AM INVESTMENT S.C.A. SICAV-FIS

Transcription

1 AM INVESTMENT S.C.A. SICAV-FIS Annual Audited Financial statements and Manager s Report as at December 31, 2015 R.C.S. : Luxembourg B No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current Private Placement Memorandum accompanied by the latest annual report.

2 TABLE OF CONTENTS ORGANISATION... 3 MANAGER S REPORT... 4 REPORT OF THE REVISEUR D ENTREPRISES AGRÉÉ CONSOLIDATED STATEMENT OF NET ASSETS CONSOLIDATED STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS AM INVESTMENT S.C.A. SICAV-FIS Illiquid Assets Sub-Fund (previously named Compartment A) Statement of Net Assets Statement of Operations and Changes in Net Assets Changes in the Number of Shares and Statistics Statement of Investments and Other Net Assets Economic Classification of Investments Geographical Classification of Investments AM INVESTMENT S.C.A. SICAV-FIS Liquid Assets Sub-Fund (previously named Compartment B) Statement of Net Assets Statement of Operations and Changes in Net Assets Changes in the Number of Shares and Statistics Statement of Investments and Other Net Assets Economic Classification of Investments Geographical Classification of Investments NOTES TO THE FINANCIAL STATEMENTS

3 ORGANISATION Registered office 20, boulevard Emmanuel Servais L-2535 Luxembourg Grand Duchy of Luxembourg General Partner AM Investment Management S.A. 20, boulevard Emmanuel Servais L-2535 Luxembourg Grand Duchy of Luxembourg Board of Directors of the General Partner Mr. Bo ZHANG, Chairman Mr. Donghua WANG, management delegatee ( délégué à la gestion journalière ) Mr. Julien PITTON (until June 30, 2015) Mr. Marc LEFEBVRE Mr. Olivier TRÉMAUD (from December 8, 2015) Fund s Administrative Coordinator CF Asset Management S.A. 14, rue du Lac CH-1207 Geneva Switzerland Administrative Agent Edmond de Rothschild Asset Management (Luxembourg) 20, boulevard Emmanuel Servais L-2535 Luxembourg Grand Duchy of Luxembourg Depositary and Domiciliary Agent Edmond de Rothschild (Europe) 20, boulevard Emmanuel Servais L-2535 Luxembourg Grand Duchy of Luxembourg Independant Auditor/Cabinet de révision agréé Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg Grand Duchy of Luxembourg 3

4 MANAGER S REPORT As expected going into the year, 2015 was characterized by increased volatility in equity markets as well as monetary policy divergence. Despite the continuation of improving economic fundamentals in the US and robust performance from the QE-fueled (Quantitative Easing) European and Japanese equity markets in the first half of the year, concerns over China and Emerging Market weakness came to the fore in the summer and led to extreme volatility in markets around the world. The fourth quarter saw somewhat of a rebound in markets while the Federal Reserve took the long anticipated steps to raise the record-low Federal Funds rate by 25 basis points. This served to solidify the divergence in monetary policy paths around the world with the US in hiking mode, and Europe and Japan looking to ease monetary policy further. Market Overview Moving from the end of the first quarter of 2015 and into the second quarter generally provided a bumpier backdrop for markets though risk assets continued to move higher. The raft of liquidity coming through from the ECB provided a more supportive environment for European corporates, consumers and markets while the US continued to show a strengthening economy moving closer to rate hike lift-off. The second quarter of 2015 saw a spike in volatility in the equity market towards the end of June as investors fretted over yet another iteration of the Greek/Eurozone crisis and vertiginous falls in the Chinese stock market. The period also saw a marked correction in Eurozone sovereign bond values, notably 30 year German bunds fell by over 20%. The global growth outlook darkened in the third quarter of 2015, led by concerns that China was heading for a hard landing; this resulted in the weakest quarter for equities since As Chinese economic data softened over the summer the markets were then further spooked by an unexpected change in the foreign exchange regime that weakened the renminbi in August. With market sentiment slowly improving, the fourth quarter saw the first increase in the Federal Funds rate in almost a decade as market volatility subsided. Policy makers signaled continuing confidence in the US recovery, putting aside lingering concerns over low inflation. Despite the previous quarter s market turmoil in China, the Chinese renminbi won reserve currency status having been included for the first time in the SDR (Special Drawing Rights), a basket of key international currencies determined by the International Monetary Fund (IMF). Portfolio Activity We began investing in the beginning of March 2015 in a phased manner. During the period ending December 2015, we had an overweight allocation to equities of approximately 4% relative to the benchmark, a 1% overweight to High Yield and a 5% underweight to fixed income. We maintained an equity allocation of around 74% during the course of the year and this continued to reflect our tactical overweight to equities. This positioning in our asset allocation marks our continued preference for equities over fixed income in this current environment conducive for risk assets. Our conviction in this preference for equity over fixed income, however, has clearly reduced somewhat as this equity bull market continues to mature and global growth concerns persists. In this market environment, with attractive valuation and growth prospects in Continental Europe, we shifted some of our US exposure to Continental Europe. Our overweight position in Japan remained unchanged during the period given our constructive outlook on the monetary easing environment continuing to support the Japanese equity market. Given a macroeconomic environment where we see divergence between strength in consumerled sectors over manufacturing-led sectors, we are reflecting this in our positioning with an overweight to Consumer Discretionary and Consumer Staples and an underweight in Materials, Telecoms and Utilities. Following the November meeting of the Global Investment Committee which saw Citi s allocation to Emerging Markets reduced, it became appropriate to trim the EM position in the portfolio to reflect the committee s decision. 4

