Annual Report (Audited) As of 31 December 2005

Transcription

1 Global Macro Fund Annual Report (Audited) As of 31 December 2005 ProfitFundCom AG Aubündt 36 Postfach 1507 FL-9490 Vaduz Tel. (+423) Fax (+423) Mitglied des Liechtensteinischen Anlagefondsverbandes

2 Contents Administration and Functions 3 Activity Report 4 Overview 5 Units in Circulation 5 Development of Key Indicators 5 Assets and Liabilities 6 Off-Balance Sheet Transactions 6 Profit and Loss 7 Distribution of Gains 7 Change in Net Assets 8 Net Asset Value Breakdown/ Purchases and Sales 8 Annotations to the Annual Report 11 Report by the Auditor 13 2

3 Administration and functions Fund Management Custodian ProfitFundCom AG Liechtensteinische Landesbank AG Aubündt 36 Im Städtle 44 Postfach 1507 Postfach Vaduz 9490 Vaduz Supervisory Board Administrator Richard Werner, Präsident Global Fund Services AG Rosemary Werner, Mitglied Städtle 17 Prinz Michael von und zu 9490 Vaduz Liechtenstein, Mitglied Shuzo Yoshida, Mitglied Management Matthias Voigt, Managing Director Auditor PricewaterhouseCoopers AG Neumarkt 4 Kornhausstrasse St. Gallen Domicile and Administration Payment Agent and Distributor ProfitFundCom AG Liechtensteinische Landesbank AG Aubündt 36 Im Städtle 44 Postfach 1507 Postfach Vaduz 9490 Vaduz Investment Advisor Profit Research Center Ltd. Ark Hills Executive Tower, S103 Akasaka Minato-ku Tokyo, Japan 3

4 Activity Report Review The most important event in the financial markets during the year 2005 was most probably the persistent strength of the US dollar compared to most other international currencies. This was predicted correctly by the investment advisor, Profit Research Center Ltd., Tokyo, which uses an analysis of international credit creation (liquidity analysis) to forecast exchange rates, equity markets and fixed income markets. Especially during the second half of 2005 the investment advisor expected also that a number of international equity markets would experience significant rises, especially in Asia and Europe. Therefore the portfolio of the Global Macro Fund, which is always internationally diversified, was adjusted accordingly and the weighting on equity markets was gradually raised during the course of the year 2005, reaching just above 40%. Nevertheless, the performance of the fund was hampered in 2005 by the weakness of most of the currencies against the US dollar. This meant that most of the equity market positions had to be hedged using forward currency positions. Normally, diversification across countries and currencies is a strength of the Global Macro Fund, which promises high risk-adjusted returns, because the financial models of the Profit Research Center Ltd. Have achieved a relatively high degree of accuracy. But during periods of consistent, significant dollar strength it is difficult for the fund to capitalise on its comparative advantage in international currency positions, as short positions can only be adopted to a very limited degree according to the investment regulations. As a result, the year 2005 proved to be a difficult year for the fund when the performance is expressed in dollar terms. Nevertheless, the fund managed to achieve a rise of the net asset value by 1.0% in 2005 (after all costs and fees). This compares with a 3.6% performance of the S&P 500 Index in 2005 or the 2.6% rise of the S&P Hedge Fund Index. Of course performance is far more pronounced, when it is expressed in the currencies of other countries. Euro-based investors for instance enjoyed a 16.3% rise in the fund (in euro terms) and investors in Japan a 15.2% rise. Outlook As the US Dollar rose to a multi-year high in 2005, it is less probably that this problem of a steady rise in the dollar will persist as dominant factor in Therfore the investment advisor expects to be able to raise the dollar-deonominated return of the fund in the new year, as its comparative advantage of international macroeconoimc forecasting can be used more effectively. The below table shows the performance of the Global Macro Fund in percent of the net asset value, looking back with different time horizons and in comparison to other market or fund indicators over the past three years. AAC Fund of Hedge Funds Benchmark CSFB Global Macro Index S&P Hedge Profit % S&P500 Fund Index GMF 1 month months months year years years

