Advanced Beta Global Sovereign Bond Fund

Transcription

1 Schroder Advanced Beta Global Sovereign Bond Fund Interim Report and Accounts February 2018

2 Contents Schroder Advanced Beta Global Sovereign Bond Fund Fund Information Investment objective and policy Financial highlights Fund information Ongoing charges figure Total purchases and sales Review of Investment Activities Risk Profile Risk and reward indicator Specific risks Net Asset Value and Comparative Tables Unit price range Net revenue Net asset value Fund performance Portfolio Statement Summary of Portfolio Transactions Largest purchases Largest sales Statement of the Manager s Responsibilities Statement of Total Return (unaudited) Statement of Change in Net Assets Attributable to Unitholders (unaudited) Balance Sheet (unaudited) Notes to the Accounts (unaudited) Basis of preparation Accounting policies General Information Authorisation Initial management charge Collectively these comprise the Manager s report.

3 Fund Information Investment objective and policy The Schroder Advanced Beta Global Sovereign Bond Fund (the fund ) seeks to provide capital growth and income through investment in a portfolio of government bonds. The fund aims to achieve returns in line with global government bond markets. At least 80% of the fund s assets (excluding cash) will invest in the government bonds of any of the 17 largest member countries (by market capitalisation) of the Organisation for Economic Co-operation and Development. Bonds denominated in currencies other than sterling will be hedged back to sterling. The fund may also invest in other transferable securities, deposits, collective investment schemes, warrants and money market instruments, and may hold cash. The fund may use derivative instruments for investment purposes as well as for efficient portfolio management. Financial highlights Dealing price % change I Accumulation units 49.37p 50.45p (2.14) X Accumulation units 49.46p 50.51p (2.08) Fund information Launch date 21 March 2016 Launch price 50.00p per I Accumulation unit 50.00p per X Accumulation unit Interim Final Accounting dates 10 February 10 August Revenue allocation date 10 October Ongoing charges figure For the period For the period to to I Accumulation units 0.12% % 1 X Accumulation units % % 1 1 The Ongoing charges figure is annualised based on the fees incurred during the accounting period. 2 The Annual management charge for X Accumulation units is invoiced directly to unitholders and is therefore not included in the Ongoing charges figure for that unit class. 3

4 Fund Information (continued) Total purchases and sales For the period For the period to to s 000 s Total purchases 130, ,083 Total sales 44, ,500 4

5 Review of Investment Activities From 10 August 2017 to 10 February 2018, the price of I Accumulation units on a dealing price to dealing price basis fell 2.14%. The combination of a synchronised global growth upswing, relatively benign inflation and still accommodative monetary policy helped keep ten year bond yields relatively range bound over However, this was a different story at shorter dated maturities where US, UK and even European bond markets saw yields increase markedly, especially in the second half of the year amid further signals of central bankers willingness to normalise monetary policy at a very gradual pace. Isolated bouts of volatility appeared throughout the year with politics as much of a trigger as macroeconomic news. In particular the final quarter brought a notable flattening of yield curves as a US tax reform bill was passed and central banks continued to move toward withdrawal of ultra accommodative policy. The lack of an announcement on US fiscal reform was a factor in keeping yields in check earlier in the year. While the US and UK saw little change in ten year yields over the year, it was a different story in Europe as a strong acceleration in economic activity pushed yields higher and political factors gave rise to volatility. Corporate bonds enjoyed a positive year supported by the macro backdrop and corporate fundamentals. Emerging market debt made positive returns amid positive growth, and disinflationary and reform trends. Please remember that past performance is not a guide to future performance and it might not be repeated. The value of investments and the revenue from them may go down as well as up and investors may not get back the amount originally invested. Because of this, you are not certain to make a profit on your investments and you may lose money. Co-Fund Manager: Anthony Earnshaw Fund Manager, based in London Lead Portfolio Manager for B&M portfolios across credit, interest rates and derivatives strategies. Responsible for the design, construction and ongoing management of portfolios Prior to Schroders, Anthony has worked for XL Re where his responsibilities included assisting in pricing and reserving of reinsurance contracts. Anthony started his career in the investment practice of Lane Clark & Peacock where he was responsible for strategic advice given to pension schemes, asset/liability modelling and manager research Fellow of the Institute of Actuaries. First Class Masters Degree in Mathematics, University of Bristol Co-Fund Manager: Heidi Dallamore Custom Bond Beta Portfolio Manager, based in London Responsible for the design and ongoing management of Buy and Maintain and Passive portfolios Joined the Portfolio Solutions team at Schroders in 2014 having previously had a leading role in business change management within Fixed Income Previously, she was a Fixed Income Credit Portfolio Manager at Barclays Global Investors with over 10 years expertise in bond portfolio construction BSc Econ (Hons) Degree in Politics and History, Swansea University Holder of the Securities Institute diploma, Bonds and Fixed Interest Co-Fund Manager: Anthony Philips Joined Schroders in February 2015 Portfolio Manager in the Custom Bond Beta team, Portfolio Solutions Prior to joining Schroders, he was a portfolio manager at Aviva Investors ( ) managing Rates, Credit and Emerging Market Fixed Income portfolios He was previously at RAB Capital Ltd, Quantitative Analyst and Northwest Investment Management, Convertible Bond Analyst Professional Qualifications include Chartered Financial Analyst (CFA), Investment Management Certificate (IMC) and Investment Operations Certificate (IOC) MSc Financial Mathematics from Cass Business School and BSc Physics from Kings College 5

