MANAGEMENT REPORT THIRD QUARTER 2017
THE LETTER Paris, 12 October 2017 Dear Investor, The slow but steady climb in stock prices has continued to confound even the direst doomsday prophecies. Whether prompted by Donald Trump s unseemly outbursts early in the year, by the perils of resurgent European populism this past spring or by the prospect that global liquidity would dry up during the summer, somehow, none of the underlying fears have been strong enough to stem the market rally. Does that leave equity markets in a more vulnerable state today? A first point worth noting is that, translated into euros, the MSCI World Index has gained only 4.6% so far this year. Nothing to write home about. In addition, if you look at global stock prices in relation to corporate earnings over the period which are up 3.1% in euros it turns out that they show almost no change since the start of the year. Meanwhile, global economic growth forecasts for the coming twelve months have been revised upwards from 3.7% in January to 4%. The main drivers are improved sentiment in and towards Europe and easier financial conditions that have been a boon to emerging markets. So the question is whether upcoming action by the Fed and, to a lesser extent, the ECB will shrink global liquidity to the point of spoiling the party in equity markets. We doubt it will. Though the risk of monetary policy misfires can t be ruled entirely, there are such powerful deflationary forces at work on both sides of the Atlantic that both central banks inflation targets have become unattainable. And that makes the prospects of substantial hikes in their key rates seem highly unlikely. Needless to say, we would be worried about the US economy overheating in response to large-scale fiscal stimulus if we actually believed the Trump administration stood a decent chance of carrying out its tax reform plan. This all points to a rather reassuring outlook. Yours truly, Edouard Carmignac
OVERVIEW 5 Carmignac news EQUITY MANAGEMENT DIVERSIFIED MANAGEMENT PROFILED MANAGEMENT FIXED INCOME MANAGEMENT 6 Carmignac 10 Carmignac range of funds 12 Macroeconomic analysis and investment strategy 16 Carmignac Investissement 19 Carmignac Portfolio Grande Europe 22 Carmignac Euro-Entrepreneurs 25 Carmignac Emergents 28 Carmignac Portfolio Emerging Discovery 35 Carmignac Patrimoine 43 Carmignac Portfolio Emerging Patrimoine 47 Carmignac Euro-Patrimoine 51 Carmignac Investissement Latitude 53 Carmignac Profil Réactif 100 Carmignac Profil Réactif 75 Carmignac Profil Réactif 50 56 Carmignac Portfolio Unconstrained Global Bond 59 Carmignac Sécurité 68 Carmignac Portfolio Capital Plus 73 Carmignac Court Terme 31 Carmignac Portfolio Commodities CARMIGNAC GESTION Portfolio management company AMF agreement n GP 97-08 of 13/03/1997 CHAIRMAN AND CHIEF EXECUTIVE OFFICER: Edouard Carmignac DEPUTY CHIEF EXECUTIVE OFFICER: Eric Helderlé COMPLIANCE : CARMIGNAC GESTION: Ernst & Young and Cabinet Vizzavona FRENCH-DOMICILED FUNDS: KPMG and Cabinet Vizzavona CARMIGNAC GESTION LUXEMBOURG UCITS management company Subsidiary of Carmignac Gestion CSSF agreement of 10/06/2013 COMPLIANCE : CARMIGNAC GESTION LUXEMBOURG: Ernst & Young Luxembourg LUXEMBOURG-DOMICILED FUNDS: PricewaterhouseCoopers
CARMIGNAC NEWS Fund awards received: uro Fund Award Germany February 2017 Carmignac Patrimoine Best Global Fund 20 years Carmignac Investissement Best Euro-Denominated Equities Fund 20 years Carmignac Sécurité Best Euro-Denominated Short-Term Bond Fund 10 years, 20 years L Agefi France June 2017 Carmignac Sécurité Actifs d Or de la Distribution 2017 Read about all of our awards (1) on www.carmignac.com Citywire Switzerland March 2017 Charles Zerah Best Global Bond Manager TFF-Bloomberg Best Fund Awards 2017 Taiwan March 2017 Carmignac Portfolio Patrimoine Best Global Asset Allocation Fund Lizzie Sadin wins the 8th annual Carmignac Photojournalism Award Carmignac has announced the winner of the 8th annual Carmignac Photojournalism Award: the Frenchwoman Lizzie Sadin for her story on trafficking in women in Nepal. Following a call for applications in July 2016, the selection panel chaired by Monique Villa selected Sadin s work as a means to give Nepalese women a voice. The photojournalist came back from three months in the field, from February to May 2017, with a deeply moving testimony on gender-based human trafficking. Her photos will be showcased in an exhibition at the Hôtel de l Industrie in Paris from October 20, 2017. The exhibition will be coupled with the publication of a monograph. In 2009, Fondation Carmignac established the Carmignac Photojournalism Award with the aim of funding and promoting an investigative photo report on human rights violations each year. Carmignac s long-term SRI commitment Carmignac is no newcomer to socially responsible investment (SRI). Mindful of our corporate duty to our investors and our stewardship as a leader in the European fund management industry and empowered through our independent spirit and attachment to transparency we have been investing responsibly ever since our firm was founded in 1989. Carmignac is a signatory of the United Nations Principles of Responsible Investment (UNPRI) and, as a French investment firm, is required to comply with the criteria set forth in French legislation (Article L.533-22-1 of the French Monetary and Financial Code). In addition to our strong convictions on ESG issues, most of our Funds follow a socially responsible approach targeted to their specific investment universe and the outlook of their managers. A good example can be found in the practices of Carmignac Emergents. The Fund s focus on investing in underpenetrated sectors heightened by its managers personal commitment to ESG issues ensures that it invests in sustainable growth themes. Publication of the net asset values on the Internet www.carmignac.com (daily from 3pm CET) The company s financial intermediary selection policy, conflicts of interest management policy, voting policy, and disclosure of intermediary fees and commissions are available on its website: www.carmignac.com SPOTLIGHT ON Carmignac Euro-Entrepreneurs Carmignac Euro-Entrepreneurs is a small- and mid-cap equity UCITS fund. Through a disciplined, bottom-up investment process, we aim to seize the best investment opportunities within this broad and under-researched universe. Stock-picking focuses on names with the best asymmetric risk/return profiles. The Fund has been given a four-star overal lrating by Morningstar (1), reflecting its track record of delivering above-average risk-adjusted returns for its category. (2) Moreover, it ranks in the top quartile for its one-year performance and performance since the start of the year. The Funds present a risk of loss of capital. Past performance is not necessarily a guide to future performance. The prospectus, KIID (Key Investor Information Document), rules/articles of association, annual and half-yearly reports for the funds are available on our website www.carmignac.com. (1) Reference to a ranking or award does not constitute a guarantee as to future rankings or awards for these funds or the asset management company. (2) Morningstar category: Europe Mid-Cap Equity. Share class: A EUR acc. Source: Carmignac, Morningstar, 30/9/2017. Morningstar Rating : 2017 Morningstar, Inc. All rights reserved. The information contained herein is proprietary to Morningstar and/or its content providers; may not be copied or distributed; and is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. CARMIGNAC THIRD QUARTER 2017 / 5
CARMIGNAC Over 25 years of independence and conviction Founded in January 1989 by Edouard Carmignac, Carmignac is now one of Europe s leading asset managers. Its capital is held entirely by its managers and staff. In this way, the company s long-term viability is ensured through a stable shareholding structure, reflecting its spirit of independence. This fundamental value ensures the freedom required for successful and renowned portfolio management. Carmignac offers a limited range of global, specialised and diversified funds, trying to meet its investors needs in the best way possible. As part of our international expansion, we are currently present in Luxembourg, Frankfurt, Milan, Zurich, Miami, Madrid and London. Our Funds are actively marketed in 14 countries: France, Luxembourg, Belgium, Netherlands, Spain, Italy, Switzerland, Germany, Austria, United Kingdom, Ireland, Sweden, Taiwan and Singapore, for professional clients only. Risk Managers The ability to manage risks has always been part of Carmignac s management style. In constantly changing market conditions, and to meet our clients needs in the best possible way, we are continually improving our risk analysis, monitoring and management processes. This allows each member of the management team and each Carmignac employee to use the most effective resources every day. This risk management culture is inherent to our approach and is therefore applied to all of our funds, while respecting the specific risk profiles of each one. EUR 60 billion of assets under management EUR 2.2 billion of equity capital 284 employees Source: Carmignac, 30/09/2017 6 / Management report CARMIGNAC THIRD QUARTER 2017
CONVICTION-BASED MANAGEMENT An international development strategy Strategic Development Committee Eric Helderlé Managing Director France Chairman Luxembourg Christophe Peronin Chief Operating Officer Deputy Managing Director France Davide Fregonese Global Head of Sales Managing Director Luxembourg Yon Elosegui Head of Strategic Marketing Managing Director Luxembourg Maxime Carmignac Managing Director London Pascale Guillier General Secretary Didier Saint-Georges Managing Director Member of the Investment Committee Frédéric Leroux Global Manager Head of Cross Asset Team Rose Ouahba Head of Fixed Income Team Sophie Derobert Head of Human Resources Ivan Monème Head of Communication Cyril de Girardier Chief Financial Officer Controlled expertise Active management seeking to anticipate rather than experience market trends. Careful risk management, reflected in a diversification of assets and fine-tuning of exposures. An opportunistic management strategy, reflecting our managers convictions rather than market indices. In-depth local knowledge, which lies at the heart of our strategy. It is based on extensive knowledge of local conditions and steady relations with the directors of the companies in which we invest. A completely international approach, mirroring our fund management team of international experts, so that investment opportunities can be seized on marketplaces all over the world. Transparency at a management and portfolio level. This ensures that our investment strategies are completely clear, gaining our customers trust. International development Ariane Tardieu Head of Country, France Marco Fiorini Head of Country, Switzerland Mischa Cornet Head of Country, Netherlands and Luxembourg Frank Ruettenauer Head of Retail Business Development Germany and Austria Giorgio Ventura Head of Country, Italy Ignacio Lana Head of Country, Spain Herwig Bogaerts Head of Country, Belgium Mikael Fellbom Head of Country, Nordic Countries David Tavares Head of US Offshore & LATAM Nikolay Troptchev Director, Business Development Asia CARMIGNAC THIRD QUARTER 2017 / 7
A TEAM OF EXPERTS Discussion, sharing and teamwork are essential pillars of quality fund management focused on generating performance. Carmignac has created an international management team uniting more than 10 different nationalities. Each member brings considerable experience acquired all over the world. Mutual development stems from the daily sharing of knowledge and skills. The level of experience and synergies within the team are strengths that allow us to successfully handle any market conditions. Conviction as a performance driver 8 / Management report CARMIGNAC THIRD QUARTER 2017
INTERNATIONAL FUND MANAGEMENT Expertise in all asset classes EDOUARD CARMIGNAC, CIO EQUITIES FIXED INCOME CROSS ASSET INVESTMENT SOLUTIONS PORTFOLIO ADVISORS David Older, Team Leader, 19 years experience Technology, Media & Telecommunications Huseyin Yasar, Fund Manager, 9 years experience Henrik Fridlund, Analyst, 5 years experience Pau Guzman Alcon, Analyst, 3 years experience European Equities Mark Denham, Team Leader, 23 years experience Malte Heininger, Fund Manager, 11 years experience Vincent Steenman, Fund Manager, 13 years experience Emerging Equities Xavier Hovasse, Team Leader, 18 years experience David Young Park, Fund Manager, 13 years experience Haiyan Li-Labbé, Analyst, 16 years experience Michel Wiskirski, Analyst, 9 years experience Commodities Michael Hulme, Team Leader, 20 years experience Simon Lovat, Analyst, 17 years experience Sector Analysts Antoine Colonna, Global Consumer, 25 years experience Nan Ou, Global Consumer, 4 years experience Matthew Williams, Finance, 23 years experience Vincent Steenman, Industry, 13 years experience Rose Ouahba, Team Leader, 22 years experience Charles Zerah, Fund Manager, 22 years experience Carlos Galvis, Fund Manager, 19 years experience Keith Ney, Fund Manager, 18 years experience Julien Chéron, Fund Manager, 17 years experience Joseph Mouawad, Emerging Markets Analyst, 12 years experience Mattia Parolari, Quantitative Analyst, 11 years experience James Blanning, Quantitative Analyst, 4 years experience Nader Awada, Multi-Strategy Analyst, 11 years experience Pierre Verlé, Head of Credit, 13 years experience Alexandre Deneuville, Credit Analyst, 10 years experience Florian Viros, Credit Analyst, 10 years experience Frédéric Leroux, Team Leader, 28 years experience Laurent Chebanier, Country Risk Analyst, 19 years experience Obe Ejikeme, Quantitative Equity Analyst, 14 years experience Ozgur Kalenci, Junior Portfolio Manager, 9 years experience Benoît Nansot, Team Leader, 17 years experience Pierre-Edouard Bonenfant, Fund Manager, 6 years experience Yassine Basraoui, Fund Manager, 10 years experience Mathieu Decrop, Fund Manager, 7 years experience Nicolas Pierre, Quantitative Analyst, 5 years experience François Escoffier, Fund Manager, 20 years experience Cyrille Corso, Fund Manager, 17 years experience François Poydenot de Pontonx, Investment Solutions Manager, 17 years experience Didier Saint-Georges, Team Leader, 30 years experience Sandra Crowl, 26 years experience Jean Médecin, 23 years experience Gergely Majoros, 15 years experience CARMIGNAC THIRD QUARTER 2017 / 9
CARMIGNAC RANGE OF FUNDS EQUITY MANAGEMENT Our equity fund management is based on a long-term investment approach. Macroeconomic analysis identifies current and future global economic growth drivers to help us decide on investment themes. The constant search for the best investment opportunities involves a selection of securities with strong growth potential. Net Assets as of 30/09/2017 Fund manager(s) Risk scale (1) Recommended minimum investment horizon Legal structure Investment universe Reference indicator (2) Carmignac Investissement 4 871 774 195.58 Edouard Carmignac 5 5 Years French Mutual Fund International equities MSCI AC World NR (Eur) Carmignac Portfolio Grande Europe 291 369 172.20 Mark Denham and Vincent Steenman 5 5 Years Sub-fund of Carmignac Portfolio, a Luxembourg SICAV EU members/candidates equities and additionally, Russian and Turkish equities Stoxx 600 NR (Eur) Carmignac Euro-Entrepreneurs 383 734 033.22 Mark Denham and Malte Heininger 5 5 Years French Mutual Fund EU small and mid-cap equities Stoxx 200 Small NR (Eur) Carmignac Emergents 1 323 597 559.40 Xavier Hovasse and David Young Park 5 5 Years French Mutual Fund Emerging markets equities MSCI Emerging Markets NR (Eur) Carmignac Portfolio Emerging Discovery 343 705 612.99 Xavier Hovasse and David Young Park 5 5 Years Sub-fund of Carmignac Portfolio, a Luxembourg SICAV Emerging markets small and mid capitalisations 50% MSCI EM SmallCap NR (Eur) + 50% MSCI EM MidCap NR (Eur) (3) Carmignac Portfolio Commodities 662 669 535.17 Michael Hulme 6 5 Years Sub-fund of Carmignac Portfolio, a Luxembourg SICAV International equities Commodities Carmignac Portfolio Commodities Index (3)(4) PROFILED MANAGEMENT Invested primarily in Carmignac funds, profiled funds benefit from the entire team s international expertise. A major advantage of this approach is that thanks to our in-depth understanding of each underlying fund, the level of equity risk exposure can be tactically adjusted in accordance with the fund manager s outlook and short-term market movements. Net Assets as of 30/09/2017 Fund manager(s) Risk scale (1) Recommended minimum investment horizon Legal structure Investment universe Reference indicator (2) Carmignac Profil Réactif 100 111 810 569.81 Frédéric Leroux and Pierre-Edouard Bonenfant 5 5 Years French Fund of Funds International equities and bonds (between 0% and 100% of assets exposed in equity UCI) MSCI AC World NR (Eur) Carmignac Profil Réactif 75 119 516 776.76 Frédéric Leroux and Pierre-Edouard Bonenfant 4 5 Years French Fund of Funds International equities and bonds (between 0% and 75% of assets exposed in equity UCI) 75% MSCI ACW NR (Eur) + 25% Citigroup WGBI (Eur) (3) Carmignac Profil Réactif 50 225 284 582.42 Frédéric Leroux and Pierre-Edouard Bonenfant 4 3 Years French Fund of Funds International equities and bonds (between 0% and 50% of assets exposed in equity UCI) 50% MSCI ACW NR (Eur) + 50% Citigroup WGBI (Eur) (3) 10 / Management report CARMIGNAC THIRD QUARTER 2017