5 MANAGER S REPORT (continued) Within our fixed income exposure we remained cautious on interest risk at the short end of the curve with the Federal Reserve expected to commence a tightening cycle. This was justified over 2015 with two year US treasury yields rising above 1% in late December. We continued to favour corporate bonds over government bonds throughout the period however credit spreads widened with increased supply, deteriorating fundamentals and resulting a rise in risk aversion. We maintained our exposure in High yield around 6% through third party managers, in particular one manager that focusses on the short end of the yield curve. Diversification was and will continue to be paramount in our portfolio construction process. The equity market, as measured by the MSCI All Country World Net Index (in EUR terms), was down % over the period, driven by poor returns from Europe, Asia-Pacific and Emerging Markets. The Japanese equity market was the best-performing market in EUR terms, up +4.2%. The European equity market was down -5.61% in EUR terms, North America was up +1.17% while the Asia Pacific ex Japan equity market was down % and the Emerging market index was down % in EUR terms. The fixed income market, as measured by the Citigroup World Broad Investment Grade ex-mbs ex- Japan 1-10 years Index (hedged to EUR) was down -0.23% over the period and the Citi High Yield Market Index (hedged to EUR) was down -8.82% over the period. Portfolio Performance Between March and December 2015 the AM Investment portfolio fell -3.1% compared with the benchmark which returned -2.4%. The portfolio s exposure to both equities and high yield bonds contributed positively to the performance as the return from both asset classes was positive in EUR terms over the period. The portfolio underperformed the benchmark during the period, mainly in March as we adopted a phased approach in investing. But the portfolio outperformed the benchmark between April (first full month of investment) and December with equities being the main contributor to relative returns. Between April and December 2015 the AM Investment portfolio fell -3.5% compared with the benchmark which returned -4.3%. Stock selection within equities and the relative performance of our high yield funds were the main contributors to relative outperformance. Amount of the two asset classes, fixed income outperformed equities during the period, therefore our tactical overweight to equities detracted from portfolio performance relative to the benchmark. Market Outlook We expect 2016 will be another year of modest global growth well below the long run normal rate of roughly 3% year on year continuing the trend of Our base case is for global GDP growth (at current exchange rates) of 2.5% in We do not expect a significant pickup in growth for for advanced economies or China, although there may be a technical bounce in emerging market growth as some of the weakest economies level off during Risks to our global forecasts probably still lie to the downside, especially for emerging markets (EMs). Growth for many developed economies will probably be a little above potential in 2016, but subpar growth at a global level is likely to cap inflation in many countries. Amidst ongoing volatility and divergent central bank monetary policies, we expect financial assets to move in a less correlated way than they have over recent years. We therefore seek to select highquality investments whose growth prospects depend more on long-term trends and which have been less volatile during periods of market stress. On a regional basis, we favor the European and Japanese equity markets given continued supportive monetary policies as well as further potential for margin expansion and superior earnings growth potential. Within Fixed Income, our macroeconomic outlook of moderate global growth and subdued inflation will likely result in stable government yields over Any upward yield pressure will most likely appear at the short end of the US where we expect the Fed to tighten by 0.25% more than that discounted by the market over the We expect longer term yields to remain low and largely range bound which will result in the US yield curve continuing its flattening trend. Yields increases in Japan and Eurozone will be capped by extended quantitative easing. 5

6 MANAGER S REPORT (continued) Market Outlook (continued) With higher leverage, US credit markets underperformed over 2015 and now price in recession. We do not expect this to occur, hence we cautiously favor exposure to investment grade credit. Developed market credit remains more attractive than EM credit where we expect further volatility over the near term. We stress that credit selection and diversification is key at this late stage of the cycle. Introduction AM INVESTMENT - LIQUID ASSETS SUB-FUND - EDR POOL AM INVESTMENT - LIQUID ASSETS SUB-FUND - EDR POOL which was launched in January 2015 registered a performance of 1.1% for the year The portfolio allocation as at was as follows: Equities: 25.0% Fixed Income : 29.8 Alternative Investments : 14.8% Gold : 3.9% Cash : 26.5 Assets Under Management : EUR Macro environment The year started with a good performance for the European equity markets, in particular during the first quarter (Eurostoxx Q up 17.6%), on back of an improving economic outlook and the ECB s QE announcement. This trend reversed slightly in April and May, despite the QE implementation, as the Greek issue weighed on investors optimism causing a profit taking on European equities. In June, the Greek issue affected significantly the investor s optimism, before a small relief in July and a larger market meltdown in August, caused by concerns regarding the health of the Chinese economy. In October European equity markets rallied (MSCI Europe 8.2%) after the ECB announced further easing measures which also lifted the market in November (MSCI Europe 2.9%). However, the market gave back 5% in December as investors confidence declined with the disappointment about the smaller ECB package of measures. 6

