WAY Global Momentum Fund Short Report for the six months ended 31 August 2016 Investment Objective and Policy The objective of the Fund is to achieve long-term capital growth. The Fund aims to achieve this by primarily investing in a diversified portfolio of globally focussed exchange traded funds, which invest principally in equities. The Fund may also invest in transferable securities, other Collective Investment Schemes (regulated and unregulated), deposits, money market instruments, derivatives and cash or near cash. The Fund is managed using a systematic and low-cost approach to gain exposure to a range of developed global equity markets via investing in and regular rebalancing of exchange traded funds (or similar instruments). The strategy relies on remaining exposed to each market whilst certain trend-following signals are positive (whilst there is positive market momentum) but withdrawing to cash during periods when those signals turn negative. This is intended to reduce volatility within long-only equity investment, thereby securing a much improved risk-return outcome. The asset allocation between markets favours no particular country and does not reflect market capitalisations. The Fund will always be very well diversified across developed global equity markets, or in cash where the trend-following signals are negative. The algorithms used within the management approach have been developed and back-tested by academic researchers and the detailed techniques used will continue to be refined as the research evolves. The Fund may invest in derivatives and forward transactions for investment purposes as well as for efficient portfolio management purposes (including hedging). Fund Facts Risk Profile Interim/Annual Accounting End Dates 31 August Last day of February Ex-dividend (xd) Dates 01 September 01 March Income Distribution/ Accumulation Dates 31 October 30 April Please refer to the Full Prospectus for details of all the risks. The Fund has exposure to credit, counterparty and usual market risks. Past performance is not a guide to future performance. The value of investments and any income from them may go down as well as up. Exchange rate changes may cause the value of any overseas investments to rise or fall. You should always regard investments in the Fund as medium to long term. Page 1
Charges Share Class Initial Charge Annual Management Charge as at 31/08/16 Operating Charges as at 31/08/16 Operating Charges as at 29/02/16 Share Class A WAY Retail 5.25% 1.35% 2.02% 1.90% Share Class B WAY Institutional 0.00% 0.60% 1.27% 1.15% Share Class C Retail 5.25% 1.35% 2.02% 1.90% Share Class D Institutional 0.00% 0.60% 1.27% 1.15% Share Class E 2.00% 0.75% 1.42% 1.30% Share Class S 2.00% 0.85% 1.52% 1.40% Share Class T 2.00% 1.15% 1.82% 1.70% Distributions/Accumulations Distributions Distribution payable 31/10/16 Distribution paid 31/10/15 Share Class A WAY Retail Net Accumulation 0.0000 0.0000 Share Class A WAY Retail Net Income 0.0000 0.0253 Share Class B WAY Institutional Net Accumulation 0.0000 0.4510 Share Class C Retail Net Accumulation 0.0000 0.0179 Share Class C Retail Net Income 0.0000 0.0000 Share Class D Institutional Net Accumulation 0.0000 0.4584 Share Class D Institutional Net Income 0.0000 0.0000 Share Class E Net Accumulation 0.1509 0.3950 Share Class E Net Income 0.1478 0.3890 Share Class S Net Income 0.0000 0.0000 Share Class T Net Income 0.0000 0.1487 Page 2
Comparative Tables Net Asset Value Date Net Asset Value of Share Class ( ) Shares in issue Net Asset Value pence per Share Percentage Change (%) Share Class A WAY Retail Net Accumulation 29/02/16 786,750 764,042 102.97 31/08/16 550,658 474,739 115.99 12.64 Share Class A WAY Retail Net Income 29/02/16 1,136,371 1,103,902 102.94 31/08/16 1,258,057 1,084,930 115.96 12.65 Share Class B WAY Institutional Net Accumulation 29/02/16 182,999 171,204 106.89 31/08/16 205,729 170,219 120.86 13.07 Share Class C Retail Net Accumulation 29/02/16 377,815 366,912 102.97 31/08/16 331,547 285,837 115.99 12.64 Share Class C Retail Net Income 29/02/16 107,002 103,910 