MANAGED FUNDS PORTFOLIO

Transcription

1 MANAGED FUNDS PORTFOLIO Société d'investissement à Capital Variable R.C.S. Luxembourg N B LUXEMBOURG

2 For additional information please contact: ING Investment Management P.O. Box LL The Hague The Netherlands Tel or

3 Warning No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. The prospectus, the statutes, the annual and semi-annual reports are made available to the shareholders at the custodian bank and at the Company's registered office. They will also be sent free of charge to anyone who so requests. The information given in this report is for reference purposes only. It is not a guide to future results.

4 Table of contents Page Organisation 2 Combined statements Combined statement of net assets as at 30/06/ Managed Funds Portfolio - Serenity VSX 5 Statistics 5 Financial statements 6 Statement of net assets as at 30/06/ Securities portfolio as at 30/06/ Financial derivative instruments as at 30/06/ Managed Funds Portfolio - Serenity VSX 10 Statistics 9 Financial statements 10 Statement of net assets as at 30/06/ Securities portfolio as at 30/06/ Financial derivative instruments as at 30/06/ Notes to the financial statements 12 1

5 Organisation Registered Office Board of Directors 3, rue Jean Piret, L-2350 Luxembourg Chairman André van den Heuvel, Chief Marketing and Sales Officer, ING Investment Management (Europe) B.V. Directors Maaike van Meer, Head of Legal & Compliance, ING Investment Management (Europe) B.V. Georges Wolff, Country Manager, ING Investment Management Luxembourg S.A. Edith Magyarics (until 01/05/2012), Chief Operating Officer, ING Investment Management Luxembourg S.A. David Suetens (until 29/03/2012), Chief Risk Officer, ING Investment Management (Europe) B.V. Dirk Buggenhout, Chief Operating Officer, ING Investment Management (Europe) B.V. Investment Manager ING Investment Management Luxembourg S.A., 3, rue Jean Piret, Luxembourg delegated to ING Asset Management B.V., 65, Schenkkade, The Hague 2

6 Organisation Administrative, Registrar and Transfer Agent ING Investment Management Luxembourg S.A., 3, rue Jean Piret, Luxembourg delegated to Brown Brothers Harriman (Luxembourg) S.C.A., 2-8, avenue Charles de Gaulle, Luxembourg Custodian Independent Auditor Brown Brothers Harriman (Luxembourg) S.C.A., 2-8, avenue Charles de Gaulle, Luxembourg Ernst & Young S.A., 7, rue Gabriel Lippmann, Parc d'activité Syrdall 2, Munsbach 3

7 Combined statements (Denominated in EUR) Combined statement of net assets as at 30/06/2012 Notes Total securities portfolio 98,548, Undertakings for collective investment 98,548, Total financial derivative instruments 37, Forward foreign exchange contracts 37, Cash at bank 15,218, Margin deposits 6,866, Other assets 3 69, Total assets 120,741, Current liabilities 3 (4,415,696.70) Total financial derivative instruments (75,774.09) Futures (75,774.09) Total liabilities (4,491,470.79) Net assets at the end of the period 116,249, The accompanying notes form an integral part of these financial statements. 4