DIVERSIFIED MANAGEMENT The management of our diversified funds combines our international equity and bond expertise. A perfect illustration of how effective flexible management can be, the three Patrimoine funds integrate long-term themes with the search for limited volatility. Net Assets as of 30/09/2017 Fund manager(s) Risk scale (1) Recommended minimum investment horizon Legal structure Investment universe Reference indicator (2) Carmignac Patrimoine 24 079 727 138.47 Edouard Carmignac and Rose Ouahba 4 3 Years French Mutual Fund International equities and bonds 50% MSCI ACW NR (Eur) + 50% Citigroup WGBI (Eur) (3) Carmignac Portfolio Emerging Patrimoine 872 260 634.38 Xavier Hovasse and Charles Zerah 5 5 Years Sub-fund of Carmignac Portfolio, a Luxembourg SICAV Emerging bonds and equities 50% MSCI EM NR (Eur) + 50% JP Morgan GBI EM (Eur) (3) Carmignac Euro-Patrimoine 309 205 979.30 Malte Heininger 4 3 Years French Mutual Fund EU equities 50% Euro Stoxx 50 NR (Eur) + 50% Eonia compounded (3) Carmignac Investissement Latitude 405 176 293.93 Frédéric Leroux 5 5 Years French Mutual Fund (5) Carmignac Investissement feeder Fund International equities with the option to participate in the futures markets to hedge up to 100% of the equity risk exposure of the master Fund MSCI AC World NR (Eur) FIXED INCOME MANAGEMENT Over the years, Carmignac has been able to hone its own style of bond expertise, which fits in perfectly with its investment philosophy. Conviction-based management supported by investment decisions made independently of reference indicators. Net Assets as of 30/09/2017 Fund manager(s) Risk scale (1) Carmignac Portfolio Unconstrained Global Bond 1 081 959 287.47 Charles Zerah 4 2 Years Recommended minimum investment horizon Legal structure Investment universe Reference indicator (2) Sub-fund of Carmignac Portfolio, a Luxembourg SICAV International bonds JP Morgan GBI Global (EUR) (Accrued interest) Carmignac Sécurité 15 433 510 129.57 Keith Ney 2 2 Years French Mutual Fund Bonds denominated in Euro Euro MTS 1-3 Y (Accrued interest) Carmignac Portfolio Capital Plus 1 695 412 310.61 Carlos Galvis and Julien Chéron 2 2 Years Sub-fund of Carmignac Portfolio, a Luxembourg SICAV Multi-strategy and multi-asset portfolio Eonia compounded Carmignac Court Terme 321 774 108.04 Rose Ouahba 1 1 Day French Mutual Fund Short-term money-market investments denominated in Euro Eonia compounded (1) Risk scale from 1 (lowest risk) to 7 (highest risk), category 1 does not mean the investment is risk free. The risk category of this fund is not guaranteed and may change over time. (2) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. (3) Rebalanced quarterly. (4) Index calculated and composed of 45% MSCI ACWF Oil and Gas NR (Eur), 5% MSCI ACWF Energy Equipment NR (Eur), 40% MSCI ACWF Metal and Mining NR (Eur), 5% MSCI ACWF Paper and Forest NR (Eur) and 5% MSCI ACWI Chemicals NR (Eur) as from 01/07/2013. (5) Alternative investment fund. CARMIGNAC THIRD QUARTER 2017 / 11
MACROECONOMIC ANALYSIS AND INVESTMENT STRATEGY Global economic growth has continued to gain traction, with Europe and the emerging world powering the process. Despite persistently weak inflation, central banks in the United States and Europe will soon initiate monetary policy normalisation, enabling them to manage down the amount of cash in the system. We are unquestionably in the midst of a global economic upswing, one bolstered not only by market expectations of monetary policy normalisation, but also by the fact that political uncertainty hasn t even mildly dented market performance or the resilience of the US economy. Economic analysis Elaborating on our analysis of the first quarter, we wrote three months ago: Virtually coordinated announcements of policy normalisation by central banks, combined with strong recent US leading indicators and a global economy growing moderately but in relative sync, tend to validate our non-consensus expectation for a return to cyclical trends, including an expansionary phase that will be vigorous enough to force central banks to step in and apply the brakes. We also identified the flagging business cycle in the United States as the best bulwark against a sharp contraction in global liquidity while adding that the days when the Fed deliberately pursued policies that lagged behind the cycle out of fear of 3 000 deflation and of stifling the recovery are over 2 500 and done with. In our view, that perception of the economic environment still holds true on all essential counts. Global economic growth has continued to gain traction, with Europe and the emerging world powering the process. Despite persistently weak inflation, central banks in the United States and Europe will soon initiate monetary policy normalisation, enabling them to manage down the amount of cash in the system. We feel that the Fed s growing perplexity over the absence of inflation bears out that view, but we are still keeping a watchful eye out for any pick-up in prices that the current business cycle might generate. We are unquestionably in the midst of a global economic upswing, one bolstered not only by market expectations of monetary policy normalisation, but also by the fact that political uncertainty hasn t even mildly dented market performance or the resilience of the US economy. Soaking up liquidity (normalising) is putting it mildly 2 000 1 500 1 000 500 0-500 -1 000 Year-on-year change in the main central banks balance sheets ($bn) Projections 06/08 06/09 06/10 06/11 06/12 06/13 06/14 06/15 06/16 06/17 06/18 06/19 Fed ECB BoJ BPoC Total G4 total 16 14 12 10 Source: Carmignac, 30/6/2017 8 6 4 Trillions of dollars 12 / Management report MACROECONOMIC ANALYSIS AND INVESTMENT STRATEGY
Sovereign bond yields show little change, while stock markets have been buoyed, as expected, by continuing signs of GDP growth and ongoing monetary policy easing. In the third quarter, our cyclical stocks (e.g., in the energy sector) partially made up for their weak performance early in the year and our stocks with good earnings visibility sustained their momentum, particularly those with continuing growth prospects like our tech stocks. Strengthened by a steadily improving global economic outlook, the euro tested a $1.21 exchange rate that is, 17% above the low it hit in January before retreating slightly. The next few weeks will be decisive for the global economy and markets. The Fed will start scaling back the reinvestment of coupons and maturing securities on its balance sheet, while the ECB will specify the pace at which it plans to trim its asset purchases. Over a 30-month period, the combined effect of those two shifts towards monetary policy normalisation could cut annual cash injections into the world economy from $2.5 trillion to zero. Over the past decade, the unorthodox policies implemented by central banks seemingly ploughed unlimited amounts of liquidity into the system, creating a serious and widespread cash addiction at a time when the ongoing deleveraging of the global economy has continued to hold down long-term economic growth and inflation. We are therefore inclined to doubt that the central banks will move as fast as they have promised. But even a partial return to normal monetary policies will affect the economy. The main arguments advanced for such a return are the threat of inflation in the United States which could be sparked by wage increases, given that the unemployment rate is barely over 4% and the sense that the world s regions are growing largely in sync, as evidenced by the vast majority of leading economic indicators. But does that apparent synchronisation, combined with a lull in the European crisis, really offer central banks the opportunity they ve been awaiting for so long? Or does the announced shift in monetary policy stem rather from a misperception, with the Fed overestimating the strength of GDP growth in the United States? Even though the Trump administration has yet to implement a single measure to boost growth, the US economy has continued to power ahead at an annual rate of roughly 2.5%. Consumer spending has been boosted by a declining savings rate, which currently stands at 3.6% of disposable income, by further growth in consumer credit, which has climbed to a record 27% of disposable income, and by the lagged effect of the disinflation seen since March. Capital investment too has increased by 3.6% yearon-year, but growth in new orders for durable goods a harbinger of capital spending weakened from an annualised rate of 10% to 5% over a six-month period. US export growth followed a similar course over the same time-span, falling to zero. In fact, that situation is shared today by a good many export economies around the world. However, there is substantial divergence on leading indicators for manufacturing activity, making it hard to analyse trends with any degree of certainty. The ISM Manufacturing Index recently hit a 20-year high of 60.8 in September, for example, whereas the US Markit Manufacturing PMI was flirting with its lows of recent years. Be that as it may, our take on the US economy is that consumer spending as a growth driver is largely spent and capital investment is gradually running out of steam. The only thing likely to keep GDP growth up in the 2.0% to 2.5% range (its average for the past decade) is the prospect of tax reform. The withdrawal of liquidity orchestrated by the Fed at a monthly clip of $10 billion initially and then $20 billion from next January onwards is bound to have a negative impact on growth. The resulting slowdown may be offset for a while by further expansion in Europe and the emerging world, but this is still no time for complacency. Global economic growth is increasingly dependent on how adroitly the Fed manages the shift. Europe today has the benefit of extremely clear economic skies ahead. The continent enjoys high and rising consumer and business confidence. The German locomotive continues to produce robust manufacturing data. And the election of a resolutely pro-business president has given the French economy new wings. According to the IMF s latest forecasts, Europe should grow by 2.1% this year and by 1.9% next year. France, Italy and Spain are the leading contributors to what is a broad-based upgrade. United States: consumer spending is partially spent, but disinflation will still help 26% 24% 22% 20% 18% 16% 14% 5% 4% 3% 2% 1% -1% Consumer credit as a % of disposable income 01/59 01/69 01/79 01/89 01/11 01/99 07/11 01/09 01/12 07/12 01/13 07/13 01/14 07/14 01/15 07/15 01/16 07/16 7% 6% 5% 4% 3% Real consumer spending vs inflation, y.o.y. change Savings as a % of disposable income 07/13 03/14 11/14 07/15 03/16 11/16 07/17 01/17 07/17 Real consumer spending Inflation Source: Carmignac, CEIC, 31/8/2017 CARMIGNAC THIRD QUARTER 2017 / 13
Eurozone: the world economy s strong link 50% 40% 30% 20% 10% 0% -10% -20% -30% -40% Eurozone: GDP and business sentiment, y.o.y. change Real GDP (right-hand scale) Business sentiment 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 With industrial production advancing at a 5.7% annual rate in August, Italy has corroborated even the most upbeat predictions. This expansionary phase in Europe s cycle could well hold up and even gain momentum if the Fed administers the right dose of monetary policy normalisation. The region s vibrant economy lends even more weight to expectations that the ECB will soon trim its asset purchase programme to 30 billion a month. When that happens, yields below 0.5% on German 10-year paper will be decried as an anomaly and rising bond yields across the currency bloc will become a tangible component of a normalisation process that might put a strain on GDP growth. Source: Carmignac, CEIC, 29/9/2017 the upswing in Europe, the ongoing strength of the US expansion and so far a policy mix in China that works to the advantage of emerging markets as a whole. In broader 5% terms, those markets are benefiting from 4% the inertia that characterises the current 3% growth cycle. This is strikingly true of 2% Brazil, the quintessential link at the far 1% end of the production chain. GDP shrank 0% by 3.6% in 2016 and is forecast to grow -1% 2% in 2018. In our previous report, we -2% voiced the expectation that the Chinese -3% Communist Party Congress in October -4% would ensure economic stability, and -5% it did. But the mild monetary tightening -6% engineered by the People s Bank of China to cut excess capacity has also hurt retail sales and industrial output in the country. In addition, as we mentioned above, world trade has lost a fair amount of momentum in recent months. Like the US, China (as well as Japan and Germany) has seen annualised growth in its exports revert to zero in the past six months, after rising substantially in the preceding quarters. If that trend were to become firmly entrenched, it would be very bad news for global growth, which is underpinned to a large extent by world trade. The outlook for global trade is therefore a key focus for us. The recent, impressive 35% rebound in South Korea s highly volatile export figures, a result well in advance of the current global cycle, is in that regard a heartening sign. But in any event, the ongoing improvement in emerging-world current account balances and a return in many cases to greater monetary The eurozone, then, is the engine driving the current expansionary phase. The same can hardly be said of the United Kingdom. The 17% slide in the pound against the euro since the Brexit vote, together with inflation that reached 2.9% in August, may be the start of a vicious circle. Such a circle would be intensified by a worsening capital account deficit that could lead to a currency crisis of the kind that emerging economies are all too familiar with. The ultimate specifics of Brexit will have a crucial impact on the British economy, so much so that the risk of a bleak political and economic climate can t be ruled out at this point. What can be, however, is the idea of serious economic spillover to the euro area. The emerging world continues to be buoyed by a weaker US dollar, low interest rates, Cyclical slowdown propagated by world trade 40% 0% -40% -80% 20% -20% -60% Japan: export growth, 6 months annualised United States: export growth, 6 months annualised 50% 10% -30% -70% 20% 07/05 07/07 07/09 07/11 07/13 01/05 07/15 01/07 07/17 01/09 01/11 07/05 01/13 01/15 01/17 07/05-30% -80% South Korea: export growth, 6 months annualised 07/07 07/09 07/11 07/13 07/15 07/17 Germany: export growth, 6 months annualised 07/07 07/09 07/11 07/13 07/15 07/17 Source: Carmignac, CEIC, 29/9/2017 14 / Management report MACROECONOMIC ANALYSIS AND INVESTMENT STRATEGY
policy freedom strongly increase the likelihood that, after six disappointing years, equities in those countries will go on outperforming as they have in 2017. Investment strategy Niko - Fotolia.com The question at this stage is whether upcoming action by the Fed and, to a lesser extent, the ECB will shrink global liquidity to the point of spoiling the party in equity markets. We doubt it will. Though the risk of monetary policy misfires can t be ruled out entirely, there are such powerful deflationary forces at work on both sides of the Atlantic that both central banks inflation targets have become unattainable. And that makes the prospects of substantial hikes in their key rates seem highly unlikely. Needless to say, we would be worried about the US economy overheating in response to large-scale fiscal stimulus if we actually believed the Trump administration stood a decent chance of carrying out its tax reform plan. We have therefore maintained high exposure to equities, striking a balance between stocks and sectors with good earnings visibility, which are less dependent on the business cycle (e.g., tech stocks), and more cyclical holdings like energy stocks, which also serve as an effective hedge against geopolitical risk in the Middle East and the risk of resurgent inflation. As regards the bonds in our portfolios, the start of monetary policy normalisation at a time of synchronised global growth, as we have described, can be expected to push up yields on benchmark sovereign bonds a good reason to keep our modified duration low. Only local-currency emerging market debt and bank shares still offer enough value in our view to warrant sizable positions or renewed exposure in our portfolios. In the forex market, the steady propagation of growth across the globe will continue to give non-us currencies an advantage over the dollar and to justify maintaining our extremely low exposure to the greenback. Source of data: Carmignac, CEIC, 30/9/2017 CARMIGNAC THIRD QUARTER 2017 / 15
Edouard Carmignac International equity fund which benefits from our macro-economic expertise, active management and unconstrained asset allocation in terms of sectors, geographical areas and market capitalisations. The Fund aims to outperform its reference indicator over 5 years minimum. At least 60% of net assets are permanently exposed to equity markets. The Fund s main performance drivers are therefore equities but also currencies and occasionally fixed income products. Carmignac Investissement gained +0.78% in the third quarter, while its reference indicator gained +1.48%, bringing the Fund s performance since the beginning of the year to +5.38%, compared with +4.61% for its reference indicator. Over the quarter, the underlying equity portfolio slightly underperformed its benchmark, due to relative weakness in its Energy and Healthcare positions. This weakness was partially offset by strength in our Information Technology (IT) and Consumer names. Geographically, Emerging Markets and the US saw strong gains, while Europe and Japan detracted. Overall performance was enhanced by currency positions that favoured Euro exposure versus the US Dollar and UK Sterling. We capitalised on this positioning over the first two months of the third quarter. However, September saw increased optimism on President Trump s tax reform policy proposals around tax reform, which, given our US Cyclicals underweight, led to relative performance headwinds. Nonetheless, we believe this optimism will likely fade as more is learned about the final US tax policy proposals and their path to Congressional approval. Our scarce growth theme remains US weighted and increased to 51% of assets, centred on the IT and Consumer sectors. Our cyclical reflation theme is weighted to European Financials and global Energy, and was reduced to 25% of assets. While the Fund experienced Energy losses in the third quarter, we continue to believe favourable demand and supply trends will lead to higher oil prices towards the end of 2017. We maintained our exposure to US shale oil producers, despite a disappointing rate of actual production growth over the second quarter, as we believe they can take market share within the current supplier backdrop. Moreover, we exited our cyclical positions in US Airlines and Japanese Banks. Performance of the fund since its launch 1800 1 492% 1600 1400 1200 1000 800 600 280% 400 200 0 01/89 12/92 12/96 12/00 12/04 12/08 12/12 12/16 09/17 Carmignac Investissement A EUR acc MSCI AC World NR (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). As we mentioned in our first quarter letter, we anticipated a rotation away from US equities towards Europe and Emerging Markets due to superior growth prospects in those regions, and we have retained this view in subsequent quarters. In the third quarter, this was reflected in our geographic weightings as we were 5% underweight the US versus our benchmark, 3% overweight Europe, and 6% overweight Emerging Markets. We also maintained our reduced exposure to the US Dollar versus the Euro. Our US exposure remains weighted towards disruptive companies in the IT sector and shale oil producers. In Europe, we continued to see improving macroeconomic and microeconomic data, although the benefits of French labour reform were somewhat offset by negative political developments in Germany and ongoing confusion about the shape of Brexit negotiations. We have retained our overweight exposure to the European Banking sector, which has high domestic exposure, and retain a higher than historical weighting to the European Consumer Discretionary sector. In the UK, we are only exposed to exporting companies, as we have a negative outlook on both the UK economy and currency. In Emerging Markets, we retain the view that firmer growth and normalising inflation combined with reduced Chinese risk over the medium term should bolster profit recoveries. We retain our constructive views on the Indian Banking sector, and continued to add Argentine Banking exposure. Both countries benefit from underpenetrated loan markets with strong secular growth, and have business-friendly governments. While monetary policies are still historically accommodative, recent central bank commentary has indicated a willingness to tighten monetary policy, even in the face of tepid economic data in the US. Given this uncertain backdrop, we believe that a balanced portfolio positions us best to try and benefit from both the cyclical recovery and our long term convictions. Our gold exposure, the use of options and the active management of equity and currency exposures should also continue to help us manage these risks. Therefore, on the currency front, the resilience of US economic activity could lead us to tactically reduce our significant underweight on the greenback (6.7% dollar and assimilated currencies). Our asset allocation at 30 September 2017 was as follows: The reflation theme was reduced from 42% to 25% of the Fund s assets. We maintain our constructive view on European Banks, US shale oil producers in the Permian Basin, US oil services businesses and global cement manufacturers. Our US Banks exposure is centred on Bank of America. Our thesis lays more on the anticipation of an improving regulatory environment and ramping capital returns than on a steeper yield curve or greater loan demand. We exited our US Airlines positions as we * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. 16 / Management report EQUITY MANAGEMENT
