MI Momentum Investment Funds

Transcription

1 MI Momentum Investment Funds Interim Report 31 December 2016

2 MI Momentum Investment Funds Contents Page Directory Basis of Accounting Certification of the Interim Report by the Authorised Corporate Director MI Momentum Investment Funds - MI Momentum Factor 3 Investment Objective and Policy Investment Manager's Report Portfolio Statement Comparative Tables Statement of Total Return Statement of Change in Net Assets Attributable to Shareholders Balance Sheet Distribution Table MI Momentum Investment Funds - MI Momentum Factor 4 Investment Objective and Policy Investment Manager's Report Portfolio Statement Comparative Tables Statement of Total Return Statement of Change in Net Assets Attributable to Shareholders Balance Sheet Distribution Table MI Momentum Investment Funds - MI Momentum Factor 5 Investment Objective and Policy Investment Manager's Report Portfolio Statement Comparative Tables Statement of Total Return Statement of Change in Net Assets Attributable to Shareholders Balance Sheet Distribution Table General Information

3 MI Momentum Investment Funds Directory Authorised Corporate Director (ACD) & Registrar Maitland Institutional Services Ltd Springfield Lodge, Colchester Road, Chelmsford, Essex CM2 5PW Telephone: Fax: Website: (Authorised and regulated by the Financial Conduct Authority) Customer Service Centre Springfield Lodge, Colchester Road, Chelmsford, Essex CM2 5PW Telephone: Fax: (Authorised and regulated by the Financial Conduct Authority) Directors of the Authorised Corporate Director R.A. Ackermann (appointed 30 December 2016) P.J. Foley-Brickley S. Georgala D. Jones R.W. Leedham D.W. Munting (retired 14 October 2016) Investment Manager Momentum Global Investment Management Limited The Rex Building, 62 Queen Street, London EC4R 1EB (Authorised and regulated by the Financial Conduct Authority) Depositary National Westminster Bank Plc Trustee & Depositary Services 135 Bishopsgate, London EC2M 3UR (Authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority) Auditor PricewaterhouseCoopers LLP Chartered Accountants & Registered Auditors 7 More London Riverside, London SE1 2RT MI Momentum Investment Funds 1

4 MI Momentum Investment Funds Basis of Accounting The interim financial statements have been prepared under the historical cost basis, as modified by the revaluation of investments and in accordance with FRS102 and the Statement of Recommended Practice (SORP) for the Financial Statements of UK Authorised Funds issued by the Investment Association (IA) in May The interim financial statements have been prepared on the same basis as the audited financial statements for the year ended 30 June The financial statements have been prepared on the going concern basis. Certification of the Interim Report by the Authorised Corporate Director This report has been prepared in accordance with the requirements of the Financial Conduct Authority s Collective Investment Schemes sourcebook ( the COLL sourcebook ) and the Statement of Recommended Practice issued by the Investment Association. R.W. Leedham D. Jones Directors Maitland Institutional Services Ltd 22nd February MI Momentum Investment Funds

5 MI Momentum Investment Funds - MI Momentum Factor 3 Investment Objective The Sub-fund aims to achieve medium to long-term capital growth. Investment Policy The Sub-fund may gain exposure to a broad range of asset classes, including global equities, UK equities, corporate and government bonds, money market instruments, cash and near cash by investing predominantly in a globally diverse mix of collective investment schemes. In doing so, the Sub-fund will target a risk rating factor 3 as determined by an independent risk rating body. The risk profile of the Sub-fund is defensive with between 0% and 35% exposure to equities. Performance is measured over an entire market cycle (the market cycle is a period of time from which the market moves from a period of increasing prices and strong performance, to a period of weak performance and falling prices, and then back again), rather than at any one point in time. Where possible and where not inconsistent with the Sub-fund s risk profile, it will aim for a return which is 3% in excess of the consumer price index over the same market cycle. There is no guarantee that this return will be achieved. The Sub-fund may also invest in other transferable securities, cash, near cash, deposits, money market instruments and money market funds. The Sub-fund may use derivatives or forward transactions only for the purpose of efficient portfolio management. Investment Manager's Report for the period ended 31 December 2016 The Momentum Factor Sub-funds combine long term inflation plus objectives with third party risk profiling provided by Distribution Technology. Through the Factor Sub-funds, we aim to manage the expected volatility of investors portfolios, while at the same time achieving long term real returns consistent with their financial objectives. MI Momentum Factor 3 has been risk rated by Distribution Technology as risk profile 3. Over the six month period to 31st December 2016, the Sub-fund s Class A shares returned 5.6%, based on the prices on 30 June & 31st December This is against a return of 11.5% for the UK equity market, and -1.3% for the UK gilt market. The Sub-fund exposure to equity markets was the most beneficial to performance, followed by the Sub-fund allocation to investment grade credit. The strong performance of financial assets over the period has taken valuations to high levels across many asset classes, and as a result the Fund Managers have reduced the overall equity within this relatively low risk rated portfolio and well as the Sub-fund exposure to short duration high yield corporate debt. During the period the Managers added additional strategies to the liquid alternatives component of the portfolio and increased the Sub-fund position in gold, in order to enhance the risk/return profile of the Sub-fund. We now have small positions across three liquid alternative funds, in order to benefit from a well-diversified blend of alternative strategies. MI Momentum Investment Funds - MI Momentum Factor 3 3

