VALEX PORTFOLIOS UCITS (formerly WATAMAR OPTIMUM PORTFOLIO FUND)

Transcription

1 VALEX PORTFOLIOS UCITS (formerly WATAMAR OPTIMUM PORTFOLIO FUND) Société d'investissement à capital variable (a Luxembourg domiciled open-ended investment company) Annual report, including audited financial statements, as at December 31, 2015 R.C.S. Luxembourg B

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3 VALEX PORTFOLIOS UCITS (formerly WATAMAR OPTIMUM PORTFOLIO FUND) Société d'investissement à capital variable (a Luxembourg domiciled open-ended investment company) Annual report, including audited financial statements, as at December 31,

4 Annual report, including audited financial statements, as at December 31, 2015 No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the information and the representations contained in the current prospectus accompanied by the Key Investor Information Document ("KIID"), the latest annual report and semi-annual report, if published after the latest annual report, as well as the documents mentioned herein which may be inspected by the public at the registered office of the Company. 2

5 Table of contents Organisation of the SICAV 4 General information 6 Management report 7 Independent auditor's report 14 Financial statements Statement of net assets 16 Statement of operations and changes in net assets 17 Statistics 19 Sub-fund : VALEX PORTFOLIOS UCITS (formerly WATAMAR OPTIMUM PORTFOLIO FUND) - COL (note 1) - Statement of investments and other net assets 20 - Geographical and industrial classification of investments 22 Sub-fund : VALEX PORTFOLIOS UCITS (formerly WATAMAR OPTIMUM PORTFOLIO FUND) - INCOME (note 1) - Statement of investments and other net assets 23 - Geographical and industrial classification of investments 25 Notes to the financial statements 26 Other information to Shareholders (unaudited appendix) 35 3

6 Organisation of the SICAV REGISTERED OFFICE 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg BOARD OF DIRECTORS CHAIRMAN DIRECTORS Mr. Matthias OETTLI, Managing Partner, MWO CONSULT GmbH, Sennhofstrasse 31, CH-8125 Zollikerberg, Switzerland Mr. Marc DE LEYE, Independent Management Consultant Mr. Franz BONDY, Independent Director, 8, rue Philippe II, L-2340 Luxembourg, Grand Duchy of Luxembourg MANAGEMENT COMPANY (note 1) MDO Management Company S.A., 19, rue de Bitbourg, L-1273 Luxembourg, Grand Duchy of Luxembourg (until July 12, 2015) BOARD OF DIRECTORS OF MDO Management Company S.A. CHAIRMAN DIRECTORS Mr. Géry DAENINCK, Independent Management Consultant Mr. John LI, Independent Management Consultant Mr. Garry PIETERS, Independent Management Consultant Mr. Yves WAGNER, Independent Management Consultant Mr. Martin VOGEL, Chief Executive Officer, MDO Services S.A. MANAGEMENT COMPANY (note 1) FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg (since July 13, 2015) BOARD OF DIRECTORS AND OFFICERS of FundPartner Solutions (Europe) S.A. CHAIRMAN Mr Marc BRIOL, Executive Vice President, Banque Pictet & Cie SA, 60, route des Acacias, CH-1211 Geneva 73, Switzerland 4

7 Organisation of the SICAV (continued) MEMBERS Mr Pierre ETIENNE, Managing Director, Pictet & Cie (Europe) S.A., 15A, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg MEMBERS OF THE MANAGEMENT COMMITTEE of FundPartner Solutions (Europe) S.A. Mrs Michèle BERGER, CEO and Managing Director, FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Me. Claude KREMER, Partner, Arendt & Medernach - Avocats 41A, avenue J.F. Kennedy, L-2082 Luxembourg, Grand Duchy of Luxembourg Mrs Michèle BERGER, CEO and Managing Director, FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Mr Pascal CHAUVAUX, Head of Central Administration, FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Mr Cédric HAENNI, Head of Risk & Compliance, FundPartner Solutions (Suisse) SA, 60, route des Acacias, CH-1211 Geneva 73, Switzerland Mr Dorian JACOB, Head of Investment Management Oversight, FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg INVESTMENT MANAGER (note 1) Watamar Asset Management AG, Claridenstrasse 26, CH-8002 Zürich, Switzerland (until July 19, 2015) Valex Capital AG, Schützenstrasse 18, CH-8808 Pfäffikon, Switzerland (since July 20, 2015) DEPOSITARY BANK ADMINISTRATIVE AGENT INDEPENDENT AUDITOR LEGAL ADVISER COUNTERPARTY ON FORWARD EXCHANGE CONTRACTS (NOTE 9) Pictet & Cie (Europe) S.A., 15A, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Ernst & Young S.A.*, 35E, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Allen & Overy, Société en commandite simple, 33, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Pictet & Cie (Europe) S.A. Luxembourg * As at December 14, 2015, Ernst & Young S.A. moved from 7, rue Gabriel Lippmann - Parc d Activité Syrdall 2, L-5365 Munsbach to 35E, avenue J.F. Kennedy, L-1855 Luxembourg. 5

