Fidante Partners Liquid Strategies ICAV (the ICAV ) Keynes Dynamic Beta Strategy Fund (the Sub-Fund )

Transcription

1 Fidante Partners Liquid Strategies ICAV (the ICAV ) Keynes Dynamic Beta Strategy Fund (the Sub-Fund ) Annual Report and Statutory Financial Statements For the year ended 31 December 2017

2 Contents Page General Information 1 Investment Manager s Report 2-3 Directors Report 4-8 Report of the Depositary to the Shareholders 9 Independent Auditor s Report Financial Statements Statement of Financial Position 12 Statement of Comprehensive Income 13 Statement of Changes in Net Assets 14 Notes to the Financial Statements Schedule of Investments (unaudited) Significant Portfolio Changes (unaudited) Report on Remuneration (unaudited) 59 ADDITIONAL INFORMATION FOR INVESTORS IN THE FEDERAL REPUBLIC OF GERMANY J.P. Morgan AG, Taunustor I (TaunusTurm), Frankfurt am Main, Germany, has undertaken the function of Paying and Information Agent in the Federal Republic of Germany (the German Paying and Information Agent ). Applications for the redemption and conversion of shares may be sent to the German Paying and Information Agent. All payments to investors, including redemption proceeds and potential distributions, may, upon request, be paid through the German Paying and Information Agent. The prospectus (including the Prospectus and the Articles of Association), the key investor information documents, the annual and semi-annual reports may be obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent during normal opening hours. The statement of changes in the composition of the investment portfolio is also free of charge upon request available at the office of the German Information Agent. Issue, redemption and conversion prices of Shares and any other information to the Shareholders are also available, free of charge, from the German Paying and Information Agent. ADDITIONAL INFORMATION FOR INVESTORS IN SWITZERLAND Please be informed that the Sub-Fund Keynes Dynamic Beta Strategy Fund intends to market their shares in Switzerland to qualifying investors only, as specified in the article 10, paragraph 3 of the Collective Investment Schemes Act (CISA). The ICAV is domiciled in Ireland. The Prospectus and Key Investor Information Documents for Switzerland, the Instrument of Incorporation, the Annual and Semi-annual reports can be obtained free of charge from the Representative or Paying Agent in Switzerland. Societe Generale, Talacker 50, P.O. Box 5070, 8021 Zurich is the appointed Representative and Paying Agent in Switzerland.

3 General Information Board of Directors of the ICAV * Administrator, Register and Transfer Agent James F. McKeon (Independent) J.P. Morgan Administration Services (Ireland) Limited Victoria Parry (Independent) J.P. Morgan House Mark Woolhouse ** International Financial Services Centre Catherine Hales *** Dublin 1 Richard Banh (Alternate to Catherine Hales) *** Ireland * All Directors are non-executive Secretary ** Mark Woolhouse resigned on 22 March 2017 MFD Secretaries Limited *** Catherine Hales and Richard Banh were appointed on 32 Molesworth Street 21 June 2017 Dublin 2 Ireland Platform Manager and Distributor Fidante Partners Europe Limited Irish Legal Advisers 1 Tudor Street Maples and Calder London 75 St Stephen s Green EC4Y 0AH Dublin 2 United Kingdom Ireland Investment Manager to the Sub-Fund Auditor and Irish Tax Advisers Wadhwani Asset Management LLP KPMG 9th Floor Orion House 1 Harbourmaster Place 5 Upper St Martin s Lane International Financial Services Centre London WC2H 9EA Dublin 1 United Kingdom Ireland Cash Manager Registered Office J.P. Morgan Asset Management (UK) Limited Fidante Partners Liquid Strategies ICAV 60 Victoria Embankment 32 Molesworth Street London EC4Y 0JP Dublin 2 United Kingdom Ireland Depositary J.P. Morgan Bank (Ireland) plc JP Morgan House International Financial Services Centre Dublin 1 Ireland 1

4 Investment Manager s report For the year ended 31 December 2017 The Keynes Dynamic Beta Strategy Fund (the Sub-Fund ) is a sub-fund of Fidante Partners Liquid Strategies ICAV (the "ICAV"), an open-ended umbrella Irish collective asset-management vehicle with variable capital and segregated liability between subfunds formed in Ireland under the Irish Collective Asset-management Vehicles Act 2015 and authorised by the Central Bank as a UCITS pursuant to the provisions of the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (the Central Bank UCITS Regulations ). The Sub-Fund commenced operations on 24 July The investment objective of the Sub-Fund is to seek an attractive return on capital while simultaneously attempting to limit the risk of capital loss. It seeks to achieve this through dynamic beta and relative value strategies which capture risk premia. The Sub-Fund seeks to offer returns with a low correlation with equity markets over the long term. Review of the year The Sub-Fund finished the year up 10.4% (net) for the USD Class A shares and the returns for the year for all the shares were as follows: Keynes Dynamic Beta Strategy Fund NAV 31 Dec 2017 Net Return % 2017 USD Class A % USD Class X % The average annualised rate of return since we started using the strategies, in March , was 7.4% (up to December 2017), with an information ratio of 1.2 and a Sortino ratio of 2.4. Performance attribution: The gross performance (i.e. before deducting the costs of investment management fees and other fund expenses) for 2017 was up 10.23%, the attribution by asset class was as follows: Gross Performance 2017 Asset Class Gross Return Equities 12.84% Fixed Income -1.17% Currencies -1.44% Total 10.23% 1 This comprises the actual returns of the US dollar share class of the Sub-Fund from the start of trading on the 24 July 2015 to 31 December These prior returns of the models have been adjusted for interest income on cash balances and a Total Expense Ratio of 1.00% per annum. There turns have been scaled by a fixed factor to target an annualised volatility target of 8.5% per annum. Historical performance indications and financial market scenarios are not a guarantee of current or future performance. Fluctuations in exchange rates could have adverse effects on the value or price of, or income derived from certain investments. 2