6 MI Momentum Investment Funds - MI Momentum Factor 3 Investment Manager's Report continued We are at a major inflection point in an uncertain world. We are likely to see further headwinds in bond markets, but in many ways this marks a healthy return to some degree of normality. It does not signal the end of the bull market in equities, which have a good valuation cushion against bonds and which will benefit from rising growth and earnings. The prospect of a pick-up in growth and inflation is supportive, while a return to boom-bust seems a very distant prospect given the structural headwinds to growth. This cycle therefore has further to run. There will be plenty of bumps along the way but by prudent diversification and taking advantage of valuation opportunities as they arise, good real returns are available. To capture these it will be vital to stay invested, ride out the bumps and focus on the longer term. Anything less invariably leads to disappointment. Material Portfolio Changes for the period ended 31 December 2016 Top 5 Purchases Costs ishares Core Corporate Bond UCITS ETF 900,936 Schroder Recovery - Z Accumulation 516,629 ETFS Physical Gold 461,803 RWC Income Opportunities - B Accumulation 450,312 ishares Corporate Bond 0-5yr UCITS ETF 428,192 Top 5 Sales Proceeds AXA US Short Duration High Yield ZI (Gross) Accumulation GBP 1,022,830 ishares Index-Linked Gilts UCITS ETF 734,387 Polar Capital Japan I Hedged GBP 387,114 FP Crux European Special Situations - I EUR Accumulation 354,488 JPMorgan Emerging Markets Dividend - A (Distribution) GBP 253,965 4 MI Momentum Investment Funds - MI Momentum Factor 3

7 MI Momentum Investment Funds - MI Momentum Factor 3 Portfolio Statement as at 31 December 2016 Market % of total value net assets Holding Security Commodities 3.87% (1.51%) 4,893 ETFS Physical Gold 443, ,599 ishares Gold Producers UCITS ETF 226, , Emerging Markets Convertibles 2.48% (2.85%) 3,595 RWC Asia Convertibles - B Accumulation 428, Emerging Markets Equities 1.82% (3.51%) 4,897 JPMorgan Emerging Markets Dividend - A (Distribution) GBP 315, Emerging Markets Fixed Interest 5.02% (3.44%) 9,787 ishares J.P. Morgan $ Emerging Markets Bond UCITS ETF 869, European Equities 1.89% (4.33%) 27 FP Crux European Special Situations - I EUR Accumulation ,972 Jupiter European Special Situations Accumulation 327, , Global Equities 12.08% (9.06%) 305,533 Evenlode Income - C Accumulation GBP 760, ,994 F&C Global Equity Market Neutral 3 Accumulation 338, ,748 Goldman Sachs EFI Long Short Risk Premia Portfolio Class Z (GBP Hedged) 303, ,940 Heptagon Kopernik Global All Cap Equity - C USD Accumulation 220, ,121 RWC Income Opportunities - B Accumulation 467, ,090, Global Fixed Interest 39.29% (34.71%) 3,240 Goldman Sachs Global Strategic Macro Bond Portfolio I Accumulation (GBP Hedged) 342, ,593 ishares Corporate Bond 0-5yr UCITS ETF 3,164, ,070 ishares Core Corporate Bond UCITS ETF 2,751, Westwood Strategic Global Convertibles F GBP Accumulation Hedged 541, ,800, Japanese Equities 1.46% (1.54%) 2,545 Amundi ETF JPX-NIKKEI 400 UCITS ETF - JPY 253, MI Momentum Investment Funds - MI Momentum Factor 3 5

8 MI Momentum Investment Funds - MI Momentum Factor 3 Portfolio Statement continued Market % of total value net assets Holding Security Real Estate Investment Trusts 5.49% (4.81%) 675,926 Ediston Property Investment Company* 706, ,501 Schroder Real Estate Investment Trust* 243, , UK Equities 8.66% (6.15%) 163,985 CF Lindsell Train UK Equity - Accumulation 535, ,378 Schroder Recovery - Z Accumulation 963, UK Government 0.00% (4.52%) 1,498, US Fixed Interest 5.45% (11.33%) 698,102 AXA US Short Duration High Yield ZI (Gross) Accumulation GBP 943, AXA World Funds US High Yield Bonds I Hedged Capitalisation GBP , Investment assets 15,146, Net other assets 2,161, Net assets 17,308, All investments are ordinary shares or stock units on a regulated securities market unless otherwise stated. The percentages in brackets show the equivalent % holdings as at All investments are Collective Investment Schemes permitted under COLL, not listed on any exchange, unless stated otherwise. * Real Estate Investment Trust. Total Purchases for the period: 5,129,357 Total Sales for the period: 3,411,074 6 MI Momentum Investment Funds - MI Momentum Factor 3