6 Risk Profile Risk and reward indicator The risk category was calculated using simulated performance data and may not be a reliable indicator of the fund s future risk profile. The fund is in this category because it seeks to provide rewards whilst limiting price volatility. The fund s risk category is not guaranteed to remain fixed and may change over time. A fund in the lowest category does not mean a risk free investment. Specific risks The fund invests in assets which are exposed to currencies other than sterling. Exchange rates may cause the value of overseas investments and the revenue from them to rise or fall. The fund is index unconstrained and has the potential for greater volatility. More than 35% of the property of the fund may be invested in Government securities. The fund may invest in higher yielding bonds (non-investment grade). The risk of default is higher with non-investment grade bonds than with investment grade bonds. Higher yielding bonds may also have an increased potential to erode your capital sum than lower yielding bonds. The fund may invest in a wide range of derivatives in order to meet its investment objectives and for leverage. The use of leverage can increase gains as well as losses and expose the fund to increased risk. The fund may use derivatives for specific investment purposes. This involves a higher degree of risk and may lead to a higher volatility in the unit prices of the fund. For these reasons, the purchase of units should not normally be regarded as a short term investment. 6

7 Net Asset Value and Comparative Tables Financial period to 10 August I Accumulation units X Accumulation units Unit price range Highest Lowest Highest Lowest dealing dealing dealing dealing p p p p Financial period to 10 February Net revenue I Accumulation units X Accumulation units Financial period to 10 August pence per unit pence per unit Financial period to 10 February 2018 Nil Nil Net asset value Net asset Net asset value value per unit Number of As at 10 August 000 s p units in issue 2017 I Accumulation units 179, ,116,480 X Accumulation units 67, ,761, at 10 February I Accumulation units 186, ,562,602 X Accumulation units 124, ,137,756 Fund performance Net asset Net asset value per unit value per unit p p as at as at % change I Accumulation units (2.08) X Accumulation units (2.02) Please remember that past performance is not a guide to future performance and it might not be repeated. The value of investments and the revenue from them may go down as well as up and investors may not get back the amount originally invested. Because of this, you are not certain to make a profit on your investments and you may lose money. 7

8 Portfolio Statement Government Bonds % (99.99%) Australia 2.92% (2.94%) Holding at Market Value % of net s assets Australia Government Bond 1.75% 21/11/2020 AU$5,267,000 2, Australia Government Bond 5.5% 21/04/2023 AU$2,746,000 1, Australia Government Bond 2.75% 21/11/2027 AU$6,392,000 3, Australia Government Bond 3.25% 21/06/2039 AU$1,389, , Canada 2.88% (2.71%) Canada Government Bond 0.75% 01/09/2020 CAD$8,734,000 4, Canada Government Bond 5.75% 01/06/2029 CAD$4,068,000 3, Canada Government Bond 2.75% 01/12/2048 CAD$1,592, , France 13.93% (13.56%) France Government Bond OAT 0.5% 25/11/ ,284,474 11, France Government Bond OAT 1.75% 25/05/ ,602,492 14, France Government Bond OAT 2.5% 25/05/ ,522,508 10, France Government Bond OAT 1.25% 25/05/2036 3,160,013 2, France Government Bond OAT 4% 25/04/2055 2,641,630 3, , Germany 9.71% (9.65%) Bundesobligation 1% 22/02/2019 7,534,602 6, Bundesrepublik Deutschland 6.25% 04/01/ ,645,702 13, Bundesrepublik Deutschland 0.25% 15/02/2027 2,078,709 1, Bundesrepublik Deutschland 4.75% 04/07/2034 2,271,141 3, Bundesrepublik Deutschland 3.25% 04/07/2042 3,578,734 4, ,