5 Investment Manager s report (continued) For the year ended 31 December 2017 The top 5 positions in terms of profits and losses for 2017 were as follows: Top 5 winners S&P 500 E-mini Futures Nasdaq 100 E-mini Index Futures TOPIX Index Futures Nikkei Index Futures Euro Stoxx 50 Index Futures Top 5 losers Sterling vs US Dollar FX Canadian Government Bond Australian Dollar vs US Dollar FX Euro Buxl Futures US Dollar vs Swiss Franc FX Over the year as a whole, the dynamic beta model gained 12.73%, while the relative value models detracted 250 basis points. Viewed in terms of asset classes, equities contributed 12.84%, while fixed income lost 117 basis points and currencies cost us 144 basis points. Within equities, our long positions in the US equity market benefited us most, though both Japan and Europe also contributed. Our losses in currencies were mainly associated with being too bearish the British pound, the Swiss franc and Australian dollar. Our losses in fixed income partly arose because we stayed long Canadian bonds for too long during the summer of We only made very modest adjustments to our positions during the year the only meaningful change is we turned modestly short the US dollar. Developments post year-end. As detailed in the circular to shareholders on 7 February 2018, the supplement for the Sub-Fund is being updated in order to: (1) allow the Sub Fund to gain exposure to equities directly as well as through equity index futures and equity index swaps; (2) to allow the Sub-Fund to hold net short positions; and (3) remove the constraint that the Sub-Fund should allocate, on average, approximately 75% of the risk-adjusted exposure of the Sub-Fund to its dynamic beta strategy and 25% of the risk-adjusted exposure of the Sub-Fund to its relative value strategy. The supplement was approved by the Central Bank of Ireland on the 28th February Wadhwani Asset Management LLP 21 February

6 Directors report For the year ended 31 December 2017 The Directors of Fidante Partners Liquid Strategies ICAV ("the ICAV")-(the "Directors") present the annual report and the financial statements of the Sub-Fund for the year ended 31 December Statement of Directors Responsibilities in Respect of the Financial Statements of the Sub-Fund The Directors are responsible for preparing the Directors Report and financial statements, in accordance with applicable law and regulations. The Irish Collective Asset-management Vehicles Act 2015 ( ICAV Act, 2015 ) requires the Directors to prepare financial statements for each financial year. Under that law they have elected to prepare the financial statements in accordance with Financial Reporting Standard 102, "The Financial Reporting Standard applicable in the UK and Republic of Ireland ( FRS 102 ). The financial statements are required to give a true and fair view of the assets, liabilities and financial position of the Sub-Fund at the end of the financial year and of the profit or loss of the Sub-Fund for the financial year. In preparing these financial statements, the Directors are required to: select suitable accounting policies and then apply them consistently; make judgements and estimates that are reasonable and prudent; state whether they have been prepared in accordance with FRS 102; and prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Sub-Fund will continue in business. The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the assets, liabilities, financial position and profit or loss of the Sub-Fund and enable them to ensure that the financial statements comply with the ICAV Act, 2015, and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 as amended (the Central Bank UCITS Regulations ). They have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Sub-Fund. In this regard they have entrusted the assets of the Sub-Fund to a Depositary for safe-keeping. The Directors have general responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities. The Directors are also responsible for preparing a Directors Report that complies with the requirements of the ICAV Act, The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the ICAV s website. Legislation in the Republic of Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions. Review of the Development of the Business Fidante Partners Liquid Strategies ICAV is an open-ended umbrella type Irish Collective Asset-management Vehicle with limited liability and segregated liability between funds registered with and authorised by the Central Bank of Ireland (the "Central Bank") to carry on business as an ICAV, pursuant to Part 2 of the ICAV Act, 2015 and established as a UCITS pursuant to the provisions of the Central Bank UCITS Regulations. As at 31 December 2017, the ICAV comprised four active Sub-Funds, the Keynes Dynamic Beta Strategy Fund (the Sub-Fund ), PWP North American Equity Long Short Fund, Whitehelm Capital Listed Core Infrastructure Fund and WyeTree North American ABS Fund. Wadhwani Asset Management LLP is the Investment Manager to the Sub-Fund. The functional currency of the Sub- Fund is US Dollar ( USD ). The ICAV was registered with the Central Bank on 25 March The ICAV was authorised as a UCITS by the Central Bank on 19 June The Sub-Fund launched on 24 July The net assets of the Sub-Fund are USD million as at 31 December The results of the Sub-Fund s operations for the year are set out on page 13. A detailed review of the performance of the Sub-Fund is contained in the Investment Manager's Report on pages

