JUNE 30, 2011 (Currency-EUR) Total Net Assets Compartment name JUNE 30, 2011 FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL 100,857,447 Number of units outstanding JUNE 30, , Compartment name FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL Net asset value per unit JUNE 30, 2011 Net asset value per unit DECEMBER 31, 2010 Net asset value per unit DECEMBER 31, The accompanying notes are an integral part of these financial statements. General note: differences in additions, if any, are due to rounding. 3

5 MARKET NEUTRAL Statement of Investment Portfolio JUNE 30, 2011 Country Principal Amount or Number of Units / Shares owned Fair Value EUR % of Net Assets OPEN-ENDED UCIS QUOTED ON AN OFFICIAL STOCK EXCHANGE LUXEMBOURG NON QUOTED USD 832 TRANSTREND FUND ALLIANCE SICAV - OMNITREND PLUS (USD) INSTITUTIONAL SHARES 1,585, USD 91 AMARANTH INTERNATIONAL LTD. SERIES 1 DESIGNATED INVESTMENT SHARES # 9660 (DI1) 70, USD 514 AMARANTH INTERNATIONAL LTD. SERIES 2 DESIGNATED 504, INVESTMENT SHARES # 9660 (DI2) USD 521 AMARANTH INTERNATIONAL LTD. SERIES , USD 167 AMARANTH INTERNATIONAL LTD. SERIES , USD 15,587 BLAKENEY FUND LTD. CLASS A 2,810, USD 35 HIGHLAND CRUSADER FUND II LTD. CLASS E SERIES RESTRICTED SHARES USD 2,328 RANGE WISE MAC 58 LTD. CLASS A 1,982, USD 973 AAA MAC 53 LTD. CLASS A 2,881, USD 36,902 ADELPHI EMERGING EUROPE FUND SHARES (USD) 3,740, USD 5,606 ALPHA SELECT MAC LTD. CLASS A NON-VOTING 4,809, PARTICIPATING REDEEMABLE SHARES (USD) USD 6,951 ARISTEIA INTERNATIONAL LTD. CLASS B SERIES 4,033, BENCHMARK NON VOTING USD 1,018 BAY HARBOUR MASTER LTD. CLASS A SIDE POCKET 657, USD 1,582 BLENHEIM COMMODITY FUND LTD. CLASS C SERIES 1 1,946, USD 2,000 BLENHEIM COMMODITY FUND LTD. CLASS C SERIES ,278, USD 12,473 BLUETREND 2X LEVERAGED FUND LTD. SERIES 1 2,826, USD 979 BRIDGEWATER MAC 10 LTD. CLASS A NON-VOTING 4,306, PARTICIPATING REDEEMABLE SHARES (USD) USD 620 CALYPSO OVERSEAS LTD. CLASS H SERIES 1 529, USD 2,537 CAMULOS PARTNERS OFFSHORE LTD. CLASS I 219, USD 82 CAMULOS PARTNERS OFFSHORE LTD. CLASS N SERIES 1 20, RESTRICTED SHARES USD 10 CAMULOS PARTNERS OFFSHORE LTD. CLASS N SERIES 18 1,815 - (04/07) USD 15 CAMULOS PARTNERS OFFSHORE LTD. CLASS N SERIES 26 2, RESTRICTED USD 5 CAMULOS PARTNERS OFFSHORE LTD. CLASS N SERIES 31 1,077 - (05/08) RESTRICTED USD 15 CAMULOS PARTNERS OFFSHORE LTD. CLASS N SERIES 33 3,219 - (07/08) RESTRICTED USD 2,655 CANYON VALUE REALIZATION MAC 18 LTD. CLASS A NON- 4,556, VOTING PARTICIPATING REDEEMABLE SHARES (USD) USD 2,063 COAT CAYMAN FUND LIMITED CLASS A 2,059, USD 68,409 CREATION FUND LTD. SHARES 4,630, USD 104 DBGM OFFSHORE LTD. (SPV) SPV ASSETS FEB , (152MASPV020901) USD 331 DRAKE GLOBAL OPPORTUNITIES FUND LTD. CLASS D 213, SERIES 1 RESTRICTED USD 235 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SP 120, SERIES 1 RESTRICTED SHARES USD 13 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB 16, CLASS S SP SERIES 11 (09/08) USD 753 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB 306, CLASS S SP SERIES 12 (09/08) CHANGES IN INVESTMENT PORTFOLIO The changes in investment portfolio for the period from JANUARY 1, 2011 to JUNE 30, 2011 are available at the registered office. The accompanying notes are an integral part of these financial statements. 4