7 MANAGER S REPORT (continued) US stock markets did not show any of Europe s sparkle in the first quarter (S&P 500: Q down 0.6%) as the strong US Dollar penalized the American leading blue-chip stocks. Another rebound of this stock market in February did not last and equities already pulled back in March amid heavy volatility as investors worried about the strong US Dollar and the timing of the Fed s future rate hike. In April and May, the US economy output remained mitigated despite a weaker US Dollar. The release of a weak US GDP Growth for Q1, together with a slow consumption and in particular the fear of a possible rate hike by the Fed during Q1 2015, had dampened the confidence in the US equity market. In June, the US market was not fully immune to the European woes. The publication of strong US Q2 growth numbers which were even subsequently revised to 3.7% supported the US equity markets in July. In August, in a similar way to the European markets, the US equity markets experienced significant losses (S&P 500: -6.3%) in the context of the difficult news flow for the Chinese economy. A further market correction followed in September as US equity markets fell on continued uncertainty over the Fed rate hike and concerns about the potential impact of a global slowdown on the US economy (MSCI World Index declined -3.7% and S&P 500 lost -2.6%). October brought the strongest US market rebound (S&P %) as the Fed decided to keep on hold the rate hike while solid corporate earnings also sustained market sentiment. Emerging Markets lost ground (MSCI EM -3.3%) due to a slowing Chinese economy and a recession affecting Brazil and Russia. Then October proved to be an overall relief for global equity markets (MSCI World Local Index 7.9%) and for the portfolio as well as it posted its best performance for the year with a gain of 2.2%. The Fed s decision to keep on hold the rate hike until year end, together with the announcement of the ECB to expand its stimulus efforts in December contributed to a strong market rally. Developed stock markets continued to gain in November, notably European equity markets, but registered a more modest gain. Only Emerging Markets fell (MSCI EM 4.0%) over a soon to be expected rate hike and a continuous pressure on commodities. The overall portfolio reacted slightly positively (+0.4%) in November due to solid performances from its European equity fund exposure. Emerging equity markets experienced a volatile year so far. The first four months were very encouraging. Government deregulation in the Chinese markets enabled a stronger demand from local investors, which clearly lead to a bubble. A necessary correction of that bubble, connected with the subsequent negative news flow for the Chinese economy resulted in strong outflows, and a significant supply/demand imbalance. After a gain of 9.9% for the MSCI Asia ex Japan Index between January and April, the same index lost 19.0% in the following five months. October brought a sudden pick-up of the index which gained 8.0% as Chinese equities advanced on better-than-expected Q3 GDP data as well as news on the People s Bank of China cutting rates. The same index gave back -3.4% in November and lost -11.3% over the year. Gold had a strong upside (almost 10%) until January 22nd with the ECB s announcement of all-out quantitative easing, but then tumbled more than 11% until mid-march. It remained relatively flat in April and May, and was put under pressure again in June and July on lower demand and increasing US rates expectations. In August, gold played again its role as a defensive asset class, and finished the month up 3.6%. In September gold declined -4.5% but gained again 2.4% in October on back of overall positive economic news also from China, while most industrial metals prices continued to fall. In November gold plunged -7.0% as markets started to integrate the first Fed rate hikes for 2015 which finally intervened in December and provoked a slight correction of gold (-0.2%). Gold finally finished the year down -10%. 7

8 MANAGER S REPORT (continued) Fixed income markets (non-em) remained relatively unchanged in the first quarter 2015 despite multiple factors which impacted the overall economic environment. Those related to the ECB s launch of a QE program, to another Greek crisis, furthermore to a growing divergence in market outlooks between the ECB and the Fed; moreover to the appearance of a weakening Chinese economy and to a collapse of the commodity sector. 10-year Bund yields started the year at 0.54% and finished it at 0.57%. Treasury 10 year yields were similarly unchanged (2.17% to 2.21%). The divergence in global monetary policy was seen in the short end of the bond market, as the two-year yields in EUR fell after the QE program was deployed, whereas the 2 year US yields rose when the Fed sharpened it s rhetoric. European sovereigns slightly outperformed investment grade credit, largely due to the performance of peripheral bonds, which were not only the main beneficiaries of the QE program but performed better economically than expected. European high yield credit had outperformed during the year, especially relative to US high yield deeply affected by the strong percentage of energy issuers in the indices. The year started well with central bank action aiming at resolving deflationary concerns. As worries dissipated in April and inflation expectations started rising, the market suffered a sharp reversal, as such for example the German 10 year yields jumped 50bps. Markets then showed more stability during the second half of the year. December has brought a rare disappointment about the ECB s intervention, as those planned monthly purchases foreseen in the QE program were smaller than expected. On the other hand, the Fed lifted finally its interest rates by 0.25% on December 17th,, for the first time since the credit crunch; though this rate hike didn t affect markets though as those had already priced in the move. Portfolio Management Review Multimanagement Investments The portfolio was launched in January It initially kept a relatively defensive investment profile, in order to accumulate positive returns before increasing the level of higher risk. At the end of the first quarter of 2015, the equity exposure represented 27.4%, the bond exposure 36.7%, and the alternative allocation amounted to 9.9% and lastly the cash stood at 26%. Part of the cash was deployed in the following months. At the end of March we introduced a new position of 2.9% in the fund Cambrian. This equity fund has a very concentrated portfolio with maximum 5-6 mid-cap stocks permanently held in the portfolio. At the time of our investment, the fund had experienced a disappointing 12-months return. The manager remained confident in his investments, which made us see an attractive upside vs downside ratio for the fund and an attractive way to add some risk to the fund. The fund had a strong start for the portfolio in April and May, but has been experiencing difficult returns during the summer. Moreover, the fund had a significant rebound in October (+10%), but declined -6.7% in December to finish the year down -20.5%. Over the coming months, we continue to expect attractive returns for this fund which has an outstanding track record since its inception in At the end of April we initiated a position of 3% in a Gold ETF due to its defensive and uncorrelated characteristics. In addition, the Gold price seemed, at that time to have an interesting upside potential. Furthermore, we added a small position in an equity fund on Germany which had a volatile year as it outperformed in the first quarter, declined during the second and third to finish recovering again in October and November. 8