viewed increased supply growth and a more generous stance towards labour demands as negative developments. We also exited our Japanese Bank positions as prospects of rising rates have faded in the region. Our Emerging Market exposure was stable at 16% of the Fund. Core positions remain HDFC Bank and IndusInd Bank in India, Banco Macro and Banco de Galicia in Argentina, Latam e-commerce and payments powerhouse, MercadoLibre, and Chinese communications, gaming and payments platform Tencent. We added positions in Chinese online employment and listing platform 58.com, and video surveillance and robotics player Hikvision. We remain overweight Information Technology, with core positions including Facebook, ASML, ServiceNow, and Activision Blizzard. We took some profits in graphics processor play Nvdia and Samsung, and added a position in big data software analytics firm Splunk. Within US Healthcare, we exited Intercept Pharmaceuticals on a negative toxicity development for its key liver disease treatment, and added positions in Stryker and Intuitive Surgical, advanced technology companies in medical equipment. Among this quarter s sources of satisfaction, we note: Stocks Performance Banco Macro, banking, Argentina +33% ASML, semiconductor equipment, Netherlands +26% GrubHub, restaurant delivery, United States +21% Tencent, internet software and services, China +20% Potash Corp, producer of fertilizer, Canada +18% Source : Bloomberg EQUITY MANAGEMENT Geographic breakdown (derivatives excluded) (%) Sector breakdown (derivatives excluded) (%) North America Europe Asia Latin America Cash, cash equivalents and derivatives operations 11.3 7.8 9.1 24.2 47.6 Information Technology Financials Materials Energy Consumer Discretionary 12.2 10.3 9.0 17.9 26.6 Consumer Staples 5.7 Healthcare 5.5 Telecommunication Services 2.5 Net currency exposure of Euro share classes (%) Industrials Cash, cash equivalents and derivatives operations 1.3 9.1 USD 5.0 EUR GBP -4.0 28,1 94.8 Statistics (%) 1 year 3 years CHF 2.5 Fund volatility 10.57 11.53 AUD and CAD Latin America Emerging Asia -2.4 0.3 3.8 Benchmark volatility 10.35 11.62 Sharpe ratio 0.71 0.45 Beta 0.86 0.83 Alpha -0.06-0.23 Calculation period: weekly (1 year) and monthly (3 years). Quarterly gross performance contribution (%) Equity Portfolio Equity Derivatives Bond Derivatives Currency Derivatives Total 0.47 0.28-0.24 0.64 1.15 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 11.05 10.79 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Investissement A EUR acc 5.38 0.78 1.60 7.11 15.77 38.78 58.85 1492.25 MSCI AC World NR (Eur) 4.61 1.48-0.77 12.79 32.50 76.12 56.72 279.51 Category average* 8.6 1.56 1.61 13.09 33.2 73.31 56.69 502.72 Ranking (quartile) 3 3 2 4 4 4 3 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * Global Large-Cap Growth Equity. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Reference to certain securities and financial instruments is for illustrative purposes to highlight stocks that are or have been included in the portfolios of funds in the Carmignac range. This is not intended to promote direct investment in those instruments, nor does it constitute investment advice. The Management Company is not subject to prohibition on trading in these instruments prior to issuing any communication. The portfolios of Carmignac funds may change without previous notice. CARMIGNAC THIRD QUARTER 2017 / 17
EQUITY MANAGEMENT HOLDINGS CARMIGNAC INVESTISSEMENT AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 442 764 001.32 9.09 Cash (including collateral cash from derivative positions) 292 740 588.40 6.01 150 000 000 SPAIN 13/10/2017 Treasury bill in Euro 150 023 412.92 3.08 Equities Developed countries 3 499 025 279.03 71.82 North America 2 320 520 499.93 47.63 1 563 048 ACTIVISION BLIZZARD (USA) Information Technology 64.51 85 292 020.37 1.75 60 149 AMAZON.COM INC (USA) Consumer Discretionary 961.35 48 912 401.58 1.00 2 287 943 ANADARKO PETROLEUM (USA) Energy 48.85 94 540 700.01 1.94 4 292 617 BANK OF AMERICA (USA) Financials 25.34 92 010 586.01 1.89 1 966 601 CELGENE CORP (USA) Healthcare 145.82 242 572 963.81 4.98 705 463 CONCHO RESOURCES (USA) Energy 131.72 78 602 255.42 1.61 1 136 876 EOG RESOURCES (USA) Energy 96.74 93 031 115.07 1.91 1 305 485 FACEBOOK INC (USA) Information Technology 170.87 188 689 072.87 3.87 1 110 181 FRANCO-NEVADA CORP (Canada) Materials 96.66 72 580 382.46 1.49 7 534 685 GOLDCORP INC (Canada) Materials 12.96 82 599 828.79 1.70 2 404 265 GRUBHUB INC (USA) Information Technology 52.66 107 095 749.37 2.20 48 926 INTERCEPT PHARMACEUTICALS INC (USA) Healthcare 58.04 2 402 017.47 0.05 2 679 250 INTERCONTINENTAL EXCHANGE (USA) Financials 68.70 155 696 561.50 3.20 685 371 MASTERCARD INC (USA) Information Technology 141.20 81 859 571.31 1.68 3 827 183 NEWMONT MINING (USA) Materials 37.51 121 432 612.36 2.49 3 231 064 NOBLE ENERGY INC (USA) Energy 28.36 77 510 552.39 1.59 177 212 NVIDIA CORP (USA) Information Technology 178.77 26 797 656.27 0.55 846 327 PIONEER NAT. RESOURCES (USA) Energy 147.54 105 622 640.48 2.17 3 247 640 POTASH CORP (Canada) Materials 19.24 52 854 503.13 1.08 1 007 037 SERVICENOW (USA) Information Technology 117.53 100 115 935.21 2.06 786 052 SPLUNK INC (USA) Information Technology 66.43 44 169 712.71 0.91 1 539 655 T-MOBILE US INC (USA) Telecommunication Services 61.66 80 303 778.80 1.65 1 204 499 TRANSCANADA CORP (Canada) Energy 61.67 50 241 091.19 1.03 1 713 064 TRIPADVISOR INC (USA) Consumer Discretionary 40.53 58 729 896.73 1.21 893 247 VISA INC (USA) Information Technology 105.24 79 517 268.04 1.63 3 575 863 WHEATON PRECIOUS METALS CORP (Canada) Materials 19.09 57 742 534.82 1.19 1 360 014 ZAYO GROUP HOLDINGS INC (USA) Telecommunication Services 34.42 39 597 091.76 0.81 Europe 1 178 504 779.10 24.19 11 021 874 ALTICE SA (Netherlands) Consumer Discretionary 16.95 186 765 654.93 3.83 837 229 ASML HOLDINGS (Netherlands) Information Technology 144.05 120 602 837.45 2.48 722 729 ASOS PLC (United Kingdom) Consumer Discretionary 59.55 48 843 570.28 1.00 1 503 685 CRITEO SA-SPON ADR (France) Information Technology 41.50 52 785 423.36 1.08 44 638 DASSAULT AVIATION SA (France) Industrials 1 368.45 61 084 871.10 1.25 339 417 HERMES INTERNATIONAL (France) Consumer Discretionary 426.55 144 778 321.35 2.97 15 301 335 HSBC HOLDINGS (United Kingdom) Financials 7.37 127 998 797.36 2.63 1 269 697 INDITEX (Spain) Consumer Discretionary 31.89 40 484 288.85 0.83 2 019 444 LAFARGEHOLCIM LTD (Switzerland) Materials 56.60 99 926 153.25 2.05 1 229 025 LONDON STOCK EXCHANGE (United Kingdom) Financials 38.30 53 420 708.73 1.10 7 791 333 ORYX PETROLEUM (Netherlands) Energy 0.31 1 607 275.33 0.03 1 874 643 RECKITT BENCKISER (United Kingdom) Consumer Staples 68.13 144 946 294.72 2.98 653 202 RENAULT SA (France) Consumer Discretionary 83.11 54 287 618.22 1.11 531 061 TALEND SA (France) Information Technology 40.94 18 390 828.40 0.38 226 584 VIFOR PHARMA AG (Switzerland) Healthcare 114.00 22 582 135.77 0.46 Equities Emerging markets 929 968 477.60 19.09 Latin America 381 881 615.69 7.84 691 665 BANCO MACRO (Argentina) Financials 117.35 68 657 492.60 1.41 14 172 036 CEMEX (Mexico) Materials 9.08 108 849 675.93 2.23 209 237 GRUPO FINANCIERO GALICIA (Argentina) Financials 51.54 9 122 039.40 0.19 3 603 603 GRUPO PAO DE ACUCAR (Brazil) Consumer Staples 75.00 72 177 647.72 1.48 561 924 MERCADOLIBRE INC (Argentina) Information Technology 258.93 123 074 760.04 2.53 Asia 548 086 861.91 11.25 1 117 472 58.COM (China) Information Technology 63.14 59 682 948.81 1.23 8 460 919 AIA GROUP LTD (Hong Kong) Financials 57.60 52 778 805.52 1.08 947 955 BITAUTO HOLDINGS LTD-ADR (China) Information Technology 44.68 35 826 957.71 0.74 6 829 272 HANGZHOU HIKVISION DIGITAL-A (China) Information Technology 32.00 27 827 903.96 0.57 5 765 988 HDFC BANK (India) Financials 1 807.80 134 985 465.23 2.77 1 482 193 INDUSIND BANK (India) Financials 1 682.20 32 288 307.30 0.66 33 592 SAMSUNG ELECTRONICS (South Korea) Information Technology 2 564 000.00 63 609 897.78 1.31 2 199 523 TENCENT HOLDINGS (China) Information Technology 336.20 80 083 999.29 1.64 1 964 715 UNITED SPIRITS LTD (India) Consumer Staples 2 397.65 61 002 576.31 1.25 Portfolio value 4 428 993 756.63 90.91 Net assets 4 871 757 757.95 100.00 18 / Management report CARMIGNAC THIRD QUARTER 2017
Mark Denham Vincent Steenman Equity fund focused on stock-picking across European markets. The investment process is based on fundamental bottom-up analysis. Stock selection focuses on identifying and valuing the stocks of the companies with the best long-term growth prospects, as demonstrated by their high, sustainable profitability, ideally combined with internal or external reinvestment. Investments are then made in the names with the best asymmetric risk/return profiles. The fund aims to outperform its reference indicator over 5 years and to generate capital growth. During the third quarter of 2017, Carmignac Portfolio Grande Europe increased by +1.69%, providing a lower return than the reference indicator, which was up +2.71%. Since the beginning of the year, the Fund is up +10.55%, versus +9.95% for its indicator. After a strong first half, European markets paused to catch their breath over the summer drifting down during July and August before rebounding in September. European second-quarter corporate earnings reports were generally good, with many companies in our portfolio, for instance construction company Vinci and laundry outsourcing business Elis, commenting that they expect second-half earnings to improve further on the back of economic recovery in France and elsewhere. Nevertheless, the relative strength of the euro against the US dollar put downward pressure on the profit forecasts of market participants, as it reduces the euro value of profits earned outside the eurozone. This, combined with North Korea s aggressive rhetoric and missiles launches, resulted in an initial downtrend and added a bit of volatility to the markets. However, consistently strong macroeconomic indicators helped the market close the quarter higher. On the political front, incumbent chancellor Merkel has won the German elections but will probably struggle to form a coherent coalition, while the Brexit negotiations show no real progress and the range of outcomes is still quite wide. Performance disparities between various sectors were quite substantial. More cyclical sectors rebounded, but because our stock selection happens to have given us relatively low exposure to them, this rotation created a modest headwind for our Fund. Our sources of satisfaction included Delivery Hero, which surged by more than 30% since we first bought it. We started building our position since the IPO in late June, because we recognised the potential of the takeaway delivery market. Delivery Hero has a leading position in 36 of the 42 countries in which it operates, many of which are fast-growing emerging market economies where such services represent an underpenetrated sector. As a result, we expect them to post double-digit sales growth in the near future as the penetration rate for online takeaway increases. Earnings growth should be even higher as the company leverages its infrastructure. ASML posted a very strong 26% return in the quarter as customer interest and sales of their latest generation of lithography machines for the semiconductor industry, known as EUV (Extreme Ultraviolet), became more tangible. The technological advantage offered by their products is translating into significant cost savings for their semiconductor manufacturing clients. This, combined with ASML s significant market share in this segment, puts the company in a very strong position. We expect ASML to see an increase in orders from semiconductor manufacturers for factory equipment, driven by growth in demand related to accelerating trends and end markets such as electric and autonomous vehicles, Big Data, the Internet of Things and Artificial Intelligence. Most of our consumer goods stocks drifted downwards over the summer, reversing the positive returns of the previous quarter. For example, Reckitt Benckiser is still experiencing subdued growth in its end markets and was adversely affected by a cyber-attack that disrupted its supply chain and distribution to clients. We see this as a temporary setback and- as we have discussed before, we remain optimistic on their opportunity to improve performance thanks to the recently acquired baby milk company Mead Johnson. Ontex, which is a manufacturer of diapers, has enjoyed strong customer demand, especially in Latin America, where it has recently made two large acquisitions. However, profitability is being hindered by rising raw material costs, along with the need to rearrange manufacturing capacity to meet vigorous demand. In the healthcare sector, we saw particularly poor performance from UK pharmaceutical name Shire. This was due to the market discounting extremely adverse scenarios for the company s haemophilia franchise because of the entry of a competitive product from Roche, which showed very strong clinical trial data in one Performance of the fund since its launch 200 99% 180 160 140 38% 120 100 80 60 40 07/99 12/00 12/02 12/04 12/06 12/08 12/10 12/12 12/14 12/16 09/17 Carmignac Portfolio Grande Europe A EUR acc Stoxx 600 NR (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report EQUITY MANAGEMENT / 19