8 Managed Funds Portfolio - Serenity VSX 5 (Denominated in EUR) Statistics Net assets 30/06/2012 EUR 60,620, /12/2011 EUR 68,605, /12/2010 EUR 99,383, Net asset value per share Capitalisation (A EUR) 30/06/2012 EUR /12/2011 EUR /12/2010 EUR Capitalisation (A USD) 30/06/2012 USD - 31/12/2011 USD /12/2010 USD Capitalisation (I EURO) 30/06/2012 EUR /12/2011 EUR /12/2010 EUR Capitalisation (I USD) 30/06/2012 USD /12/2011 USD /12/2010 USD Number of shares Capitalisation (A EUR) 30/06/ ,945 31/12/ ,835 31/12/ ,459 Capitalisation (A USD) 30/06/ /12/ /12/ Capitalisation (I EURO) 30/06/ ,800 31/12/ ,677 31/12/ ,658 Capitalisation (I USD) 30/06/2012 4,940 31/12/2011 5,952 31/12/ ,618 Total expense ratio (TER) in %* Capitalisation (A EUR) 30/06/ % Capitalisation (I EURO) 30/06/ % Capitalisation (I USD) 30/06/ % Portfolio turnover in %* 30/06/ % * The total expense ratio (TER) and the portfolio turnover rate are calculated in accordance with the CSSF Circular 2003/122 issued on December 19, Transaction costs are included in the purchase/sale price of the securities. These costs, which are not treated as operating expenses, are not included in the calculation of the TER. The TER does not include the proportional TER of the underlying funds due to the impossibility to calculate a synthetic TER for such portion of investments. The TER and the portfolio turnover rate are calculated for the last twelve months. The TER is annualised for periods less than one year. The portfolio turnover rate is not annualised for periods less than one year. 5

9 Managed Funds Portfolio - Serenity VSX 5 (Denominated in EUR) Financial statements Statement of net assets as at 30/06/2012 Notes Total securities portfolio 51,488, Undertakings for collective investment 51,488, Total financial derivative instruments 19, Forward foreign exchange contracts 19, Cash at bank 7,888, Margin deposits 2,446, Other assets 3 29, Total assets 61,872, Current liabilities 3 (1,230,814.08) Total financial derivative instruments (20,702.99) Futures (20,702.99) Total liabilities (1,251,517.07) Net assets at the end of the period 60,620, The accompanying notes form an integral part of these financial statements. 6

10 Managed Funds Portfolio - Serenity VSX 5 (Denominated in EUR) Securities portfolio as at 30/06/2012 Quantity/ Nominal Name Currency Market value % in EUR NAV Quantity/ Nominal Name Currency Market value % in EUR NAV Transferable securities and money market instruments listed on an official stock exchange Undertakings for collective investment Luxembourg 8,800 JPMORGAN INVESTMENT FUNDS - GLOBAL HIGH YIELD BOND FUND A ACC-EUR HEDGED CAP EUR 1,514, ,006 JULIUS BAER MULTIBOND - ABSOLUTE EUR 1,085, RETURN BOND FUND C CAP 45,000 SCHRODER INTERNATIONAL SELECTION FUND EUR 5,711, EURO LIQUIDITY C CAP 8,311, France 54,200 LYXOR ETF EUROMTS AAA MACRO- EUR 6,556, WEIGHTED GOVERNMENT BONDS 6,556, United Kingdom 11,608 LYXOR BRIDGEWATER FD LTD B USD 1,758, ,251 LYXOR PSAM WORLDARB FD LTD USD 428, ,496 LYXOR QIM FD LTD B CAP USD 947, ,684 LYXOR YORK FUND LTD USD 620, ,425 LYXOR/ARMAJARO COM CL B USD 352, ,330 LYXOR/WINTON CAPIT CLASS B USD 1,489, ,598, Ireland 1,426,851 ABSOLUTE INSIGHT UK EQUITY MARKET EUR 1,704, NEUTRAL FUND B1P-EUR CAP 28,850 ISHARES II PLC - ISHARES MSCI EUROPE EUR 452, ,157, Virgin Islands 550 PERMAL MULTI-MANAGER FUNDS - PERMAL USD 1,775, MACRO HOLDINGS A 1,775, United States 19,400 VANGUARD MSCI EMERGING MARKETS ETF USD 595, , ,993, Other transferable securities and money market instruments Undertakings for collective investment Luxembourg 9,958 BREVAN HOWARD INVESTMENT FUND II - MACRO FX FUND B USD USD 850, EXANE FUNDS 1 - EXANE ARCHIMEDES FUND EUR 1,027, EXANE FUNDS 1 - EXANE TEMPLIERS FUND A EUR 1,666, CAP 332,200 HENDERSON GARTMORE FUND - JAPAN EUR 1,655, ABSOLUTE RETURN FUND I EUR ACC (HEDGED) 62 ING (L) - INVEST GLOBAL REAL ESTATE I CAP EUR 328, ING (L) - RENTA FUND EMERGING MARKETS USD 1,160, DEBT (HARD CURRENCY) I CAP 9,100 ING (L) - RENTA FUND EURO SHORT EUR 3,807, DURATION P CAP 105 ING (L) - RENTA FUND FX ALPHA I CAP EUR 476, ,790 ING (L) LIQUID - EUR B CAP EUR 10,437, ,728 LION-INTERGESTION MONETAIRE EURO SELECT CAP Ireland EUR 4,857, ,269, GREEN WAY LIMITED RECOVERY FUND A USD 226, , ,495, Total securities portfolio 51,488, Financial derivative instruments as at 30/06/2012 To receive To pay Maturity Date Commitment in EUR Forward foreign exchange contracts 12,184, EUR 15,160, USD 26/07/ ,184, , , USD 162, EUR 12/07/ , (171.05) 158, EUR 200, USD 26/07/ , (1,897.86) 4,664, USD 3,743, EUR 12/07/2012 3,743, (3,950.42) 482, EUR 390, GBP 26/07/ , (5,371.44) Quantity Name Currency Futures on stock indices 16,731, Unrealised profit or (loss) in EUR 19, E-MINI S&P500 FUTURE 21/09/2012 USD 1,512, , FTSE 100 INDEX FUTURE 21/09/2012 GBP 216, TOPIX INDEX FUTURE 13/09/2012 JPY 59,280, (11,301.62) Futures on interest rates Commitment in EUR 61,009, (6,385.88) (8) EURO BUXL 30Y BUND 06/09/2012 EUR 1,063, , EURO-BUND FUTURE 06/09/2012 EUR 5,384, (115,140.00) 9 LONG GILT FUTURE 26/09/2012 GBP 1,075, , US 10YR NOTE FUTURE 19/09/2012 USD 6,271, , ,668, Unrealised profit or (loss) in EUR (14,317.11) Total financial derivative instruments (1,021.75) The accompanying notes form an integral part of these financial statements. 7