9 MANAGER S REPORT (continued) June was a difficult month which induced us to adopt a cautious stance towards markets; hence there have been no changes in the portfolio. We kept this prudent view over the summer during which we slightly increased the alternative position and used mainly the sell-off in September to increase the existing positions such as Cambrian by 1.4% and in October JPMF Highbridge US Steep by 2%. Moreover, we adapted the sizing of three fixed income positions in early November which were slightly increased as it didn t make sense to invest the pool further at the top of the market. On the fixed income side, one global high yield bond position of 3% was initiated at the beginning of May with the fund Pimco Global High Yield which was slightly increased at the end of October. This fund finished the year flat as it suffered in June (-1.5%), August (-0.9%) and mostly in September (-2.8%) and the last month of the year (respectively -1.5%). As the fund has an exposure of 67% to the USA and 30.4% to Europe, its underperformance derived mainly from its exposure to the energy sector i.e. the decline in oil prices. Luckily its energy exposure was smaller relative to the indice and also its exposure to Emerging Markets was insignificant (0.6%), hence it avoided the heavy drawdown which impacted those commodity producing countries. On the currency side, we started the year with a 10% open exposure to the USD and increased it in May to 12.5%. As the performances of the USD improved, we reduced that exposure to 9% in July and maintained it around that level throughout the rest of the year. The exposure to CHF has not been modified much than merely adapted. Fund Performance Review : December 31st 2014 December 31st 2015 On the fixed income side, we benefited from the strong performance of our emerging market exposure (EDR EM Corporate Bonds 1.8%), as well as interesting returns from certain niche bond funds. As such the Gam Star Cat Bond Fund registered a performance of 2.4% for the year. As expected when there are no major catastrophes, the biggest performance drivers are directly related to risk exposure. US wind risks were the biggest contributors followed by earthquake. The other bond funds posted mixed returns, with performances ranging between -1.3% (EDR EUR IG) and -0.6% (Absolute Insight Credit) for the period. As mentioned beforehand, the High Yield position ended the month flat due to its partial correlation to the energy sector. Our equity funds selection had a good performance last year. This bucket was up +2.6% compared to the MSCI World Index down -2.7%. The funds focused on European Equities logically generated the strongest returns. Adelphi was up 23.3% followed by DWS Deutschland which gained 14.8%, and DWS Swiss Equities up 1.6% for the period, whereas the MSCI Europe closed at +5.5%. European Equities proved a good source of alpha for the portfolio, thanks to the additional performance produced by the funds. We are not changing our European equity allocation in the short term, but may adapt it in the midterm. Moreover, the fund Egerton Capital Equity also fared very well and gained 8.6% over the year, driven by its excellent stock-picking with significant gains generated by Ryanair, Activision Blizzard and Time Warner Cable. 9

10 MANAGER S REPORT (continued) Our US equity funds had a wide range of returns. The best US equity fund was up 0.5%, the worst fund down 20.5%, compared to the S&P 500 which declined -0.7% for the period. ACM Bernstein Select US Equity managed to resist with a slight positive return of 0.5%, whereas Cambrian plunged 20.5% as value stocks were struggling over the year and the impact on the portfolio was larger due to its high portfolio concentration. This differentiation between styles was coherent with the US equity index, with the S&P 500 Growth index up 3.8% for the year 2015, and the S&P 500 Value index down -5.6%. We are maintaining our exposure to the US funds unchanged as these trends frequently tend to reverse. Gold was down -10.4% for the year. Our exposure of roughly 4% to that asset class posted a loss of 12%. The alternative investments, i.e. Prifund Alpha Uncorrelated posted a year-to-date performance of -1.7%, mainly due to the underperformance of the Event Driven pocket which lost -6.9% for the year. The USD exposure maintained in the fund, as well as the management of that exposure during the year were clear positive contributors Luxembourg, June 29,

11 Deloitte. To the Shareholders of AM INVESTMENT S,CA. SICAV-FIS 20, Boulevard Emmanuel Servais L-2535 Luxembourg Grand Duchy of Luxembourg Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg B p 1173 L Luxembourg Tel Fax REPORT OF THE RÉVISEUR D'ENTREPRISES AGRÉÉ Following our appointment, we have audited the accompanying financial statements of AM INVESTMENT S.C.A. SICAV -FIS (the "Fund") and of each of its Sub-Funds, the statement of net assets and the statement of investments and other net assets as at December 31, 2015 and statement of operations and changes in net assets as at which comprise December 31, 2015, and a summary of significant accounting policies and other explanatory information. Responsibility of the Board of Directors of the Generalé Partner of the Fundfor the financial statements The Board of Directors of the General Partner of the Fund is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements, and for such internal control as the Board of Directors of the General Partner of the Fund detennines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the réviseur d'entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the réviseur d'entreprises agréé 's judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the réviseur d 'entreprises agréé considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the General Partner of the Fund, as well as evaluating the overall presentation of the financial statements. Société à responsabilité limitée au capital de RCS Luxembourg B VAT LU Autorisation d'établissement