5 Overview as of 31 December 2005 Net Asset Value 6'194' Net Asset Value per Unit 1' Units in Circulation Dividends None Fees Fund Management Fee 1,50% Issuance Fee 3,00% Redemption Fee 0,25% Securities No Units in Circulation as of 31 Dec 2005 Number Issued units at the beginning of the reporting period Newly issued units Redeemed units Issued units at the end of the reporting period DEVELOPMENT OF KEY INDICATORS Date No. of Units Net asset value Net asset value per unit Performance during calender year in % '490' '948' '215' '532' '194'

6 ASSET AND LIABILITIES AS OF 31 DEC 2005 Sight deposits Securities Derivative Instruments Other assets Gross assets Liabilities Net assets 1'374' '832' ' ' '217' ' '194' No. of units in circulation Net asset value per unit 1' OFF BALANCE SHEET TRANSACTIONS Derivative financial instruments Open derivative transactions as of the end of the reporting period: Forward currency transactions Delivery Date Buy USD 93' Sell HUF 20'000' February 2006 Buy USD 194' Sell ZAR 1' February 2006 Buy USD 146'000 Sell AUD February 2006 Buy USD Sell EUR February 2006 Buy USD 92' Sell MXN 1' February 2006 Buy USD Sell AUD February 2006 Lent securities 0.00 Earnings from SLB commissions 1'

7 PROFIT AND LOSS 1 JANUARY TO 31 DECEMBER 2005 Accrued interest on deposits 41' Returns on securities Shares 16' Debentures 103' Other Earnings 18' Buying into current earnings on investing in the fund 23' Total Earnings 202' Interest 4' Fund management fee 100' Other Expenditures Compensation for current earnings on redeeming investments in the fund 28' Total Expenses 134' Net Income Realised capital gains/losses Realised Return Unrealised capital gains/losses Total Return 68' ' ' ' ' DISTRIBUTION OF GAINS AS OF 31 DECEMBER 2005 Net gains during the accounting year 68' Capital gains intended for distribution during the accounting year 0 Capital gains intended for distribution during earlier accounting years 0 Advance from previous year 0 Net gains available for distribution 68' Gains intended for distribution to unit holders 0 Reinvested gains 68' Carry-over to following year 0 7

8 CHANGE IN NET ASSETS FROM 01. JANUARY 2005 TO 31. DECEMBER 2005 Net asset value at the beginning of the reporting period 9'532' Dividends 0.00 Proceeds from issuance of units -3'383' Total return 46' Net asset value at the end of the reporting period 6'194' NET ASSET VALUE BREAKDOWN / PURCHASES AND SALES Security Securities Exchange-traded Debentures Inventory 31 Dec 05 Purchases 1) 2)) Sales 1) Inventory 31 Dec 05 Valuation USD in % Valuation % of net asset value % Republik Equador ' ' ' % 9.500% Dominikanische Republik ' ' ' ' % 9.040% Dominikanische Republik ' ' ' % 9.500% Türkei ' ' ' % 6.750% Republik Indonesien ' ' ' % 7.000% Venezuela ' ' ' % Total 801' % NZD in % 0.000% Weltbank ' ' ' % Total 61' % MXN in % Ldbk Baden Württemberg '000' '000' ' % Total 94' % Total Debentures 957' % Investment funds/certificates Ishares MSCI Belgium Index Fund 10'000 6'300 10'000 6' ' % Ishares MSCI Hong Kong Index Fund 0 36'800 23'400 13' ' % Ishares MSCI Italy Index Fund 0 11'200 9'200 2' ' % Ishares MSCI Japan Index Fund 0 16' ' ' % Ishares MSCI Switzerland Index Fund 0 12' ' ' % Ishares MSCI Austria Index Fund 5'000 22'000 17'600 9' ' % Ishares MSCI Spain Index Fund 4'000 13'350 15'350 2' ' % 8