11 Summary of net assets as at 30/06/2012 Managed Funds Portfolio - Serenity VSX 5 (Denominated in EUR) % NAV Total securities portfolio 51,488, Total financial derivative instruments (1,021.75) 0.00 Cash at bank 7,888, Other assets and liabilities 1,245, Total net assets 60,620, The accompanying notes form an integral part of these financial statements. 8

12 Managed Funds Portfolio - Serenity VSX 10 (Denominated in EUR) Statistics Net assets 30/06/2012 EUR 55,628, /12/2011 EUR 61,295, /12/2010 EUR 79,265, Net asset value per share Capitalisation (A EUR) 30/06/2012 EUR /12/2011 EUR /12/2010 EUR Capitalisation (A USD) 30/06/2012 USD /12/2011 USD /12/2010 USD Capitalisation (I EURO) 30/06/2012 EUR /12/2011 EUR /12/2010 EUR Number of shares Capitalisation (A EUR) 30/06/ ,181 31/12/ ,320 31/12/ ,762 Capitalisation (A USD) 30/06/2012 2,260 31/12/2011 2,260 31/12/2010 2,986 Capitalisation (I EURO) 30/06/ ,913 31/12/ ,728 31/12/ ,532 Total expense ratio (TER) in %* Capitalisation (A EUR) 30/06/ % Capitalisation (A USD) 30/06/ % Capitalisation (I EURO) 30/06/ % Portfolio turnover in %* 30/06/ % * The total expense ratio (TER) and the portfolio turnover rate are calculated in accordance with the CSSF Circular 2003/122 issued on December 19, Transaction costs are included in the purchase/sale price of the securities. These costs, which are not treated as operating expenses, are not included in the calculation of the TER. The TER does not include the proportional TER of the underlying funds due to the impossibility to calculate a synthetic TER for such portion of investments. The TER and the portfolio turnover rate are calculated for the last twelve months. The TER is annualised for periods less than one year. The portfolio turnover rate is not annualised for periods less than one year. 9