9 Portfolio Statement (continued) Holding at Market Value % of net s assets United Kingdom 14.24% (13.79%) UK Treasury 4.5% 07/03/2019 1,006,022 1, UK Treasury 2% 22/07/2020 8,119,661 8, UK Treasury 1.75% 07/09/2022 5,847,760 6, UK Treasury 4.75% 07/12/2030 6,909,369 9, UK Treasury 4.5% 07/09/2034 2,687,817 3, UK Treasury 4.25% 07/12/2040 2,267,284 3, UK Treasury 4.25% 07/12/2046 4,231,011 6, UK Treasury 4.25% 07/12/2055 3,827,969 6, , United States of America 57.13% (57.34%) US Treasury 1.375% 28/02/2019 US$3,755,200 2, US Treasury 1.75% 30/09/2019 US$27,299,100 19, US Treasury 1.25% 29/02/2020 US$20,903,700 14, US Treasury 2.375% 31/12/2020 US$25,108,500 18, US Treasury 1.25% 31/10/2021 US$24,253,800 16, US Treasury 2% 15/11/2021 US$25,255,800 18, US Treasury 1.75% 31/05/2022 US$18,922,300 13, US Treasury 1.625% 15/11/2022 US$24,986,500 17, US Treasury 2% 30/11/2022 US$7,635,300 5, US Treasury 2.125% 15/05/2025 US$12,124,700 8, US Treasury 1.5% 15/08/2026 US$7,506,500 4, US Treasury 5.25% 15/02/2029 US$10,141,900 9, US Treasury 4.5% 15/02/2036 US$6,509,100 5, US Treasury 3.125% 15/08/2044 US$24,696,500 17, US Treasury 2.875% 15/11/2046 US$7,436,300 5, , Government Bonds total 313, Forward Foreign Currency Contracts (1.69)% ((0.73)%) Buy EUR 794,466 Sell GBP 694,432 05/03/2018 EUR 794, Buy USD 3,038,248 Sell GBP 2,130,265 05/03/2018 USD 3,038, Sell AUD 16,312,069 Buy GBP 9,307,508 05/03/2018 AUD (16,312,069) Sell CAD 15,321,751 Buy GBP 8,799,738 05/03/2018 CAD (15,321,751) Sell CAD 479,908 Buy GBP 274,760 05/03/2018 CAD (479,908)

10 Portfolio Statement (continued) Forward Foreign Currency Contracts (continued) Holding at Market Value % of net s assets Sell EUR 310,719 Buy GBP 276,357 05/03/2018 EUR (310,719) Sell EUR 84,229,066 Buy GBP 73,847,579 05/03/2018 EUR (84,229,066) (704) (0.23) Sell USD 251,542,809 Buy GBP 176,895,108 05/03/2018 USD (251,542,809) (4,776) (1.53) Forward Foreign Currency Contracts total (5,251) (1.69) Portfolio of investments 308, Net other assets 2, Net assets attributable to unitholders 310, Investment grade securities 313, Total debt securities 313, Unless otherwise stated, all securities are admitted to official stock exchange listings. The comparative percentage figures in brackets are as at 10 August

11 Summary of Portfolio Transactions Largest purchases Largest sales Cost For the period ended 10 February s France Government Bond OAT 0.5% 25/11/ ,081 US Treasury 2% 15/11/2021 8,154 US Treasury 1.75% 31/05/2022 7,813 US Treasury 1.375% 28/02/2019 7,728 Bundesobligation 1% 22/02/2019 6,800 US Treasury 1.75% 30/09/2019 5,737 US Treasury 3.125% 15/08/2044 5,547 Bundesrepublik Deutschland 6.25% 04/01/2024 5,512 US Treasury 2% 30/11/2022 5,444 US Treasury 2.375% 31/12/2020 5,348 Proceeds For the period ended 10 February s US Treasury 1.375% 30/09/ ,064 France Government Bond OAT 4.25% 25/04/2019 9,054 Bundesobligation 1% 12/10/2018 7,213 US Treasury 1.375% 28/02/2019 4,702 US Treasury 1.25% 29/02/2020 3,357 Australia Government Bond 1.75% 21/11/2020 2,334 US Treasury 1.75% 30/09/ US Treasury 3.125% 15/08/ US Treasury 2.375% 31/12/ US Treasury 1.625% 15/11/