7 Directors Report (continued) For the year ended 31 December 2017 Segregated Liability The ICAV is structured as an umbrella fund consisting of different Sub-Funds, each comprising one or more share classes. The ICAV has segregated liability between Sub-Funds and therefore any liability incurred on behalf of or attributable to any Sub- Fund shall be discharged solely out of the assets of that Sub-Fund. Investment Objective and Policies The Sub-Fund's investment objective is to seek an attractive return on capital while simultaneously attempting to limit the risk of capital loss. The Sub-Fund seeks to achieve this investment objective through investment in financial markets globally, gaining exposure through the use of financial derivative instruments as detailed below to currencies (through forward foreign exchange contracts), fixed income securities (through bond futures) and equity related securities (through equity index futures and equity index swaps). The Sub-Fund invests in money market instruments directly rather than through the use of financial derivative instruments. The Sub-Fund s fixed income exposure is predominately in investment grade (i.e. BAA2 to AAA (Moody's) and BBB to AAA (S&P)) fixed income securities (through bond futures). The Sub-Fund's exposure to non-investment grade fixed income securities will not be more than 30% of the Net Asset Value of the Sub-Fund. The Sub-Fund will not invest directly in equities. (refer to page 3 for a change in this restriction post year-end) The same financial derivative instruments will be used to gain long or short exposure. There are no specific restraints on sector or country weightings which must be observed by the Sub-Fund in implementing its investment strategies. The instruments in which the Sub-Fund invests may be unlisted or listed or traded on permitted markets as set out in the Prospectus. The Sub-Fund may invest up to 10% of its Net Asset Value in unlisted securities. Furthermore there are no credit quality or maturity restrictions with respect to the fixed income securities in which the Sub-Fund may invest. The Sub-Fund may invest up to 100% of its Net Asset Value in securities issued or guaranteed by any EU Member State, its local authorities, non-eu Member States or public international body of which one or more EU Member States are members, and which are set out in the Prospectus, (i) in order to support any derivative exposure; (ii) in any extraordinary market circumstances such as a market crash or major crises which in the reasonable opinion of the Investment Manager would be likely to have a significant detrimental effect on the performance of the Sub-Fund or (iii) for investment purposes in pursuance of the investment objective of the Sub-Fund. The Sub-Fund may also, as part of its cash management activities gain exposure to money markets instruments (including commercial papers, bank deposits, certificates of deposits and floating rate notes) through investment in other collective investment schemes. These collective investment schemes will be selected by the Cash Manager under the supervision of the Investment Manager. Any investment in collective investment schemes shall not exceed in aggregate 10% of the Net Asset Value of the Sub-Fund. The investment strategies used by the Sub-Fund may result in it having exposure to emerging markets through equity index futures and forward currency contracts. The Sub-Fund's exposure to emerging markets may exceed 20% of its Net Asset Value from time to time. Shareholders should note the risks associated with investments in emerging markets as set out in the Prospectus. Directors The Directors who held office at any time during the year are detailed below; Mr James F. McKeon (Irish) Ms Victoria Parry (Irish) Mr Mark Woolhouse (British) (Resigned on 22 March 2017) Mrs Catherine Hales (Australian) (Appointed 21 June 2017) Mr Richard Banh (Australian) (Alternate to Catherine Hales) (Appointed 21 June 2017) 5

8 Directors Report (continued) For the year ended 31 December 2017 Directors Interests The Directors did not have any shareholdings (including family interests) in the ICAV at any stage during the financial year. Transactions Involving Directors and Secretary Contracts or arrangements of any significance in relation to the business of the ICAV in which the Directors or the ICAV Secretary had any interest as defined in the ICAV Act, 2015, at any time during the year ended 31 December 2017, are disclosed in Note 12 of the financial statements. Distributions At the discretion of the Directors, dividends in respect of Class A (GBP Hedged) Shares and Class X (GBP Hedged) Shares will be declared and paid on an annual basis in or around May of each year following the finalisation of the year end financial statements and shall be notified to Shareholders. At the discretion of the Directors, dividends (if any) in respect of Class D (AUD Hedged) Shares may be declared and paid on a semi-annual basis on or around 30 June and 31 December of each year and shall be notified to Shareholders. Shareholders will have the option to either receive the declared dividend or re-invest in the purchase of Shares of the relevant Class. There were no dividends paid during the year ended 31 December Risk Management Objectives and Policies The main risks arising from the Sub-Fund s financial instruments are interest rate risk, credit risk, currency risk, price risk and liquidity risk. For a detailed description of the risk management objectives and policies, please see Note 4. Risk Assessment The Directors are responsible for assessing the risk of irregularities whether caused by fraud or error in financial reporting and ensuring the processes are in place for the timely identification of internal and external matters with a potential effect on financial reporting. The Directors have also put in place processes to identify changes in accounting rules and recommendations and to ensure that these changes are accurately reflected in the Sub-Fund s financial statements. Adequate Accounting Records The Directors ensure compliance with the ICAV s obligation to maintain adequate accounting records by appointing competent persons to be responsible for them. The accounting records are kept by J.P. Morgan Administration Services (Ireland) Limited at JP Morgan House, International Financial Services Centre, Dublin 1, Ireland. Connected Persons The Central Bank UCITS Regulations on Dealings by a management ICAV, general partner, depositary, manager, investment manager or by delegates or group companies of these states that a UCITS should only enter into a transaction with a management ICAV, general partner, depositary, manager, investment manager or by delegates or group companies of these, where it is negotiated at arm's length. Transactions must be in the best interests of the Shareholders. The Directors are satisfied that there are arrangements (evidenced by written procedures) in place to ensure that the obligations set out in the Central Bank UCITS Regulations are applied to all transactions with connected persons, and the Directors are satisfied that transactions with connected persons entered into during the year complied with the obligations set out in this paragraph. 6