9 MI Momentum Investment Funds - MI Momentum Factor 3 Comparative Tables Change in net assets per share A Accumulation p p p p Opening net asset value per share Return before operating charges^ Operating charges Return after operating charges^ Distributions Retained distributions on accumulation shares Closing net asset value per share ^After direct transaction costs of Performance Return after charges 5.19% 5.92% 0.84% 6.07% Other Information Closing net asset value 16,661,911 13,920,139 13,962,617 11,756,235 Closing number of shares 13,422,885 11,797,027 12,532,217 10,641,005 Operating charges 1.45% 1.49% 1.49% 2.11% Direct transaction costs 0.00% 0.00% 0.00% 0.00% Prices Highest share price Lowest share price From 06 February 2015, the Investment Manager started rebating the Sub-fund's operating charges in order for them not to exceed 1.49% of the average net asset value of the Sub-fund. B Accumulation p p p p Opening net asset value per share Return before operating charges^ Operating charges Return after operating charges^ Distributions Retained distributions on accumulation shares Closing net asset value per share ^After direct transaction costs of Performance Return after charges 4.74% 5.87% 0.24% 5.04% Other Information Closing net asset value 646, , , ,91 Closing number of shares 514, , , ,341 Operating charges 2.45% 1.49% 1.49% 3.11% Direct transaction costs 0.00% 0.00% 0.00% 0.00% Prices Highest share price Lowest share price From 06 February 2015, the Investment Manager started rebating the Sub-fund s operating charges in order for them not to exceed 1.49% of the average net asset value of the Sub-fund, this changed to 2.49% from 01 July MI Momentum Investment Funds - MI Momentum Factor 3 7

10 MI Momentum Investment Funds - MI Momentum Factor 3 Comparative Tables continued Operating charges include indirect costs incurred in the maintenance and running of the Sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average Net Asset Value for the accounting period. The return after charges is calculated as the closing net asset value per share plus the distributions on income shares minus the open net asset value per share as a % of the opening net asset value per share. The Sub-fund invests in collective investment schemes, the expenses incurred by these schemes in relation to the Sub-fund (synthetic ongoing charge) are included within the operating charges. Direct transaction costs include fees, commissions, transfer taxes and duties in the purchasing and selling of investments, which are offset (where applicable) against any dilution levies charged within the accounting period. The figures used within the table have been calculated against the average Net Asset Value for the accounting period. Risk and reward profile The risk and reward indicator table demonstrates where the Sub-fund ranks in terms of its potential risk and reward. The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Sub-fund. The shaded area in the table below shows the Sub-fund s ranking on the risk and reward indicator. Typically lower rewards, Typically higher rewards, lower risk higher risk The Sub-fund is ranked 3 because funds of this type have experienced low to medium rises and falls in value in the past. During the period under review the category changed from 4 to 3, this is due to price volatility of the Sub-fund. Please note that even the lowest risk class can lose you money and that extreme market circumstances can mean you suffer severe losses in all cases. The indicator does not take into account the following risks of investing in this Sub-fund: Investing in other funds may expose investors to increased risk due to less strict regulations and the use of derivatives. The other funds can themselves invest in assets such as bonds, company shares, cash and currencies. The objectives and risk profiles of these underlying funds may not be fully in line with those of this Sub-fund. Where this Sub-fund invests in bonds, there is a risk that bond issuers fail to meet repayments. This is usually a greater risk for bonds that produce a higher level of income. Changes in interest rates, inflation and the creditworthiness of the bond issuers may also affect the bonds market value. Investing overseas can bring additional returns and spread risk to different markets. There are risks, however, that changes in currency exchange rates may cause the value of your investment to decrease and increase. 8 MI Momentum Investment Funds - MI Momentum Factor 3

11 MI Momentum Investment Funds - MI Momentum Factor 3 Comparative Tables continued Risk and reward profile (continued) The Sub-fund will target a risk rating factor 3 as determined by an independent agency, Distribution Technology, that provides such ratings. This rating is on a scale of 1-10, and takes account of risk targets and other factors as well as past data. It is not related to the risk ranking that appears on the 1-7 scale above, which is based solely on past data. For further risk information please see the prospectus. Risk warning An investment in an Investment Company with Variable Capital should be regarded as a medium to long-term investment. Investors should be aware that the price of shares and the revenue from them can fall as well as rise and investors may not receive back the full amount invested. Past performance is not a guide to future performance. Investments denominated in currencies other than the base currency are subject to fluctuation in exchange rates, which can be favourable or unfavourable. MI Momentum Investment Funds - MI Momentum Factor 3 9

12 MI Momentum Investment Funds - MI Momentum Factor 3 Statement of Total Return for the period ended 31 December Income Net capital gains/(losses) 689,778 (236,117) Revenue 153, ,715 Expenses (74,956) (69,418) Interest payable and similar charges (1) (22) Net revenue before taxation 78,375 85,275 Taxation (8,178) (8,267) Net revenue after taxation 70,197 77,008 Total return before distributions 759,975 (159,109) Distributions (107,199) (109,897) Change in net assets attributable to Shareholders from investment activities 652,776 (269,006) Statement of Change in Net Assets Attributable to Shareholders for the period ended 31 December Opening net assets attributable to Shareholders 14,547,649 14,578,192 Amounts receivable on issue of shares 2,513, ,204 Less: Amounts payable on cancellation of shares (526,858) (447,068) 1,986,625 (286,864) Change in net assets attributable to Shareholders from investment activities (see Statement of Total Return above) 652,776 (269,006) Retained distributions on accumulation shares 121, ,479 Closing net assets attributable to Shareholders 17,308,822 14,131,801 The opening net assets attributable to shareholders for the current period do not equal the closing net assets attributable to shareholders for the comparative period as they are not consecutive periods. 10 MI Momentum Investment Funds - MI Momentum Factor 3