6 MARKET NEUTRAL Statement of Investment Portfolio (continued) JUNE 30, 2011 Country Principal Amount or Number of Units / Shares owned Fair Value EUR % of Net Assets USD 13 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- CLASS S SP SERIES 10 (10/08) 3,540 - USD 100 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- 53, CLASS S SP SERIES 3 (02/07) USD 134 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- 76, CLASS S SP SERIES 4 (07/07) USD 75 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- 48, CLASS S SP SERIES 5 (09/07) USD 74 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- - - CLASS S SP SERIES 6 (11/07) USD 49 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- 52, CLASS S SP SERIES 7 (02/08) USD 33 DRAWBRIDGE GLOBAL MACRO FUND LTD. CLASS F1F SUB- 22, CLASS S SP SERIES 9 (05/08) USD 70 DRAWBRIDGE GLOBAL MACRO FUND LTD. SIDE POCKET 48, RESERVE SHARES ( ) USD 198,861 ENERGY AND POWER PERFORMANCE OFFSHORE FUND INC. 152, REDEEMABLE PARTICIPATING SHARES USD 5,015,142 FAIRWAY FUND LIMITED REDEEMABLE PARTICIPATING NON- 4,586, VOTING SHARES (USD) USD 5,471 FALSTAFF CAYMAN FUND LTD. CLASS A 4,058, USD 3,959 FIVE FIFTEEN CAYMAN FUND LTD. CLASS A USD 2,883, USD 1,175,949 HBK OFFSHORE SLV L.P. DESIGNATED ACCOUNT CLASS C 527, USD 4,563 ISHIN MAC 90 LTD. CLASS A 4,191, USD 2,036 KAISER TRADING FUND 2X SPC KAISER TRADING 1,928, DIVERSIFIED 2X SEGREGATED PORTFOLIO SHARES (USD) USD 21 KING STREET CAPITAL LTD. CLASS S SERIES 13 SIDE POCKET USD 22,373 LAGERN FUND LTD. NON-VOTING SHARES (USD) 1,841, USD 36,900 LOIRE LTD SHARES (USD) 3,872, USD 4,548 MONARCH CAYMAN FUND LTD. CLASS A 3,708, USD 5,591 PAULSON ADVANTAGE PLUS LTD. CLASS A INITIAL SERIES 1,870, USD 3,421 PENTA ASIA MAC 91 LTD. CLASS A 3,669, USD 2,162 PHARO MACRO FUND LTD. CLASS A SERIES 01 (05/05) 3,270, (1043S ) USD 6,600 RWC SAMSARA CAYMAN FUND LIMITED USD 5,350, USD 6,959 SURSUM CAPITAL CAYMAN FUND LTD CLASS A (USD) 4,995, ((SSM )) USD 239 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 162, CLASS A NON NEW ISSUE SERIES 4 USD 66 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 82, CLASS A SERIES 1 USD 5 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 5, CLASS S SERIES 1 (A1) SIDE POCKET C16 USD 4 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 4,094 - CLASS S10 SERIES 1 (A1) SIDE POCKET C16 USD 15 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 15, CLASS S12 SERIES 1 (A1) SIDE POCKET C16 USD 119 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 164, CLASS S15 SERIES 1 (A1) SIDE POCKET C16 USD 3 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 4,822 - CLASS S16 SERIES 1 (A1) SIDE POCKET C16 USD 6 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 4,054 - CLASS S2 SERIES 1 (A1) SIDE POCKET C16 USD 4 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. - - CLASS S3 SERIES 1 (A1) SIDE POCKET C16 USD 65 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 18, CLASS S4 SERIES 1 (A1) SIDE POCKET C16 USD 34 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 13, CLASS S5 SERIES 1 (A1) SIDE POCKET C16 USD 30 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 46, CLASS S6 SERIES 2 (A1) SIDE POCKET C16 USD 13 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. 17, CLASS S8 SERIES 1 (A1) SIDE POCKET C16 CHANGES IN INVESTMENT PORTFOLIO The changes in investment portfolio for the period from JANUARY 1, 2011 to JUNE 30, 2011 are available at the registered office. The accompanying notes are an integral part of these financial statements. 5