EQUITY MANAGEMENT part of the patient population. Given that haemophilia represents more than 20% of group sales at Shire, the threat is material. Nevertheless, we feel that investors currently overestimate the future loss of sales for Shire in this area and the stock now trades significantly below our assessment of the group s prospects. The portfolio s structure from a top-down point of view is broadly unchanged, reflecting our bottom-up stock-picking process focused on profitable companies with high returns on capital. We nonetheless carefully monitor our sector and macro risks. The portfolio is still currently overweight technology and has no direct oil exposure. We also decreased our exposure to financials during the quarter after the sector rallied strongly on the basis of rate-hike expectations. Lastly, our exposure to the UK domestic economy remains very limited. Some of the other strong performers in the quarter included: Stocks Performance Temenos, software, Switzerland +15% Sopra Steria, IT services, France +14% Teleperformance, business services, France +14% Elis, business services, France +13% Ferratum, financial services, Finland +13% Source : Bloomberg Geographical Exposure (%) Sector Exposure (%) France 22.9 Consumer Goods 20.9 United Kingdom 18.0 Technology 17.3 Germany 14.2 Industrials 16.4 Switzerland 8.4 Healthcare 13.8 Ireland 7.9 Financials 12.7 Spain 5.9 Consumer Services 6.4 Netherlands 4.9 Basic Materials 2.9 Belgium 4.0 Telecommunication 1.1 Italy 2.5 Cash, cash equivalents and derivatives operations 0,0 8.7 Finland 1.3 Denmark 1.2 Cash, cash equivalents and derivatives operations 8.7 Quarterly gross performance contribution (%) Equity Portfolio Equity Derivatives Currency Derivatives Total Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 9.17 13.35 1.23 0.37 0.32 1.92 Net currency exposure of Euro share classes (%) Statistics (%) 1 year 3 years Fund volatility 8.07 11.71 USD -0.4 Benchmark volatility 9.75 13.15 EUR 78.0 Sharpe ratio 1.89 0.46 GBP 11.1 Beta 0.76 0.78 CHF 9.0 Alpha 0.04-0.02 Other 2.3 Calculation period: weekly (1 year) and monthly (3 years). Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Portfolio Grande Europe A EUR acc 10.55 1.69 4.71 14.85 16.37 41.22 19.86 98.64 Stoxx 600 NR (Eur) 9.95 2.71 3.58 16.28 22.80 65.36 17.49 38.25 Category average* 12.51 3.05 5.8 16.96 33.47 74.59 44.62 197.16 Ranking (quartile) 3 3 3 3 4 4 4 3 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * Europe Large-Cap Blend Equity. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Reference to certain securities and financial instruments is for illustrative purposes to highlight stocks that are or have been included in the portfolios of funds in the Carmignac range. This is not intended to promote direct investment in those instruments, nor does it constitute investment advice. The Management Company is not subject to prohibition on trading in these instruments prior to issuing any communication. The portfolios of Carmignac funds may change without previous notice. 20 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC PORTFOLIO GRANDE EUROPE AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 25 257 062.87 8.67 Cash (including collateral cash from derivative positions) 25 257 062.87 8.67 Equities European Union 241 505 879.14 82.89 Germany 41 491 143.35 14.24 72 970 BAYER AG Basic Materials 115.30 8 413 441.00 2.89 40 757 BEIERSDORF Consumer Goods 91.03 3 710 109.71 1.27 207 900 DELIVERY HERO AG Consumer Services 33.50 6 964 650.00 2.39 110 189 FRESENIUS MEDICAL CARE Healthcare 68.25 7 520 399.25 2.58 72 954 MORPHOSYS Healthcare 71.37 5 206 726.98 1.79 104 389 SAP AG Technology 92.69 9 675 816.41 3.32 Belgium 11 764 734.32 4.04 41 689 GALAPAGOS GENOMICS Healthcare 86.19 3 593 174.91 1.23 283 587 ONTEX GROUP NV Consumer Goods 28.82 8 171 559.41 2.80 Denmark 3 382 810.04 1.16 40 505 PANDORA A/S Consumer Goods 621.50 3 382 810.04 1.16 Spain 17 272 237.11 5.93 785 504 APPLUS SERVICES SA Industrials 10.60 8 326 342.40 2.86 1 117 678 BANKINTER Financials 8.00 8 945 894.71 3.07 Finland 3 812 624.00 1.31 142 528 FERRATUM OYJ Financials 26.75 3 812 624.00 1.31 France 66 868 184.02 22.95 337 583 COFACE SA Financials 9.09 3 068 629.47 1.05 87 010 CRITEO SA-SPON ADR Technology 41.50 3 054 402.81 1.05 432 339 ELIS SA Industrials 22.66 9 794 640.05 3.36 54 146 ILIAD Technology 224.85 12 174 728.10 4.18 40 274 MAISONS DU MONDE SA Consumer Goods 37.20 1 497 991.43 0.51 71 088 S.O.I.T.E.C. Technology 55.49 3 944 673.12 1.35 42 918 SOPRA STERIA GROUP Technology 157.05 6 740 271.90 2.31 187 948 SPIE SA Industrials 23.28 4 375 429.44 1.50 79 519 TELEPERFORMANCE Industrials 126.30 10 043 249.70 3.45 151 420 VINCI SA Industrials 80.40 12 174 168.00 4.18 Ireland 22 880 250.44 7.85 1 235 434 ALLIED IRISH BANKS PLC Financials 5.09 6 282 181.89 2.16 102 631 KERRY GROUP PLC Consumer Goods 81.29 8 342 873.99 2.86 505 833 RYANAIR HOLDINGS PLC Consumer Services 16.32 8 255 194.56 2.83 Italy 7 310 985.50 2.51 1 124 767 PIRELLI & C SPA Consumer Goods 6.50 7 310 985.50 2.51 Netherlands 14 217 907.61 4.88 187 798 ALTICE SA Telecommunication 16.95 3 182 237.11 1.09 76 610 ASML HOLDINGS Technology 144.05 11 035 670.50 3.79 United Kingdom 52 505 002.75 18.02 2 568 694 CONVATEC GROUP PLC Healthcare 2.74 7 984 625.63 2.74 1 138 980 IBSTOCK PLC Industrials 2.28 2 943 264.44 1.01 432 633 INFORMA PLC Consumer Services 6.72 3 299 431.15 1.13 733 124 PRUDENTIAL PLC Financials 17.87 14 863 825.98 5.10 140 971 RECKITT BENCKISER Consumer Goods 68.13 10 899 794.85 3.74 99 217 SHIRE PLC Healthcare 37.88 4 265 266.94 1.46 164 844 UNILEVER Consumer Goods 50.04 8 248 793.76 2.83 Equities ex European Union 24 606 230.19 8.45 Switzerland 24 606 230.19 8.45 130 992 NESTLE SA Consumer Goods 81.10 9 287 451.33 3.19 42 269 TEMENOS GROUP AG Technology 98.80 3 650 983.26 1.25 117 072 VIFOR PHARMA AG Healthcare 114.00 11 667 795.60 4.00 Portfolio value 266 112 109.33 91.33 Net assets 291 369 172.20 100.00 EQUITY MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 21
Mark Denham Malte Heininger European small and mid-cap equity fund focused on stock-picking across European markets. Through applying a disciplined, bottom-up investment process, we aim to seize the best investment opportunities within this broad and under-researched universe. Stock selection focuses on the names with the best asymmetric risk/ return profiles. The fund aims to outperform its reference indicator over 5 years and to generate capital growth. During the third quarter of 2017, Carmignac Euro-Entrepreneurs increased by +4.83%, providing a higher return than the reference indicator s +4.46%. Since the beginning of the year, the Fund is up +20.12%, versus +15.51% for its indicator. The positive momentum in European small caps continued into the third quarter of the year, despite a stronger euro resulting in downgrades to international earnings and some volatility around geopolitical events like the North Korean missile tests. Those factors temporarily restrained share prices, but September saw a vigorous rally. The continued strong market performance of small caps makes sense to us, and we see it as a long-term trend. Not only are many smaller companies in Europe well-positioned to benefit directly from the ongoing economic improvement on the continent; there are also several favourable secular trends, such as a steady increase in the breadth and diversity of the market, including the presence of more successful and innovative companies in the internet, technology and biotech sectors. The quarter saw strong performance from many of our holdings. Hapag Lloyd, a new name we added in the second quarter, gained more than 40% and was therefore a very large contributor to our results. The company is a beneficiary of both the improved supply and demand balance in container shipping and consolidation in the industry. During the quarter, the implications for Hapag s profitability of its acquisition of shipping company UASC became apparent to the market, as analysts incorporated the deal into their forecasts. Furthermore, the deal itself was very well-timed, as shipping rates have been rising on Middle Eastern and Far Eastern routes Performance of the fund since conversion** 500 383% 450 400 281% 350 300 250 200 150 100 50 12/02 12/04 12/06 12/08 12/10 12/12 12/14 12/16 09/17 Carmignac Euro-Entrepreneurs A EUR acc Stoxx 200 Small NR (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. P ast performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). **The Fund was transformed on 01/01/2003: new reference indicator and new investment strategy. where UASC has a major presence. Ferratum and Fagron, in which we have large, long-standing positions, were also strong performers. Ferratum gained 13%, continuing on the trajectory of previous quarters after secondquarter results confirmed the ability of the company s disruptive financial service business model to deliver medium-term sales and profit growth of above 30%. Fagron shares were up 14% in the quarter after solid results demonstrated strong uptake at their new sterile compounding facility in Wichita, United States. While the overall picture was positive for the Fund, there were some detractors. Do & Co, the airline catering company, was the most significant example, with its stock falling 32%. During the quarterly results call, management suggested that the long-term catering contract with Turkish Airlines might not be renewed. This possibility had not previously been considered and, as the contract accounts for over 30% of the company s sales and substantially more of its profits, the market promptly priced in that risk which subsequently crystallised when an alternative supplier won the contract. Despite this significant setback, we expect Do & Co s highly respected management team to win contracts outside Turkey and continue to seek growth opportunities elsewhere. For the time being, however, none of that is reflected in the company s stock price. We exited our position in the trust and corporate services provider Intertrust after very disappointing Q2 results. Organic growth was well below our expectations due to a number of problems, including very high staff turnover and weaker underlying demand in the Netherlands, their largest jurisdiction. Furthermore, the company has spoken of unquantified IT cost increases in future quarters. Despite a substantial 23% fall in the stock price, we sold our holding because we had no visibility as to the future trajectory of sales or profits. We also pulled out of Parques Reunidos, the Spanish amusement park operator, as we became increasingly concerned over the company s dependence on weather conditions to maintain sales and profits. That proved timely and felicitous, given that the company issued a weather-related profit warning shortly after our withdrawal. Other changes to the Fund included an addition to our holdings in the biotech sector through Galapagos, a Belgian company with a proven development platform that has resulted in several promising products in the clinical pipeline. The lead compound filgotinib is a treatment in the huge field of rheumatoid arthritis that is partially validated by a partnership with US giant Gilead. The company has four other projects in development for a range of diseases including cystic fibrosis and osteoarthritis. There will be plenty of news flow on all projects over the coming months and years, providing ample opportunity for revising the company s prospects upwards. * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. 22 / Management report EQUITY MANAGEMENT
Some of the other best performances in the quarter came from: Stocks Performance Delivery Hero, restaurant delivery, Germany +31% RIB Software, software, Germany +22% ASR Nederland, insurance, Netherlands +15% Tessenderlo, chemicals, Belgium +9% Alfa Financial, software, United Kingdom +9% Source : Bloomberg Quarterly gross performance contribution (%) Equity Portfolio Equity Derivatives Currency Derivatives Total 5.54-0.16 0.09 5.47 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 10.55 12.10 EQUITY MANAGEMENT Geographical Exposure (%) Sector Exposure (%) Germany 18.9 Financials 19.0 Belgium 14.5 Technology 16.5 Netherlands 12.0 Industrials 14.3 United Kingdom 11.8 Consumer Services 13.2 France 9.3 Healthcare 12.7 Switzerland 6.4 Basic Materials 10.2 Finland 6.0 Consumer Goods 4.4 Ireland 4.3 Telecommunication 0.8 Spain 3.7 Cash, cash equivalents and derivatives operations 0,0 8.8 Austria 2.8 USA 1.5 Cash, cash equivalents and derivatives operations 8.8 Net currency exposure of Euro share classes (%) Statistics (%) 1 year 3 years Fund volatility 10.77 13.39 USD -0.3 Benchmark volatility 8.74 13.55 EUR 82.4 Sharpe ratio 2.21 0.92 GBP CHF 6.3 11.5 Beta 1.07 0.79 Alpha 0.02 0.24 Calculation period: weekly (1 year) and monthly (3 years). Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since conversion on 01/01/2003** Carmignac Euro-Entrepreneurs A EUR acc 20.12 4.83 10.61 23.41 40.81 88.63 73.07 382.84 Stoxx 200 Small NR (Eur) 15.51 4.46 7.00 20.54 38.85 88.16 47.87 280.53 Category average* 16.61 4.45 8.53 18.88 44 88.87 65.39 399.77 Ranking (quartile) 1 2 1 1 3 3 2 4 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * Europe Mid-Cap Equity. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). **The Fund was transformed on 01/01/2003: new reference indicator and new investment strategy. Reference to certain securities and financial instruments is for illustrative purposes to highlight stocks that are or have been included in the portfolios of funds in the Carmignac range. This is not intended to promote direct investment in those instruments, nor does it constitute investment advice. The Management Company is not subject to prohibition on trading in these instruments prior to issuing any communication. The portfolios of Carmignac funds may change without previous notice. CARMIGNAC THIRD QUARTER 2017 / 23
EQUITY MANAGEMENT HOLDINGS CARMIGNAC EURO-ENTREPRENEURS AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 33 926 053.35 8.84 Cash (including collateral cash from derivative positions) 25 852 452.09 6.74 Carmignac Court Terme Mutual Fund - Money Market 8 073 601.26 2.10 Equities European Union 319 536 717.51 83.27 Germany 72 570 895.17 18.91 25 844 AUMANN AG Industrials 85.40 2 207 077.60 0.58 109 509 BILFINGER BERGER AG Industrials 35.43 3 879 903.87 1.01 78 380 COMPUGROUP MEDICAL Technology 47.92 3 755 969.60 0.98 188 767 DELIVERY HERO AG Consumer Services 33.50 6 323 694.50 1.65 432 441 DEUTSCHE KONSUM REIT AG Financials 10.06 4 350 356.46 1.13 159 845 HAPAG-LLOYD AG Industrials 35.75 5 714 458.75 1.49 123 500 LANXESS AG Basic Materials 66.76 8 244 860.00 2.15 98 332 MORPHOSYS Healthcare 71.37 7 017 954.84 1.83 38 883 PANTAFLIX AG Consumer Services 155.00 6 026 865.00 1.57 19 849 PUMA Consumer Goods 329.30 6 536 275.70 1.70 652 368 RIB SOFTWARE SE Technology 17.95 11 710 005.60 3.05 799 656 TOM TAILOR HOLDING SE Consumer Services 8.51 6 803 473.25 1.77 Austria 10 803 398.04 2.82 260 574 DO & CO AG Consumer Services 41.46 10 803 398.04 2.82 Belgium 55 559 398.01 14.48 147 791 ABLYNX SA Healthcare 12.32 1 820 785.12 0.47 1 687 421 FAGRON NV Healthcare 12.32 20 789 026.72 5.42 45 006 GALAPAGOS GENOMICS Healthcare 86.19 3 879 067.14 1.01 365 386 ONTEX GROUP NV Consumer Goods 28.82 10 528 597.59 2.74 450 484 TESSENDERLO CHEMIE Basic Materials 41.16 18 541 921.44 4.83 Spain 14 021 280.42 3.65 709 153 APPLUS SERVICES SA Industrials 10.60 7 517 021.80 1.96 128 600 NEINOR HOMES SA Financials 18.10 2 327 660.00 0.61 887 128 TALGO SA Industrials 4.71 4 176 598.62 1.09 Finland 22 860 362.75 5.96 854 593 FERRATUM OYJ Financials 26.75 22 860 362.75 5.96 France 35 865 540.52 9.35 551 264 ALTRAN TECHNOLOGIES SA Technology 15.56 8 577 667.84 2.24 83 364 SOPRA STERIA GROUP Technology 157.05 13 092 316.20 3.41 193 766 SPIE SA Industrials 23.28 4 510 872.48 1.18 76 680 TELEPERFORMANCE Industrials 126.30 9 684 684.00 2.52 Ireland 16 641 635.52 4.34 2 474 059 ALLIED IRISH BANKS PLC Financials 5.09 12 580 590.02 3.28 153 247 SMURFIT KAPPA GROUP PLC Industrials 26.50 4 061 045.50 1.06 Netherlands 46 048 977.61 12.00 180 344 ALTICE SA Telecommunication 16.95 3 055 929.08 0.80 451 775 ASR NEDERLAND Financials 33.85 15 290 324.88 3.98 238 369 IMCD GROUP NV Basic Materials 51.88 12 366 583.72 3.22 230 513 KONINKLIJKE VOLKERWESSELS Industrials 26.05 6 004 863.65 1.56 342 495 VAN LANSCHOT KEMPEN NV Financials 27.25 9 331 276.28 2.43 United Kingdom 45 165 229.47 11.77 2 250 747 ALFA FINANCIAL SOFTWARE HOLD Technology 5.07 12 937 676.40 3.37 2 020 802 CONVATEC GROUP PLC Healthcare 2.74 6 281 537.40 1.64 1 432 063 INFORMA PLC Consumer Services 6.72 10 921 481.43 2.85 978 862 JRP GROUP PLC Financials 1.47 1 631 899.54 0.43 331 937 MICRO FOCUS INTER. Technology 23.87 8 992 040.16 2.34 4 877 464 NON-STANDARD FINANCE PLC Financials 0.80 4 400 594.54 1.15 Equities ex European Union 30 271 262.36 7.89 USA 5 745 739.64 1.50 128 990 GRUBHUB INC Consumer Services 52.66 5 745 739.64 1.50 Switzerland 24 525 522.72 6.39 100 408 GALENICA AG Consumer Services 45.90 4 029 135.99 1.05 4 419 549 MEYER BURGER TECHNOLOGY Industrials 1.35 5 216 060.81 1.36 15 712 PANALPINA WELTTRANSPORT Industrials 141.90 1 949 147.88 0.51 50 460 TEMENOS GROUP AG Technology 98.80 4 358 480.57 1.14 90 030 VIFOR PHARMA AG Healthcare 114.00 8 972 697.47 2.34 Portfolio value 349 807 979.87 91.16 Net assets 383 734 033.22 100.00 24 / Management report CARMIGNAC THIRD QUARTER 2017
Xavier Hovasse David Young Park Emerging market equity fund combining a fundamental top-down approach with a disciplined bottom-up analysis in order to identify the best opportunities within its investment universe by seeking companies offering longterm growth potential and attractive cash generation, in underpenetrated sectors and in countries with healthy fundamentals. The Fund aims to outperform its reference indicator over 5 years with lower volatility. Carmignac Emergents was up 4.26% in the third quarter of 2016, compared with a 4.09% increase in its reference indicator. That takes its performance since the start of the year to 15.24%, versus a 14.01% gain in its reference indicator. Emerging-market equities continued on a roll in an exceptionally favourable environment, with economic indicators equalling or even surpassing their Q2 levels in the third quarter. The two drivers of growth in those economies foreign demand and domestic demand show no sign of letting up. Manufacturing indicators, as evidenced by both tangible factors like industrial output and less tangible ones like purchasing managers indices, climbed further to reach record levels. Last month, for example, the EM manufacturing PMI recorded its highest reading since 2012. This indisputable industrial upswing is both a reflection of and a contributor to the export boom under way. Both in volume and in value, emerging-world exports have powered ahead at an exceptional pace, resulting in increasingly healthy current account balances from one quarter to the next. Furthermore, there is no lack of domestic momentum in developing economies, either. Retail and motor-car sales, two key gauges of consumer demand, have been trending upwards as well. Yet even under such upbeat conditions, emerging-market inflation has remained weak, as has developed-country inflation. Moreover, with disinflation still the dominant overall trend, a number of EM central banks have the leeway to continue with monetary policy easing while maintaining a substantial safety cushion as demonstrated by the 2.3% average in real emerging-world interest rates. At the same time, we are seeing the first signs of a recovery in private-sector lending after several sluggish years. Two high-rev engines of growth are thus powering the emerging market space today. China, a major allocation with 19% of the Fund s assets, boasts unquestionably robust business cycle indicators. Just a few days ahead of the much-awaited Chinese Communist Party Congress (an event held once every five years), the latest macroeconomic data were like a dream come true for President Xi Jinping. Last month s PMI surveys in the country surged to an average of 52.4, a height seldom reached before. And as the regime s paramount leader further consolidated his power in the run-up to the Congress, there is no reason to expect any major changes to current policy. In addition, a weak US dollar has obviously been a boon to emergingmarket assets as a whole, but perhaps nowhere more so than in China, giving much-needed relief to the central bank and the government with regard to exchange rates and capital flight. Capital outflows have been staunched for the time being and forex reserves have begun heading back upwards (adding $52 billion in the third quarter). And with inflation still negligible in September the CPI inched up by just 1.6% on an annualised basis monetary policy has remained loose. In response, we have stepped up our presence in China with a new investment in Bitauto, a leading web portal serving the automotive industry and an online financial services platform for car-buyers. The first component of its business model generates revenues from advertising and flat-rate intermediation fees. And as it requires little in the way of capex, it fits admirably with our investment philosophy at Carmignac Emergents. In India, the banknote shortage inflicted by Narendra Modi s administration towards the end of last year is just a distant memory at this point. Like the other major emerging economies, India is blessed with moderate inflation, showing a 3.2% annualised increase in the CPI. The lack of upward pressure on consumer prices was apparently enough to convince the country s otherwise fervently orthodox central bank to ease monetary policy mildly, lowering its key interest rate by 25 basis points to roughly 5.75%. Both exports and manufacturing indices likewise bear witness to a fairly sound economy. This led us to buy a stake in Ambuja Cement, one of India s leading cement companies. With a 10% market share, Ambuja has the enviable status of an up-and-coming competitor in what is clearly an underpenetrated market with excellent growth prospects. Demand is still inordinately low in India, with annual per capita cement consumption of just 190 kg, whereas other emerging economies show much greater appetite, e.g., 1,690 kg in China and 620 kg in Malaysia (source: CLSA). Ambuja should be among the prime beneficiaries of the infrastructure and above all the social housing programmes the government has singled out for priority treatment. We also boosted our exposure to Asia with a new investment in South Korea s Hyundai Motor Company, a firm with a sterling reputation in the emerging world most notably in China and India, where Hyundai is poised to reap the benefits of steadily rising car ownership rates. Furthermore, the carmaker has recently carried out a strategic overhaul of its corporate governance that should lead swiftly to higher shareholder returns. In Latin America, we substantially stepped up our exposure to Argentina to reflect our enthusiasm about the country. Argentina s current trajectory is one of the most promising in the emerging world for the coming decade. A resolutely reform-minded administration has been moving in tandem with a hawkish central bank in the right Performance of the fund since its launch 700 600 500 400 300 138% 200 100 0 02/97 01/00 01/03 01/06 01/09 01/12 01/15 09/17 Carmignac Emergents A EUR acc MSCI Emerging Markets NR (Eur) 504% From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report EQUITY MANAGEMENT / 25