12 Deloitte. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of AM INVESTMENT S.CA. SICAV -FIS and of each of its Sub-Funds as of December 31, 2015, and of the results of their operations and changes in their net assets as at December 31, 2015 in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. For Deloitte Audit, Cabinet de révision agréé stiane Chadoeuf, Réviseur d'entreprises agréé Partner June 29,

13 STATEMENT OF NET ASSETS (in EUR) Consolidated ASSETS Notes Investments in securities at market value (2b) 27,961, Shares in affiliated undertakings (2b, 3) 8,979, Loans to affiliated undertakings (4) 12,784, Convertible notes (4) 20,928, Inter Company Loans (4) 16,500, Subscription receivable 8,000, Cash at bank 6,937, Interest and dividends receivable 154, Formation expenses, net (2f) 19, ,265, LIABILITIES Outstanding Subscriptions (12) 8,000, Unrealised loss on forward foreign exchange contracts (2d, 11) 19, Management fee payable (6) 491, Performance fee payable (7) 34, Custodian fee payable 81, Taxes and expenses payable 30, Other liabilities 10, ,667, TOTAL NET ASSETS 93,597, The accompanying notes are an integral part of these financial statements. 13

14 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the year ended December 31, 2015 (in EUR) Consolidated Notes NET ASSETS AT THE BEGINNING OF THE YEAR 48,285, INCOME Loan Interest 148, Convertible notes interest 42, Dividends, net 81, Bond interest, net 33, , EXPENSES Management fee (6) 1,854, Custodian fee 192, Directors fees 37, Administrative expenses 14, Professional fees 26, Subscription tax (5) 12, Bank charges and bank interest 13, Amortisation of formation expenses 19, Legal fees 24, Other charges 70, ,264, NET OPERATING RESULT (1,957,370.71) Net realised result on: - Investments (164,077.20) - Foreign exchange (70,832.94) NET REALISED RESULT (2,192,280.85) Change in net unrealised appreciation/(depreciation) on: - Investments (3) (4,713,653.60) - Loans to affiliated undertakings 1,237, Forward foreign exchange contracts (19,280.58) NET INCREASE/(DECREASE) IN NET ASSETS AS A RESULT OF OPERATIONS (5,687,363.92) MOVEMENTS IN CAPITAL Subscriptions of shares 51,000, NET ASSETS AT THE END OF THE YEAR 93,597, The accompanying notes are an integral part of these financial statements. 14

15 STATEMENT OF NET ASSETS (in EUR) Illiquid Assets Sub-Fund ASSETS Notes Shares in affiliated undertakings (2b, 3) 8,979, Loans to affiliated undertakings (4) 12,784, Convertible notes 20,928, Inter Company Loans (4) 16,500, Subscription receivable 8,000, Cash at bank 358, Interest and dividends receivable 132, Formation expenses, net (2f) 11, ,695, LIABILITIES Outstanding Subscriptions (12) 8,000, Management fee payable (6) 318, Custodian fee payable 63, Taxes and expenses payable 20, Other liabilities 10, ,413, TOTAL NET ASSETS 59,282, Ordinary A Shares - Series February 2012 Net asset value per share EUR 0.92 Shares outstanding 250, Ordinary A Shares - Series September 2012 Net asset value per share EUR 0.92 Shares outstanding 2,500, Ordinary A Shares - Series December 2012 Net asset value per share EUR 0.92 Shares outstanding 2,500, Ordinary A Shares - Series June 2014 Net asset value per share EUR 0.92 Shares outstanding 17,638, Ordinary A Shares - Series October 2014 Net asset value per share EUR 0.92 Shares outstanding 10,484, Ordinary A Shares - Series December 2014 Net asset value per share EUR 0.92 Shares outstanding 20,238, Ordinary A Shares - Series June 2015 Net asset value per share EUR 0.92 Shares outstanding 11,056, The accompanying notes are an integral part of these financial statements. 15

16 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the year ended December 31, 2015 (in EUR) Illiquid Assets Sub-Fund Notes NET ASSETS AT THE BEGINNING OF THE YEAR 32,979, INCOME Loan Interest 148, Convertible notes interest 42, , EXPENSES Management fee (6) 1,155, Custodian fee 116, Directors fees 18, Administrative expenses 11, Professional fees 9, Subscription tax (5) 5, Bank charges and bank interest 8, Amortisation of formation expenses 9, Legal fees 22, Other charges 22, ,380, NET OPERATING RESULT (1,188,556.82) Net realised result on: - Investments (126,462.15) NET REALISED RESULT (1,315,018.97) Change in net unrealised appreciation/(depreciation) on: - Investments (3) (4,620,050.93) - Loans to affiliated undertakings 1,237, NET INCREASE/(DECREASE) IN NET ASSETS AS A RESULT OF OPERATIONS (4,697,218.79) MOVEMENTS IN CAPITAL Subscriptions of shares 31,000, NET ASSETS AT THE END OF THE YEAR 59,282, The accompanying notes are an integral part of these financial statements. 16