7 MARKET NEUTRAL Statement of Investment Portfolio (continued) JUNE 30, 2011 Country Principal Amount or Number of Units / Shares owned Fair Value EUR % of Net Assets JERSEY JERSEY JERSEY JERSEY JERSEY USD 216 THE ROHATYN GROUP GLOBAL OPPORTUNITY FUND LTD. NON NEW ISSUE CLASS A SERIES 3 ROH GOF NNI C 149, USD 2,737 VAN ECK HARD ASSETS CAYMAN FUND LTD. CLASS A 2,036, USD 620 WINTON EVOLUTION FUND CLASS AS (USD) 63, USD 453 BENNELONG ASIA PACIFIC MULTI-STRATEGY EQUITY FUND 47, LTD. CLASS S SERIES 02/10 USD E 12/07 USD 139 BENNELONG ASIA PACIFIC MULTI-STRATEGY EQUITY FUND 15, LTD. CLASS S SERIES 0310 USD E 0709 USD 773 BENNELONG ASIA PACIFIC MULTI-STRATEGY EQUITY FUND 87, LTD. CLASS S SERIES 0310 USD E 1107 USD 1,427 BENNELONG ASIA PACIFIC MULTI-STRATEGY EQUITY FUND 160, LTD. CLASS S SERIES 0310 USD E 1207 USD 921 BENNELONG ASIA PACIFIC MULTI-STRATEGY EQUITY FUND 95, LTD. PTG.SHS /CLASS -S- SERIES 0210 B 1207 USD USD 2,965 CASTLERIGG INTERNATIONAL LTD. CLASS L SERIES , (01/09) USD 316 CASTLERIGG INTERNATIONAL LTD. CLASS L SERIES 12 22, (01/09) USD 146 CASTLERIGG INTERNATIONAL LTD. CLASS SR SERIES 12 11, (01/09) (NTAS 131SR ) USD 1,368 CASTLERIGG INTERNATIONAL LTD. CLASS SRII SERIES 1 103, (01/09) (NTAS 131SR ) USD 12,576 CAXTON GLOBAL INVESTMENTS LTD. CLASS SI SIDEPOCKET 102, NON VOTING SHARES USD 103 KING STREET CAPITAL LTD. CLASS A SERIES 4 9, USD 68 KING STREET CAPITAL LTD. CLASS S SERIES 14 5, USD 10 KING STREET CAPITAL LTD. CLASS S SERIES 16 1,115 - USD 14 KING STREET CAPITAL LTD. CLASS S SERIES 18 1,000 - USD 16 KING STREET CAPITAL LTD. CLASS S SERIES 20 1,194 - USD 32 KING STREET CAPITAL LTD. CLASS S SERIES 24 2,455 - OPEN-ENDED UCIS 97,361, TOTAL INVESTMENTS 97,361, CASH AT BANKS (2,436,031) (2.42) OTHER NET ASSETS 5,932, TOTAL NET ASSETS 100,857, CHANGES IN INVESTMENT PORTFOLIO The changes in investment portfolio for the period from JANUARY 1, 2011 to JUNE 30, 2011 are available at the registered office. The accompanying notes are an integral part of these financial statements. 6