EQUITY MANAGEMENT direction, and the payoff is already tangible. The country s economic indicators of the past few months attest to the momentum under way. Inflation, while high, should gradually slow further, thanks among other things to adequate control over growth in the money supply. And though Argentina s balance of payments is still weighed down by a current account deficit, direct foreign investment and substantial portfolio flows have put it on extremely sound foundations. The government is now taking a close look at the external and internal imbalances inherited from the past, and can therefore be expected to manage them down. To take advantage of the impressive economic revival under way, we raised our exposure to the country s banking sector by acquiring a stake in Grupo Supervielle. Argentina s unusually low banking penetration rate unarguably opens up real opportunities. Argentine households and businesses still avoid borrowing money when they can, with the result that private-sector bank lending is equal to only around 15% of GDP. The outstanding performance posted once again by emerging-market equities this past quarter should come as no surprise. To be sure, a weaker US dollar is part of the explanation, but the inherent strengths of emerging economies should not be overlooked. The healthier balance sheets and balances of payments in that part of the world have once again paid off for emerging-market assets. As long as no clearcut headwinds rise, that asset class can look forward to further gains. Source of data: Carmignac, CEIC, JP Morgan Research, Barclays, Credit Suisse, Company data, 29/09/2017. Here are some of our best-performing stocks in the third quarter: Stocks Performance 58.com, internet software and services, China +43% Baidu, internet software and services, China +38% Banco Macro, diversified banking, Argentina +27% Dali Foods, processed foods, China +25% Samsung SDI, electronic components, South Korea +16% Source : Bloomberg Geographic breakdown (derivatives excluded) (%) Sector breakdown (derivatives excluded) (%) Asia Latin America Middle East Africa Europe Asia-Pacific North America Eastern Europe Cash, cash equivalents and derivatives operations 5.3 5.2 4.0 2.3 2.0 1.5 6.8 22.3 50.5 Information Technology Financials Consumer Discretionary Materials Consumer Staples Industrials Utilities Real Estate Telecommunication Services Healthcare Cash, cash equivalents and derivatives operations 6.1 5.0 4.0 3.4 3.2 2.8 0.5 6.8 21.4 18.7 28.0 Statistics (%) 1 year 3 years Fund volatility 12.60 12.79 Benchmark volatility 12.83 13.81 Sharpe ratio 0.91 0.51 Beta 0.91 0.82 Alpha -0.06 0.04 Calculation period: weekly (1 year) and monthly (3 years). Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 12.72 12.50 Net currency exposure of Euro share classes (%) USD 38.5 Quarterly gross performance contribution (%) Equity Portfolio Equity Derivatives Currency Derivatives Total EUR Latin America Emerging Asia 6.0 11.3 34.0 4.68 0.37-0.34 4.71 Eastern Europe, Middle East and Africa 2,9 10.2 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Emergents A EUR acc 15.24 4.26 4.40 11.12 20.24 24.11 18.64 504.45 MSCI Emerging Markets NR (Eur) 14.01 4.09 3.73 16.41 23.35 31.89 21.32 138.04 Category average* 13.22 3.61 2.89 14.47 20.89 30.12 21.11 236.47 Ranking (quartile) 2 2 2 3 3 3 3 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * Global Emerging Markets Equity. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Reference to certain securities and financial instruments is for illustrative purposes to highlight stocks that are or have been included in the portfolios of funds in the Carmignac range. This is not intended to promote direct investment in those instruments, nor does it constitute investment advice. The Management Company is not subject to prohibition on trading in these instruments prior to issuing any communication. The portfolios of Carmignac funds may change without previous notice. 26 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC EMERGENTS AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 89 805 302.97 6.78 Cash (including collateral cash from derivative positions) 89 805 302.97 6.78 Equities 1 233 792 256.43 93.22 North America 26 820 692.67 2.03 494 193 LAS VEGAS SANDS (USA) Consumer Discretionary 64.16 26 820 692.67 2.03 Asia-Pacific 30 905 344.28 2.33 1 009 290 LINE CORP (Japan) Information Technology 36.20 30 905 344.28 2.33 Europe 23 020 285.08 1.74 632 851 JERONIMO MARTINS (Portugal) Consumer Staples 16.69 10 562 283.19 0.80 619 859 LILAC GROUP (United Kingdom) Consumer Discretionary 23.76 12 458 001.89 0.94 Latin America 324 467 249.45 24.53 217 544 BANCO MACRO (Argentina) Financials 117.35 21 594 305.87 1.63 3 447 267 BANCO SANTANDER MEXICO (Mexico) Financials 10.09 29 422 199.31 2.22 4 325 663 BB SEGURIDADE PARTICIPACOES (Brazil) Financials 28.63 33 118 167.56 2.50 5 111 038 CEMEX (Mexico) Materials 9.08 39 255 815.46 2.97 1 149 068 CIA DE ENER. ELEC. PAULISTA (Brazil) Utilities 68.32 20 993 548.72 1.59 6 188 446 GRUPO BANORTE (Mexico) Financials 125.58 36 200 413.58 2.74 8 340 137 GRUPO MEXICO SA DE CV (Mexico) Materials 55.69 21 635 246.64 1.63 1 911 193 GRUPO SUPERVIELLE SA CL-B (Argentina) Financials 24.69 39 914 866.49 3.02 223 406 MERCADOLIBRE INC (Argentina) Information Technology 258.93 48 931 243.09 3.70 8 689 891 MEXICO REAL ESTATE MGMT (Mexico) Real Estate 24.09 9 751 301.33 0.74 3 974 765 TRANSMISSORA ALIANCA (Brazil) Utilities 22.25 23 650 141.40 1.79 Asia 668 891 480.40 50.54 688 453 58.COM (China) Information Technology 63.14 36 769 516.51 2.78 5 877 620 AIA GROUP LTD (Hong Kong) Financials 57.60 36 664 310.68 2.77 5 633 606 AMBUJA CEMENTS (India) Materials 266.45 19 438 604.62 1.47 56 537 999 ASTRA INTERNATIONAL (Indonesia) Consumer Discretionary 7 900.00 28 050 538.36 2.12 67 852 BAIDU INC (China) Information Technology 247.69 14 216 090.24 1.07 7 206 979 BHARTI INFRATEL LTD (India) Telecommunication Services 398.40 37 182 221.49 2.81 832 075 BITAUTO HOLDINGS LTD-ADR (China) Information Technology 44.68 31 447 395.53 2.38 53 074 681 DALI FOODS GROUP CO LTD (China) Consumer Staples 5.60 32 188 071.39 2.43 5 415 176 FUYAO GROUP GLASS INDUSTRY-A (China) Consumer Discretionary 25.49 17 576 747.71 1.33 1 035 637 HDFC BANK (India) Financials 1 807.80 24 244 924.24 1.83 354 595 HERO MOTOCORP LTD (India) Consumer Discretionary 57.79 17 332 472.82 1.31 591 520 HOUSING DEVELOPMENT FINANCE (India) Financials 1 742.15 13 344 978.24 1.01 279 221 HYUNDAI MOTOR (South Korea) Consumer Discretionary 150 500.00 31 035 260.37 2.34 1 696 523 KANGWON LAND (South Korea) Consumer Discretionary 35 000.00 43 852 929.56 3.31 27 608 SAMSUNG BIOLOGICS CO LTD (South Korea) Healthcare 337 500.00 6 881 443.34 0.52 50 930 SAMSUNG ELECTRONICS (South Korea) Information Technology 2 564 000.00 91 142 130.38 6.89 99 616 SAMSUNG SDI CO (South Korea) Information Technology 198 500.00 14 603 616.69 1.10 2 421 771 TAIWAN SEMICONDUCTOR (Taiwan) Information Technology 37.55 76 922 264.46 5.81 5 774 999 TATA MOTORS LTD (India) Consumer Discretionary 401.50 30 026 198.71 2.27 751 904 UNITED SPIRITS LTD (India) Consumer Staples 2 397.65 23 345 920.32 1.76 10 179 335 ZHENGZHOU YUTONG BUS CO-A (China) Industrials 24.60 31 886 776.77 2.41 904 254 ZTO EXPRESS CAYMAN INC (China) Industrials 14.04 10 739 067.97 0.81 Africa 69 016 901.33 5.21 377 292 NASPERS LTD (South Africa) Consumer Discretionary 2 920.00 69 016 901.33 5.21 Eastern Europe 20 406 928.27 1.54 12 022 331 MOSCOW EXCHANGE (Russia) Financials 115.50 20 406 928.27 1.54 Middle East 70 209 990.93 5.30 271 462 CHECK POINT SOFTWARE (Israel) Information Technology 114.02 26 181 777.40 1.98 16 952 552 EMAAR PROPERTIES PJSC (United Arab Emirates) Real Estate 8.49 33 148 811.33 2.50 8 829 538 ENKA INSAAT VE SANAYI (Turkey) Industrials 5.18 10 879 402.20 0.82 Portfolio value 1 233 792 256.43 93.22 Net assets 1 323 597 559.40 100.00 EQUITY MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 27
Xavier Hovasse David Young Park Equity fund invested in small and mid-capitalisations of emerging countries, as well as less covered frontier markets. The investment process combines a fundamental top-down approach with a disciplined bottomup analysis in order to identify the best investment opportunities by seeking companies offering long-term growth potential and attractive cash generation, in underpenetrated sectors and in countries with healthy fundamentals. The Fund aims to outperform its reference indicator over 5 years. Carmignac Portfolio Emerging Discovery was up 1.51% in the third quarter of 2017, compared with a 2.24% increase in its reference indicator. That takes its performance since the start of the year to 12.95%, versus a 10.72% gain in its reference indicator. The emerging economies continued to enjoy a favourable environment overall. While a weaker US dollar certainly contributed in no small measure to the vigorous performance of emerging-market assets, several other, more intrinsic factors were also at work. To begin with, EM current account balances improved further as exports shot up. In addition, those countries continued to score well on the inflation test, thanks in particular to food-price disinflation. And lastly, there was strong domestic momentum, as evidenced by fairly robust, ongoing retail and motor-car sales (see our macroeconomic analysis for Carmignac Emergents). Our Asian stocks with 58% of total assets a major component of the Fund s portfolio turned in mixed results in the third quarter. We were slightly disappointed with the names we own in the region s frontier markets, particularly in the Philippines. In contrast, our South Korean holdings had a downright stellar quarter, due in large part to our investment in Kakao Corp, South Korea s answer to WhatsApp and the unchallenged leader in its market. Kakao Corp stepped up its game this past summer by adding online banking to its offering. With 45 million users, the company has continued to enhance and shrewdly monetise its ecosystem. While our Indian portfolio seemed to have fallen into a holding pattern this past quarter, we have lost none of our excitement about the cyclical recovery we anticipate in the country. The Performance of the fund since its launch 150 47% 125 100 75 50 25 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 09/17 Carmignac Portfolio Emerging Discovery A EUR acc 50% MSCI EM MidCap NR (Eur) + 50% MSCI EM SmallCap NR (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). 25% government s shock withdrawal of larger banknotes just a few months back unquestionably slowed down the economy, creating a lacklustre interlude that now appears to be over. Similarly, the initially unsettling effect of the new Goods and Services Tax should likewise die down over time. Once those two sources of disturbance are over, India s economy can be expected to bounce back with additional support coming from the government s large-scale infrastructure programmes, particularly in the field of housing. Our Chinese portfolio did not exactly make sparks fly, but did not let us down, either. Fears about the country s balance of payments have subsided and key economic indicators, both tangible and intangible, all point in an encouraging direction. In addition, China s persistently low inflation particularly for food prices strongly suggests that growing real disposable incomes will keep consumer spending humming. That outlook led us to boost the Fund s exposure to consumer industries with a new investment in Vipshop Holdings, a leading online retailer of brand-name products through discounted flash sales. The company s 28 million active users ensure its dominance of that segment in China. Because it carries almost no inventory, Vipshop can generate considerable free cash flow currently equal to 8% of its market capitalisation (source: Carmignac). In Latin America, we moved to increase our exposure to online travel agencies by participating in the IPO of Despegar.com. Boasting a 20% market share, the company is the region s unrivalled leader in online travel reservations. It derives roughly half of its revenues from airline ticket sales and the other half from hotel bookings. With barely 30% of all travel reservations made online, Latin America lags far behind Europe, Asia and the United States, where the figure well exceeds the 50% mark. Despegar.com is in a good position to benefit long-term from both rising leisure travel spending and the growing tendency of tourists to book online instead of going through brick-and-mortar travel agencies and other conventional channels. Moreover, given Latin America s low market concentration with the ten biggest hotel chains raking in just 15% of total revenues, versus 52% in the United States the firm s strategy of aggregating a wide variety of plane tickets and hotel offers is entirely compelling. Despegar s straight intermediation-based business model can generate a great deal of cash while requiring next to no capital expenditure. Marketing, the sole hefty expense item, is absolutely crucial for continuously expanding the company s reach and customer base (currently 4 million regular users) and for building as much customer loyalty as possible. Turning now to the Europe, Middle East and Africa region, the Fund made a significant new investment in Delivery Hero broadly speaking, the foodservice equivalent of Despegar. Its online platform aggregates a wide range of home catering services in as many as forty countries, and with market * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. 28 / Management report EQUITY MANAGEMENT
leadership in over thirty of them, the company ranks among the world s top meals-on-wheels providers. Using a simple phone app, Delivery Hero connects an extremely large roster of partner restaurants with a population increasingly hooked on home food delivery. We see two major growth drivers for the company. First, Delivery Hero has continued to expand its geographic coverage; and second, the company is riding the crest of the growing homecatering craze. Moving beyond its presence in continental Europe, Delivery Hero has emerged as the unchallenged market leader in the Middle East via its Talabat.com website. Customers who have downloaded the app show a remarkable degree of loyalty, with close to 80% of all initial users faithfully coming back for more. In a digital space joined by loads of new apps every day, an 80% retention rate can be regarded as a powerful success factor. Source of data: Carmignac, CEIC, JP Morgan Research, Barclays, Credit Suisse, Company data, 29/09/2017. Here are some of our best-performing stocks in the third quarter: Stocks Performance YY Inc, internet software and services, China +50% Kakao Corp, internet software and services, South Korea +42% Yihai International, financial institutions, China +27% Silicon Works, semiconductors, South Korea +26% Globaltrans, rail freight transportation, Russia +23% Source : Bloomberg EQUITY MANAGEMENT Geographic breakdown (derivatives excluded) (%) Sector breakdown (derivatives excluded) (%) Asia Latin America Middle East Europe 6.0 4.5 26.3 58.0 Information Technology Financials Consumer Discretionary Industrials 12.2 11.2 16.3 16.0 Africa 2.8 Materials 9.8 Cash, cash equivalents and derivatives operations 2.4 Consumer Staples 8.1 Real Estate 7.4 Utilities 7.1 Telecommunication Services 5.8 Healthcare 3.7 Cash, cash equivalents and derivatives operations 2.4 Statistics (%) 1 year 3 years Net currency exposure of Euro share classes (%) Fund volatility 11.47 10.10 Benchmark volatility 11.79 13.61 Sharpe ratio 0.56 0.60 Beta 0.89 0.66 Alpha -0.05 0.19 Calculation period: weekly (1 year) and monthly (3 years). USD EUR GBP Latin America Emerging Asia Eastern Europe, Middle East and Africa 1,1 2.1-0.1 3,8 6.0 18.4 33.8 38.7 Quarterly gross performance contribution (%) Equity Portfolio Currency Derivatives Total 2.47-0.48 1.99 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 11.91 11.13 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Porfolio Emerging Discovery A EUR acc 12.95 1.51 2.72 6.08 18.49 35.59-46.82 Reference indicator* 10.72 2.24-0.49 10.14 16.32 30.00-24.90 Category average** 11.35 1.98 1.14 11.8 21.21 44.91-53.95 Ranking (quartile) 2 2 2 4 3 3-3 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * 50% MSCI EM SmallCap NR (Eur) + 50% MSCI EM MidCap NR (Eur). ** Global Emerging Markets Equity. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Reference to certain securities and financial instruments is for illustrative purposes to highlight stocks that are or have been included in the portfolios of funds in the Carmignac range. This is not intended to promote direct investment in those instruments, nor does it constitute investment advice. The Management Company is not subject to prohibition on trading in these instruments prior to issuing any communication. The portfolios of Carmignac funds may change without previous notice. CARMIGNAC THIRD QUARTER 2017 / 29