17 CHANGES IN THE NUMBER OF SHARES For the year ended December 31, 2015 (in EUR) Illiquid Assets Sub-Fund Ordinary A Shares - Series February 2012 Ordinary A Shares - Series September 2012 Ordinary A Shares - Series December 2012 Ordinary A Shares - Series June 2014 Number of shares outstanding at the beginning of the year 250, ,500, ,500, ,638, Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the year 250, ,500, ,500, ,638, Ordinary A Shares - Series October 2014 Ordinary A Shares - Series December 2014 Ordinary A Shares - Series June 2015 Number of shares outstanding at the beginning of the year 10,484, Number of shares issued - 20,238, ,056, Number of shares redeemed Number of shares outstanding at the end of the year 10,484, ,238, ,056, STATISTICS (in EUR) Date Series of Ordinary A shares Number of shares outstanding Net assets Net asset value per share February , , September ,500, ,291, December ,500, ,291, June ,638, ,169, October ,484, ,611, December ,238, ,553, June ,056, ,135, February , , September ,500, ,470, December ,500, ,470, June ,638, ,430, October ,484, ,360, February , , September ,500, ,406, December ,500, ,433, The accompanying notes are an integral part of these financial statements. 17

18 STATEMENT OF INVESTMENTS AND OTHER NET ASSETS (in EUR) Illiquid Assets Sub-Fund Currency Quantity / Nominal value Description Cost Market value % net assets Shares in affiliated undertakings EUR 600 Participation on Winning Grace EUR 600 Participation on Winning Hope EUR 9,640,979 Participation on Aina Investment S.C.A.SICAV SIF 11,670, ,780, USD 0 Participation on Triventures III Fund L.P. 1,923, ,198, Total Shares in affiliated undertakings 11,458, ,979, Loans to affiliated undertakings EUR 6,041, Loans to Winning Grace ($8,22 Mio) 6,041, ,522, EUR 4,226, Loans to Winning Hope ($ 5,75 Mio) 4,226, ,261, Total Loans to affiliated undertakings 10,267, ,784, Convertible notes EUR 837, Convertible notes on Golden Partner International S.A., SPF 20,928, ,928, Total Convertible notes 20,928, ,928, Inter-company loans EUR 1,000, CF Assets Management SA 3% - Maturity o/s 1,000, ,000, EUR 15,500, Loan to B collective 15,500, ,500, Total Inter-company loans 16,500, ,500, Total investments 59,155, ,192, Cash at bank/(bank overdraft) 358, Other net assets/(liabilities) (268,867.97) (0.45) Total net assets 59,282, The accompanying notes are an integral part of these financial statements. 18

19 ECONOMIC CLASSIFICATION OF INVESTMENTS (in %) Illiquid Assets Sub-Fund Branch of Business % of net assets Financial Services Investment funds Shipping Totals GEOGRAPHICAL CLASSIFICATION OF INVESTMENTS (in %) Illiquid Assets Sub-Fund Countries % of net assets Luxembourg Singapore Switzerland 1.69 United States 2.02 Totals

20 STATEMENT OF NET ASSETS (in EUR) Liquid Assets Sub-Fund ASSETS Notes Investments in securities at market value (2b) 27,961, Cash at bank 6,579, Interest and dividends receivable 21, Formation expenses, net (2f) 7, ,570, LIABILITIES Unrealised loss on forward foreign exchange contracts (2d, 11) 19, Management fee payable (6) 173, Performance fee payable (7) 34, Custodian fee payable 17, Taxes and expenses payable 10, , TOTAL NET ASSETS 34,315, Ordinary B Shares - Series February 2012 Net asset value per share EUR 0.86 Shares outstanding 250, Ordinary B Shares - Series September 2012 Net asset value per share EUR 0.98 Shares outstanding 2,500, Ordinary B Shares - Series December 2012 Net asset value per share EUR 1.00 Shares outstanding 2,500, Ordinary B Shares - Series October 2014 Net asset value per share EUR 0.97 Shares outstanding 10,000, Ordinary B Shares - Series December 2014 Net asset value per share EUR 0.97 Shares outstanding 20,000, The accompanying notes are an integral part of these financial statements. 20

21 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the year ended December 31, 2015 (in EUR) Liquid Assets Sub-Fund Notes NET ASSETS AT THE BEGINNING OF THE YEAR 15,305, INCOME Dividends, net 81, Other incomes 33, , EXPENSES Management fee (6) 698, Custodian fee 75, Directors fees 18, Administrative expenses 3, Professional fees 17, Subscription tax (5) 6, Bank charges and bank interest 5, Amortisation of formation expenses 9, Legal fees 1, Other charges 48, , NET OPERATING RESULT (768,813.89) Net realised result on: - Investments (37,615.05) - Foreign exchange (70,832.94) NET REALISED RESULT (877,261.88) Change in net unrealised appreciation/(depreciation) on: - Investments (93,602.67) - Forward foreign exchange contracts (19,280.58) NET INCREASE/(DECREASE) IN NET ASSETS AS A RESULT OF OPERATIONS (990,145.13) MOVEMENTS IN CAPITAL Subscriptions of shares 20,000, NET ASSETS AT THE END OF THE YEAR 34,315, The accompanying notes are an integral part of these financial statements. 21