13 MI Momentum Investment Funds - MI Momentum Factor 3 Balance Sheet as at 31 December 2016 ASSETS Fixed Assets Investments 15,146,825 12,767,254 Current Assets Debtors 1,367, ,578 Cash and bank balances 868, ,445 Total current assets 2,235,551 1,845,023 Total assets 17,382,376 14,612,277 LIABILITIES Investment liabilities Creditors Bank overdrafts (370) Other creditors (73,184) (64,628) Total creditors (73,554) (64,628) Total liabilities (73,554) (64,628) Net assets attributable to Shareholders 17,308,822 14,547,649 MI Momentum Investment Funds - MI Momentum Factor 3 11

14 MI Momentum Investment Funds - MI Momentum Factor 3 Distribution Table for the period ended 31 December 2016 Accumulation Share Distribution Share Distribution Shares Net Equalisation Amount Amount Class revenue reinvested reinvested p p p p A Interim Group Group B Interim Group Group Interim period: Group 1: Group 2: Shares purchased prior to a distribution period Shares purchased during a distribution period Equalisation Equalisation applies only to shares purchased during the distribution period (Group 2 shares). It represents accrued revenue included in the purchase price of the shares. After averaging, it is returned with the distribution as a capital repayment. It is not liable to income tax but must be deducted from the cost of the shares for capital gains tax purposes. 12 MI Momentum Investment Funds - MI Momentum Factor 3

15 MI Momentum Investment Funds - MI Momentum Factor 4 Investment Objective The Sub-fund aims to achieve medium to long-term capital growth. Investment Policy The Sub-fund may gain exposure to a broad range of asset classes, including global equities, UK equities, corporate and government bonds, money market instruments, cash and near cash by investing predominantly in a globally diverse mix of collective investment schemes. In doing so, the Sub-fund will target a risk rating factor 4 as determined by an independent risk rating body. The risk profile of the Sub-fund is broadly balanced with between 40% and 60% exposure to equities. Performance is measured over an entire market cycle (the market cycle is a period of time from which the market moves from a period of increasing prices and strong performance, to a period of weak performance and falling prices, and then back again), rather than at any one point in time. Where possible and where not inconsistent with the Sub-fund s risk profile, it will aim for a return which is 4% in excess of the consumer price index over the relevant market cycle. There is no guarantee that this return will be achieved. The Sub-fund may also invest in other transferable securities, cash, near cash, deposits, money market instruments and money market funds. The Sub-fund may use derivatives or forward transactions only for the purpose of efficient portfolio management. Investment Manager's Report for the period ended 31 December 2016 The Momentum Factor Sub-funds combine long term inflation plus objectives with third party risk profiling provided by Distribution Technology. Through the Factor Sub-funds, we aim to manage the expected volatility of investors portfolios, while at the same time achieving long term real returns consistent with their financial objectives. MI Momentum Factor 4 has been risk rated by Distribution Technology as risk profile 4. Over the six month period to 31st December 2016, the Sub-fund s Class A shares returned 7.4%, based on the prices on 30 June & 31st December This is against a return of 11.5% for the UK equity market, and -1.3% for the UK gilt market. The Sub-fund s exposure to equity markets drove returns for the period, with strong returns from most of the Sub-fund s appointed equity managers. The strong performance of financial assets over the period has taken valuations to high levels across many asset classes, and as a result the Fund Managers have elected to reduce the Sub-fund s exposure to short duration high yield corporate debt whilst adding additional strategies to the liquid alternatives component of the portfolio and increasing the Sub-fund s position in gold, in order to enhance the risk/return profile of the Sub-fund. We now have small positions across three liquid alternative funds, in order to benefit from a well-diversified blend of alternative strategies. MI Momentum Investment Funds - MI Momentum Factor 4 13

16 MI Momentum Investment Funds - MI Momentum Factor 4 Investment Manager's Report continued We are at a major inflection point in an uncertain world. We are likely to see further headwinds in bond markets, but in many ways this marks a healthy return to some degree of normality. It does not signal the end of the bull market in equities, which have a good valuation cushion against bonds and which will benefit from rising growth and earnings. The prospect of a pick-up in growth and inflation is supportive, while a return to boom-bust seems a very distant prospect given the structural headwinds to growth. This cycle therefore has further to run. There will be plenty of bumps along the way but by prudent diversification and taking advantage of valuation opportunities as they arise, good real returns are available. To capture these it will be vital to stay invested, ride out the bumps and focus on the longer term. Anything less invariably leads to disappointment. Material Portfolio Changes for the period ended 31 December 2016 Top 5 Purchases Costs RWC Income Opportunities - B Accumulation 671,506 Schroder Recovery - Z Accumulation 551,855 ETFS Physical Gold 542,499 ishares Corporate Bond 0-5yr UCITS ETF 511,788 IShares FTSE 100 UCITS ETF 461,332 Top 5 Sales Proceeds AXA US Short Duration High Yield ZI (Gross) Accumulation GBP 623,622 Polar Capital Japan I Hedged GBP 458,804 FP Crux European Special Situations - I EUR Accumulation 308,111 Evenlode Income - C Accumulation GBP 168,290 Heptagon Kopernik Global All Cap Equity - C USD Accumulation 147, MI Momentum Investment Funds - MI Momentum Factor 4