9 Directors Report (continued) For the year ended 31 December 2017 Going Concern The Directors believe that the Sub-Fund has adequate resources to continue in operational existence for the foreseeable future. For this reason, they have adopted the going concern basis in preparing the financial statements. Future Developments The ICAV will continue to act as an investment vehicle as set out in the Prospectus. Soft Commission Arrangements There were no soft commission arrangements in place for the Sub-Fund for the year ended 31 December 2017 (31 December 2016: nil). Significant Events During the Year On 22 March 2017, Mark Woolhouse resigned as a Director of the ICAV. On 25 May 2017, Class X GBP Hedged Accumulation Shares were fully redeemed. On 21 June 2017, Catherine Hales was appointed as a Director of the ICAV and Richard Banh as an Alternate Director (to Catherine Hales) of the ICAV. Significant Events After the Year End The Central Bank of Ireland approved a new supplement for the Sub-Fund on the 28th February 2018 which: (1) allow the Sub Fund to gain exposure to equities directly as well as through equity index futures and equity index swaps; (2) to allow the Sub-Fund to hold net short positions; and (3) remove the constraint that the Sub-Fund should allocate, on average, approximately 75% of the risk-adjusted exposure of the Sub-Fund to its dynamic beta strategy and 25% of the risk-adjusted exposure of the Sub-Fund to its relative value strategy. On 18 April 2018, the Directors approved an updated supplement reflecting the issue of a new class of Class A (JPY Hedged) shares. These shares will be denominated in Japanese Yen and will be hedged to the base currency of the Fund. The supplement will be finalised in due course and it is anticipated that shares will first be issued during the course of April or May. Corporate Governance Statement The ICAV is subject to compliance with the requirements of the ICAV Act, 2015 and the Central Bank UCITS Regulations. The ICAV has adopted the 'Corporate Governance Code for Collective Investment Schemes and Management Companies' (the "Code") as published by Irish Funds Industry Association in 2011, as the ICAV s corporate governance code. The ICAV has been fully compliant with the Code for the year ended 31 December During the year under review, the Sub-Fund was subject to corporate governance practices imposed by: (i) The ICAV Act, 2015 which is available for inspection at the registered office of the Sub-Fund; (ii) The Instrument of Incorporation of the ICAV which is available for inspection at the company secretary office of the ICAV at MFD Secretaries Limited, 32 Molesworth Street, Dublin 2, Ireland; (iii) The Central Bank UCITS Regulations which can be obtained from the Central Bank s website at: and is available for inspection at the registered office of the Sub-Fund. 7

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12 KPMG Audit 1 HarboLirmaster Place IFsc Dublin 1 DOl F6F5 Ireland Independent Auditor s Report to the members of Keynes Dynamic Beta Strategy Fund I. Report on the audit of the financial statements Opinion We have audited the financial statements of Keynes Dynamic Beta Strategy Fund (the Sub-Fund ), a subfund of Fidante Partners Liquid Strategies ICAV (the ICAV ) set out on pages 1 1 to 27, which comprise the Statement of Financial Position as at 31 December 201 7, the Statement of Comprehensive Income, and the Statement of Changes in Net Assets for the period from 4 January to 31 December 201 7, and related notes, including the summary of significant accounting policies set out in note 3. The financial reporting framework that has been applied in their preparation is Irish Law and FRS 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland. In our opinion, the accompanying financial statements:. give a true and fair view ofthe assets, liabilities and financial position ofthe Sub-Fund as at 31 December 2017 and of its increase in net assets attributable to holders of redeemable participating shares for the period then ended;. have been properly prepared in accordance with FRS 1 02 The Financial Reporting Standard applicable in the UK and Republic of Ireland; and. have been properly prepared in accordance with the requirements of the Irish Collective Assetmanagement Vehicles Act and the Central Bank (Supervision and Enforcement) Act (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISA5 (Ireland) ) and applicable law. Our responsibilities under those standards are further described in the Auditor s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Sub-Fund of the ICAV in accordance with ethical requirements that are relevant to our audit of financial statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority ( IAASA ), and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We have nothing to report on going concern We are required to report to you if we have concluded that the use of the going concern basis of accounting is inappropriate or there is an undisclosed material uncertainty that may cast significant doubt over the use of that basis for a period of at least twelve months from the date of approval of the financial statements. We have nothing to report in these respects. Other information The directors are responsible for the other information presented in the financial statements. The other information comprises the information included in the Directors Report, Schedule of Investments, Significant Portfolio Changes, and Report on Remuneration other than the financial statements and our auditor s report thereon. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except as explicitly stated below, any form of assurance conclusion thereon. KPMG, an Irish pittnership inci a member firm of the KPtvtG network of rrdeper7dent member firers iffiliated with KPMG International Cooperative t KPMG Internatiornal), a Swiss entity