8 General information The financial year of VALEX PORTFOLIOS UCITS (formerly WATAMAR OPTIMUM PORTFOLIO FUND) (the "SICAV") ends on December 31 in each year. The SICAV publishes an annual report, including audited financial statements, within four months of the end of the financial year and an unaudited semi-annual report within two months after the period to which it refers. All these reports are made (free of charge) available to the Shareholders upon request at the registered office of the SICAV, the Depositary Bank and other establishments appointed by the Depositary Bank. The Net Asset Value ("NAV") per share of each sub-fund as well as the issue and redemption prices are available on each Valuation Day at the SICAV's registered office. Any amendments to the Articles will be published in the Mémorial. Shareholders are informed in due time of all specific amendments or decisions impacting the SICAV. Notice to the Shareholders are sent by mail to all the Shareholders. Shareholders may receive copies of the Articles, the Prospectus, the Key Investor Information Document ("KIID") and of the latest financial reports by mail upon their request and free of charge as well as during office hours at the registered office of the SICAV. Copies for material contracts the SICAV has entered into are available for inspection during business hours at the registered office of the SICAV. A detailed schedule of changes in the securities portfolios for all the sub-funds for the year ended December 31, 2015, is available free of charge upon request at the registered office of the SICAV and from the representative in each country in which the SICAV is authorised for distribution. 6

9 Management report 1. Performance and market comment As per December 31, 2015, the fund has achieved the following net-of fees results: Valex COL Fund Inception date Last date Performance 2015 (net-of-fees) USD class % $ 248k EUR class % 245k AuM (Last date) CHF class % CHF 2.3m The fund started on December 26, 2014 with USD and EUR classes. Both classes were closed on November 23, 2015 and a new class in CHF was started that very same day. The opening and closing of share classes was triggered by investor actions. The fund started the year on a flat note and after that the performance showed a downtrend. This is partly attributed to the high cost of the premium paid for hedging and partly due to an underperformance of the stock selection when compared to the SP500. December was particularly difficult with oil related companies contributing to a negative month of -9.4%. Below we can see the daily NAV of the different classes overlapped with the SP500 index normalized to 100 at the inception of the fund. Note that for the rest of this report we will join the performance of the USD class to the performance of the CHF class when computing yearly statistics and we will call it COL fund for simplicity. Past performance is not an indicator of current or future returns. 7

10 Management report (continued) 1.1 Correlation As we can see from the previous chart, the returns of the COL fund and the SP500 were not very correlated during the period. Below we can see the comparison of daily returns: Correlation between the Valex COL UCITS fund and the SP500 for SP *** COL Drawdown analysis The COL fund suffered the deepest drawdown so far at % for the USD class and % for the CHF class. It was not able to recover by the end of the year. Although the biggest drawdown or the SP500 was less pronounced, it did not recover either through the year. Below we have a table with the details of the worst drawdowns for both, the COL fund and the SP500 index. Past performance is not an indicator of current or future returns. 8

11 Management report (continued) From Trough To Depth Length To Trough Recovery % COL USD % % % From Trough To Depth Length % To Trough Recovery SP500 COL CHF From Trough To Depth Length To Trough Recovery % % % % % Best and worst days for the COL fund It is also interesting to see how the COL fund performs on extremes days. For this, we can find the best and worst days during the relevant period. In addition to knowing the performance for the fund, it is also useful to see how the SP500 did on the same days. As expected from two time series with low correlation, the worst and best days for both are not necessarily aligned. Below we have two tables that show us exactly that. Past performance is not an indicator of current or future returns. 9

12 Management report (continued) Date COL SP500 Date COL SP % 0.48% % 1.24% Worst Days % -1.50% % 3.94% % -1.36% % 0.25% Best Days % -1.44% % 1.18% % 1.07% % 0.90% 2. Performance attribution On the table below we have the factors that contributed to the overall performance of the COL fund. We know the main components are the stock selection for equities and the put options used as protection. The rest of the difference in performance is due to the various fees charged to the fund and an adjustment made to take into account compounding effects. Please note that the performance calculated here excludes all fees and is used to compare the contribution of equities and options. This performance is not an accurate representation of the final performance an investor would have seen. Using the same methodology to measure performance contribution for the whole year we arrive to a performance of -8.02% for equities and -6.14% for the put options. Month Equities Options Monthly SP500 Ind. Attribution Perf. Jan % 1.19% 0.61% -3.10% Feb % -3.57% 0.52% 5.49% Mar % 0.79% -1.09% -1.74% Apr % -1.23% -2.37% 0.85% May % -1.14% -0.96% 1.05% Jun % 1.13% -2.64% -2.10% Jul % -2.06% -2.46% 1.97% Aug % 5.02% 0.60% -6.26% Sep % 1.46% -1.74% -2.64% Oct % -4.64% 0.87% 8.30% Nov % -0.73% -1.00% 0.05% Dec % -1.13% -6.04% -1.75% 2.1 Equities The total performance for 2015 in the COL fund was strongly influenced by both equities and options. The estimate of the theoretical performance for the equities portion without hedging or costs was -8.02%. Past performance is not an indicator of current or future returns. 10