102.98 31/08/16 120,540 103,917 116.00 12.64 Share Class D Institutional Net Accumulation 29/02/16 355,233 331,452 107.17 31/08/16 257,782 212,718 121.18 13.07 Share Class D Institutional Net Income 29/02/16 23,340 22,639 103.10 31/08/16 23,314 20,000 116.57 13.06 Share Class E Net Accumulation 29/02/16 6,250,357 5,556,496 112.49 31/08/16 12,489,634 9,827,148 127.09 12.98 Share Class E Net Income 29/02/16 1,588,211 1,425,270 111.43 31/08/16 1,157,102 920,130 125.75 12.85 Share Class S Net Income 29/02/16 15,616 16,042 97.34 31/08/16 17,548 15,962 109.93 12.93 Share Class T Net Income 29/02/16 336,700 303,687 110.87 31/08/16 377,858 302,249 125.02 12.76 Page 3
Comparative Tables (continued) Major Holdings Top 10 Holdings % of Fund as at 31/08/16 ishares AEX 7.00 db x-trackers EURO STOXX 50 6.96 Vanguard FTSE 100 6.93 ishares EURO STOXX Mid 6.92 ishares EURO STOXX Small 6.92 ishares MSCI Canada 6.90 ishares S&P SmallCap 600 6.89 ishares Core MSCI Japan IMI 6.87 ishares Core MSCI World 6.86 Vanguard S&P 500 6.84 Top 10 Holdings % of Fund as at 29/02/16 db x-trackers II Sterling Cash 32.80 Lyxor Smart Cash 31.46 ishares MSCI Japan SmallCap 7.38 ishares EURO STOXX Small 7.12 ishares UK Gilts 0-5yr 2.70 Portfolio Information Breakdown by Geographic Region 30 27.80% 27.46% 26.92% 25 20 15 10 6.93% 6.86% 5 4.03% 0 Europe [38.58%] North America [0.00%] Asia [7.38%] United Kingdom [35.50%] Global [0.00%] Net other assets [18.54%] Comparative figures shown above in square brackets relate to 29 February 2016. Page 4
Investment Manager s Report Investment Review During the review period, 1 March 2016 31 August 2016 markets climbed a wall of worry. There was no lack of concerning geo-political factors. Continued Russian sabre-rattling in the Ukraine prompted the deployment of NATO forces to Eastern Europe and the Baltic states. In Syria, Russia has supported the puppet Assad regime, exacerbating the humanitarian crisis and expanding its own sphere of influence. The refugee crisis has continued with those seeking sanctuary in Europe including both those fleeing war- torn countries such as Afghanistan, Syria and Eritrea and those simply seeking a better economic life. A consequence has been the rise of anti-establishment parties in many European countries, often in protest against the scale of immigration and terrorist atrocities. The UK referendum on EU membership was another cause for concern and the eventual Brexit vote was itself a manifestation of antiestablishment protest. A further cause for anxiety has been Chinese expansionism in the South China Sea, the world s busiest shipping route. The prospect of a choice between two unpopular candidates in the US presidential election was a further worrying factor. There were economic concerns too, centred largely upon the strength of the global economy. In December 2015 the Federal Reserve Board had been sufficiently confident to commence interest rate normalisation with a quarter point rise in the Federal Funds rate but this was followed by mixed messages in 2016 concerning the strength of the economy. In Europe and Japan the data was sufficiently weak, in terms of both growth and inflation, for the European Central Bank and the Bank of Japan to persevere with their quantitative easing programmes. Negative 10 year government bond yields in both Germany and Japan were symptomatic of the deflationary environment. In the UK as well, the Bank of England responded to the Brexit vote with a further round of monetary stimulus. Stock markets usually respond well to benign monetary conditions and this period was no exception. The Global Momentum Fund appreciated by 13.6% 1 during the period, as its trend following methodology took the Fund from a largely liquid to a fully invested position at the end of the period enabling it to participate in the global stock market rally. At the beginning of the period the Fund was just 14.56% 1 invested with positions in European and Japanese small caps. By the end of the period all cash and cash proxies had been eliminated and investment had been made in all the