9 Ishares MSCI France Index Fund 0 11' ' ' % Ishares MSCI Mexico (Free) Index Fund 0 18'300 13'800 4' ' % Ishares MSCI Taiwan Index Fund 0 22'000 6'000 16' ' % New Ireland Fund 0 4'564 3' ' % Ishares MSCI South Africa Index Fund 0 4'800 1'900 2' ' % Ishares MSCI Sweden Index Fund 0 24'600 16'900 7' ' % Ishares FTSE/Xinhua China 25 Index Fund 0 3' ' ' % Nasdaq-100 Trust Series I 0 9'400 5'000 4' ' % Indonesia Fund Inc 0 22' ' ' % JP Morgan SICAV India Fund 3' ' % Ishares MSCI UK Index Fund 0 6'000 6' % Ishares MSCI Germany Index Fund 13'500 3'000 16' % Ishares MSCI Australia Index Fund 0 4'000 4' % Ishares MSCI Canada Index Fund 12'500 10'300 22' % Ishares MSCI Malaysia Index Fund 88'500 14' ' % Ishares MSCI Singapore (Free) Index Fund 0 7'000 7' % Ishares Dow Jones Energy Sector Index % Total 2'750' % in EUR Zert on ABN Amro WIG 20 Index ' ' ' % Zert on BUX Index '300 1' ' % Zert on TRL-Total Return MMIndex '050 1'000 2' ' % Zert on SEK-Total Return MMIndex 0 1'500 1' % Zert on MXN-Total Return MMIndex '350 1' % Zert on USD-Total Return MMIndex 03 1' ' % Zert on AUD-Total Return MMIndex 03 1' ' % Zert on CAD-Total Return MMIndex 03 1' ' % Zert on NZD-Total Return MMIndex 03 1' ' % Zert on CHF-Total Return MMIndex 03 2' ' % Zert on ABN Amro India Index '500 2' % Zert on Jakarta LQ '000 5' % Total 510' % in YPJ JF Japan (Yen) Fund 0 1' '250 29' ' % Total 315'162 Total Investment Funds/ Certificates 3'756' % Total exchange-traded securities 4'714' % Securities not exchange-traded Debentures USD in % 9.500% Republik Philippinen ' ' ' % Total 117' % 9

10 HUF in % 8.500% Republik Ungarn '000' '000' % Total % AUD in % 7.500% Australien ' ' % Total % Total Debentures 117' % Investment Funds/Certificates JF India Fund 0 1'600 1' % JF Philipine Fund 5'000 5'000 10' % JF Thailand Fund 3'000 7'500 10' % Total % in JPY Japan Asia Equity Fund % Total % Total investment funds/certificates % Total non-exchange-traded securities 117' % Total securities 4'832' % Bank deposits Sight deposits Liechtensteinische Landesbank 1'374' % Total 1'374' % Derivate financial instruments Forward currency contracts -15' % Total -15' % Other assets 26' % Total assets 6'217' % Liabilities -22' % Total Net Assets 6'194' % 1) incl. split, exchange, free share issues and rights issues 10