13 Responsibilities of directors for the financial statements 2. Respective responsibilities and restrictions on use In our opinion, the information given in the Directors Report is consistent with the financial statements. Opinion on other matters prescribed by the Irish Collective Asset-management Vehicles Act 2015 We have nothing to report in this regard. in the other information. statements audit work, the information therein is materially misstated or inconsistent with the financial statements or our audit knowledge. Based solely on that work we have not identified material misstatements Our responsibility is to read the other information and, in doing so, consider whether, based on our financial 18 April 2018 Ivor Con Ion Dublin I Chartered Accountants, Statutory Audit Firm International Financial Services Centre I Harbourmaster Place KPMG For and on behalf of undertaken so that we might state to the Sub-Fund s members those matters we are required to state to Section 120 of the Irish Collective Asset-management Vehicles Act Our audit work has been members, as a body, for our audit work, for this report, or for the opinions we have formed. accept or assume responsibility to anyone other than the Sub-Fund of the ICAV and the Sub-Fund s them in an auditor s report and for no other purpose. To the fullest extent permitted by law, we do not Our report is made solely to the members of the Sub-Fund of the CAy, as a body, in accordance with the The purpose of our audit work and to whom we owe our responsibilities iaasa. ie/qetmedia/b cf6-458b-9b8fa98202dc9c3a/description of auditors responsiblities for audit. pdf. A fuller description of our responsibilities is provided on IAASA s website at these financial statements. conducted in accordance with ISAs (Ireland) will always detect a material misstatement when t exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit free from material misstatement, whether due to fraud or error, and to issue an auditor s report that includes they could reasonably be expected to influence the economic decisions of users taken on the basis of Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are Auditor s responsibilities for the audit of the financial statements and using the going concern basis of accounting unless management either intends to liquidate the Sub- Fund s ability to continue as a going concern, disclosing, as applicable, matters related to going concern Fund or to cease operations, or has no realistic alternative but to do so. In preparing the financial statements of the Sub-Fund, the directors are responsible for assessing the Sub- statements that are free from material misstatement, whether due to fraud or error. fair view, and for such internal control as they determine is necessary to enable the preparation of financial responsible for the preparation of the financial statements and for being satisfied that they give a true and As explained more fully in the statement of directors responsibilities set out on page 4, the directors are Independent Auditor s Report to the members of Keynes Dynamic Beta Strategy Fund (continued)

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15 Statement of Comprehensive Income Year ended 31 December 2017 Year ended 31 December 2016 Notes USD '000 USD '000 Investment Income/(Expense) Interest Income Net Realised (Loss)/Gain on Financial Assets Held at Fair Value Through Profit or Loss (5,213) 375 Net Realised Gain/(Loss) on Financial Derivative Instruments 3,926 (3,425) Net Change in Unrealised Gain/(Loss) on Financial Assets Held at Fair Value Through Profit or Loss 5,241 (117) Net Change in Unrealised Gain/(Loss) on Financial Derivative Instruments 1,650 (402) Total Investment Income/(Expense) 6,007 (3,286) Expenses Cash Management Fees 5 (24) (32) Establishment Expenses (45) (46) Investment Management Fees 5 (306) (356) Platform Management Fees 5 (103) (125) Total Operating Expenses (478) (559) Net Increase/(Decrease) in Net Assets attributable to Redeemable Participating Shares 5,529 (3,845) In arriving at the results for the year, all amounts relate to continuing operations. The accompanying notes form an integral part of the financial statements. 13

16 Statement of Changes in Net Assets Year ended 31 December 2017 Year ended 31 December 2016 USD '000 USD '000 Change in Net Assets Net Increase/(Decrease) in Net Assets Attributable to Redeemable Participating Shareholders from Operations 5,529 (3,845) Capital Transactions Subscriptions 97,712 13,912 Redemptions (39,580) (30,864) Total Capital Transactions 58,132 (16,952) Total Increase/(Decrease) for the Year 63,661 (20,797) Net Assets attributable to Holders of Redeemable Participating Shares Beginning of Year 31,216 52,013 End of Year 94,877 31,216 The accompanying notes form an integral part of the financial statements. 14