13 Management report (continued) To give us an idea of the performance of individual trades in the COL fund, we can take a look at the best and worst investments measured by performance. TOP GAINERS TOP DECLINERS Company Perf. Contr. Company Perf. Contr. Avon Products 25.6% 0.8% Southwestern Energy -56.0% -2.0% Time Cable Warner 23.5% 0.7% Range Resources -37.3% -1.2% Hanesbrands 21.6% 0.6% Kinder Morgan -28.4% -0.8% Comcast 17.3% 0.5% Western Digital -25.1% -0.8% Williams Companies 16.1% 0.5% Frontier Comms % -0.7% The average performance per company in this period was -0.66%, with an individual contribution of -0.02% to the fund. 2.2 Derivatives In addition to the selected stocks, the COL fund buys at-the-money put options. These options cover some of the market risk and in particular circumstances can be a source of profits. Since the market stayed flat in the analyzed period, the put options lost value and finally expired worthless. The cost of this protection was approximately -6.14% relative to the total amount of net assets (without taking any fees into account). Past performance is not an indicator of current or future returns. 11

14 Management report (continued) 2.3 Fees & Taxes For the calculation of the expense ratio we are using the CHF share class as a reference. This class is the only one active at the end of the year (after closing USD and EUR classes). The theoretic Net TER of the fund is 2.17%. When the administrator of the fund calculates the TER, it takes into account all the fees excluding interest, brokerage and foreign tax. The net TER after this calculation is 5.03% which includes provisioned and un-provisioned fees. The Gross TER is calculated by taking into account the performance fees plus the securities lending. The Gross TER calculated by the administrator of the fund for 2015 was 5.03%. As a side comment, it is important to remember that a high Gross TER is not necessarily bad. Since it depends on the performance fee and a high performance fee implies a high performance for the fund. February 2016 Established by the Investment Manager Approved by the Board of Directors Past performance is not an indicator of current or future returns. 12

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16 y Building al better working world Ernst & Young Societe anonyme 35E, Avenue John F. Kennedy L-1855 Luxembourg Tel: B.P.780 L-2017 Luxembourg R.C.S. Luxembourg B TVA LU Independent auditor's report To the Shareholders of VALEX PORTFOLIOS UCITS (formerlywatamar Societe d'investissement a capital variable 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg We have audited the accompanying financial statements of VALEX PORTFOLIOS UCITS (formerly WATAMAR (the "SICAV') and of each of its sub-funds, which comprise the statement of net assets and the statement of investments and other net assets as at December 31, 2015 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICA V for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation and presentation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the "reviseur d'entreprises agree" 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 about 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 judgement of the "reviseur d'entreprises agree", 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 "reviseur d'entreprises agree" 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 SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate basis for our audit opinion. to provide a 14 A member firm of Ernst & Young Global Limited

17 Building a better working world Independent auditor's report (continued) Opinion In our opinion, the financial statements give a true and fair view of the financial position of VALEX PORTFOLIOS UCITS (formerly WATAMAR 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 for the year then ended, in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation 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. ERNST & YOUNG Societe Anonyme Cabinet de revision agree Luxembourg, April?, A member firm of Ernst l~ Young Global Llflll\ed

18 Statement of net assets as at December 31, 2015 COMBINED VALEX PORTFOLIOS UCITS - COL (note 1) VALEX PORTFOLIOS UCITS - INCOME (note 1) EUR USD EUR ASSETS Investments in securities at acquisition cost 8,141, ,297, ,026, Net unrealised gain/loss on investments -7, , , Investments in securities at market value (note 2.c) 8,133, ,276, ,037, Options at market value (note 10) 67, , Cash at banks (note 2.c) 303, , Bank deposits 15,500, ,500, Interest receivable, net 2, , Formation expenses (note 2.i) 13, , ,020, ,365, ,843, LIABILITIES Bank overdraft (note 2.c) 1, , Management fees payable (note 4) 9, , , "Taxe d abonnement" payable (note 3) Net unrealised loss on forward exchange contracts (notes 2.f, 9) 27, , Other fees payable (note 6) 66, , , , , , TOTAL NET ASSETS AS AT DECEMBER 31, ,915, ,262, ,833, TOTAL NET ASSETS AS AT DECEMBER 31, ,038, ,161, TOTAL NET ASSETS AS AT DECEMBER 31, ,612, The accompanying notes form an integral part of these financial statements. 16