17 MI Momentum Investment Funds - MI Momentum Factor 4 Portfolio Statement as at 31 December 2016 Market % of total value net assets Holding Security Commodities 4.30% (2.01%) 5,755 EFTS Physical Gold 521, ,933 ishares Gold Producers UCITS ETF 354, , Emerging Markets Convertibles 3.51% (3.26%) 5,989 RWC Asia Convertibles - B Accumulation 713, Emerging Markets Equities 3.71% (4.24%) 20,850 Dimensional Emerging Markets Value Fund - Accumulation USD 278, ,800 JPMorgan Emerging Markets Dividend - A (Distribution) GBP 244, ,191 Sands Capital Emerging Markets Growth - A USD Accumulation 231, , Emerging Markets Fixed Interest 4.99% (3.38%) 11,425 ishares J.P. Morgan $ Emerging Markets Bond UCITS ETF 1,014, European Equities 2.04% (3.63%) 24 FP Crux European Special Situations - I EUR Accumulation ,099 Jupiter European Special Situations Accumulation 415, , Global Equities 19.91% (16.77%) 661,440 Evenlode Income - C Accumulation GBP 1,645, ,971 F&C Global Equity Market Neutral 3 Accumulation 330, ,439 Goldman Sachs EFI Long Short Risk Premia Portfolio Class Z (GBP Hedged) 335, ,435 Heptagon Kopernik Global All Cap Equity - C USD Accumulation 315, Morgan Stanley Global Brands - A USD ,514 RWC Income Opportunities - B Accumulation 1,425, ,054, Global Fixed Interest 20.57% (19.01%) 3,158 Goldman Sachs Global Strategic Macro Bond Portfolio I Accumulation (GBP Hedged) 334, ,330 ishares Corporate Bond 0-5yr UCITS ETF 2,067, MI Momentum Investment Funds - MI Momentum Factor 4 15

18 MI Momentum Investment Funds - MI Momentum Factor 4 Portfolio Statement continued Market % of total value net assets Holding Security Global Fixed Interest (continued) 6,830 ishares Core Corporate Bond UCITS ETF 985, Westwood Strategic Global Convertibles F GBP Accumulation Hedged 801, ,189, Japanese Equities 1.46% (1.61%) 2,987 Amundi ETF JPX-NIKKEI 400 UCITS ETF - JPY 297, Real Estate Investment Trusts 5.01% (4.46%) 686,672 Ediston Property Investment Company* 717, ,468 Schroder Real Estate Investment Trust* 303, ,021, UK Equities 20.22% (16.72%) 335,101 CF Lindsell Train UK Equity - Accumulation 1,094, ,479 ishares FTSE 100 UCITS ETF 1,209, ,754,179 Schroder Recovery - Z Accumulation 1,812, ,116, US Fixed Interest 7.38% (10.62%) 1,111,284 AXA US Short Duration High Yield ZI (Gross) Accumulation GBP 1,501, AXA World Funds US High Yield Bonds I Hedged Capitalisation GBP ,501, Investment assets 18,954, Net other assets 1,405, Net assets 20,360, All investments are ordinary shares or stock units on a regulated securities market unless otherwise stated. The percentages in brackets show the equivalent % holdings as at All investments are Collective Investment Schemes permitted under COLL, not listed on any exchange, unless stated otherwise. * Real Estate Investment Trust. Total purchases for the period: 6,307,389 Total sales for the period: 1,972, MI Momentum Investment Funds - MI Momentum Factor 4

19 MI Momentum Investment Funds - MI Momentum Factor 4 Comparative Tables Change in net assets per share A Accumulation p p p p Opening net asset value per share Return before operating charges^ Operating charges Return after operating charges^ Distributions Retained distributions on accumulation shares Closing net asset value per share ^After direct transaction costs of Performance Return after charges 6.43% 5.93% 3.89% 5.96% Other Information Closing net asset value 20,360,740 15,943,552 12,694,222 4,569,210 Closing number of shares 15,465,492 12,888,721 10,871,432 4,065,098 Operating charges 1.48% 1.49% 1.49% 2.82% Direct transaction costs 0.00% 0.00% 0.00% -0.20% Prices Highest share price Lowest share price From 06 February 2015, the Investment Manager started rebating the Sub-fund s operating charges in order for them not to exceed 1.49% of the average net asset value of the Sub-fund. Operating charges include indirect costs incurred in the maintenance and running of the Sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average Net Asset Value for the accounting period. The return after charges is calculated as the closing net asset value per share plus the distributions on income shares minus the open net asset value per share as a % of the opening net asset value per share. The Sub-fund invests in collective investment schemes, the expenses incurred by these schemes in relation to the Sub-fund (synthetic ongoing charge) are included within the operating charges. Direct transaction costs include fees, commissions, transfer taxes and duties in the purchasing and selling of investments, which are offset (where applicable) against any dilution levies charged within the accounting period. The figures used within the table have been calculated against the average Net Asset Value for the accounting period. MI Momentum Investment Funds - MI Momentum Factor 4 17