17 Notes to Financial Statements For the year ended 31 December General Keynes Dynamic Beta Strategy Fund (the "Sub-Fund") is a Sub-Fund of Fidante Partners Liquid Strategies ICAV (the "ICAV"). The ICAV is an open-ended umbrella with segregated liability between Sub-Funds. The ICAV was authorised by the Central Bank of Ireland (the "Central Bank") pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 as amended ( UCITS Regulations ) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 as amended ( Central Bank UCITS Regulations ). The ICAV is organised in the form of an umbrella fund and on 31 December 2017 had four Sub-Funds: Commenced Operation Keynes Dynamic Beta Strategy Fund 24 July 2015 PWP North American Equity Long Short Fund 17 May 2016 Whitehelm Capital Listed Core Infrastructure Fund 30 May 2016 WyeTree North American ABS Fund 4 January 2017 These financial statements relate to Keynes Dynamic Beta Strategy Fund only. 2. Basis of Preparation Statement of Compliance The financial statements have been prepared in accordance with the Financial Reporting Standards 102. The Financial Reporting Standard applicable in the United Kingdom and Republic of Ireland ( FRS 102 ) and Irish law comprising the Irish Collective Asset-management Vehicles Act 2015 (the ICAV Act, 2015 ), the UCITS Regulations and the Central Bank UCITS Regulations. The profit and loss account is referred to as the Statement of Comprehensive Income and the balance sheet is referred to as the Statement of Financial Position. All gains and losses are reported in the Statement of Comprehensive Income. 3. Significant Accounting Policies The financial statements are prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilities held at fair value through profit or loss. The financial statements of the Sub-Fund have been prepared on a going concern basis. The Sub-Fund has availed of the exemption contained in Financial Reporting Standard FRS 102, Section 7.1A, Cash Flow Statements, not to present a cash-flow statement. Fair Value Estimation Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Cash and Cash Equivalents Cash and Cash Equivalents in the Statement of Financial Position may include cash at bank and deposits held on call with banks which are subject to an insignificant risk of changes in value. Bank overdrafts are classified as liabilities in the Statement of Financial Position. Collateral Collateral or margin may be passed by the Sub-Fund to a counterparty or broker in respect of over-the-counter ( OTC ) financial derivative instrument ( FDI ) transactions. In the context of efficient portfolio management techniques and/or the use of FDI for hedging or investment purposes, collateral may be received from a counterparty for the benefit of a Sub-Fund or posted to a counterparty by or on behalf of a Sub-Fund. Any receipt or posting of collateral by a Sub-Fund will be conducted in accordance with the requirements of the Central Bank and the terms of the Sub-Fund s collateral policy as outlined in the prospectus. Collateral cash provided or received by the Sub-Fund is identified on the Statement of Financial Position as Cash held with brokers or Cash due to brokers respectively. 15

18 Notes to Financial Statements (continued) For the year ended 31 December Significant Accounting Policies (continued) Distributions At the discretion of the Directors, dividends in respect of Class A (GBP Hedged) Shares and the Class X (GBP Hedged) Shares will be declared and paid on an annual basis in or around May of each year following the finalisation of the year end financial statements and shall be notified to Shareholders. Shareholders will have the option to either receive the declared dividend or re-invest in the purchase of Shares of the relevant Class. At the discretion of the Directors, dividends (if any) in respect of Class D (AUD Hedged) Shares may be declared and paid on a semi-annual basis on or around 30 June and 31 December of each year and shall be notified to Shareholders. Foreign Currency Translation Transactions in foreign currencies are translated into the functional currency of the Sub-Fund at the foreign currency exchange rate in effect at the date of the transaction. Subscriptions and redemptions of Shares in foreign currencies are translated at the foreign currency exchange rate in effect at the date of the transaction. Foreign currency assets and liabilities, including investments, are translated at the exchange rate prevailing at year end. The foreign exchange gain or loss based on the translation of the investments, as well as the gain or loss arising on the translation of other assets and liabilities, is included in gains or losses in the Statement of Comprehensive Income. Functional and Presentation Currency Items included in the Sub-Fund s financial statements are measured using the currency of the primary economic environment in which it operates ( the functional currency ). The Sub-Fund s financial statements are presented in US Dollars ( USD ), being both the functional and presentation currency of the Sub-Fund. Fees and Charges In accordance with the Prospectus, cash management fees, investment management fees, administration fees, depositary fees and other operating fees are charged to the Statement of Comprehensive Income as the related services are performed. Administration fees, depositary fees and operating fees are shown under Platform Management fee in the Statement of Comprehensive Income. Transaction Costs Transaction costs on purchases or sales of financial assets or financial liabilities are included in net gains/(losses) on financial assets at fair value through profit or loss within the Statement of Comprehensive Income. Separately identifiable transaction costs on brokerage commissions and broker fee charges on futures contracts are disclosed in the notes to the financial statements. Financial assets and liabilities In accounting for its financial instruments a reporting entity is required to apply either a) the full provisions of section 11 "Basic Financial Instruments" and section 12 "Other Financial Instruments" of FRS 102, b) the recognition and measurement provisions of International Accounting Standards (IAS) 39 Financial Instruments: Recognition and Measurement and only the disclosure requirements of Sections 11 and 12 of FRS 102; or (c) the recognition and measurement provisions of International Financial Reporting Standard (IFRS) 9 Financial Instruments and/or IAS 39 (as amended following the publication of IFRS 9 where applicable) and the disclosure requirements of Sections 11 and 12 of FRS 102. The Sub-Fund classifies financial assets and financial liabilities into the following categories: Financial assets at fair value through profit or loss, Financial liabilities at fair value through profit or loss, and Loans and receivables. 16