19 Statement of operations and changes in net assets for the year/period ended December 31, 2015 COMBINED WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (EUR) (note 1) WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (USD) (note 1) EUR EUR USD NET ASSETS AT THE BEGINNING OF THE YEAR/PERIOD 8,038, ,870, ,881, INCOME Dividends, net (note 2.g) 26, Interest on bonds, net 7, , , Bank interest (note 2.g) , , , EXPENSES Amortization of formation expenses (note 2.i) 3, Management and distribution fees (note 4) 42, , , Depositary fee, bank charges and interest 4, Professional fees and other expenses 193, , , Audit fees 64, , , Administration fees 14, , , Management Company fees 25, , "Taxe d abonnement" (note 3) 1, Transaction fees (note 2.h) 54, , , , , , NET INVESTMENT LOSS -369, , , Net realised gain/loss on sales of investments 156, , , Net realised gain on foreign exchange 235, , , Net realised loss on options -141, Net realised gain/loss on forward exchange contracts -149, , , NET REALISED GAIN/LOSS -267, , , Change in net unrealised appreciation/depreciation: - on investments -351, , , on options -17, on forward exchange contracts -9, , , DECREASE IN NET ASSETS AS A RESULT OF OPERATIONS -645, , , Proceeds from subscriptions of shares (note 7) 24,092, Cost of shares redeemed (note 7) -8,044, ,864, ,852, Revaluation difference on the net assets at the beginning of the year* 474, NET ASSETS AT THE END OF THE YEAR/PERIOD 23,915, * The difference mentioned above results from the conversion of the net assets at the beginning of the year (for the sub-funds denominated in currencies other than Euro) at exchange rates applicable on December 31, 2014 and exchange rates applicable on December 31, The accompanying notes form an integral part of these financial statements. 17

20 Statement of operations and changes in net assets for the year/period ended December 31, 2015 (continued) VALEX PORTFOLIOS UCITS - COL (note 1) VALEX PORTFOLIOS UCITS - INCOME (note 1) USD EUR 3,161, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,448, ,839, ,689, ,262, ,833, The accompanying notes form an integral part of these financial statements. 18

21 Statistics Sub-fund Class Currency Number of Net asset value Net asset value Net asset value shares outstanding per share per share per share WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (EUR) (note 1) R EUR WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (USD) (note 1) R USD VALEX PORTFOLIOS UCITS - COL (note 1) A-CAP (USD) USD B-CAP (EUR) EUR D-CAP (CHF) CHF 25, VALEX PORTFOLIOS UCITS - INCOME (note 1) A EUR 218, The accompanying notes form an integral part of these financial statements. 19

22 VALEX PORTFOLIOS UCITS - COL (note 1) Statement of investments and other net assets as at December 31, 2015 (expressed in USD) Description Quantity Market value (note 2) % of net assets I. TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING OR DEALT IN ON ANOTHER REGULATED MARKET SHARES IRELAND INGERSOLL-RAND 1, , PENTAIR 1, , , UNITED STATES AGL RESOURCES 1, , AIRGAS , APPLE , AUTOZONE , BED BATH & BEYOND 1, , CHIPOTLE MEXICAN GRILL , CLOROX , DANAHER , EDWARDS LIFESCIENCES , EXPEDITORS INTERNATIONAL OF WASHINGTON 1, , GAMESTOP 'A' 2, , HANESBRANDS 2, , LOCKHEED MARTIN , LOWE'S COMPANIES 1, , MARTIN MARIETTA MATERIALS , NAVIENT 6, , PRECISION CASTPARTS , PVH 1, , RAYTHEON , ROCKWELL AUTOMATION , TECO ENERGY 2, , TESORO , TOTAL SYSTEM SERVICES 1, , TWENTY-FIRST CENTURY FOX 'B' 2, , UNDER ARMOUR 'A' , UNITED PARCEL SERVICE 'B' , VF CORPORATION 1, , WESTROCK 1, , ,121, TOTAL I. 2,276, The accompanying notes form an integral part of these financial statements. 20

23 VALEX PORTFOLIOS UCITS - COL (note 1) Statement of investments and other net assets as at December 31, 2015 (expressed in USD) Description Quantity Market value (note 2) % of net assets II. OTHER TRANSFERABLE SECURITIES SHARES UNITED STATES ALBERTSON'S -CVR CASA LEY AGREEMENT- 2, ALBERTSON'S -CVR PDC AGREEMENT- 2, TOTAL II TOTAL INVESTMENTS 2,276, BANK OVERDRAFT -1, OTHER NET LIABILITIES -12, TOTAL NET ASSETS 2,262, The accompanying notes form an integral part of these financial statements. 21

24 VALEX PORTFOLIOS UCITS - COL (note 1) Geographical and industrial classification of investments as at December 31, 2015 Geographical classification (in % of net assets) United States Ireland Industrial classification (in % of net assets) Retail and supermarkets Textiles and clothing Construction of machines and appliances 6.95 Aeronautics and astronautics 6.92 Public utilities 6.65 Internet, software and IT services 6.57 Paper and forest products 3.56 Mining and steelworks 3.52 Oil 3.43 Chemicals 3.34 Pharmaceuticals and cosmetics 3.32 Utilities 3.32 Transport and freight 3.31 Banks and credit institutions 3.30 Food and soft drinks 3.29 Miscellaneous consumer goods 3.29 Packaging 3.28 Broadcasting radio & TV 3.28 Computer and office equipment 3.26 Electronics and electrical equipment 3.26 Construction and building materials 3.23 Holding and finance companies The accompanying notes form an integral part of these financial statements. 22