13 Managed Funds Portfolio - Serenity VSX 10 (Denominated in EUR) Financial statements Statement of net assets as at 30/06/2012 Notes Total securities portfolio 47,060, Undertakings for collective investment 47,060, Total financial derivative instruments 18, Forward foreign exchange contracts 18, Cash at bank 7,330, Margin deposits 4,419, Other assets 3 40, Total assets 58,868, Current liabilities 3 (3,184,882.62) Total financial derivative instruments (55,071.10) Futures (55,071.10) Total liabilities (3,239,953.72) Net assets at the end of the period 55,628, The accompanying notes form an integral part of these financial statements. 10

14 Managed Funds Portfolio - Serenity VSX 10 (Denominated in EUR) Securities portfolio as at 30/06/2012 Quantity/ Nominal Name Currency Market value % in EUR NAV Quantity/ Nominal Name Currency Market value % in EUR NAV Transferable securities and money market instruments listed on an official stock exchange Undertakings for collective investment United Kingdom 12,463 LYXOR BRIDGEWATER FD LTD B USD 1,888, ,727 LYXOR PSAM WORLDARB FD LTD USD 678, ,151 LYXOR QIM FD LTD B CAP USD 1,335, ,179 LYXOR SANDLER PLUS OFFSHORE B USD 684, ,006 LYXOR YORK FUND LTD USD 1,061, ,752 LYXOR/ARMAJARO COM CL B USD 1,126, ,896 LYXOR/WINTON CAPIT CLASS B USD 2,206, ,981, France 74,000 LYXOR ETF EUROMTS AAA MACRO- EUR 8,951, WEIGHTED GOVERNMENT BONDS 8,951, Luxembourg 16,090 JPMORGAN INVESTMENT FUNDS - GLOBAL EUR 2,769, HIGH YIELD BOND FUND A ACC-EUR HEDGED CAP 7,212 JULIUS BAER MULTIBOND - ABSOLUTE EUR 977, RETURN BOND FUND C CAP 3,747, Ireland 1,778,794 ABSOLUTE INSIGHT UK EQUITY MARKET EUR 2,125, NEUTRAL FUND B1P-EUR CAP 72,150 ISHARES II PLC - ISHARES MSCI EUROPE EUR 1,131, ,256, Virgin Islands 650 PERMAL MULTI-MANAGER FUNDS - PERMAL USD 2,100, MACRO HOLDINGS A 2,100, United States 45,800 VANGUARD MSCI EMERGING MARKETS ETF USD 1,405, ,405, ,443, Other transferable securities and money market instruments Undertakings for collective investment Luxembourg 12,691 BREVAN HOWARD INVESTMENT FUND II - MACRO FX FUND B USD USD 1,084, EXANE FUNDS 1 - EXANE ARCHIMEDES FUND EUR 670, EXANE FUNDS 1 - EXANE TEMPLIERS FUND A EUR 2,086, CAP 189,400 HENDERSON GARTMORE FUND - JAPAN EUR 944, ABSOLUTE RETURN FUND I EUR ACC (HEDGED) 140 ING (L) - INVEST GLOBAL REAL ESTATE I CAP EUR 742, ING (L) - RENTA FUND EMERGING MARKETS USD 3,398, DEBT (HARD CURRENCY) I CAP 5,282 ING (L) - RENTA FUND EURO SHORT EUR 2,209, DURATION P CAP 180 ING (L) - RENTA FUND FX ALPHA I CAP EUR 817, ,216 ING (L) LIQUID - EUR B CAP EUR 6,193, ,146, Ireland 20 GREEN WAY LIMITED RECOVERY FUND A USD 470, , ,616, Total securities portfolio 47,060, Financial derivative instruments as at 30/06/2012 To receive To pay Maturity Date Commitment in EUR Forward foreign exchange contracts 15,833, EUR 19,700, USD 26/07/ ,833, , , USD 67, EUR 12/07/ , (71.32) 1,944, USD 1,560, EUR 12/07/2012 1,560, (1,646.84) 902, EUR 730, GBP 26/07/ , (10,054.23) 871, EUR 1,100, USD 26/07/ , (10,438.25) Quantity Name Currency Futures on stock indices 19,235, Unrealised profit or (loss) in EUR 18, E-MINI S&P500 FUTURE 21/09/2012 USD 3,551, , FTSE 100 INDEX FUTURE 21/09/2012 GBP 432, (7,078.97) 19 TOPIX INDEX FUTURE 13/09/2012 JPY 140,790, (26,841.36) 144,774, Futures on interest rates Commitment in EUR (21,852.33) (11) EURO BUXL 30Y BUND 06/09/2012 EUR 1,462, , EURO-BUND FUTURE 06/09/2012 EUR 8,927, (190,890.00) 25 LONG GILT FUTURE 26/09/2012 GBP 2,988, , US 10YR NOTE FUTURE 19/09/2012 USD 10,141, , ,594, Unrealised profit or (loss) in EUR (33,218.77) Total financial derivative instruments (36,904.53) Summary of net assets as at 30/06/2012 % NAV Total securities portfolio 47,060, Total financial derivative instruments (36,904.53) (0.07) Cash at bank 7,330, Other assets and liabilities 1,274, Total net assets 55,628, The accompanying notes form an integral part of these financial statements. 11