EQUITY MANAGEMENT HOLDINGS CARMIGNAC PORTFOLIO EMERGING DISCOVERY AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 8 107 375.70 2.36 Cash (including collateral cash from derivative positions) 8 107 375.70 2.36 Equities 335 598 237.29 97.64 Europe 15 338 098.42 4.46 199 834 DELIVERY HERO AG (Germany) Consumer Discretionary 33.50 6 694 439.00 1.95 470 000 GLOBAL PORTS INV (Russia) Industrials 4.30 1 707 536.80 0.50 876 056 GLOBALTRA-SPONS (Russia) Industrials 9.36 6 936 122.62 2.02 Latin America 90 551 789.56 26.35 2 992 548 ALUPAR INVESTIMENTO SA-UNIT (Brazil) Utilities 18.78 15 028 961.86 4.37 1 039 585 ARCOS DORADOS HOLDINGS INC A (Argentina) Consumer Discretionary 10.05 8 837 615.67 2.57 657 386 BANCO DAVIVIENDA (Colombia) Financials 33 260.00 6 297 772.54 1.83 2 074 654 CEMEX LATAM HOLDINGS (Colombia) Materials 11 540.00 6 895 976.33 2.01 800 088 CENTRO DE IMAGEM DIAGNOSTICO (Brazil) Healthcare 17.04 3 645 856.88 1.06 495 345 CRESUD S.A.C.I.F.Y A. (Argentina) Real Estate 18.67 7 822 780.54 2.28 250 000 DESPEGAR.COM CORP (Argentina) Consumer Discretionary 32.00 6 767 044.49 1.97 188 475 INTERCORP FINANCIAL SERVICES (Peru) Financials 37.01 5 900 405.81 1.72 882 808 ORGANIZACION TER CB (Colombia) Consumer Discretionary 13 600.00 3 458 194.72 1.01 853 974 SUL AMERICA UNITS (Brazil) Financials 17.89 4 085 519.22 1.19 7 957 754 TF ADMINISTRADOR 3 MM (Mexico) Real Estate 31.40 11 639 427.12 3.39 2 231 696 UNIFIN FINANCIERA (Mexico) Financials 61.32 6 374 536.75 1.85 825 657 WIZ SOLUCOES E CORRETAGEM DE (Brazil) Financials 17.20 3 797 697.63 1.10 Asia 199 232 498.83 57.97 55 349 756 CEMEX HOLDINGS PHILIPPINES I (Philippines) Materials 5.03 4 635 889.53 1.35 4 378 903 CHICONY ELECTRONICS CO (Taiwan) Information Technology 72.00 8 794 682.59 2.56 30 509 435 CHINA COMMU. SERVICES-H (China) Telecommunication Services 4.02 13 282 497.86 3.86 624 446 DR LAL PATHLABS LTD (India) Healthcare 797.45 6 448 547.10 1.88 1 555 158 ENN ENERGY HOLDINGS (China) Utilities 56.60 9 532 580.61 2.77 879 644 GIANT MANUFACTURING CO (Taiwan) Consumer Discretionary 142.50 3 496 585.54 1.02 1 299 875 HAVELLS INDIA LTD (India) Consumer Discretionary 7.40 8 132 960.08 2.37 15 926 085 HOLCIM PHILIPPINES (Philippines) Materials 12.42 3 293 669.42 0.96 3 480 289 ICTSI INT'L CONTAINER (Philippines) Industrials 104.00 6 026 956.13 1.75 5 202 878 INDOCEMENT TUNGGAL PRAKARSA (Indonesia) Materials 18 900.00 6 175 599.48 1.80 223 693 INNOCEAN WORLDWIDE INC (South Korea) Consumer Discretionary 66 900.00 11 052 215.06 3.22 6 086 631 JOHN KEELLS HOLDINGS PLC (Sri Lanka) Industrials 1.06 5 464 684.60 1.59 68 494 KAKAO CORP (South Korea) Information Technology 144 000.00 7 284 266.67 2.12 813 695 LIC HOUSING FINANCE LTD (India) Financials 9.60 6 610 531.97 1.92 16 232 350 LT GROUP INC (Philippines) Consumer Staples 17.58 4 751 706.98 1.38 6 405 000 NIYOGIN FINTECH LTD (India) Financials 50.00 4 147 171.83 1.21 5 011 046 PHILIPPINE NATIONAL BANK (Philippines) Financials 59.15 4 935 515.51 1.44 675 406 PRESIDENT CHAIN STORE (Taiwan) Consumer Staples 255.50 4 813 690.54 1.40 6 370 253 PRIMAX ELECTRONICS (Taiwan) Information Technology 75.00 13 327 242.28 3.88 5 612 748 PRISM CEMENT LTD (India) Materials 1.58 7 482 872.71 2.18 12 300 000 PRODIA WIDYAHUSADA TBK PT (Indonesia) Healthcare 3 570.00 2 757 699.90 0.80 21 149 SHREE CEMENT LTD (India) Materials 284.45 5 088 627.94 1.48 190 917 SILICON WORKS (South Korea) Information Technology 44 200.00 6 232 146.96 1.81 1 656 087 TRIPOD TECHNOLOGY CORP (Taiwan) Information Technology 105.00 4 850 592.55 1.41 1 121 929 VARUN BEVERAGES LTD (India) Consumer Staples 7.82 7 417 619.06 2.16 1 378 260 VIETNAM DAIRY PRODUCTS JSC (Vietnam) Consumer Staples 149 200.00 7 653 775.11 2.23 1 112 645 VIPSHOP HOLDINGS LTD - ADR (China) Consumer Discretionary 8.79 8 272 838.39 2.41 12 240 840 YIHAI INTERNATIONAL HOLDING (China) Consumer Staples 6.24 8 272 091.84 2.41 122 569 YY INC (China) Information Technology 86.78 8 997 240.59 2.62 Africa 9 688 040.45 2.82 1 523 560 EAST AFRICAN BREWERIES (Kenya) Consumer Staples 250.00 3 120 459.54 0.91 897 145 GUINNESS NIGERIA PLC-RTS (Nigeria) Consumer Staples 9.50 20 081.71 0.01 32 290 983 SAFARICOM (Kenya) Telecommunication Services 24.75 6 547 499.20 1.90 Middle East 20 787 810.03 6.05 8 778 703 ARAMEX PJSC (United Arab Emirates) Industrials 1.36 10 069 295.61 2.93 1 056 130 AVIVASA EMEKLILIK VE HAYAT A (Turkey) Financials 18.60 4 672 698.24 1.36 11 266 106 EMAAR MALLS GROUP (United Arab Emirates) Real Estate 2.33 6 045 816.18 1.76 Portfolio value 335 598 237.29 97.64 Net assets 343 705 612.99 100.00 30 / Management report CARMIGNAC THIRD QUARTER 2017
Michael Hulme Global equity fund invested in energy, natural resources, and related industrial companies. By combining a fundamental top-down approach and a disciplined bottom-up analysis, the Fund manager aims to select quality companies with attractive long-term growth prospects and sustainable cash flow generation, across the entire commodity value chain. The Fund aims to outperform its reference indicator over 5 years. Carmignac Portfolio Commodities delivered a return of 7.21% in Q3 2017, compared with a 6.88% increase in its reference indicator. That takes its performance since the start of the year to -1.08%, versus -1.99% for its index. Oil prices surged, with WTI up by 12% and Brent by 20%. Copper also performed strongly, rising 10% to reach $3 per pound, while iron ore retreated by 5%. As a result, the Fund reversed its previous negative performance in relation to its reference indicator against a background of global markets (the MSCI AC World EUR net return) gaining 1.5% and the euro strengthening by 3% against the dollar. Our performance in the quarter benefitted from our exposure to select oil explorers and producers as oil prices bounced back. Our oil sands holdings Suncor and Canadian Natural climbed 20% and 16% respectively, while oil-leveraged methanol producer Methanex gained 14%. In oil services, fracking company RPC was ahead 23% and pump manufacturer Gardner Denver 27%. On the negative side, our oil holding Pioneer Resources shed 7% following disappointing second-quarter earnings. The standout performer in our portfolio was Siltronic (up 42%), a polysilicon wafer manufacturer, a position we have held since its spin-off from Wacker Chemie. Its low valuation and its exposure to the exponential growth trend in chip density in automobiles (EV vehicles and autonomous vehicles) and the Internet of things are ongoing sources of appeal to us. On the industrial metals side, most of the miners enjoyed a strong quarter, as China PMIs edged up further, highlighting continuing strong growth there. Our zinc producer holding Boliden fared well, but far and away our best performer for the quarter was Alcoa, which jumped 42% on the back of new supply-side controls in China. We are somewhat cautious overall on industrial metals, given the uncertainty over future policy announcements in China, which will be shaped by the Communist Party Congress in October and possible further environmental restrictions and capacity cutbacks, particularly downstream of iron ore (e.g., steel production). Turning finally to precious metals, gold had a subdued but positive quarter, adding 3% in dollar terms. We benefitted from outstanding performance by Royal Gold (our royalty company investment), which was up 10%, and Newmont Mining, up 16%. In contrast, Wheaton Precious Metals, our silver royalty investment, underperformed, sliding 4% in the quarter. Themes and outlook Oil remains our most favoured commodity, with increasing Brent backwardation highlighting the increasingly tight supply-demand balance as seaborne storage comes down. We see US supply surprising on the downside as shale takes longer to ramp up, while world demand remains robust in the current phase of synchronised global growth. Moreover, OPEC discipline remains strong, and the execution of other non-us oil projects has been disappointing. In relation to gold, we hold to the view that the opportunity cost of owning it is still low, and given a significant probability that central banks the world over will find it hard to unwind quantitative easing policies, we feel that gold will remain an attractive hedge against systemic risk and inflationary pressure, as well as a good wealth protection strategy for investors facing increasingly populist governments that may well pursue irrational economic policies. On that basis, we continue to favour those miners and royalty companies that uphold higher standards of capital discipline. Finally, we remain on the lookout for investments in related industries or materials manufacturers that stand to benefit from trends towards smarter or more efficient energy use whether through electric vehicles, the Internet of Things, on-grid or off-grid management systems and certain renewable energy technologies. That was our motivation for buying Siltronic and Global Wafers, and we continue to hunt for similar investments. Source of data: Carmignac, CEIC, JP Morgan Research, Barclays, Credit Suisse, Company data, 29/09/2017. Performance of the fund since its launch 450 400 350 300 250 181% 200 150 100 50 03/03 12/03 12/05 12/07 12/09 12/11 12/13 12/15 09/17 Carmignac Portfolio Commodities A EUR acc Reference indicator (1) 189% From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. (1) Index composed of 45% MSCI ACWI Oil and Gas NR (Eur), 5% MSCI ACWI Energy Equipment NR (Eur), 40% MSCI ACWI Metal and Mining NR (Eur), 5% MSCI ACWI Paper and Forest NR (Eur) et 5% MSCI ACWI Chemicals NR (Eur). Quarterly rebalanced. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report EQUITY MANAGEMENT / 31
EQUITY MANAGEMENT Some of our best-performing stocks in the quarter: Stocks Performance Alcoa, aluminium, USA +43% Siltronic, semi-conductors, Germany +42% Allegheny Technologies, steel, USA +41% Globalwafers, semi-conductors, Taiwan +39% Gardner Denver Holdings, oil & gas equipment & services, USA +27% Source : Bloomberg Quarterly gross performance contribution (%) Equity Portfolio Equity Derivatives Currency Derivatives Total 10.71-3.11 0.08 7.68 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 12.87 17.41 Geographical Exposure (%) Positions Long Short Net North America 61.2-5.9 55.4 Europe 36.7-12.7 24.0 Asia-Pacific 4.2 0.0 4.2 Latin America 3.1-1.1 2.0 Asia 2.6-2.3 0.3 Middle East 0.0-0.1-0.1 Eastern Europe 0.0-0.6-0.6 Africa 0.0-0.9-0.9 Total 107.8-23.5 84.3 Sector Exposure (%) Positions Long Short Net Energy 36.6-9.2 27.4 Industrial Materials 30.4-6.5 23.9 Precious Metals 11.4 0.0 11.4 Other Commodities Related 11.7-2.6 9.1 Chemicals 4.8-0.1 4.7 Agricultural resources 3.1-0.1 3.1 Regional Indexes 9.8-5.1 4.7 Total 107.8-23.5 84.3 Net currency exposure of Euro share classes (%) Statistics (%) 1 year 3 years USD EUR GBP CHF AUD and CAD Latin America 1,1 22.9 12.6 1.3 8.6 4.6 50.8 Fund volatility 14.98 14.78 Benchmark volatility 14.01 18.98 Sharpe ratio 0.60-0.06 Beta 0.96 0.69 Alpha -0.03-0.13 Calculation period: weekly (1 year) and monthly (3 years). Emerging Asia 2.0 Eastern Europe, Middle East and Africa -5.4 Other 2.7 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Portfolio Commodities A EUR acc -1.08 7.21-3.21 8.67-3.20-4.07-21.27 189.49 Reference indicator* -1.99 6.88-2.69 10.84 1.56 5.52-10.88 180.83 Category average** -3.63 6.46-4.22 5.09-4.66-14.91-29.16 158.81 Ranking (quartile) 2 2 2 2 2 2 2 2 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * Index composed of 45% MSCI ACWI Oil and Gas NR (Eur). 5% MSCI ACWI Energy Equipment NR (Eur). 40% MSCI ACWI Metal and Mining NR (Eur). 5% MSCI ACWI Paper and Forest NR (Eur) et 5% MSCI ACWI Chemicals NR (Eur). Quarterly rebalanced. ** Sector Equity Natural Resources. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Past performance is not a reliable indicator of future performance. Reference to certain securities and financial instruments is for illustrative purposes to highlight stocks that are or have been included in the portfolios of funds in the Carmignac range. This is not intended to promote direct investment in those instruments, nor does it constitute investment advice. The Management Company is not subject to prohibition on trading in these instruments prior to issuing any communication. The portfolios of Carmignac funds may change without previous notice. 32 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC PORTFOLIO COMMODITIES AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 22 049 745.76 3.33 Cash (including collateral cash from derivative positions) 22 049 745.76 3.33 Equities 640 619 789.41 96.67 Energy 234 054 930.55 35.32 4 050 000 AFRICA OIL CORP (Canada) North America 11.09 4 654 593.50 0.70 230 000 ANADARKO PETROLEUM (USA) North America 48.85 9 503 891.05 1.43 EQUITY MANAGEMENT 650 000 CANADIAN NATURAL RESOURCES LTD (Canada) North America 41.79 18 372 336.83 2.77 90 000 CIMAREX ENERGY (USA) North America 113.67 8 653 611.91 1.31 510 000 CONSOL ENERGY INC (USA) North America 16.94 7 307 900.52 1.10 210 000 ENBRIDGE (Canada) North America 52.12 7 402 908.35 1.12 220 000 EOG RESOURCES (USA) North America 96.74 18 002 706.82 2.72 500 000 HALLIBURTON (USA) North America 46.03 19 467 941.13 2.94 410 000 NOBLE ENERGY INC (USA) North America 28.36 9 835 560.82 1.48 1 680 000 OASIS PETROLEUM INC (USA) North America 9.12 12 960 243.61 1.96 450 000 PARSLEY ENERGY INC-CLASS A (USA) North America 26.34 10 026 222.30 1.51 280 000 PDC ENERGY INC (USA) North America 49.03 11 612 586.70 1.75 1 500 000 PETROFAC LTD (United Kingdom) Europe 4.50 7 660 443.74 1.16 169 000 PIONEER NAT. RESOURCES (USA) North America 147.54 21 091 405.85 3.18 675 000 ROYAL DUTCH SHELL PLC (Netherlands) Europe 22.49 17 224 507.75 2.60 465 000 RPC (USA) North America 24.79 9 750 761.29 1.47 100 000 SM ENERGY CO (USA) North America 17.74 1 500 592.12 0.23 840 000 SUNCOR ENERGY (Canada) North America 43.73 24 844 910.38 3.75 340 000 TRANSCANADA CORP (Canada) North America 61.67 14 181 805.88 2.14 Industrial Materials 201 385 822.92 30.39 380 000 ALCOA CORP (USA) North America 46.62 14 985 281.68 2.26 430 000 ALLEGHENY TECHNOLOGIES (USA) North America 23.90 8 693 114.53 1.31 460 000 ARCELORMITTAL (Luxembourg) Europe 21.83 10 039 500.00 1.52 2 300 000 ARIZONA MINING INC (Canada) North America 3.03 4 713 561.04 0.71 1 880 000 BHP BILLITON PLC (Australia) Asia-Pacific 13.15 28 045 849.17 4.23 265 000 BOLIDEN (Sweden) Europe 275.70 7 571 428.57 1.14 26 060 000 CEMEX HOLDINGS PHILIPPINES I (Philippines) Asia 5.03 2 182 688.59 0.33 670 000 GARDNER DENVER HOLDINGS INC (USA) North America 27.52 15 596 684.15 2.35 2 900 000 GLENCORE XSTRATA PLC (United Kingdom) Europe 3.42 11 255 745.33 1.70 6 550 000 GRUPO MEXICO SA DE CV (Mexico) Latin America 55.69 16 991 431.37 2.56 280 000 MUELLER INDUSTRIES INC (USA) North America 34.95 8 277 787.18 1.25 180 000 NUCOR CORP (USA) North America 56.04 8 532 566.40 1.29 570 000 RIO TINTO PLC (United Kingdom) Europe 34.73 22 466 208.93 3.39 2 500 000 ROTORK PLC (United Kingdom) Europe 2.60 7 388 072.41 1.11 525 000 TECK RESOURCES LTD (Canada) North America 21.09 9 365 801.05 1.41 230 000 THYSSENKRUPP AG (Germany) Europe 25.08 5 767 250.00 0.87 875 000 WEIR GROUP PLC (United Kingdom) Europe 19.65 19 512 852.52 2.94 Precious Metals 75 349 137.46 11.37 1 680 000 GOLDCORP INC (Canada) North America 12.96 18 417 188.29 2.78 1 260 000 HOCHSCHILD MINING PLC (Peru) Latin America 2.30 3 281 734.10 0.50 2 300 000 KANSAI MINING CORP (USA) North America 0.01 15 556.31 0.00 1 616 200 LUNDIN MINING CORP (Canada) North America 8.56 9 357 235.04 1.41 650 000 NEWMONT MINING (USA) North America 37.51 20 623 836.91 3.11 137 000 ROYAL GOLD INC (USA) North America 86.04 9 970 800.20 1.50 850 000 WHEATON PRECIOUS METALS CORP (Canada) North America 23.80 13 682 786.61 2.06 CARMIGNAC THIRD QUARTER 2017 / 33
EQUITY MANAGEMENT HOLDINGS CARMIGNAC PORTFOLIO COMMODITIES AT 30/09/2017 Price in currencies Total value ( ) % of net assets Agricultural resources 20 676 261.27 3.12 490 000 DARLING INGREDIENTS (USA) North America 17.52 7 261 715.45 1.10 1 002 700 INTERFOR CORP (Canada) North America 19.78 13 414 545.82 2.02 Chemicals 31 651 733.78 4.78 415 000 METHANEX CORP (Canada) North America 50.30 17 657 333.78 2.66 340 000 TESSENDERLO CHEMIE (Belgium) Europe 41.16 13 994 400.00 2.11 Other Commodities Related 77 501 903.43 11.70 1 820 000 GLOBALWAFERS (Taiwan) Asia 296.00 15 027 455.40 2.27 190 000 MASTEC INC (USA) North America 46.40 7 457 283.03 1.13 523 973 SILTRONIC AG (Germany) Europe 105.00 55 017 165.00 8.30 Portfolio value 640 619 789.41 96.67 Net assets 662 669 535.17 100.00 NET EQUITY EXPOSURE CARMIGNAC PORTFOLIO COMMODITIES AT 30/09/2017 Exposure ( ) % Exposure Long derivative positions 73 680 585.00 11.12 Regional Indexes (2 Positions) Europe 65 008 000.00 9.81 Energy (6 Positions) North America 8 672 585.00 1.31 Short derivative positions -155 616 610.00-23.48 Energy (9 Positions) Europe -23 159 237.00-3.49 Industrial Materials (8 Positions) Europe -27 918 957.00-4.21 Other Commodities Related (1 Position) Europe -424 756.00-0.06 Regional Indexes (4 Positions) Europe -23 667 623.00-3.57 Energy (10 Positions) North America -23 321 119.00-3.52 Energy (1 Position) Latin America -424 632.00-0.06 Energy (2 Positions) Europe -8 619 347.00-1.30 Energy (1 Position) Eastern Europe -2 835 392.00-0.43 Industrial Materials (1 Position) Africa -4 832 750.00-0.73 Industrial Materials (1 Position) North America -2 731 518.00-0.41 Industrial Materials (1 Position) Latin America -2 555 405.00-0.39 Industrial Materials (1 Position) Asia -3 958 463.00-0.60 Other Commodities Related (1 Position) North America -2 618 096.00-0.40 Regional Indexes (1 Position) Asia -18 428 354.00-2.78 Regional Indexes (1 Position) North America -10 120 961.00-1.53 Equity Investment 640 619 789.41 96.67 Net equity exposure 558 683 764.41 84.31 34 / Management report CARMIGNAC THIRD QUARTER 2017