25 VALEX PORTFOLIOS UCITS - INCOME (note 1) Statement of investments and other net assets as at December 31, 2015 (expressed in EUR) Description Currency Quantity/Nominal Market value (note 2) % of net assets I. TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING OR DEALT IN ON ANOTHER REGULATED MARKET SHARES GERMANY E.ON 47, , , SWITZERLAND NOVARTIS 5, , , UNITED KINGDOM VODAFONE GROUP 138, , , TOTAL SHARES 1,238, BONDS GERMANY 0.75% VW LEASING 15/20 EUR 200, , , UNITED ARAB EMIRATES 1.50% XSTRATA FINANCE DUBAI (FR/RAT) 12/16 EUR 200, , , TOTAL BONDS 388, TOTAL I. 1,626, II. UNITS OF INVESTMENT FUNDS FRANCE LYXOR EURO CORP.BOND C EUR ETF 14, ,996, ,996, IRELAND ISHARES DJ EURO STOXX 50 (GBP) 30, ,000, ,000, LUXEMBOURG MFM FUNDS (LUX) - MFM GLOBAL CONVERTIBLE BONDS I EUR 2, , MIRABAUD-CONVER.BONDS GL.IH EUR-ACC 3, , , The accompanying notes form an integral part of these financial statements. 23

26 VALEX PORTFOLIOS UCITS - INCOME (note 1) Statement of investments and other net assets as at December 31, 2015 (expressed in EUR) Description Quantity Market value (note 2) % of net assets UNITED STATES SPDR - S&P 500 ETF TRUST S1 3, , , TOTAL II. 4,410, TOTAL INVESTMENTS 6,037, CASH AT BANKS 303, BANK DEPOSITS 15,500, OTHER NET LIABILITIES -7, TOTAL NET ASSETS 21,833, The accompanying notes form an integral part of these financial statements. 24

27 VALEX PORTFOLIOS UCITS - INCOME (note 1) Geographical and industrial classification of investments as at December 31, 2015 Geographical classification (in % of net assets) France 9.14 Ireland 4.58 Luxembourg 3.68 Germany 2.83 United States 2.79 United Kingdom 1.90 Switzerland 1.83 United Arab Emirates Industrial classification (in % of net assets) Units of investment funds Public utilities 1.95 Communications 1.90 Pharmaceuticals and cosmetics 1.83 Bonds issued by companies The accompanying notes form an integral part of these financial statements. 25

28 Notes to the financial statements as at December 31, 2015 NOTE 1 GENERAL VALEX PORTFOLIOS UCITS (formerly WATAMAR (the "SICAV") is an open-ended investment company of the umbrella type organised as a "société anonyme" under the laws of the Grand Duchy of Luxembourg and qualifies as a Société d Investissement à Capital Variable (SICAV) under Part I of the amended Luxembourg law of December 17, 2010 (the "Law"). The SICAV was incorporated for an indefinite period on September 13, 2012, with an initial capital of EUR 31,000 under the name "W&P Optimum Portfolio Fund". Its articles of incorporation, amended as of last on December 4, 2015 in order to reflect the name change into "VALEX PORTFOLIOS UCITS", were published in the official gazette Mémorial on 15 December 15, The SICAV is registered with the register of commerce and companies of Luxembourg under the number B The SICAV's capital shall at all times be equal to the value of its total net assets. The minimum capital required by law is EUR 1,250,000. Following the massive redemptions in the sub-funds WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (EUR) and WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (USD), those two sub-funds were liquidated with effect on January 20, The Board of Directors of the SICAV decided to appoint Valex Capital AG as the Investment Manager of SICAV in replacement of Watamar Asset Management AG with effect on July 20, On December 4, 2015, the Board of Directors of the SICAV decided to change the denomination of the SICAV from WATAMAR OPTIMUM PORTFOLIO FUND to VALEX PORTFOLIOS UCITS. Following the above mentioned change of denomination, the WATAMAR OPTIMUM PORTFOLIO FUND COL sub-fund changed its denomination to VALEX PORTFOLIOS UCITS - COL. On December 10, 2014, the Board of Directors of the SICAV decided to appoint FundPartner Solutions (Europe) S.A. as the new Management Company of the SICAV with effect as from July 13, It is a Management Company within the Chapter 15 of the Law. As at December 31, 2015, the SICAV includes two sub-funds in activity: VALEX PORTFOLIOS UCITS - COL, denominated in US Dollar (USD); VALEX PORTFOLIOS UCITS - INCOME, denominated in Euro (EUR) (launched on December 22, 2015). 26