15 Notes to the financial statements 1- GENERAL INFORMATION (the "Company" or the "SICAV") is a "Société d'investissement à Capital Variable" ("SICAV") incorporated on March 16, 2001 for an unlimited period as a société anonyme (public limited company), governed by Part II of the Luxembourg law of December 17, 2010 on undertakings for collective investment. The Memorandum and Articles of Association of the Company were published in the Mémorial, Recueil Spécial des Sociétés et Associations du Grand-Duché de Luxembourg and filed with the Registry of the Luxembourg District Court where they may be consulted and copies may be obtained upon payment of registry fees. The Company is registered with the Luxembourg Register of Companies under number B The Company currently offers the following share classes to the investors: Share class name Capitalisation (I EURO) Capitalisation (I USD) Capitalisation (A EUR) Capitalisation (A USD) Description Capitalisation shares reserved for Private Banking clients of the ING Group companies who have signed a discretionary management mandate with a minimum investment amount of EUR 250,000 Capitalisation shares reserved for Private Banking clients of the ING Group companies who have signed a discretionary management mandate with a minimum investment amount of USD 250,000. This share class is covered against the exchange risk of the reference currency of the sub-fund (EUR) against the USD Capitalisation shares reserved for Private Banking clients of the ING Group companies with a minimum investment amount of EUR 250,000 Capitalisation shares reserved for Private Banking clients of the ING Group companies with a minimum investment amount of USD 250,000. This share class is covered against the exchange risk of the reference currency of the sub-fund (EUR) against the USD The investors must be aware that every share class is not offered by every sub-fund of the Company. Investment policies Shareholders are advised that detailed investment policies of each sub-fund are described in the prospectus, which is made available to the shareholders at the custodian bank and at the Company s registered office. The prospectus will also be sent free of charge to anyone who so requests. 2- PRINCIPAL ACCOUNTING METHODS The financial statements are prepared and presented in accordance with generally accepted accounting principles and regulations in force in Luxembourg. Currency conversion The financial statements have been drawn up in the accounting currency of each sub-fund. Assets and liabilities expressed in currencies other than the accounting currency of each sub-fund are converted into that currency at the exchange rates prevailing as at the closing date. Income and expenses expressed in currencies other than the accounting currency of the sub-fund are converted into that currency at the exchange rates prevailing on the transaction date. The various items in the combined statements correspond to the sum of the corresponding items in the financial statements of each sub-fund, converted if necessary into EUR at the exchange rates prevailing on the closing date. Securities valuation The securities admitted to an official listing or to any other regulated market are valued at the last known prices. If these securities are traded on several markets, the valuation is made on the basis of the last known price on the main market on which the securities are listed. Securities not listed or not traded on a stock exchange or on any other regulated market and securities listed or traded on such a market but whose last known price is not representative, are valued with prudence and in good faith on the basis of their probable realisation value as determined by or under the direction of the Board of Directors of the SICAV. Investments in open-ended investment funds, either listed or not, are valued on the basis of their last available net asset value per share/unit. 12