fourteen potential markets, as represented by their Exchange Traded Funds. Outlook It is central to the thesis of this Fund that the Manager does not undertake any economic or financial market forecasting and depends on trend following to determine whether cash or a market is the appropriate investment. The Manager is, however, reviewing whether to expand the range of asset classes in which the Fund can invest, still using the trend following methodology but giving the Fund the benefit of further diversification. Source: 1 Apex Fund Services (UK) Limited valuations. Investment Manager WM Capital Management Ltd 22 September 2016 Page 5
Significant Information Under the Alternative Investment Fund Managers Directive ("AIFMD"), acting as the Alternative Investment Fund Manager ("AIFM"), WAY Fund Managers is required to disclose how those whose actions have a material impact on the Fund are remunerated. The remuneration strategy across WAY Fund Managers is governed by the Remuneration Committee, a committee appointed by the WAY Fund Managers' Board. The Remuneration Committee has established an AIFM Remuneration Policy designed to ensure the AIFM Remuneration Code in the UK Financial Authority handbook is met proportionately for all AIFM Remuneration Code Staff. WAY Fund Managers considers its activities as non complex due to the fact that regulation limits the AIF strategies conducted and the scope of investment in such a way that investor risk is mitigated. The discretion of WAY Fund Managers and the portfolio manager is strictly controlled within certain pre-defined parameters as determined in the prospectus of each Alternative Investment Fund. In its role as an AIFM, WAY Fund Managers deems itself as lower risk due to the nature of the activities it conducts. WAY Fund Managers does not pay any form of variable remuneration currently. Therefore WAY Fund Managers has provided a basic overview of how staff whose actions have a material impact on the Fund are remunerated. August 2016 Number of Beneficiaries Total remuneration paid Fixed remuneration Variable remuneration paid Carried interest paid by the AIF Total remuneration paid by the AIFM during the financial year 44 203,590 203,590 0 0 Remuneration paid to employees of the AIFM who have a material impact on the risk profile of the AIF 8 62,431 62,431 0 0 Due to the size and structure of WAY Fund Managers, it is determined that employees of the AIFM who have a material impact on the risk profile of the AIF include the Board, Head of Product Management and Client Relations and the Head of Finance. The delegated investment manager is subject to regulatory requirements on remuneration that WAY Fund Managers deem to be equally as effective as those detailed in the AIFMD, which would include the Capital Requirements Directive or Markets in Financial Instruments Directive. The information in this report is designed to enable Shareholders to make an informed judgment on the activities of the Fund during the period it covers and the result of those activities at the end of the period. The long Report and Accounts are available free of charge on request. For more information about the activities and performance of the Fund during the period and previous periods, please contact: Authorised Corporate Director Depositary Investment Manager Auditor WAY Fund Managers Limited Cedar House, 3 Cedar Park, Cobham Road, Wimborne, Dorset, BH21 7SB Customer Service Centre: 01202 855 856 www.fundpartners.co.uk Northern Trust Global Services Limited 50 Bank Street, Canary Wharf, London, E14 5NT WM Capital Management Ltd Fairway, Well Lane, Danbury, Chelmsford, Essex, CM3 4AB Deloitte LLP Chartered Accountant and Statutory Auditor Saltire Court, 20 Castle Terrace, Edinburgh, EH1 2DB Authorised and regulated by the Financial Conduct Authority (FCA) Authorised by the Prudential Regulation Authority (PRA) and regulated by the FCA and the PRA Authorised and regulated by the FCA Please note that telephone calls may be recorded for monitoring and training purposes, and to confirm investors' instructions Page 6