8 GEOGRAPHICAL BREAKDOWNS (expressed in % of net assets) AT JUNE 30, 2011 FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL % 5.56 % LUXEMBOURG 1.57 % 0.47 % JERSEY 0.40 % % CASH AT BANKS (2.42) % OTHER NET ASSETS 5.89 % TOTAL NET ASSETS % 7

9 ECONOMICAL BREAKDOWNS (expressed in % of net assets) AT JUNE 30, 2011 FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL Diversified Financial Services % Diversified Commercial Services 1.57 % % CASH AT BANKS (2.42) % OTHER NET ASSETS 5.89 % TOTAL NET ASSETS % 8

10 FORWARD FOREIGN EXCHANGE CONTRACTS AT JUNE 30, 2011 FIDEURAM MULTIMANAGER FUND FIDEURAM MULTIMANAGER FUND MARKET NEUTRAL Trade Date Maturity Date Currency Amounts Sold Exchange Rate Currency Amounts Purchased 22/03/11 29/07/11 EUR 1,794, USD 2,540,000 05/04/11 29/07/11 EUR 2,165, USD 1,531,496 03/05/11 29/07/11 EUR 8,967, USD 13,246,000 23/05/11 29/07/11 EUR 109,940, USD 153,983,142 27/06/11 29/07/11 EUR 1,815, USD 2,578,000 25/02/11 29/07/11 USD 165,978, EUR 120,970,810 23/05/11 31/08/11 USD 152,613, EUR 109,048,232 Unrealized gains of EUR 6,470,438 on outstanding forward foreign exchange contracts are recorded in "Unrealized gain on forward foreign exchange contracts" in the statement of net assets. 9