12 Statement of the Manager s Responsibilities The Financial Conduct Authority s Collective Investment Schemes sourcebook (COLL) requires the Manager to prepare accounts for each annual and half yearly accounting period, in accordance with United Kingdom Generally Accepted Accounting Practice, which give a true and fair view of the financial position of the fund and of its net revenue and the net capital losses on the property of the fund for the period. In preparing the accounts the Manager is required to: select suitable accounting policies and then apply them consistently; comply with the disclosure requirements of the Statement of Recommended Practice (SORP) for UK Authorised Funds issued by the Investment Management Association (IMA (now the Investment Association (IA))) in May 2014; follow generally accepted accounting principles and applicable accounting standards; prepare the accounts on the basis that the fund will continue in operation unless it is inappropriate to do so; keep proper accounting records which enable it to demonstrate that the accounts as prepared comply with the above requirements; make judgements and estimates that are prudent and reasonable. The Manager is responsible for the management of the fund in accordance with its Trust Deed, the Prospectus and the COLL, and for taking reasonable steps for the prevention and detection of fraud, error and non-compliance with law or regulations. The Manager s report and accounts for the period ended 10 February 2018 were signed on 27 March 2018 on behalf of the Manager by: J.A. Walker-Hazell Directors R.E. Stoakley 12

13 Statement of Total Return (unaudited) For the six months ended 10 February to s 000 s 000 s 000 s Income Net capital losses (7,863) (4,330) Revenue 1,631 2,159 Expenses (118) (162) Net revenue before taxation 1,513 1,997 Taxation 0 0 Net revenue after taxation 1,513 1,997 Total return before distributions (6,350) (2,333) Distributions Change in net assets attributable to unitholders from investment activities (6,099) (1,961) Statement of Change in Net Assets Attributable to Unitholders (unaudited) For the six months ended 10 February to s 000 s 000 s 000 s Opening net assets attributable to unitholders 247, Amounts receivable on issue of units 71, ,918 Amounts payable on cancellation of units (1,637) (39,731) 69, ,187 Dilution adjustment Change in net assets attributable to unitholders from investment activities (6,099) (1,961) Closing net assets attributable to unitholders 310, , The Opening net assets attributable to unitholders for the current period do not equal the Closing net assets attributable to unitholders for the comparative period as they are not consecutive periods. 13

14 Balance Sheet (unaudited) As at 10 February s 000 s Assets Investments 313, ,238 Current assets Debtors 3,629 1,870 Cash and bank balances Total assets 317, ,900 Liabilities Investment liabilities (5,480) (1,861) Creditors Other creditors (1,211) (833) Total liabilities (6,691) (2,694) Net assets attributable to unitholders 310, ,206 14

15 Notes to the Accounts (unaudited) Basis of preparation The accounts have been prepared under the historical cost basis, as modified by the revaluation of investments, and in accordance with the SORP for UK Authorised Funds issued by the IMA in May 2014 and in accordance with United Kingdom Generally Accepted Accounting Practice, including Financial Reporting Standard 102 (The Financial Reporting Standard Applicable in the UK and Republic of Ireland (FRS 102)). Accounting policies The accounting policies applied are consistent with those of the annual accounts for the period ended 10 August 2017 and are described in those annual accounts. 15

16 General Information Manager Schroder Unit Trusts Limited 31 Gresham Street London EC2V 7QA Authorised and regulated by the Financial Conduct Authority Registrar Schroder Unit Trusts Limited 31 Gresham Street London EC2V 7QA Authorised and regulated by the Financial Conduct Authority Investment Adviser Schroder Investment Management Limited 31 Gresham Street London EC2V 7QA Authorised and regulated by the Financial Conduct Authority Trustee J.P. Morgan Europe Limited Chaseside Bournemouth BH7 7DA Authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and Prudential Regulation Authority Administration Details Schroders FREEPOST RLTZ-CHSY-HBUT PO Box 1102 Chelmsford Essex CM99 2XX Investor Services Dealing Fax Independent Auditors PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX Authorisation Initial management charge The fund is an authorised unit trust and is constituted pursuant to the COLL and is structured as a trust. The fund is a UCITS scheme for the purpose of the categorisation of the COLL. The issue price of I Accumulation units reflects an initial management charge of 10% of the dealing price. This is retained by the Manager. 16

17 For further literature please contact Schroder Investor Services on or at or visit our website at Issued in March 2018 by Schroder Unit Trusts Limited, 31 Gresham Street, London EC2V 7QA. Registered No: England. Authorised and regulated by the Financial Conduct Authority. w35641