20 MI Momentum Investment Funds - MI Momentum Factor 4 Comparative Tables continued Risk and reward profile The risk and reward indicator table demonstrates where the Sub-fund ranks in terms of its potential risk and reward. The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Sub-fund. The shaded area in the table below shows the Sub-fund s ranking on the risk and reward indicator. Typically lower rewards, Typically higher rewards, lower risk higher risk The Sub-fund is ranked 4 because funds of this type have experienced average rises and falls in value in the past. Please note that even the lowest risk class can lose you money and that extreme market circumstances can mean you suffer severe losses in all cases. The indicator does not take into account the following risks of investing in this Sub-fund: Investing in other funds may expose investors to increased risk due to less strict regulations and the use of derivatives. The other funds can themselves invest in assets such as bonds, company shares, cash and currencies. The objectives and risk profiles of these underlying funds may not be fully in line with those of this Sub-fund. Where the Sub-fund invests in bonds, there is a risk that bond issuers fail to meet repayments. This is usually a greater risk for bonds that produce a higher level of income. Changes in interest rates, inflation and the creditworthiness of the bond issuers may also affect the bonds market value. Investing overseas can bring additional returns and spread risk to different markets. There are risks, however, that changes in currency exchange rates may cause the value of your investment to decrease and increase. The Sub-fund will target a risk rating factor 4 as determined by an independent agency, Distribution Technology, that provides such ratings. This rating is on a scale of 1-10, and takes account of risk targets and other factors as well as past data. It is not related to the risk ranking that appears on the 1-7 scale above, which is based solely on past data. For further risk information please see the prospectus. Risk warning An investment in an Investment Company with Variable Capital should be regarded as a medium to long-term investment. Investors should be aware that the price of shares and the revenue from them can fall as well as rise and investors may not receive back the full amount invested. Past performance is not a guide to future performance. Investments denominated in currencies other than the base currency are subject to fluctuation in exchange rates, which can be favourable or unfavourable. 18 MI Momentum Investment Funds - MI Momentum Factor 4

21 MI Momentum Investment Funds - MI Momentum Factor 4 Statement of Total Return for the period ended 31 December Income Net capital gains/(losses) 994,420 (275,457) Revenue 157, ,691 Expenses (74,917) (51,524) Interest payable and similar charges (2) (51) Net revenue before taxation 82,776 75,116 Taxation (1,898) (870) Net revenue after taxation 80,878 74,246 Total return before distributions 1,075,298 (201,211) Distributions (117,939) (104,186) Change in net assets attributable to Shareholders from investment activities 957,359 (305,397) Statement of Change in Net Assets Attributable to Shareholders for the period ended 31 December Opening net assets attributable to Shareholders 15,943,552 12,729,802 Amounts receivable on issue of shares 4,231,672 1,494,537 Less: Amounts payable on cancellation of shares (908,125) (287,446) 3,323,547 1,207,091 Change in net assets attributable to Shareholders from investment activities (see Statement of Total Return above) 957,359 (305,397) Retained distribution on accumulation shares 136, ,289 Closing net assets attributable to Shareholders 20,360,740 13,740,785 The opening net assets attributable to shareholders for the current period do not equal the closing net assets attributable to shareholders for the comparative period as they are not consecutive periods. MI Momentum Investment Funds - MI Momentum Factor 4 19

22 MI Momentum Investment Funds - MI Momentum Factor 4 Balance Sheet as at 31 December 2016 ASSETS Fixed Assets Investments 18,954,992 13,664,866 Current Assets Debtors 495,813 1,479,686 Cash and bank balances 967, ,732 Total current assets 1,463,027 2,337,418 Total assets 20,418,019 16,002,284 LIABILITIES Investment liabilities Creditors Bank overdrafts (3,241) Other creditors (54,038) (58,732) Total creditors (57,279) (58,732) Total liabilities (57,279) (58,732) Net assets attributable to Shareholders 20,360,740 15,943, MI Momentum Investment Funds - MI Momentum Factor 4

23 MI Momentum Investment Funds - MI Momentum Factor 4 Distribution Table for the period ended 31 December 2016 Accumulation Share Distribution Share Distribution Shares Net Equalisation Amount Amount Class revenue reinvested reinvested p p p p A Interim Group Group Interim period: Group 1: Group 2: Shares purchased prior to a distribution period Shares purchased during a distribution period Equalisation Equalisation applies only to shares purchased during the distribution period (Group 2 shares). It represents accrued revenue included in the purchase price of the shares. After averaging, it is returned with the distribution as a capital repayment. It is not liable to income tax but must be deducted from the cost of the shares for capital gains tax purposes. MI Momentum Investment Funds - MI Momentum Factor 4 21