11 NOTES TO THE FINANCIAL STATEMENTS AT JUNE 30, ORGANISATION Fideuram Multimanager Fund (the "Fund") has been established by Fideuram Gestions S.A. (the Management Company ) as an investment fund under the Luxembourg law of December 20, 2002 (Part II), as amended. The Management Company is registered at the Luxembourg register of Companies under the number B The Fund is authorized to distribute its units under the conditions laid out in its "Prospectus". The Fund operates as a fund of funds, investing its net assets in a portfolio of UCIs that are generically known as hedge funds and is organized as an umbrella fund. As of January 26, 2011, the sub-fund denominated Market Opportunities has merged into the sub-fund Market Neutral. The exchange ratio was as follows: 1 unit of the sub-fund Market Opportunities gave right to unit of the sub-fund Market Neutral. As of June 30, 2011, the Fund consists of one sub-fund denominated Fideuram Multimanager Fund - Market Neutral (expressed in EURO). The net asset of said sub-fund is allocated to different alternative investment style UCIs, as described in the Prospectus. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The Fund keeps its books and records in EURO and the financial statements have been prepared and presented according to the accounting principles generally accepted for such investment funds in Luxembourg, which include the following significant accounting policies: a) Valuation of investments in UCIs Administrators of UCIs held by the Fund shall communicate monthly to the administrative agent the net asset value per unit/share of the relevant UCIs, which are valued at the latest available net asset value whether estimated or final on the relevant valuation day, failing which it shall be the last net asset value used to calculate the net asset value of the sub-funds. b) Foreign currency translation The fair value of the UCIs in the portfolio as well as the other assets and liabilities stated in currencies other than EUR are translated at the latest available exchange rates as of the net asset value date. Income and expenses denominated in foreign currencies are translated at the exchange rates prevailing at the transaction dates. The gain or loss from this translation is included in the result of the year. As at June 30, 2011, the exchange rate is as follows: 1 EURO equals USD. c) Cost of UCIs sold The cost of UCIs sold is determined on a weighted average basis. This cost includes the purchased net asset value per unit/share and the broker fees. d) Income recognition Dividend income is recorded on a dividend ex-date basis, net of withholding tax. e) Forward foreign exchange contracts Forward foreign exchange contracts are valued at the forward rates for the remaining period from valuation date to maturity date. 3. NET ASSET VALUE PER UNIT The net asset value per unit is computed on the 25 th day of each month (a Calculation Day ) by dividing the total net assets by the number of units outstanding. If such day is not a business day, then the net asset value of the units will be calculated on the next following business day. The net asset value of each sub-fund is based on data from the last business day of the month preceding the relevant Calculation Day (the Valuation Day ). 4. TAXES In accordance with Luxembourg law, the Fund is subject to a special tax status. The Fund is not subject to any income tax but is liable to an annual subscription tax, payable quarterly and assessed on the last day of each quarter, at an annual rate of 0.05% of its total net assets. No subscription tax is paid on the assets held by the Fund in other UCIs already subject to that tax in Luxembourg. 5. ISSUE AND REDEMPTION OF UNITS Units may be issued or redeemed monthly, at the net asset value per unit prevailing on the relevant Valuation Day as calculated on each Calculation Day. According to the Fund's Prospectus, the redemption of units can be temporarily suspended. There was no such suspension for the period ended June 30, DISTRIBUTION OF PROFITS In accordance with the Fund's Prospectus, profits are not distributed but reinvested. 7. MANAGEMENT OF THE FUND AND CUSTODIAN BANK Management Company On January 1, 2002, Fideuram Multimanager Fund Management Company merged with Fideuram Gestions S.A., a Luxembourg corporation controlled by Banca Fideuram S.p.A. Milan (Intesa Sanpaolo Group). Fideuram Gestions S.A. became the management company, acting on behalf of Fideuram Multimanager Fund, for an annual management fee equal to 1.80% of Market Neutral sub-fund s average net assets and paid quarterly. In addition, an annual performance fee (the Performance Fee ) may be due to the Management Company at the end of each fiscal year. The performance fee is an amount equal to 15% of the excess of the net asset value of the sub-fund performance over the high water mark accrued by the hurdle rate. The high water mark is defined as the highest level of the NAV/unit computed at the end of the previous fiscal years. At the inception date, the high water mark was equal to the subfund s NAV/unit at the inception. The hurdle rate is the 12 months Euribor (act/360) rate as applicable on the first business day of each fiscal year. Fideuram Gestions S.A. is in charge of the central administration, calculating the monthly NAV. The investment manager Since January 16, 2006, the Management Company has appointed Fideuram Asset Management (Ireland) Ltd. to act, under the Management Company s control and responsibility, as investment manager, responsible for the asset allocation of the Fund. 10

12 NOTES TO THE FINANCIAL STATEMENTS AT JUNE 30, 2011 (CONTINUED) The sub-investment manager Since January 16, 2006, the investment manager has appointed Man Investments (CH) AG to act, under the investment manager s control and responsibility, as sub-investment manager, responsible for the asset allocation of the Fund. The custodian bank The custodian bank, Fideuram Bank (Luxembourg) S.A., receives, as compensation for its activity, a fee calculated monthly, paid quarterly and based on the sub-fund s net assets during the relevant month. 8. RELATED PARTIES As mentioned in note 7, the Management Company has appointed Fideuram Bank (Luxembourg) S.A. as custodian bank of the Fund and Fideuram Asset Management (Ireland) Ltd. as investment manager of the Fund. Both companies are owned by Banca Fideuram S.p.A.. 9. COMMITMENTS Commitments on forward foreign exchange contracts are given on page 9. 11

13 RELEVANT ADDRESSES Management Company: FIDEURAM GESTIONS S.A. Registered Office: 17 A, rue des Bains L-1212 Luxembourg Custodian and Bankers: FIDEURAM BANK (LUXEMBOURG) S.A. 17 A, rue des Bains L-1212 Luxembourg Independent Auditor: ERNST & YOUNG S.A. 7, rue Gabriel Lippmann, Parc d'activité Syrdall 2 L-5365 Munsbach Legal Counsel: BONN & SCHMITT & STEICHEN, Avocats 22-24, Rives de Clausen L-2165 Luxembourg