29 Notes to the financial statements as at December 31, 2015 (continued) As at December 31, 2015, the following sub-fund was not activated: VALEX PORTFOLIOS UCITS - STONE BRIDGE, denominated in Pound Sterling (GBP). Pooling: For the purpose of efficient management and in strict compliance with the investment policies of the sub-funds, the Board of Directors of the SICAV in accordance with the Investment Manager may decide that some or all of the assets of certain sub-funds be managed on a pooled basis. In this case, the assets from different sub-funds are jointly managed using the aforementioned technique. Assets that are managed on a pooled basis are referred to using the term "pool" in this section. These pools are only used for internal management purposes. They do not constitute distinct legal entities and are not directly accessible to investors. Each co-managed sub-fund has its own assets allocated to it. When the assets of a sub-fund are managed using this technique, the assets initially attributable to each co-managed sub-fund are determined according to the sub-fund s initial participation in the pool. Thereafter, the composition of the assets vary according to contributions or withdrawals made by the relevant sub-funds. This apportionment system applies to each investment line of the pool. Additional investments made on behalf of the co-managed sub-funds are therefore allocated to these sub-funds according to their respective entitlements, while assets sold are similarly deducted from the assets attributable to each of the co-managed sub-funds. All banking transactions involved in the running of the co-managed sub-funds (dividends, interest, non-contractual fees, expenses) are accounted for in the pool and reassigned for accounting to each of the co-managed sub-funds on a pro rata basis on the day the transactions are recorded (provisions for liabilities, bank recording of income and/or expenses). On the other hand, contractual fees (custody, administration and management fees, etc.) are accounted for directly in the respective co-managed sub-funds. The assets and liabilities attributable to each sub-fund are identifiable at any given moment. The pooling method complies with the investment policy of each of the sub-funds concerned. NOTE 2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES a) Presentation of financial statements The financial statements are prepared in accordance with generally accepted accounting principles and with the legal reporting requirements applicable in Luxembourg relating to undertakings for collective investment. The reference currency of the SICAV is the EUR. 27

30 Notes to the financial statements as at December 31, 2015 (continued) b) Combined financial statements of the SICAV The combined financial statements of the SICAV are expressed in EUR. Accounting items of the different sub-funds denominated in currencies other than EUR are converted into EUR at the exchange rates prevailing at period-end. c) Valuation of investment securities The valuation of investment securities of each sub-fund is conducted as follows: 1) The securities listed on a stock exchange or another regulated market are valued at the last known price unless that price is not representative. 2) Securities not admitted to such stock exchange or on such a regulated market as well as securities that are so admitted but for which the final price is not representative, are valued based on the probable realization value estimated prudently and in good faith. 3) The value of the liquid asset, bills or notes payable on demand and accounts receivable, prepaid expenditures, dividends and interest announced or come to maturity not yet affected, is constituted by the nominal value of these assets, except if it is unlikely that this value could be obtained. In the latter case, the value is determined by subtracting a certain amount that the Board of Directors of the SICAV deem appropriate to reflect the real value of these assets. 4) Money market instruments are valued at their nominal value plus any eventually accrued interest or at marked-to-market or according to the amortized cost method. 5) Assets expressed in a currency other than the currency of the corresponding sub-fund are converted in this sub-fund s reference currency at the applicable exchange rate. 6) Shares or units in open-ended underlying UCI/UCITS are valued at the actual Net Asset Value ("NAV") for such shares or units as of the relevant Valuation Day; if events have occurred which may have resulted in a material change in the NAV of such shares or units since the date on which such actual or estimated NAV was calculated, the value of such shares or units may be adjusted in order to reflect, in the reasonable opinion of the Board of Directors of the SICAV, such change but the Board of Directors of the SICAV is not required to revise or recalculate the NAV on the basis of which subscriptions, redemptions or conversions may have been previously accepted. The Administrative Agent and the Board of Directors of the SICAV may consult with the Investment Manager in valuing the sub-fund s assets; Year-end NAV calculations are audited by the Fund s Auditor and may be revised as a result of such audit. Such revisions may result from adjustments in valuations provided by UCIs; In no event shall the Board of Directors of the SICAV, the Management Company, the Depositary, the Administrative Agent or the Investment Manager(s) incur any individual liability or responsibility for any determination made or other action taken or omitted by them in the absence of negligence, wilful misfeasance or bad faith; Securities held by the SICAV (including shares or units in closed-end UCI) which are quoted or dealt in on a stock exchange are valued at their latest available publicised stock exchange closing price and where appropriate the bid market price on the stock exchange which is normally the principal market for such security and each security dealt in on any other organised market is valued in a manner as near as possible to that for quoted securities. 28