24 MI Momentum Investment Funds - MI Momentum Factor 5 Investment Objective The Sub-fund aims to achieve medium to long term capital growth. Investment Policy The Sub-fund may gain exposure to a broad range of asset classes, including global equities, UK equities, corporate and government bonds, money market instruments, cash and near cash by investing predominantly in a globally diverse mix of collective investment schemes. In doing so the Sub-fund will target a risk rating factor 5 as determined by an independent risk rating body. The risk profile of the Sub-fund is moderately aggressive with between 50% and 80% exposure to equities. Performance is measured over an entire market cycle (the market cycle is a period of time from which the market moves from a period of increasing prices and strong performance, to a period of weak performance and falling prices, and then back again), rather than at any one point in time. Where possible and where not inconsistent with the Sub-fund's risk profile, it will aim for a return which is 5% in excess of the consumer price index over the relevant market cycle. There is no guarantee that this return will be achieved. The Sub-fund may also invest in other transferable securities, cash, near cash, deposits, money markets instruments and money market funds. The Sub-fund may use derivatives or forward transactions only for the purpose of efficient portfolio management. Investment Manager's Report for the period ended 31 December 2016 The Momentum Factor Sub-funds combine long term inflation plus objectives with third party risk profiling provided by Distribution Technology. Through the Factor Sub-funds, we aim to manage the expected volatility of investors portfolios, while at the same time achieving long term real returns consistent with their financial objectives. MI Momentum Factor 5 has been risk rated by Distribution Technology as risk profile 5. Over the six month period to 31st December 2016, the Sub-fund s Class A shares returned 9.0%, based on the prices on 30 June & 31st December This is against a return of 11.5% for the UK equity market, and -1.3% for the UK gilt market. The Sub-fund s exposure to equity markets drove returns for the period, with strong returns from most of the Sub-fund s appointed equity managers. The strong performance of financial assets over the period has taken valuations to high levels across many asset classes, and as a result the Fund Managers have elected to hold a neutral allocation to equity while reducing the Sub-fund s credit exposure, particularly in short duration high yield corporate debt. Additional strategies have been added to the liquid alternatives component of the portfolio as well as an increase in gold, which were done in order to enhance the risk/return profile of the Subfund. We now have small positions across three liquid alternative funds, in order to benefit from a welldiversified blend of alternative strategies. 22 MI Momentum Investment Funds - MI Momentum Factor 5

25 MI Momentum Investment Funds - MI Momentum Factor 5 Investment Manager's Report continued We are at a major inflection point in an uncertain world. We are likely to see further headwinds in bond markets, but in many ways this marks a healthy return to some degree of normality. It does not signal the end of the bull market in equities, which have a good valuation cushion against bonds and which will benefit from rising growth and earnings. The prospect of a pick-up in growth and inflation is supportive, while a return to boom-bust seems a very distant prospect given the structural headwinds to growth. This cycle therefore has further to run. There will be plenty of bumps along the way but by prudent diversification and taking advantage of valuation opportunities as they arise, good real returns are available. To capture these it will be vital to stay invested, ride out the bumps and focus on the longer term. Anything less invariably leads to disappointment. Material Portfolio Changes for the period ended 31 December 2016 Top 5 Purchases Costs IShares FTSE 100 UCITS ETF 1,291,648 RWC Income Opportunities - B Accumulation 796,582 Evenlode Income - C Accumulation GBP 786,737 CF Lindsell Train UK Equity - Accumulation 708,732 Schroder Recovery - Z Accumulation 705,813 Top 5 Sales Proceeds Axa US Short Duration High Yield ZI (Gross) Accumulation GBP 1,089,556 Polar Capital Japan I Hedged GBP 565,647 ishares Corporate Bond 0-5yr UCITS ETF 298,893 IShares FTSE 100 UCITS ETF 268,853 FP Crux European Special Situations - I EUR Accumulation 154,627 MI Momentum Investment Funds - MI Momentum Factor 5 23

26 MI Momentum Investment Funds - MI Momentum Factor 5 Portfolio Statement as at 31 December 2016 Market % of total value net assets Holding Security Commodities 3.76% (1.99%) 5,661 ETFS Physical Gold 513, ,791 ishares Gold Producers UCITS ETF 456, , Emerging Markets Convertibles 3.76% (4.08%) 8,133 RWC Asia Convertibles - B Accumulation 969, Emerging Markets Equities 6.29% (6.03%) 38,750 Dimensional Emerging Markets Value Fund - Accumulation USD 517, ,906 JPMorgan Emerging Markets Dividend - A (Distribution) GBP 574, ,086 Sands Capital Emerging Markets Growth - A USD Accumulation 529, ,621, Emerging Markets Fixed Interest 4.94% (3.47%) 14,329 ishares J.P. Morgan $ Emerging Markets Bond UCITS ETF 1,272, European Equities 2.12% (3.13%) 61,445 FP Crux European Special Situations - I EUR Accumulation 261, ,155 Jupiter European Special Situations Accumulation 283, , Global Equities 23.22% (18.40%) 1,080,685 Evenlode Income - C Accumulation GBP 2,688, ,304 F&C Global Equity Market Neutral 3 Accumulation 329, ,395 Goldman Sachs EFI Long Short Risk Premia Portfolio Class Z (GBP Hedged) 335, ,459 Hepatagon Kopernik Global All Cap Equity - C USD Accumulation 593, Morgan Stanley Global Brands - A USD ,592 RWC Income Opportunities - B Accumulation 2,037, ,985, Global Fixed Interest 9.62% (9.54%) 3,154 Goldman Sachs Global Strategic Macro Bond Portfolio I Accumulation (GBP Hedged) 333, ,910 ishares Corporate Bond 0-5yr UCITS ETF 739, ,840 ishares Core Corporate Bond UCITS ETF 409, MI Momentum Investment Funds - MI Momentum Factor 5