19 Notes to Financial Statements (continued) For the year ended 31 December Significant Accounting Policies (continued) (a) Fair Value Measurement Financial assets and financial liabilities at fair value through profit or loss are initially recognised at fair value. Gains and losses arising from changes in the fair value of the financial assets or financial liabilities are presented in the Statement of Comprehensive Income in the year in which they arise. Transaction costs are expensed in the Statement of Comprehensive Income. Financial Derivative Instruments Financial Derivative Instruments are categorised as held for trading as the Sub-Fund does not designate any derivatives as hedges for hedge accounting purposes, as described under IAS 39. The Sub-Fund derivatives comprise futures contracts and forward currency contracts which are recognised initially at fair value. Gains or losses arising on the settlement of Financial Derivative Instruments are included in Net Realised Gain/Loss on Financial Derivative Instruments in the Statement of Comprehensive Income. Unrealised gains or losses on unsettled forward currency contracts and futures are included in the Statement of Financial Position with movements in unrealised gains or losses included in the Statement of Comprehensive Income. The significant accounting policies adopted by the Sub-Fund are as follows: Valuation of Financial Assets and Financial Liabilities Bonds, certificates of deposits, commercial papers, time deposits and derivative financial assets held as current assets are stated at fair value through profit or loss, and gains and losses arising from this valuation are taken to the Statement of Comprehensive Income. The fair value of financial assets and liabilities at fair value through profit or loss is based on quoted market prices at the Statement of Financial Position date. Financial assets and financial liabilities at fair value through profit or loss have been based on a mid valuation. Certificates of Deposits Certificates of deposits are liquidity instruments and are valued based on the mid valuation. They are disclosed at fair value through profit or loss in the Schedule of Investments. Commercial Papers Commercial papers are liquidity instruments and are valued based on the mid valuation. They are disclosed at fair value through profit or loss in the Schedule of Investments. Time Deposits Time deposits are short-term highly liquid investments valued at par and are readily convertible to known amounts of cash. The time deposits are disclosed at fair value through profit or loss in the Schedule of Investments. Futures Contracts A futures contract is a contract, traded on a futures exchange, to buy or sell a certain underlying instrument at a certain date in the future, at a specified price. The changes in value of open futures contracts are recognised as unrealised gains or losses by marking-to-market the value of the contract at the year end date. The Sub-Fund may purchase and sell various kinds of futures contracts, including interest rate, bond, and indices in order to seek to increase total return by exposure to, or, in order to seek to hedge against, changes in interest rates, securities prices, other investment prices or index prices. Any securities to which exposure is obtained through futures contracts will be consistent with the investment policies of the Sub-Fund. The Sub-Fund may also enter into closing purchase and sale transactions with respect to any of such contracts. Futures contracts involve brokerage costs and require margin deposits. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealised gains and losses. The Sub-Fund recognises a gain or loss when the contract is closed. 17

20 Notes to Financial Statements (continued) For the year ended 31 December Significant Accounting Policies (continued) (a) Fair Value Measurement (continued) Forward Currency Contracts A forward currency contract is an agreement between two parties to buy or sell a foreign currency at a future date, at a negotiated rate, the purpose of which is to manage currency risk arising from the investment activities of the Sub-Fund. The unrealised gain or loss on open forward currency contracts is calculated by reference to the difference between the contracted rate and the rate to close out the contract as at the year end date. Unrealised gains and losses are included in the Statement of Financial Position. Realised gains or losses are recognised on the maturity of a contract as the difference between the rate that the contract was entered into and the closing spot rate at the settlement date of the contract. Realised gains or losses and changes in unrealised gains or losses are recognised in the Statement of Comprehensive Income. Forward currency contracts are valued at the closing prices of the forward currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. The Sub-Fund will realise a gain or loss upon the closing or settlement of the forward currency contracts. (b) Loans and Receivables Financial Assets at Amortised Cost Loans and receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market and they are carried at amortised cost. The Sub-Fund includes in this category cash and cash equivalents, cash held with brokers and other receivables. The amortised cost of a financial asset is the amount at which the instrument is measured at initial recognition (its fair value) adjusted for initial direct costs, minus principal repayments, plus or minus the cumulative amortisation, using the effective interest rate method, of any difference between the initial amount recognised and the maturity amount, minus any reduction for impairment. Financial Liabilities at Amortised Cost The Sub-Fund includes in this category payables and other liabilities. Impairment of financial assets The Sub-Fund assesses at each reporting date whether a financial asset or group of financial assets classified as receivables is impaired. If there is objective evidence that impairment has occurred, the amount of the loss is measured as the difference between the asset s carrying amount and the present value of the estimated future cash flows discounted using the asset s original effective interest rate. The carrying value of the asset is reduced through the use of an allowance account. (c) Recognition/Derecognition Purchases and sales of investments are accounted for on the day the trade transaction takes place. Financial assets are derecognised when the rights to receive cashflows from the investments have expired or the risks and rewards of ownership have all been substantially transferred. Financial liabilities are derecognised when the obligation specified in the contract is discharged, cancelled or expires. Realised gains and losses on disposals are calculated using the average cost method and are reflected as net gains/(losses) on financial assets/liabilities at fair value in the Statement of Comprehensive Income. All realised and unrealised gains and losses, including foreign exchange gains or losses, are shown in the Statement of Comprehensive Income. 18