31 Notes to the financial statements as at December 31, 2015 (continued) If events have occurred which may have resulted in a material change of the NAV of such shares or units in other investment funds since the day on which the latest official NAV was calculated, the value of such shares or units may be adjusted in order to reflect, in the reasonable opinion of the Board of Directors of the SICAV, such change of value. 7) The value of the companies that are not listed on a stock exchange or regulated market is determined based on a valuation method proposed in good faith by the Board of Directors of the SICAV based on: the latest available audited annual accounts and/or on the basis of recent events that may have an impact on the value of such security and/or any other available assessment. The choice of method and support for assessment depends on the relevance of available data. The estimated value may be corrected by periodic unaudited accounts, if available. If the Board of Directors of the SICAV believes that the resulting price is not representative of the likely realizable value of such a security, the value shall be determined prudently and in good faith based on the probable sale price. 8) Futures (and forward contracts) and option contracts that are not traded on a regulated market or a stock exchange are valued at their liquidation value determined in accordance with rules established in good faith by the Board of Directors of the SICAV, according to uniform criteria for each type of contract. The value of futures and option contracts traded on a regulated market or stock exchange is based on the closing or settlement price published by the regulated market or stock exchange which is normally the principal place of negotiation for such contracts. 9) Future cash flows expected to be collected and paid by the sub-funds under swap contracts are valued at present value. 10) Where the Board of Directors of the SICAV considers it necessary, it may seek the assistance of an evaluation committee whose task is the prudent estimation of certain assets values in good faith. The Board of Directors of the SICAV is authorized to adopt, in good faith and in accordance with generally accepted valuation principles and procedures, other appropriate valuation principles for the SICAV s assets where the determination of values according to the criteria specified above is not possible or appropriate. In the absence of bad faith or manifest error, the assessment made by the Administrative Agent shall be considered final and binding with respect to the SICAV and its shareholders. In cases when applications for subscription or redemption are sizeable, the Board of Directors of the SICAV may calculate the value of the Shares on the basis of rates during the trading session on the stock exchanges or markets during which the necessary securities for the SICAV could be bought or sold. In such cases, a single method of calculation is applied to all applications for subscription or redemption received at the same time. 29

32 Notes to the financial statements as at December 31, 2015 (continued) For some sub-funds, in the interests of shareholders and to the extent deemed appropriate by the Board of Directors of the SICAV, taking into account market conditions and/or the level of subscriptions and redemptions in a given sub-fund in relation to the size of that sub-fund, the NAV of the sub-fund may be (i) calculated on the basis of the offer or redemption prices of shares in its portfolio and/or adjusted for appropriate sales commission and dealing costs or (ii) adjusted to take into account the impact resulting from the difference between the dealing price and the valuation of the investments or disinvestments, and/or sales commissions and/or dealing fees incurred. The attention of the investor is drawn to the fact that the valuation of the assets of a sub-fund is based on information (including, without limitation, position reports, confirmations statements, etc...) which is available at the time of such valuation. In the absence of bad faith or manifest error, the assessment made by the Administrative Agent shall be considered final and binding with respect to the SICAV and its shareholders. d) Net realised gain/loss on sales of investments Realised gains or losses on the sales of investments are calculated on the basis of the average cost of the investments sold. e) Cost of investment securities The cost of investment securities in currencies other than the currency of the sub-fund is translated into the currency of the sub-fund at the exchange rate applicable at purchase date. f) Forward exchange contracts The unrealised gains or losses resulting from outstanding forward exchange contracts, if any, are determined on the basis of the forward rates applicable at the period-end and are recorded in the statement of net assets. g) Income Dividends are recorded at ex-date. Interest is recorded on an accrual basis. h) Transaction fees The transaction fees represent the costs incurred by each sub-fund in connection with purchases and sales of investments. They include brokerage fees as well as bank commissions, tax, depositary fees and other transaction fees, and are included in the statement of operations and changes in net assets. i) Formation expenses Formation expenses have been amortised over a maximum period of five years. 30

33 Notes to the financial statements as at December 31, 2015 (continued) NOTE 3 TAXATION Taxation of the SICAV In accordance with Luxembourg legislation currently in force (which is therefore subject to any future changes), the SICAV is not subject to any tax on income, capital gains tax or wealth tax. Moreover, save for cases covered under "EU Tax Considerations" below, no dividends distributed by the SICAV are subject to withholding tax. The SICAV's net assets are subject to a subscription tax ("taxe d abonnement") of 0.05% per annum payable at the end of each calendar quarter and calculated on the basis of the SICAV's total net assets at the end of the relevant quarter; such tax is reduced to 0.01% per annum in respect of classes comprising institutional investors only (as per article 174 of the Law), as well as in respect of liquidity funds. This tax is not applicable for the portion of the assets of a sub-fund invested in other Luxembourg undertakings for collective investment already subject to "Taxe d abonnement". Interest and dividend income received by the SICAV may be subject to non-recoverable withholding tax in the countries of origin. The SICAV may further be subject to tax on the realised or unrealised capital appreciation of its assets in the countries of origin. No stamp duty or other tax is payable in Luxembourg on the issue of shares in the SICAV. Taxation of Shareholders Shareholders are not normally subject to any capital gains, income, withholding, gift, estate, inheritance or other taxes in Luxembourg except for shareholders domiciled, resident or having a permanent establishment in Luxembourg, and except for certain former residents of Luxembourg and non-residents if owning more than 10.00% of the share capital of the SICAV, disposing of it in whole or part within six months of acquisition. NOTE 4 MANAGEMENT FEES The Management fees are based on the average NAV of the sub-funds, payable quarterly in arrears at the following annual rates : Sub-fund Class Management Fee WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (EUR) * R 1.50% WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (USD) * R 1.50% VALEX PORTFOLIOS UCITS - COL D-CAP (CHF) 1.50% VALEX PORTFOLIOS UCITS - INCOME A 1.30% Distribution fees are paid out of the management fees. * Up to January 20,