22 CHANGES IN THE NUMBER OF SHARES For the year ended December 31, 2015 (in EUR) Liquid Assets Sub-Fund Ordinary B Shares - Series February 2012 Ordinary B Shares - Series September 2012 Ordinary B Shares - Series December 2012 Ordinary B Shares - Series October 2014 Number of shares outstanding at the beginning of the year 250, ,500, ,500, ,000, Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the year 250, ,500, ,500, ,000, Ordinary B Shares - Series December 2014 Number of shares outstanding at the beginning of the year 20,000, Number of shares issued - Number of shares redeemed - Number of shares outstanding at the end of the year 20,000, STATISTICS (in EUR) Date Series of Ordinary B shares Number of shares outstanding Net assets Net asset value per share (in EUR) (in EUR) February , , September ,500, ,459, December ,500, ,495, October ,000, ,707, December ,000, ,439, February , , September ,500, ,530, December ,500, ,567, October ,000, ,987, February , , September ,500, ,354, December ,500, ,389, The accompanying notes are an integral part of these financial statements. 22

23 STATEMENT OF INVESTMENTS AND OTHER NET ASSETS (in EUR) Liquid Assets Sub-Fund Currency Quantity Description Cost Market value % net assets Bonds USD 45,000 Altria Group Inc 42, , % EUR 50,000 America Movil Sab De CV 63, , % USD 45,000 American Express Co 42, , % USD 70,000 Apple Inc 64, , % USD 50,000 Bank Of America Corp - Series L 48, , % EUR 50,000 BNG Bank Nederlandse Gemeenten NV EMTN 53, , % EUR 45,000 Bnp Paribas Sa 48, , % USD 30,000 Comcast Corp 28, , % EUR 50,000 Corporacion Andina De Fomento EMTN 56, , % EUR 50,000 Deutsche Bahn Finance BV 64, , % USD 40,000 Dow Chemical Co 41, , % EUR 50,000 EDF Electricite De France EMTN 66, , % EUR 50,000 GE Capital European Funding EMTN 55, , % USD 30,000 Glencore Funding LLC - Reg-S 28, , % EUR 50,000 Goldman Sachs Group Inc EMTN 57, , % USD 55,000 HSBC Holdings PLC 59, , % USD 30,000 Hyundai Capital America Inc - Reg-S 28, , % USD 50,000 JP morgan Chase & Co 46, , % EUR 50,000 Korea Expressway Corporation EMTN 53, , % USD 50,000 Microsoft Corp 47, , % EUR 40,000 Morgan Stanley EMTN 43, , % EUR 50,000 National Australia Bank Ltd 57, , % GBP 35,000 Nestle Holdings Inc EMTN 50, , % EUR 40,000 Rabobank Nederland Nv 44, , % EUR 20,000 Republic of Poland 23, , % USD 30,000 Rio Tinto Finance USA PLC 28, , % EUR 40,000 Shell International Finance BV EMTN 45, , % USD 70,000 Statoil ASA 65, , % USD 50,000 Total Capital International SA 48, , % EUR 40,000 Toyota Motor Credit Corp EMTN 42, , % EUR 50,000 UBS AG London EMTN - Reg-S 58, , % Total Bonds 1,504, ,439, % Investment Funds EUR 614,487 Absolute Insight Funds PLC Credit B1P2-EUR- 775, , % USD 18,447 Acmbernstein Sicav Select US Equity Portfolio -I- 370, , % EUR 4,236 Adelphi European Select Equity -D- Eur Fund- Equalisation Cote A 1 EUR 620, , % EUR 489 Axa Im Fixed Income Inv Strat Fcp Us Short Duration High Yield-B-Eur- 80, , % USD 377 Cambrian Fund Ltd Class -A- Serie , , % USD 342 Cambrian Fund Ltd Class -A- Series 119 October , , % CHF 4,108 DWS CH Swiss Equity Plus Funds -A- 615, , % EUR 3,722 DWS Deutschland Fund 745, , % USD 14,601 Eastspring Investments Sicav Japan Dynamic Fund -C- USD- 215, , % The accompanying notes are an integral part of these financial statements. 23