Edouard Carmignac Rose Ouahba Diversified fund combining three performance drivers: international bonds, equities and currencies. At least 50% of the assets are permanently invested in fixed income and money market instruments. Its flexible allocation aims to mitigate capital fluctuation while seeking the best sources of return. The Fund aims to outperform its reference indicator over 3 years. Carmignac Patrimoine was down by a slight -0.28% in the third quarter, versus -0.15% for its reference indicator. This takes the Fund s year-to-date performance to +0.76%, surpassing the -0.31% recorded by its benchmark. For a more extensive discussion of our approach to equity investment, see the Carmignac Investissement report. We have entered the new quarter with a high equity exposure of 44%, based on our conviction that stock market trends still fail to reflect the magnitude of growth in a global economy awash with cash. Our fixed income portfolio in fact made a mildly negative -0.20% contribution to performance (compared with -0.89% for the reference indicator) that was primarily attributable to inadequate protection against the slide in the US dollar vis-à-vis the euro and to our defensive bias on interest rate hedges. During the third quarter, the US Federal Reserve announced a landmark decision to trim its balance sheet, with the European Central Bank soon to follow suit on 26 October. Contrary to our expectations, this major step towards monetary policy normalisation hasn t triggered a correction in bond markets, reflecting such countervailing tendencies as geopolitical tension, low inflation and, lastly, a stronger euro. But with the noteworthy exception of the stronger euro, those tendencies will be short-lived. We will therefore be sticking to our overweight stance on emerging-market debt, government paper from Italy, Greece and other EU-periphery countries and specific segments of the credit market. As part of our risk management policy, we are maintaining our bullish expectations with regard to both German bond yields which are still highly disconnected from the eurozone s economic fundamentals and the EU s common currency. Investment strategy Currencies and cash The euro gained 3.4% against the dollar and 3.5% against the yen during the quarter. At its meeting on 26 October, the ECB Governing Council will specify the pace and duration of its asset purchase programme (APP) for 2018. The markets have already priced in monthly purchases of 30 billion for nine months and a first rate hike during Q1 2019. Judging that the euro s rise is being underpinned by robust economic growth, the central bank has done nothing to stem it. That policy has convinced us to maintain our foreign exchange hedges on our assets denominated in other currencies. Though the British pound steadied to a fair extent during the quarter, the Brexit negotiations have reached a deadlock due to the many hurdles yet to be cleared particularly regarding the ultimate price-tag for leaving and to the tumultuous political climate created by a lack of consensus in the UK government. We have accordingly continued to short sterling. Government bonds account for 27% of the Fund s assets, with 7% allocated to those in emerging markets. Our total modified duration at the end of the quarter was 0.3. Despite decent US GDP growth in the third quarter, a combination of geopolitical tension with North Korea and low inflation readings nudged US Treasury yields down by 0.05%. The outlook for tax cuts has improved of late, but Congress will need to limit those cuts to $1.5 trillion for budget neutrality to be maintained over the next ten years. Moreover, this bonanza for wealthy individuals and companies won t be fully reinjected into the economy. We estimate that the proposed tax reform will add between 0.1% and 0.3% to GDP at most. Against that backdrop, the Federal Reserve has started shrinking a balance sheet inflated with a record $4.5 trillion in assets (Treasuries and mortgage-backed debt) by ceasing to reinvest the principal on maturing securities. But the shrinkage will be extremely gradual, amounting to no more than 600 billion on a full-year basis, and US yields are likely to hover between 2.3% and 2.6% as the yield curve flattens further. Turning now to Europe, German yields ended the quarter relatively unchanged, with 10-year paper at 0.46%. The Italian, Greek and Portuguese government bonds in our portfolio boosted the Fund s results, whereas our short positions on German long-term yields detracted slightly from performance. Even so, we will be maintaining our cautious approach to those assets. Furthermore, the net supply of European sovereign bonds will be negative 260 billion in 2017, but in 2018 it will be positve 80 billion marking a 340 billion increase year-on-year. We have stepped up our holdings in Greece, convinced that the government s progress on structural reforms should soon pave the way to a debt relief agreement. And as Greek bonds were not included in the ECB s asset purchase programme, they won t be affected by a reduction in its size. Lastly, emerging-market government bonds account for 7% of the Fund s assets. EM debt securities have continued to reap the benefits of a favourable international environment marked by relatively stable US yields Performance of the fund since its launch 1000 900 800 700 600 500 373% 400 300 200 100 0 11/89 12/92 12/95 12/98 12/01 12/04 12/07 12/10 12/13 12/16 09/17 Carmignac Patrimoine A EUR acc 50% MSCI ACW NR (Eur) + 50% Citigroup WGBI all maturities (Eur) 755% From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report DIVERSIFIED MANAGEMENT / 35
DIVERSIFIED MANAGEMENT and a weaker dollar. However, they are unlikely to get much more support from rising commodity prices, a trend now drawing to a close. Emerging markets have no doubt seen substantial capital inflows over the past twelve months, but we still don t feel that investors are going overboard. As a result of Brazil s political crisis, the commodity price shock and tougher financial conditions in the United States, a lag in capital inflows built up between 2013 and 2016 that has yet to be fully reversed. We have kept our highly constructive outlook on Brazil and Mexico, but remain more cautious about Eastern Europe, where there is less opportunity. While EM bond valuations have lost some of their lustre, they have room for further appreciation real interest rates in the emerging world are still 2 percentage points ahead of those in the developed world. At the same time, the impact of political factors shouldn t be overlooked. For example, the victory of Cambiemos in Argentina s legislative elections represents a vote for economic reform and growth, given that the coalition aims to pare back the primary fiscal deficit from 4.2% of GDP in 2017 to 3.2% in 2018. We have reduced our allocation to corporate bonds from 21% to 20%. Resurgent risk appetite and the prospect of further ECB bond-buying have continued to drive risk premia relentlessly downwards, with the combination of vigorous economic growth and low inflation promising further gains for risk assets, particularly corporate credit. Today s low volatility is counterbalancing the extremely modest level of carry trades. Subordinated bonds issued by banks have continued to outperform their rivals in other sectors, thanks to attractive risk premia and improved fundamentals. As an alternative to conventional highly-rated credit, we favour collateralised debt obligations backed by pools of corporate bonds. They are still 100 basis points ahead of equivalently-rated straight corporate issues. Net currency exposure of Euro share classes (%) Sector breakdown (derivatives excluded) (%) USD EUR JPY GBP CHF -2.8-5.5 0.9 19.9 31,8 90.1 Information Technology Financials Materials Consumer Discretionary Energy 17.1 14.0 13.7 11.7 26.7 AUD and CAD -8.9 Consumer Staples 6.5 Latin America 3.2 Healthcare 6.3 Emerging Asia Eastern Europe, Middle East and Africa -0.6-0.3 Telecommunication Services Industrials 2.8 1.2 Other 4.0 Bond portfolio (derivatives excluded) Rating breakdown (%) Bond portfolio (derivatives excluded) Maturity breakdown (%) AAA 22.2 < 1 year 18,120.5 AA 2.6 1-3 years 15.6 A 9.5 3-5 years 9.7 BBB 1,0 11,7 45.4 5-7 years 8.7 BB 2,0 9.7 7-10 years 0,3 34.2 B 10.4 > 10 years 11.3 CCC 0.3 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Patrimoine A EUR acc 0.76-0.28-0.74 2.70 8.21 18.70 59.02 754.57 Reference indicator* -0.31-0.15-3.01 2.32 21.20 38.78 72.27 372.58 Category average** 3.17 0.87 0.86 4.98 10.27 24.48 16.34 236.54 Ranking (quartile) 4 4 4 4 3 4 1 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * 50% MSCI ACW NR (Eur) + 50% Citigroup WGBI (Eur) (accrued interest). ** EUR Moderate Allocation - Global. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). 36 / Management report CARMIGNAC THIRD QUARTER 2017
Statistics (%) 1 year 3 years Fund volatility 6.16 7.36 Benchmark volatility 6.45 7.58 Sharpe ratio 0.50 0.39 Beta 0.78 0.81 Alpha 0.02-0.21 Calculation period: weekly (1 year) and monthly (3 years). Modified duration of the bond portfolio (derivatives included) Euro -0.32 United States 0.32 Other 0.32 DIVERSIFIED MANAGEMENT Quarterly gross performance contribution (%) Equity Portfolio Bond Portfolio Equity Derivatives Bond Derivatives Currency Derivatives Total 0.19 0.02-0.20-0.33 0.39 0.07 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 5.10 6.54 HOLDINGS CARMIGNAC PATRIMOINE AT 30/09/2017 Price in currencies total value ( ) % of net assets Cash, cash equivalents and derivatives operations 2 057 813 884.35 8.55 Cash (including collateral cash from derivative positions) 1 141 099 995.44 4.74 65 000 000 ITALY 12/01/2018 Treasury bill in Euro 65 083 668.67 0.27 97 200 000 ITALY 14/11/2017 Treasury bill in Euro 97 256 563.99 0.40 330 874 000 SPAIN 13/10/2017 Treasury bill in Euro 330 926 717.13 1.37 148 027 000 SPAIN 16/02/2018 Treasury bill in Euro 148 285 791.66 0.62 275 000 000 SPAIN 17/11/2017 Treasury bill in Euro 275 161 147.46 1.14 Developed countries fixed rate Government bonds 4 186 823 245.73 17.39 10 337 000 GREECE 3.00% 24/02/2023 (Greece) Euro 93.93 9 897 516.07 0.04 10 337 000 GREECE 3.00% 24/02/2024 (Greece) Euro 92.15 9 713 620.84 0.04 10 337 000 GREECE 3.00% 24/02/2025 (Greece) Euro 90.60 9 552 673.75 0.04 10 337 000 GREECE 3.00% 24/02/2026 (Greece) Euro 89.22 9 410 126.52 0.04 10 337 000 GREECE 3.00% 24/02/2027 (Greece) Euro 87.31 9 213 413.41 0.04 10 337 000 GREECE 3.00% 24/02/2028 (Greece) Euro 84.23 8 894 413.59 0.04 10 337 000 GREECE 3.00% 24/02/2029 (Greece) Euro 81.41 8 603 323.67 0.04 10 337 000 GREECE 3.00% 24/02/2030 (Greece) Euro 79.75 8 431 729.47 0.04 10 337 000 GREECE 3.00% 24/02/2031 (Greece) Euro 78.22 8 273 056.52 0.03 10 337 000 GREECE 3.00% 24/02/2032 (Greece) Euro 77.30 8 178 369.60 0.03 10 337 000 GREECE 3.00% 24/02/2033 (Greece) Euro 75.89 8 031 997.68 0.03 10 337 000 GREECE 3.00% 24/02/2034 (Greece) Euro 74.82 7 921 598.52 0.03 10 337 000 GREECE 3.00% 24/02/2035 (Greece) Euro 73.72 7 808 408.37 0.03 10 337 000 GREECE 3.00% 24/02/2036 (Greece) Euro 72.54 7 686 431.77 0.03 10 337 000 GREECE 3.00% 24/02/2037 (Greece) Euro 71.88 7 617 897.46 0.03 10 337 000 GREECE 3.00% 24/02/2038 (Greece) Euro 71.26 7 553 601.32 0.03 10 337 000 GREECE 3.00% 24/02/2039 (Greece) Euro 71.11 7 538 819.41 0.03 10 337 000 GREECE 3.00% 24/02/2040 (Greece) Euro 70.92 7 518 558.89 0.03 10 337 000 GREECE 3.00% 24/02/2041 (Greece) Euro 70.85 7 511 736.47 0.03 10 337 000 GREECE 3.00% 24/02/2042 (Greece) Euro 70.88 7 514 424.09 0.03 137 211 000 GREECE 4.38% 01/08/2022 (Greece) Euro 99.01 136 894 230.55 0.57 89 964 000 GREECE 4.75% 17/04/2019 (Greece) Euro 102.58 94 260 064.45 0.39 195 100 IRELAND 3.90% 20/03/2023 (Ireland) Euro 121.06 240 292.83 0.00 279 461 000 ITALY 0.45% 01/06/2021 (Italy) Euro 100.39 280 982 550.61 1.17 302 685 000 ITALY 1.25% 01/12/2026 (Italy) Euro 94.16 286 284 490.11 1.19 307 427 000 ITALY 1.85% 15/05/2024 (Italy) Euro 102.73 317 995 822.31 1.32 315 565 000 ITALY 2.05% 01/08/2027 (Italy) Euro 99.10 313 829 238.15 1.30 1 072 436 000 ITALY 2.20% 01/06/2027 (Italy) Euro 100.91 1 090 156 451.92 4.53 92 760 000 ITALY 3.75% 01/05/2021 (Italy) Euro 112.16 105 501 962.28 0.44 85 609 158 PORTUGAL 3.88% 15/02/2030 (Portugal) Euro 110.29 96 510 440.98 0.40 81 837 900 PORTUGAL 4.35% 16/10/2017 (Portugal) Euro 100.14 85 387 265.77 0.35 CARMIGNAC THIRD QUARTER 2017 / 37
DIVERSIFIED MANAGEMENT HOLDINGS CARMIGNAC PATRIMOINE AT 30/09/2017 Price in currencies total value ( ) % of net assets 29 241 400 PORTUGAL 4.45% 15/06/2018 (Portugal) Euro 103.40 30 627 470.40 0.13 137 000 000 PORTUGAL 4.80% 15/06/2020 (Portugal) Euro 112.56 156 187 638.22 0.65 266 252 PORTUGAL 4.95% 25/10/2023 (Portugal) Euro 120.86 334 171.38 0.00 88 999 888 PORTUGAL 5.65% 15/02/2024 (Portugal) Euro 125.02 114 431 849.48 0.48 83 679 000 SPAIN 1.40% 31/01/2020 (Spain) Euro 103.73 87 588 253.62 0.36 95 406 000 SPAIN 5.50% 30/04/2021 (Spain) Euro 119.59 116 341 592.05 0.48 630 541 100 UNITED STATES 2.12% 15/05/2025 (USA) Dollar 99.30 533 965 756.30 2.22 201 230 500 UNITED STATES 2.25% 15/11/2024 (USA) Dollar 100.45 172 431 986.90 0.72 Developed countries inflation-linked Government bonds 776 941 058.99 3.23 230 446 000 USA I/L 0.38% 15/01/2027 (USA) Dollar 98.77 195 281 747.73 0.81 657 777 100 USA I/L 0.62% 15/01/2026 (USA) Dollar 101.33 581 659 311.26 2.42 Emerging markets fixed rate Government bonds 1 223 077 719.76 5.08 66 458 663 ARGENTINA 2.26% 31/12/2038 (Argentina) Euro 68.28 45 393 149.82 0.19 87 358 347 ARGENTINA 2.50% 31/12/2038 (Argentina) Dollar 70.99 52 471 783.98 0.22 51 921 292 ARGENTINA 7.82% 31/12/2033 (Argentina) Euro 111.94 81 423 274.04 0.34 20 370 000 BAHRAIN 6.75% 20/09/2029 (Bahrain) Dollar 99.52 17 189 535.17 0.07 65 498 000 BAHRAIN 7.00% 12/10/2028 (Bahrain) Dollar 102.26 58 499 431.77 0.24 281 000 BRAZIL 10.00% 01/01/2025 (Brazil) Real Brazil 1 050.33 78 927 000.76 0.33 124 870 000 BRAZIL 5.62% 21/02/2047 (Brazil) Dollar 101.19 107 575 209.25 0.45 3 121 790 000 CZECH REPUBLIC 0.00% 10/02/2020 (Czech Republic) Czech Crown 100.08 120 199 394.43 0.50 4 120 380 000 CZECH REPUBLIC 0.00% 17/07/2019 (Czech Republic) Czech Crown 100.13 158 740 407.79 0.66 31 094 000 EGYPT 6.12% 31/01/2022 (Egypt) Dollar 103.63 27 539 540.49 0.11 22 618 100 MEXICO 8.00% 07/11/2047 (Mexico) Mexican peso 109.44 117 783 467.79 0.49 45 800 000 RUSSIA 5.25% 23/06/2047 (Russia) Dollar 102.33 40 214 242.79 0.17 13 720 127 000 RUSSIA 7.75% 16/09/2026 (Russia) Russian Ruble 101.78 205 531 472.92 0.85 50 393 000 TURKEY 3.25% 14/06/2025 (Turkey) Euro 100.23 51 004 950.50 0.21 71 000 000 TURKEY 5.75% 11/05/2047 (Turkey) Dollar 98.61 60 584 858.26 0.25 Emerging countries inflation-linked Government bonds 369 500 171.14 1.53 172 000 BRAZIL I/L 6.00% 15/08/2050 (Brazil) Real Brazil 3 458.39 159 072 206.88 0.66 7 023 544 MEXICO I/L 4.50% 04/12/2025 (Mexiko) Mexican peso 110.60 210 427 964.26 0.87 Developed countries fixed rate corporate bonds 2 967 252 715.53 12.32 47 530 000 ABN AMRO BANK 2.88% C 30/06/2020 (Netherlands) Financials (subordinated debt) 105.94 50 709 893.73 0.21 17 183 000 ALLERGAN FUND 0.50% C 01/05/2021 (Ireland) Healthcare 100.44 17 288 689.57 0.07 36 032 000 ALLIED IRISH 2.75% 16/04/2019 (Ireland) Financials (senior debt) 104.30 38 041 800.79 0.16 11 447 000 ALLIED IRISH 4.12% C 26/11/2020 (Ireland) Financials (subordinated debt) 107.45 12 702 132.19 0.05 28 929 000 ALTICE SA 6.50% C 27/10/2017 (Netherlands) Consumer Discretionary 104.18 25 837 236.58 0.11 24 043 000 ALTICE SA 6.50% C 30/10/2017 (Netherlands) Consumer Discretionary 104.14 21 465 085.48 0.09 28 005 000 ALTICE SA 6.62% C 15/02/2018 (Netherlands) Consumer Discretionary 106.10 25 142 862.84 0.10 106 725 000 ALTICE SA 7.25% C 27/10/2017 (Netherlands) Consumer Discretionary 106.40 114 588 142.25 0.48 15 287 000 ALTICE SA 7.62% C 15/02/2020 (Netherlands) Consumer Discretionary 107.95 13 963 498.23 0.06 7 345 000 ATENTO LUXCO 1 SA 6.12% C 10/08/2019 (USA) Industrials 104.77 6 565 439.41 0.03 10 485 000 BANCO BPM SPA 2.75% 27/07/2020 (Italy) Financials (senior debt) 105.00 11 063 177.37 0.05 23 523 000 BANK OF IRELAND 7.38% C 18/06/2020 (Ireland) Financials (subordinated debt) 111.36 26 704 717.76 0.11 65 300 000 BANKIA 3.50% 17/01/2019 (Spain) Financials (senior debt) 104.63 69 947 767.75 0.29 42 500 000 BANKIA 4.00% C 22/05/2019 (Spain) Financials (subordinated debt) 104.33 44 964 784.59 0.19 19 021 000 BARCLAYS 2.62% C 11/11/2020 (United Kingdom) Financials (subordinated debt) 103.61 20 152 848.51 0.08 46 800 000 BBVA 3.50% 10/02/2027 (Spain) Financials (subordinated debt) 109.88 52 480 314.74 0.22 30 500 000 BBVA 3.50% C 11/04/2019 (Spain) Financials (subordinated debt) 104.78 32 469 715.07 0.13 38 800 000 BBVA 8.88% C 14/04/2021 (Spain) Financials (subordinated debt) 116.42 45 930 068.29 0.19 68 200 000 BBVA 9.00% C 09/05/2018 (Spain) Financials (subordinated debt) 103.72 60 612 158.69 0.25 13 200 000 BELFIUS BANK SA 3.12% 11/05/2026 (Belgium) Financials (subordinated debt) 108.09 14 431 353.86 0.06 26 603 000 BERKSHIRE HATHAWAY 0.50% C 13/02/2020 (USA) Financials (senior debt) 101.27 27 015 200.73 0.11 32 800 000 CAIXABANK 6.75% C 13/06/2024 (Spain) Financials (subordinated debt) 106.50 35 054 627.07 0.15 12 013 000 CHANNEL LINK 1.76% C 30/06/2022 (United Kingdom) Information Technology 101.61 12 267 697.36 0.05 18 020 000 CHANNEL LINK 2.71% C 30/06/2027 (United Kingdom) Information Technology 102.70 18 646 881.85 0.08 48 316 000 CITIGROUP INC 4.30% 20/11/2026 (USA) Financials (subordinated debt) 104.27 43 264 362.80 0.18 47 501 000 CITIGROUP INC 4.40% 10/06/2025 (USA) Financials (subordinated debt) 105.42 42 913 272.54 0.18 38 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC PATRIMOINE AT 30/09/2017 Price in currencies total value ( ) % of net assets 19 517 000 CPI PROPERTY 2.13% C 04/10/2024 (Germany) Real Estate 100.48 19 611 071.94 0.08 38 271 000 CREDIT AGRICOLE 4.38% 17/03/2025 (France) Financials (subordinated debt) 104.07 33 753 858.02 0.14 39 700 000 CREDIT MUTUEL ARKEA 3.50% 09/02/2029 (France) Financials (subordinated debt) 110.09 44 604 146.44 0.19 25 541 000 CREDIT SUISSE 5.75% C 18/09/2020 (Switzerland) Financials (subordinated debt) 113.29 28 995 241.81 0.12 72 223 000 CREDIT SUISSE 6.50% 08/08/2023 (Switzerland) Financials (subordinated debt) 113.34 69 845 332.06 0.29 101 000 DANSKE BANK A/S 5.88% C 06/04/2022 (Denmark) Financials (subordinated debt) 111.58 115 610.00 0.00 18 303 000 EBAY INC 2.15% 