34 Notes to the financial statements as at December 31, 2015 (continued) NOTE 5 PERFORMANCE FEES For the sub-funds WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (EUR) and WATAMAR OPTIMUM PORTFOLIO FUND - GLOBAL BALANCED (USD), the Investment Manager is entitled to receive a performance fee, accrued on each Valuation Day, paid yearly, based on the NAV, equivalent to 11.00% of the performance of the NAV per share (measured against the Reference NAV, as defined below) over a hurdle rate of 3.00% p.a. pro rata temporis, calculated during the period from January 1, 2015 to January 20, 2015 (date of liquidation). For the sub-fund VALEX PORTFOLIOS UCITS - COL the Investment Manager is entitled to receive a performance fee, accrued on each Valuation Day, paid yearly, based on the NAV, equivalent to 11.00% of the performance of the NAV per share exceeding the high water mark which is defined as the greater of the following two figures: The last highest NAV per share on which a performance fee has been paid and; The initial NAV per share. The performance fee s calculation is detailed in the most recent prospectus of the SICAV. Calculation period corresponds to each calendar year. Performance fees are payable on a yearly basis, after the end of the calendar year. No performance fees were due for the sub-fund for the period ended December 31, NOTE 6 OTHER FEES PAYABLE As at December 31, 2015, the other fees payable include mainly Audit, Distribution, Management Company, Director, Administration and Depositary fees. NOTE 7 SUBSCRIPTIONS AND REDEMPTIONS a) Subscriptions The issue price for shares in each sub-fund is equal to the NAV of each share in that sub-fund, calculated on the first Valuation Day following the applicable day of subscription. This price may be increased to include investment fees of up to 2.00% of the NAV per share for the benefit of the sub-funds concerned. In all cases, investment fees will apply in an equitable manner to all Shareholders on the same NAV calculation date. A sales commission of up to 5.00% of the NAV of the shares may be charged by the professional intermediaries to their clients subscribing for shares. This issue price will also be increased to cover any duties, taxes and stamp duties which may have to be paid. 32

35 Notes to the financial statements as at December 31, 2015 (continued) b) Redemptions The redemption price for shares in each sub-fund is equal to the NAV of each share in that sub-fund as calculated on the first Valuation Day following the bank business day on which application for redemption has been accepted. This price may be decreased to include disinvestment fees of up to 2.00% of the NAV per share, for the benefit of the sub-funds concerned. In all cases, disinvestment fees will apply in an equitable manner to all shareholders on the same NAV calculation date. A redemption commission of up to 5.00% of the NAV of the Shares may be charged by the professional intermediaries to their clients redeeming their Shares. The redemption price will also be reduced to cover any duties, taxes and stamp duties which might have to be paid. The redemption price could be higher or lower than the subscription price paid, depending on changes in the NAV. NOTE 8 EXCHANGE RATES AS AT DECEMBER 31, 2015 The following exchange rate was used for the conversion of the net assets of the sub-funds into EUR as at December 31, 2015: 1 EUR = USD NOTE 9 FORWARD EXCHANGE CONTRACTS The SICAV had the following forward exchange contract outstanding as at December 31, 2015: VALEX PORTFOLIOS UCITS - COL Currency Purchase Currency Sale Maturity date CHF 2,298, USD 2,329, /01/2016 The net unrealised loss on this contract as at December 31, 2015 was USD 29, and is included in the statement of net assets. NOTE 10 OPTIONS CONTRACTS The SICAV had the following listed options contract outstanding as at December 31, 2015: VALEX PORTFOLIOS UCITS - COL Name Quantity Strike Maturity date Currency Commitment in USD Market value in USD PUT S&P /03/2016 USD -1,145, , The market value on this contract as at December 31, 2015, was USD 73, and is included in the assets part of the statement of net assets. 33

36 Notes to the financial statements as at December 31, 2015 (continued) NOTE 11 SUBSEQUENT EVENT The Board of Directors of the SICAV decided to launch the new sub-fund VALEX PORTFOLIOS UCITS - STONE BRIDGE VALUE with effect on January 8,

37 Other information to Shareholders (unaudited appendix) Information on risk measurement The sub-fund s global risk exposure is monitored by using the commitment approach. In that respect, financial derivative instruments are converted into their equivalent position in the underlying asset. The global risk exposure shall not exceed the sub-fund s net asset value. 35