11 ANNOTATIONS TO THE ANNUAL REPORT Accounting Year For accounting purposes, the year starts 1 January and ends 31 December. Units of Accounts The calculatory unit of account of the investment fund is the US Dollar. Information of Special Economic and Legal Consequence. Since the last annual report the composition of the administrative board (Verwaltungsrat) has changed. Mr Shuzo Yoshida was welcomed as new member. Dr. iur. Albert Mayer and Mr Mizuho Tabata retired. The financial supervisory authority (FMA) has approved these changes on 30 May Valuation Principles The net asset value of the investment fund is expressed in US Dollars. For the purpose of this calculation the net asset value of the fund, if not in US Dollars, is converted into US Dollars and summed up. The net asset value of the fund is calculated as follows: Those securities which are listed at a securities exchange or a regulated market will be valued at the last available price. Securities whose prices are not quoted, as well as other assets (including securities which are not listed at an exchange or a regulated market) will be valued at their likely sales price, which is assessed in good faith by or under supervision of the fund management. The liquid assets (incl. time deposits with banks) will be valued on the basis of the net nominal value plus the accrued interest. Those securities which exceptionally are denominated in other currencies than the fund currency will be converted into the currency of the fund at the mid value between bid and offer at the market in Liechtenstein or, if not available there, in the market representative for that currency. The Fund Management is justified in temporarily applying other adequate valuation principles for the net asset value and assets of the fund, if the above-mentioned criteria for valuation have become impossible due to exceptional circumstances or have become inappropriate. The valuation of the net assets in the present annual report was implemented according to Article 14 para. c) of the Ordinance on the Law for Investment Enterprises (Verordnung zum Gesetz über Investmentunternehmen) on the last day of the accounting year with the appropriate closing prices of the securities. The identified net asset value does thus not constitute the basis for the issuance of units. Remuneration For the conduct and administration of the fund, the fund management charges the investment fund an annual investment management fee of a maximum of 1.5% of the average net asset value of the respective segment, which is levied pro rata at the end of each quarter. The actually applied investment management fee can be obtained from the prospectus, the annual report and the semiannual report. The Fund Management uses the proceeds to cover the costs for the custodian of the securities and other costs related to the administration of the fund, as well as: 11

12 - The capital tax, which has to be paid on the fund assets; - The supervisory fee; - the costs for printing the annual and semi-annual reports; - the costs for the publication of the information for investors in the fund publication organs; - the fees which are paid in connection with the registering of the fund or the distribution license domestically or abroad; - the fees of the auditor will be treated separately. For the accounting year ending 31 December 2001 the fund management has levied a management fee of 1.5%. Sub-Custodians At the end of the reporting period securities had been deposited with the following sub-custodians: - BNP Paribas Group, Paris - Brown Brothers Harriman & Co., New York - Deutsche Bank AG, Frankfurt - Morgan Guaranty Trust Co., Brüssel - HSH Nord Bank, Luxemburg - JP Morgan Fleming Asset Management, Luxemburg Investment Decisions Profit Research Center Ltd. acts as the investment advisor. All investment decisions are made by ProfitFundCom Aktiengesellschaft, FL-9490 Vaduz. No investment decisions were delegated to third parties. Publication The reports of the fund management, as well as the prospectus and investment regulations can be ordered free of charge from the fund management, the custodian bank, its representative, all distributors and the payment agent. The net asset value per unit is published regularly in the Liechtensteiner Volksblatt newspaper. It is also visible on the internet at and 12

13 REPORT BY THE AUDITOR As the legally recognized auditor we have audited the accounts and the annual report of the Global Macro Fund for the reporting year ending on 31 December 2005, as shown here on pages 5 to 13 [in the German original]. The fund management is responsible for the annual report, while our task is to audit and assess it. We confirm that we fulfill the legal requirements regarding competence and independence. Our auditing followed the principles of the Liechtenstein auditors profession, whereby the auditing has to be planned and executed such that important misleading statements in the annual report are recognized with sufficient certainty. We audited the positions and statements of the annual report using analysis and research on the basis of samples. In addition we formed a judgment of the application of the relevant accounting principles, the major valuation assessments as well as the overall presentation of the annual report. We are of the opinion that our examination forms a sufficient basis for our judgment. According to our evaluation asset valuation, assets and liabilities, net asset value calculations as well as the distribution of profits are calculated according to the Liechtenstein laws and ordinances, as well as according to the investment regulations and the relevant information in the full prospectus. statements concerning issuance, redemption and final positions, as well as the list of purchases and sales are complete and accurate. the information about the custodian and sub-custodians and the responsible service providers to the fund management firm is listed in the annual report, as well as other information of special economic and legal consequence. PricewaterhouseCoopers AG Hans Wey Patrick Helg St. Gallen, 21. April