27 MI Momentum Investment Funds - MI Momentum Factor 5 Portfolio Statement continued Market % of total value net assets Holding Security Global Fixed Interest (continued) 1,030 Westwood Strategic Global Convertibles F GBP Accumulation Hedged 995, ,477, Japanese Equities 1.92% (1.57%) 4,968 Amundi ETF JPX-NIKKEI 400 UCITS ETF - JPY 494, Real Estate Investment Trusts 5.81% (5.40%) 1,064,186 Ediston Property Investment Company* 1,112, ,828 Schroder Real Estate Investment Trust* 387, ,499, UK Equities 31.53% (24.05%) 652,819 CF Lindsell Train UK Equity - Accumulation 2,133, ,433 ishares FTSE 100 UCITS ETF 3,060, ,838,622 Schroder Recovery - Z Accumulation 2,932, ,125, US Fixed Interest 3.41% (7.62%) 650,424 AXA US Short Duration High Yield ZI (Gross) Accumulation GBP 878, AXA World Funds US High Yield Bonds I Hedged Capitalisation GBP , Investment assets 24,840, Net other assets 933, Net assets 25,773, All investments are ordinary shares or stock units on a regulated securities market unless otherwise stated. The percentages in brackets show the equivalent % holdings as at All investments are Collective Investment Schemes permitted under COLL, not listed on any exchange, unless stated otherwise. * Real Estate Investment Trust. Total purchases for the period: 8,513,238 Total sales for the period: 2,484,972 MI Momentum Investment Funds - MI Momentum Factor 5 25

28 MI Momentum Investment Funds - MI Momentum Factor 5 Comparative Tables Change in net assets per share A Accumulation p p p p Opening net asset value per share Return before operating charges^ Operating charges Return after operating charges^ Distributions Retained distributions on accumulation shares Closing net asset value per share ^After direct transaction costs of Performance Return after charges 7.61% 6.16% 4.37% 6.85% Other Information Closing net asset value 25,773,907 20,401,236 16,445,474 6,042,858 Closing number of shares 18,694,122 15,923,939 13,626,459 5,225,408 Operating charges 1.49% 1.49% 1.49% 2.87% Direct transaction costs 0.00% 0.00% 0.00% -0.03% Prices Highest share price Lowest share price From 06 February 2015, the Investment Manager started rebating the Sub-fund s operating charges in order for them not to exceed 1.49% of the average net asset value of the Sub-fund. Operating charges include indirect costs incurred in the maintenance and running of the Sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average Net Asset Value for the accounting period. The return after charges is calculated as the closing net asset value per share plus the distributions on income shares minus the opening net asset value per share as a % of the opening net asset value per share. The Sub-fund invests in collective investment schemes, the expenses incurred by these schemes in relation to the Sub-fund (synthetic ongoing charge) are included within the operating charges. Direct transaction costs include fees, commissions, transfer taxes and duties in the purchasing and selling of investments, which are offset (where applicable) against any dilution levies charged within the accounting period. The figures used within the table have been calculated against the average Net Asset Value for the accounting period. 26 MI Momentum Investment Funds - MI Momentum Factor 5

29 MI Momentum Investment Funds - MI Momentum Factor 5 Comparative Tables continued Risk and reward profile The risk and reward indicator table demonstrates where the Sub-fund ranks in terms of its potential risk and reward. The higher the rank the greater the potential reward but the greater the risk of losing money. It is based on past data, may change over time and may not be a reliable indication of the future risk profile of the Sub-fund. The shaded area in the table below shows the Sub-fund s ranking on the risk and reward indicator. Typically lower rewards, Typically higher rewards, lower risk higher risk The Sub-fund is ranked 4 because funds of this type have experienced average rises and falls in value in the past. Please note that even the lowest risk class can lose you money and that extreme market circumstances can mean you suffer severe losses in all cases. The indicator does not take into account the following risks of investing in this Sub-fund: Investing in other funds may expose investors to increased risk due to less strict regulations and the use of derivatives. The other funds can themselves invest in assets such as bonds, company shares, cash and currencies. The objectives and risk profiles of these underlying funds may not be fully in line with those of this Sub-fund. Where this Sub-fund invests in bonds, there is a risk that bond issuers fail to meet repayments. This is usually a greater risk for bonds that produce a higher level of income. Changes in interest rates, inflation and the creditworthiness of the bond issuers may also affect the bonds market value. Investing overseas can bring additional returns and spread risk to different markets. There are risks, however, that changes in currency exchange rates may cause the value of your investment to decrease and increase. The Sub-fund will target a risk rating factor 5 as determined by an independent agency, Distribution Technology, that provides such ratings. This rating is on a scale of 1-10, and takes account of risk targets and other factors as well as past data. It is not related to the risk ranking that appears on the 1-7 scale above, which is based solely on past data. For further risk information please see the prospectus. Risk warning An investment in an Investment Company with Variable Capital should be regarded as a medium to long-term investment. Investors should be aware that the price of shares and the revenue from them can fall as well as rise and investors may not receive back the full amount invested. Past performance is not a guide to future performance. Investments denominated in currencies other than the base currency are subject to fluctuation in exchange rates, which can be favourable or unfavourable. MI Momentum Investment Funds - MI Momentum Factor 5 27