24 STATEMENT OF INVESTMENTS AND OTHER NET ASSETS (in EUR) Currency Quantity Description Cost Market value % net assets Investment Funds (continued) EUR 11,258 Edmond de Rothschild Fund Emerging Corporate Bonds- A-Eur(H) 1,047, ,005, % EUR 9,219 Edmond de Rothschild Fund Euro IG Corporate Bonds-A- Eur 1,520, ,511, % EUR Edmond de Rothschild Fund Global Crossover Bonds-A- 12,559 EUR 1,580, ,576, % EUR Edmond De Rothschild Prifund Alpha Uncorrelated EUR- 14,242 A-EUR 3,013, ,936, % EUR 3,210 Egerton Capital Equity Fund PLC - Accum-I-(Hdg)EUR 597, , % EUR 34,419 GAM Star Fund Plc Cat Bond -Inst- EUR 430, , % EUR 178 Goldman Sachs Funds PLC Euro Government Liquid Reserves - Inst Class 1,849, ,846, % USD 25,822 Ishares Msci Japan ETF 289, , % USD 5,175 Ishares Msci Pacific Ex-Japan ETF 215, , % USD 42,034 JP Morgan Funds Sicav Highbridge US Steep-C-Acc 1,026, ,045, % EUR 12,539 Neuberger Berman Investment Funds PLC High Yield Bond -I-EUR- 199, , % EUR 41,813 Pimco GIS PLC Global High Yield Bond-Institutional-EUR- Hedged 844, , % USD 2,911 Robeco Capital Growth Funds Sicav Emerging Stars Equities-Fl-USD 261, , % USD 1,990 Vontobel Sicav Emerging Markets Equity -I- 317, , % USD 804 ZKB Gold ETF-AA-USD 835, , % Total Investment Funds 18,157, ,078, % Shares CHF 1,790 ABB Ltd - Reg Shs (Chf) 33, , % USD 5,000 Alibaba Group Holding Ltd ADR Repr.1 Sh 326, , % CAD 2,702 Alimentation Couche-Tard Inc -B- VTG Shs 93, , % EUR 524 Allianz SE - Reg Shs 79, , % USD 206 Alphabet Inc -A- 106, , % USD 517 Amgen Inc 74, , % USD 1,855 Apple Inc 216, , % USD 1,566 Archer-Daniels Midland Co 67, , % EUR 3,209 Axa SA 72, , % EUR 1,189 Bnp Paribas Sa 62, , % USD 807 Boeing Co 111, , % GBP 995 British American Tobacco Plc 51, , % USD 1,013 Capital One Financial Corp 72, , % USD 3,120 Cisco Systems Inc 83, , % USD 1,855 Comcast Corp -A- 100, , % USD 653 Conocophillips 37, , % USD 1,030 Cvs Health Corp 97, , % USD 1,660 Discover Financial Services 90, , % GBP 10,290 Dixons Carphone PLC 58, , % USD 995 Eli Lilly & Co 63, , % EUR 2,013 Engie SA 38, , % USD 1,160 Exxon Mobil Corp 92, , % USD 517 Fedex Corp 70, , % USD 1,044 Fortinet Inc 42, , % USD 10,000 FXCM Inc -A- 197, , % USD 3,833 General Electric Co 89, , % USD 2,818 General Motors Co 88, , % USD 809 Gilead Sciences Inc 75, , % USD 389 Goldman Sachs Group Inc 66, , % The accompanying notes are an integral part of these financial statements. 24

25 STATEMENT OF INVESTMENTS AND OTHER NET ASSETS (in EUR) Currency Quantity Description Cost Market value % net assets Shares (continued) EUR 984 Heidelbergcement AG 62, , % EUR 960 Henkel AG & Co.KGAA - Reg Shs 101, , % USD 718 Home Depot Inc 74, , % USD 942 Honeywell International Inc 87, , % GBP 7,601 Hsbc Holdings PLC (GBP) 60, , % USD 1,737 JP morgan Chase & Co 96, , % USD 837 Lam Research Corp 61, , % USD 836 Lyondellbasell Industries NV -A- 65, , % CAD 1,862 Magna International Inc 70, , % USD 530 Mastercard Inc -A- 42, , % USD 1,013 Medtronic Plc 71, , % USD 971 Metlife Inc 44, , % USD 1,855 Microsoft Corp 73, , % CHF 836 Nestle Sa - Reg Shs (Chf) 58, , % USD 1,402 Nike Inc -B- 61, , % CHF 842 Novartis AG - Reg Shs 76, , % USD 966 NXP Semiconductors NV (USD) 85, , % USD 589 Occidental Petroleum Corp 40, , % USD 430 Parker-Hannifin Corp 47, , % USD 2,214 Pfizer Inc (USD) 69, , % USD 812 Phillips 66 - When Issued 56, , % HKD 500,000 Poly Culture Group Corporation Ltd-H 1,466, ,259, % USD 380,000 Renren Inc - ADR Repr.3 Shs -A- 1,126, ,287, % GBP 1,560 Rio Tinto Plc 65, , % CHF 271 Roche Holding AG - Bon de Jouissance 66, , % GBP 2,934 Royal Dutch Shell PLC -A- (GBP) 70, , % HKD 100,000 Rykadan Capital Ltd 15, , % EUR 565 Siemens AG / Reg Shs 56, , % EUR 1,855 Societe Generale SA -A- 77, , % USD 2,019 Suncor Energy Inc (Usd) 53, , % NOK 2,555 Telenor ASA 45, , % EUR 2,049 Unilever Nv - Cert Of Shs 80, , % USD 995 Unitedhealth Group Inc 102, , % USD 1,401 US Bancorp 56, , % USD 1,384 Verizon Communications Inc 61, , % USD 761 Walt Disney Holding Co - Disney Series 70, , % USD 1,866 Wells Fargo & Co 92, , % USD 30,000 Yahoo Inc 930, , % Total Shares 8,507, ,444, % Total investments 28,169, ,961, % Cash at bank 6,579, % Other net liabilities (225,409.09) -0.66% Total net assets 34,315, % The accompanying notes are an integral part of these financial statements. 25