21 Notes to Financial Statements (continued) For the year ended 31 December Significant Accounting Policies (continued) (d) Interest Income/Expense Interest income/expense is recognised using the effective interest method. The effective interest rate is the rate that exactly discounts future cash payments or receipts throughout the expected life of the financial instrument, or a shorter period where appropriate, to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate, the Sub-Fund estimates cash flows considering all contractual terms of the financial instruments but does not consider future credit losses. The calculation includes all fees paid or received between parties to the contract that are an integral part of the effective interest rate, transaction costs and all other premiums or discounts. Once a financial asset or a group of similar financial assets has been written down as a result of an impairment loss, interest income is recognised using the rate of interest used to discount the future cash flows for the purpose of measuring the impairment loss. (e) Redeemable Participating Shares The Sub-Fund's Redeemable Participating Shares are classified as liabilities in the Statement of Financial Position. (f) Offsetting Financial assets and financial liabilities are offset and the net amount presented in the Statement of Financial Position when, and only when, the Sub-Fund has a legally enforceable right to offset the recognised amounts and it intends either to settle on a net basis or to realise the asset and settle the liability simultaneously. Income and expenses are presented on a net basis for gains and losses from financial instruments at fair value through profit or loss and foreign exchange gains and losses. 4. Financial Risk Management The activities of the Sub-Fund expose it to a variety of financial risks: market risk (including currency risk, interest rate risk and price risk), credit risk and liquidity risk. The general risk factors set out in the Prospectus apply to the Sub-Fund, and risks specific to the Sub-Fund are summarised below. Market Price Risk Market risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the Sub-Fund might suffer through holding market positions in the face of price movements. The Sub-Fund is, therefore, subject to market risk. Stock and bond markets tend to move in cycles, with periods of rising prices and periods of falling prices. This volatility in prices means that the value of an investor s holding may go down as well as up, and an investor may not recover the amount invested. The Directors manage the market price risks inherent in the investment portfolios by ensuring full and timely access to relevant information from the Investment Manager. The Directors meet regularly and at each meeting review investment performance and overall market conditions. They monitor the Investment Manager s compliance with the Sub-Fund s objectives. Foreign Currency Risk Foreign currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. The Sub-Fund may invest in securities denominated in currencies other than its functional currency. Consequently, the Sub-Fund is exposed to risks that the exchange rate of its functional currency relative to other currencies may change in a manner which has an adverse effect on the value of the portion of the Sub-Fund assets which are denominated in currencies other than its own currency. 19

22 Notes to Financial Statements (continued) For the year ended 31 December Financial Risk Management (continued) Foreign Currency Risk (continued) The table below outlines the exposure to foreign currency risk as at 31 December 2017: Nonmonetary exposure Gross foreign currency exposure Forward currency contracts at portfolio level Net foreign currency exposure Monetary Foreign currency exposure exposure Keynes Dynamic Beta Strategy Fund USD 000 USD 000 USD 000 USD 000 USD 000 AUD 39 (52) (13) 38,452 38,439 BRL - (2) (2) CAD (53) 1 (52) 6,397 6,345 CHF (25) - (25) (18,792) (18,817) CZK EUR (317) (543) (860) 22,818 21,958 GBP ,172 6,365 HKD HUF (363) (363) INR JPY 91 (29) 62 (5,153) (5,091) KRW (429) (370) MXN 5 (14) (9) 2,245 2,236 MYR 22 (4) NOK (2) NZD (4,025) (4,025) PLN SEK (47) 26 (21) SGD 1-1 1,845 1,846 THB (44) (1) (45) TRY (36) 5 (31) TWD (1,111) (1,111) ZAR (21) (2) (23) Total exposure to foreign currencies (189) (511) (700) 52,809 52,109 Base currency: USD 14,678 79,599 94,277 (51,509) 42,768 14,489 79,088 93,577 1,300 94,877 At 31 December 2017, had the USD strengthened or weakened by 5% in relation to all currencies, the net assets attributable to holders of Redeemable Participating Shares would have decreased or increased by USD ( 000) 2,