16 Notes to the financial statements Financial derivative instruments valuation Financial derivative instruments listed on a regulated market are valued at the last available published price applicable at the closing date. Financial derivative instruments not listed on a regulated market are valued by means of an actuarial method recognised in the market. Positive fair values of financial derivative instruments are disclosed as assets and negative fair values as liabilities in the statement of net assets, under the item "Total financial derivative instruments". Income Dividends are accounted for on the ex-date, net of withholding tax. Interest is accrued on a daily basis. 3- OTHER ASSETS AND CURRENT LIABILITIES Other assets account includes mainly accrued interest and receivables. Current liabilities account includes mainly fee accruals and payables. 4- MANAGEMENT FEES In consideration for its services, the Company shall pay a management fee to the Investment Manager (as described in the "Organisation" section), which is payable monthly in arrears and calculated as a percentage of the average net assets of the sub-funds as described in the tables below: The management fee rates are: Sub-funds Management fees rate (p.a.) Class I Class A (in %) (in %) Managed Funds Portfolio - Serenity VSX Managed Funds Portfolio - Serenity VSX When the sub-funds invest in units/shares of other UCITS and/or other UCIs that are promoted by ING, the management fees paid by these UCITs and/or UCIs are deducted from the management fees paid to the Investment Manager. Performance fee for the sub-funds Managed Funds Portfolio - Serenity VSX 5 and Managed Funds Portfolio - Serenity VSX 10 A performance fee shall be calculated and accrued weekly and paid monthly in arrears at the rate of 10% over a "hurdle" rate of the weekly increase of the net asset value taking into account the outstanding shares on such valuation day. The performance fee is calculated on a so called "weekly high water mark" basis. If losses are incurred in the net asset value, the performance fee will not be paid until the losses are recovered and there are new profits. The "hurdle" rates are the US Treasury Bill 3 month for shares classes denominated in USD and the German Treasury Bill 3 month for share classes denominated in EUR. No performance fees were payable. ING Investment Management Luxembourg S.A. has sub-delegated the portfolio management of the different sub-funds to ING Asset Management B.V.. 5- CUSTODIAN FEES The depositary bank is remunerated in accordance with the agreement between Brown Brothers Harriman (Luxembourg) S.C.A., acting as the custodian, and the SICAV. 13

17 Notes to the financial statements 6- SUBSCRIPTION TAX The Company is liable in Luxembourg to a subscription tax ("Taxe d'abonnement") of 0.01% per annum of its net assets for all shares restricted to institutional investors and a subscription tax of 0.05% per annum of its net assets for all the other shares. The subscription tax is paid quarterly and calculated on the net asset value at the end of the relevant calendar quarter. No subscription tax is paid on the assets held by the Company in other UCIs already subject to that tax in Luxembourg. 7- OTHER EXPENSES This account includes mainly administration fees and audit fees. 8- OTHER INCOME As from September 20, 2010, the Investment Manager entered into a Loyalty Premium Agreement with the SICAV. Under this agreement, the SICAV is entitled to receive a quarterly payable loyalty premium for the shares/units subscribed by the SICAV in certain investee funds (excluding funds promoted by ING). 9- CHANGES TO THE COMPOSITION OF THE SECURITIES PORTFOLIO These changes are made available to the shareholders at the custodian bank and at the Company's registered office. They will also be sent free of charge to anyone who so requests. 14

18 For additional information please contact: ING Investment Management P.O. Box LL The Hague The Netherlands Tel or