05/06/2020 (USA) Information Technology 100.15 15 612 937.40 0.06 16 600 000 EUROFINS SCIENTIFIC SE 2.12% C 25/04/2024 (Luxembourg) Healthcare 101.16 16 860 708.68 0.07 15 977 000 EUROFINS SCIENTIFIC SE 2.25% 27/01/2022 (Luxembourg) Healthcare 104.09 16 875 056.23 0.07 10 259 000 EUROFINS SCIENTIFIC SE 3.38% C 30/10/2022 (Luxembourg) Healthcare 108.66 11 380 991.70 0.05 19 554 000 EUROFINS SCIENTIFIC SE 4.88% C 29/04/2023 (Luxembourg) Healthcare (subordinated debt) 107.82 21 493 740.73 0.09 18 326 000 FCA BANK SPA IRELAND 1.25% 21/01/2021 (Italy) Financials (senior debt) 102.81 19 000 999.30 0.08 39 073 000 FCA BANK SPA IRELAND 1.38% 17/04/2020 (Italy) Financials (senior debt) 102.84 40 432 991.97 0.17 27 404 000 FCA BANK SPA IRELAND 2.00% 23/10/2019 (Italy) Financials (senior debt) 103.84 28 972 991.62 0.12 31 990 000 FCA BANK SPA IRELAND 2.62% 17/04/2019 (Italy) Financials (senior debt) 103.99 33 654 571.17 0.14 26 808 000 FCA BANK SPA IRELAND 4.00% 17/10/2018 (Italy) Financials (senior debt) 104.23 28 973 704.48 0.12 500 000 FIRST QUANTUM MINERALS LTD 7.25% C 30/10/2017 (Canada) Materials 103.50 449 497.40 0.00 19 800 000 FONCIERE LYONNAISE 3.50% 28/11/2017 (France) Real Estate 100.58 20 502 308.71 0.09 17 375 000 GLOBALWORTH REAL ESTATE 2.88% 20/06/2022 (Romania) Real Estate 102.26 17 912 049.35 0.07 25 379 000 IBERDROLA 5.00% 11/09/2019 (Spain) Utilities 105.33 22 676 992.10 0.09 66 343 000 INTESA SAN PAOLO 3.00% 28/01/2019 (Italy) Financials (senior debt) 104.01 70 355 660.93 0.29 50 506 000 INTESA SAN PAOLO 3.88% 16/01/2018 (Italy) Financials (senior debt) 100.55 43 310 249.05 0.18 69 718 000 INTESA SAN PAOLO 5.25% 12/01/2024 (Italy) Financials (senior debt) 110.42 65 815 897.34 0.27 7 837 000 INTESA SAN PAOLO 5.71% 15/01/2026 (Italy) Financials (subordinated debt) 105.70 7 088 777.09 0.03 12 800 000 INTRUM JUSTIT 2.62% C 15/06/2018 (Sweden) Industrials 101.82 13 125 488.00 0.05 53 221 000 INTRUM JUSTIT 2.75% C 15/07/2019 (Sweden) Industrials 101.54 54 437 085.07 0.23 23 963 000 INTRUM JUSTIT 3.12% C 15/07/2020 (Sweden) Industrials 101.18 24 448 493.71 0.10 26 495 000 JP MORGAN 1.65% C 23/08/2019 (USA) Financials (senior debt) 99.75 22 366 296.68 0.09 71 749 000 LEUCADIA 5.50% C 18/01/2023 (USA) Financials (senior debt) 106.83 66 368 027.31 0.28 53 692 000 LLOYDS 4.58% 10/12/2025 (United Kingdom) Financials (subordinated debt) 105.07 48 374 229.72 0.20 52 693 000 MERCURY BONDCO PLC 7.12% C 30/11/2017 (Italy) Information Technology 104.58 57 473 155.27 0.24 47 055 740 MERCURY BONDCO PLC 8.25% C 30/11/2017 (Italy) Information Technology 105.92 51 166 411.81 0.21 34 304 000 MURPHY OIL CORP 5.75% C 15/08/2020 (USA) Energy 102.89 30 065 401.59 0.12 3 659 000 NASSA TOPCO AS 2.88% C 06/01/2024 (Denmark) Financials (senior debt) 101.14 3 752 360.91 0.02 35 301 000 NETFLIX INC 3.62% 15/05/2027 (USA) Consumer Discretionary 101.78 36 467 516.64 0.15 57 045 000 NORTH ATLANTIC DRILLING 6.25% 01/02/2019 (United Kingdom) Energy 15.94 8 210 903.05 0.03 64 962 000 NUMERICABLE 6.00% C 27/10/2017 (France) Consumer Discretionary 104.64 57 936 630.60 0.24 54 888 000 NUMERICABLE 6.25% C 15/05/2019 (France) Consumer Discretionary 105.55 49 390 533.31 0.21 81 346 000 PERSHING SQUARE HOLDINGS LTD 5.50% C 15/06/2022 (Netherlands) Financials (senior debt) 106.60 74 168 647.88 0.31 38 549 000 ROYAL BANK OF SCOTLAND 3.62% C 25/03/2019 (United Kingdom) Financials (subordinated debt) 103.59 40 666 823.97 0.17 34 314 000 ROYAL BANK OF SCOTLAND 6.93% 09/04/2018 (United Kingdom) Financials (subordinated debt) 103.46 36 654 048.40 0.15 39 299 000 ROYAL BANK OF SCOTLAND 8.62% C 15/08/2021 (United Kingdom) Financials (subordinated debt) 111.01 36 926 125.92 0.15 4 590 000 TEVA PHARMACEUTICAL 1.12% 15/10/2024 (Israel) Healthcare 93.70 4 350 586.23 0.02 9 180 000 TEVA PHARMACEUTICAL 1.25% C 31/12/2022 (Israel) Healthcare 97.27 8 988 228.54 0.04 18 259 000 TEVA PHARMACEUTICAL 1.88% C 31/12/2026 (Israel) Healthcare 94.34 17 400 001.59 0.07 48 196 000 TULLOW OIL 6.00% C 09/10/2017 (United Kingdom) Energy 99.31 41 519 550.78 0.17 62 174 000 TULLOW OIL 6.25% C 27/10/2017 (United Kingdom) Energy 97.39 52 750 429.90 0.22 76 841 000 UBS AG 4.75% C 12/02/2021 (Switzerland) Financials (subordinated debt) 110.81 87 487 256.52 0.36 82 044 000 UBS AG 4.75% C 22/05/2018 (Switzerland) Financials (subordinated debt) 101.57 71 687 157.56 0.30 109 025 000 UBS AG 5.12% 15/05/2024 (Switzerland) Financials (subordinated debt) 106.94 100 436 891.16 0.42 14 250 000 UBS AG 7.62% 17/08/2022 (Switzerland) Financials (subordinated debt) 118.23 14 368 284.59 0.06 47 050 000 UBS GROUP 3.00% 15/04/2021 (Switzerland) Financials (senior debt) 101.45 40 932 544.83 0.17 42 345 000 UBS GROUP 4.12% 15/04/2026 (Switzerland) Financials (senior debt) 105.22 38 377 350.15 0.16 54 866 000 UNICREDIT 5.86% C 19/06/2027 (Italy) Financials (subordinated debt) 104.86 49 450 025.83 0.21 48 098 000 UNICREDIT 6.38% C 02/05/2018 (Italy) Financials (subordinated debt) 102.32 42 718 590.76 0.18 75 682 000 UNICREDIT 6.95% 31/10/2022 (Italy) Financials (subordinated debt) 122.43 97 513 115.68 0.40 20 700 000 UNICREDIT 9.25% C 03/06/2022 (Italy) Financials (subordinated debt) 116.51 24 755 406.00 0.10 DIVERSIFIED MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 39
DIVERSIFIED MANAGEMENT HOLDINGS CARMIGNAC PATRIMOINE AT 30/09/2017 Price in currencies total value ( ) % of net assets Developed countries floating rate corporate bonds 39 996 825.40 0.17 25 595 000 ALLERGAN FUND TV 01/06/2019 (Ireland) Healthcare 100.06 25 609 532.27 0.11 14 090 000 AP MOELLER-MAERSK A/S TV 18/03/2019 (Denmark) Industrials 102.06 14 387 293.13 0.06 Emerging markets fixed rate corporate bonds 606 315 716.95 2.52 22 400 000 BANITSMO SA 3.65% 19/09/2022 (Colombia) Financials (senior debt) 99.96 18 967 798.65 0.08 47 545 000 BRF SA 2.75% 03/06/2022 (Brazil) Consumer Staples 103.27 49 536 744.72 0.21 17 402 000 CBQ FINANCE 7.50% 18/11/2019 (Qatar) Financials (subordinated debt) 107.05 16 172 363.67 0.07 28 433 000 CEDC FINANCE 10.00% C 10/10/2017 (Poland) Consumer Discretionary 97.26 24 013 001.73 0.10 23 244 000 CESKE DRAHY 1.88% 25/05/2023 (Czech Republic) Industrials 104.68 24 489 168.34 0.10 38 640 000 ICICI BANK 4.70% 21/02/2018 (India) Financials (senior debt) 101.01 33 193 509.73 0.14 36 462 000 MOL HUNGARIAN OIL AND GAS 2.62% 28/04/2023 (Hungary) Energy 107.21 39 506 322.27 0.16 71 923 000 MYRIAD INTERNATIONAL HOLDINGS BV 6.00% 18/07/2020 (South Africa) Consumer Discretionary 108.26 66 623 986.89 0.28 16 550 000 NTPC LTD 2.75% 01/02/2027 (India) Utilities 104.20 17 548 520.45 0.07 33 882 000 PETROBRAS 7.38% C 21/07/2020 (Brazil) Energy 109.19 31 717 014.14 0.13 10 200 000 PETROBRAS GLOBAL FINANCE BV 6.12% 17/01/2022 (Brazil) Energy 107.49 9 386 041.00 0.04 21 130 000 PETROBRAS GLOBAL FINANCE BV 6.62% 16/01/2034 (Brazil) Energy 103.40 25 926 527.53 0.11 13 800 000 PETROLEOS MEXICANOS 4.25% 15/01/2025 (Mexico) Energy 99.70 11 745 739.30 0.05 36 812 000 PETROLEOS MEXICANOS 4.88% 21/02/2028 (Mexico) Energy 107.78 40 778 412.32 0.17 46 361 000 PETROLEOS MEXICANOS 5.50% 27/06/2044 (Mexico) Energy 92.88 36 996 904.14 0.15 37 899 000 PETROLEOS MEXICANOS 6.75% 21/09/2047 (Mexico) Energy 105.53 33 903 608.04 0.14 48 098 000 PHOSAGRO 4.20% 13/02/2018 (Russia) Materials 100.79 41 243 725.34 0.17 35 598 000 SANTANDER 4.12% 09/11/2022 (Spain) Financials (senior debt) 104.77 32 045 125.68 0.13 8 880 000 SIGMA ALIMENTOS SA 2.62% 07/02/2024 (Mexico) Consumer Staples 106.16 9 579 179.57 0.04 9 180 000 TEVA PHARMACEUTICAL 0.38% 25/07/2020 (Israel) Healthcare 99.23 9 115 640.65 0.04 9 187 000 TEVA PHARMACEUTICAL 2.88% 15/04/2019 (Israel) Healthcare 103.95 9 673 260.36 0.04 24 428 000 YPF SA 8.50% 28/07/2025 (Argentina) Energy 115.36 24 153 122.43 0.10 Developed countries convertible corporate bonds 28 246 885.00 0.12 48 500 000 MITSUBISHI UF 4.17% 15/12/2050 (Japan) Financials (subordinated debt) 58.24 28 246 885.00 0.12 Asset Backed Securities 1 271 208 262.22 5.28 24 687 000 SPIRE PARTNERS, AURIUM CLO I (Europe) CLO (AAA tranche) 100.16 24 763 163.16 0.10 17 784 000 SPIRE PARTNERS, AURIUM CLO II (Europe) CLO (AAA tranche) 100.79 17 980 668.13 0.07 6 084 000 SPIRE PARTNERS, AURIUM CLO II (Europe) CLO (AA tranche) 101.11 6 181 381.99 0.03 5 616 000 SPIRE PARTNERS, AURIUM CLO II (Europe) CLO (A tranche) 101.79 5 756 241.82 0.02 15 664 000 AXA IM, ADAGIO V CLO (Europe) CLO (AAA tranche) 101.16 15 888 028.43 0.07 8 960 000 AXA IM, ADAGIO V CLO (Europe) CLO (AA tranche) 101.30 9 116 442.39 0.04 39 237 000 AXA IM, ALLEGRO CLO III (USA) CLO (AAA tranche) 100.35 33 486 625.11 0.14 30 985 000 APOLLO MANAGEMENT, ALME LOAN FUNDING IV (Europe) CLO (AAA tranche) 100.47 31 231 675.35 0.13 9 360 000 APOLLO MANAGEMENT, ALME LOAN FUNDING V (Europe) CLO (AAA tranche) 101.18 9 499 413.35 0.04 3 613 000 APOLLO MANAGEMENT, ALME LOAN FUNDING V (Europe) CLO (A tranche) 102.20 3 716 860.34 0.02 32 711 000 APEX CREDIT, APEXC CLO 2016-1 (USA) CLO (AAA tranche) 100.37 27 931 453.04 0.12 42 000 000 APEX CREDIT, APEXC CLO 2017-1 (USA) CLO (AAA tranche) 100.25 35 810 357.77 0.15 36 500 000 APEX CREDIT, APEXC CLO 2017-2 (USA) CLO (AAA tranche) 100.00 30 888 016.63 0.13 38 150 000 OAKTREE CAPITAL, ARBOUR CLO III (Europe) CLO (AAA tranche) 103.23 39 408 969.27 0.16 14 900 000 OAKTREE CAPITAL, ARBOUR CLO IV (Europe) CLO (AAA tranche) 101.87 15 216 053.16 0.06 38 135 699 NEWSTAR CAPITAL, ARCH STREET CLO (USA) CLO (AAA tranche) 100.76 32 701 564.85 0.14 25 079 000 BARINGS, BABSON EURO CLO 2016-1 (Europe) CLO (AAA tranche) 100.66 25 304 176.73 0.11 4 680 000 BARINGS, BABSON EURO CLO 2016-1 (Europe) CLO (AA tranche) 100.80 4 735 098.56 0.02 2 246 000 BARINGS, BABSON EURO CLO 2016-1 (Europe) CLO (A tranche) 102.31 2 310 619.86 0.01 34 882 000 BLACK DIAMOND, BLACK DIAMOND CLO 2014-1 (USA) CLO (AAA tranche) 100.30 29 752 081.56 0.12 29 300 000 COMMERZBANK, BOSPHORUS CLO III (Europe) CLO (AAA tranche) 100.40 29 502 223.10 0.12 12 122 000 CSAM, CADOGAN SQUARE CLO VII (Europe) CLO (AA tranche) 100.82 12 248 379.25 0.05 5 682 000 CSAM, CADOGAN SQUARE CLO VII (Europe) CLO (A tranche) 101.11 5 763 634.49 0.02 3 788 000 CSAM, CADOGAN SQUARE CLO VII (Europe) CLO (BBB tranche) 102.64 3 907 429.37 0.02 38 011 000 CARLYLE, CARLYLE GMS EURO CLO 2015-2 (Europe) CLO (AAA tranche) 100.00 38 020 249.47 0.16 14 256 000 CVC CREDIT PARTNERS, CVC CORDATUS VI (Europe) CLO (AA tranche) 100.93 14 454 807.83 0.06 5 210 000 CVC CREDIT PARTNERS, CVC CORDATUS VI (Europe) CLO (A tranche) 101.51 5 328 048.99 0.02 5 707 000 CVC CREDIT PARTNERS, CVC CORDATUS VI (Europe) CLO (BBB tranche) 102.71 5 923 596.94 0.02 40 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC PATRIMOINE AT 30/09/2017 Price in currencies total value ( ) % of net assets 38 282 000 GUGGENHEIM, CORK STREET CLO (Europe) CLO (AAA tranche) 100.63 38 576 416.60 0.16 2 842 000 CAIRN CAPITAL, CAIRN CLO 2013-3 (Europe) CLO (AA tranche) 100.01 2 871 224.83 0.01 3 793 000 CAIRN CAPITAL, CAIRN CLO 2013-3 (Europe) CLO (A tranche) 100.02 3 846 048.44 0.02 7 399 000 PRAMERICA, DRYDEN 39 EURO CLO (Europe) CLO (BBB tranche) 100.27 7 540 470.85 0.03 13 843 000 PRAMERICA, DRYDEN 27 EURO CLO (Europe) CLO (AAA tranche) 100.27 13 959 248.90 0.06 16 150 000 PRAMERICA, DRYDEN 27 EURO CLO (Europe) CLO (AA tranche) 100.18 16 318 164.57 0.07 63 346 000 BARINGS, DUCHESS VI CLO (Europe) CLO (AAA tranche) 99.98 8 612 104.73 0.04 15 149 000 BLACKSTONE/GSO, ELM PARK (Europe) CLO (AAA tranche) 101.25 15 387 389.54 0.06 9 468 000 BLACKSTONE/GSO, ELM PARK (Europe) CLO (AA tranche) 100.77 9 584 375.18 0.04 11 835 000 BLACKSTONE/GSO, ELM PARK (Europe) CLO (A tranche) 101.56 12 100 161.06 0.05 8 426 000 BLACKSTONE/GSO, ELM PARK (Europe) CLO (BBB tranche) 101.99 8 673 401.87 0.04 15 980 000 GLG PARTNERS, GLG EURO CLO I (Europe) CLO (AAA tranche) 100.10 15 995 345.59 0.07 46 424 000 GOLUB CAPITAL, GOLUB CAPITAL CLO 35 (USA) CLO (AAA tranche) 100.14 39 567 524.52 0.16 38 283 000 INVESTCORP, HARVEST CLO XIV (Europe) CLO (AAA tranche) 100.26 38 450 629.84 0.16 9 470 000 INVESTCORP, HARVEST CLO IV (Europe) CLO (AA tranche) 100.00 3 048 045.25 0.01 24 622 159 HALCYON, HALCYON HLA 2017-1 (USA) CLO (AAA tranche) 100.26 21 068 906.03 0.09 18 661 000 ICG, ICG US CLO 2016-1 (USA) CLO (AAA tranche) 100.40 15 930 547.90 0.07 31 201 000 ALCENTRA, JUBILEE CLO 2015-XVI (Europe) CLO (AAA tranche) 100.32 31 322 153.64 0.13 3 736 000 ALCENTRA, JUBILEE CLO 2016-XVII (Europe) CLO (AAA tranche) 100.68 3 771 667.05 0.02 6 842 000 ALCENTRA, JUBILEE CLO 2016-XVII (Europe) CLO (AA tranche) 101.08 6 946 586.05 0.03 6 539 000 ALCENTRA, JUBILEE CLO 2016-XVII (Europe) CLO (A tranche) 101.49 6 680 349.56 0.03 48 038 000 MARBLE POINT, MP CLO VII (USA) CLO (AAA tranche) 100.01 40 882 565.63 0.17 26 550 000 INVESTCORP, MSIM CONISTON 2007-1 (Europe) CLO (AAA tranche) 99.98 232 807.98 0.00 9 200 000 SEIX, MOUNTAIN VIEW CLO 2017-1 (USA) CLO (AAA tranche) 100.15 7 825 392.34 0.03 17 300 000 SEIX, MOUNTAIN VIEW CLO X (USA) CLO (AAA tranche) 100.23 14 761 503.05 0.06 11 055 000 NASSAU CREDIT, NASSAU 2017-1 (USA) CLO (BB tranche) 100.15 9 364 999.84 0.04 26 117 000 BAIN CREDIT, NEWHAVEN II CLO (Europe) CLO (AAA tranche) 100.52 26 303 202.37 0.11 43 064 000 ONEX CREDIT, OCP CLO 2015-9 (USA) CLO (AAA tranche) 100.06 36 670 445.37 0.15 44 755 000 ONEX CREDIT, OCP CLO 2016-12 (USA) CLO (AAA tranche) 101.08 38 498 970.01 0.16 24 600 000 OFS CLO MANAGEMENT, OFSI VIII (USA) CLO (AAA tranche) 100.11 20 905 424.73 0.09 24 679 000 OAK HILL ADVISORS, OAK HILL ECP IV (Europe) CLO (AAA tranche) 100.59 24 897 737.07 0.10 30 400 000 BLACKSTONE/GSO, ORWELL PARK PARK (Europe) CLO (AAA tranche) 100.00 30 402 640.00 0.13 10 700 000 ROCKFORD TOWER CAPITAL, ROCKFORD TOWER 2017-2 (USA) CLO (AAA tranche) 100.00 9 066 710.08 0.04 23 315 000 INVESCO, RISERVA CLO (USA) CLO (AAA tranche) 100.63 19 962 435.43 0.08 14 000 000 SOFI, SOFI CONSUMER LOAN PROGRAM 2016-3 (USA) CLO (A tranche) 100.90 7 599 736.77 0.03 28 395 000 ALCENTRA, SHACKLETON 2016-IX (USA) CLO (AAA tranche) 100.87 24 368 712.74 0.10 32 000 000 SARANAC CLO MANAGEMENT, SARANAC CLO V (USA) CLO (A tranche) 100.12 27 101 417.70 0.11 25 174 296 TRINITAS CAPITAL MANAGEMENT, TRINITAS CLO V (USA) CLO (AAA tranche) 100.50 21 526 512.64 0.09 50 722 000 TRINITAS CAPITAL MANAGEMENT, TRINITAS CLO VI (USA) CLO (AAA tranche) 100.15 43 301 037.17 0.18 7 378 000 TRINITAS CAPITAL MANAGEMENT, TRINITAS CLO VI (USA) CLO (A tranche) 100.79 6 363 895.40 0.03 28 000 000 MJX MANAGEMENT, VENTURE XXVI CLO (USA) CLO (AAA tranche) 101.15 24 094 092.96 0.10 Equities Developed countries 8 353 987 013.67 34.69 North America 5 639 494 382.26 23.42 3 836 117 ACTIVISION BLIZZARD (USA) Information Technology 64.51 209 328 292.73 0.87 147 671 AMAZON.COM INC (USA) Consumer Discretionary 961.35 120 084 178.52 0.50 5 665 669 ANADARKO PETROLEUM (USA) Energy 48.85 234 112 612.63 0.97 10 743 449 BANK OF AMERICA (USA) Financials 25.34 230 281 676.25 0.96 4 960 950 CELGENE CORP (USA) Healthcare 145.82 611 914 844.36 2.54 1 723 837 CONCHO RESOURCES (USA) Energy 131.72 192 068 862.83 0.80 2 834 030 EOG RESOURCES (USA) Energy 96.74 231 910 050.92 0.96 3 633 675 FACEBOOK INC (USA) Information Technology 170.87 525 195 438.38 2.18 2 803 150 FRANCO-NEVADA CORP (Canada) Materials 96.66 183 261 737.57 0.76 18 743 864 GOLDCORP INC (Canada) Materials 12.96 205 481 709.90 0.85 1 953 940 GRUBHUB INC (USA) Information Technology 52.66 87 036 440.87 0.36 6 783 683 INTERCONTINENTAL EXCHANGE (USA) Financials 68.70 394 213 349.77 1.64 1 719 072 MASTERCARD INC (USA) Information Technology 141.20 205 323 097.95 0.85 9 572 304 NEWMONT MINING (USA) Materials 37.51 303 719 440.91 1.26 DIVERSIFIED MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 41
DIVERSIFIED MANAGEMENT HOLDINGS CARMIGNAC PATRIMOINE AT 30/09/2017 Price in currencies total value ( ) % of net assets 7 909 191 NOBLE ENERGY INC (USA) Energy 28.36 189 734 949.04 0.79 448 139 NVIDIA CORP (USA) Information Technology 178.77 67 766 713.78 0.28 2 090 101 PIONEER NAT. RESOURCES (USA) Energy 147.54 260 847 150.69 1.08 7 969 635 POTASH CORP (Canada) Materials 19.24 129 703 753.51 0.54 2 464 979 SERVICENOW (USA) Information Technology 117.53 245 059 196.30 1.02 1 932 058 SPLUNK INC (USA) Information Technology 66.43 108 565 905.04 0.45 3 790 500 T-MOBILE US INC (USA) Telecommunication Services 61.66 197 701 091.19 0.82 2 965 518 TRANSCANADA CORP (Canada) Energy 61.67 123 695 295.95 0.51 4 219 299 TRIPADVISOR INC (USA) Consumer Discretionary 40.53 144 652 502.51 0.60 2 226 477 VISA INC (USA) Information Technology 105.24 198 202 029.67 0.82 8 746 796 WHEATON PRECIOUS METALS CORP (Canada) Materials 19.09 141 242 036.58 0.59 3 379 403 ZAYO GROUP HOLDINGS INC (USA) Telecommunication Services 34.42 98 392 024.41 0.41 Europe 2 714 492 631.41 11.27 27 030 545 ALTICE SA (Netherlands) Consumer Discretionary 16.95 458 032 585.03 1.90 2 075 062 ASML HOLDINGS (Netherlands) Information Technology 144.05 298 912 681.10 1.24 1 799 813 ASOS PLC (United Kingdom) Consumer Discretionary 59.55 121 635 208.70 0.51 95 807 DASSAULT AVIATION SA (France) Industrials 1 368.45 131 107 089.15 0.54 854 410 HERMES INTERNATIONAL (France) Consumer Discretionary 426.55 364 448 585.50 1.51 37 395 447 HSBC HOLDINGS (United Kingdom) Financials 7.37 312 820 563.85 1.30 3 130 072 INDITEX (Spain) Consumer Discretionary 31.89 99 802 345.72 0.41 4 974 975 LAFARGEHOLCIM LTD (Switzerland) Materials 56.60 246 171 775.15 1.02 3 026 771 LONDON STOCK EXCHANGE (United Kingdom) Financials 38.30 131 561 401.92 0.55 4 649 719 RECKITT BENCKISER (United Kingdom) Consumer Staples 68.13 359 513 539.66 1.49 1 619 430 RENAULT SA (France) Consumer Discretionary 83.11 134 590 827.30 0.56 560 848 VIFOR PHARMA AG (Switzerland) Healthcare 114.00 55 896 028.33 0.23 Equities Emerging markets 2 198 563 639.73 9.13 Latin America 932 846 886.87 3.87 1 674 315 BANCO MACRO (Argentina) Financials 117.35 166 199 344.65 0.69 34 838 572 CEMEX (Mexico) Materials 9.08 267 580 979.33 1.11 518 423 GRUPO FINANCIERO GALICIA (Argentina) Financials 51.54 22 601 523.79 0.09 8 760 296 GRUPO PAO DE ACUCAR (Brazil) Consumer Staples 75.00 175 463 842.14 0.73 1 374 285 MERCADOLIBRE INC (Argentina) Information Technology 258.93 301 001 196.96 1.25 Asia 1 265 716 752.86 5.26 2 752 145 58.COM (China) Information Technology 63.14 146 989 033.41 0.61 21 250 920 AIA GROUP LTD (Hong Kong) Financials 57.60 132 562 216.21 0.55 16 763 166 HANGZHOU HIKVISION DIGITAL-A (China) Information Technology 32.00 68 306 515.47 0.28 14 177 415 HDFC BANK (India) Financials 1 807.80 331 902 348.67 1.38 3 699 682 INDUSIND BANK (India) Financials 1 682.20 80 594 409.32 0.33 82 748 SAMSUNG ELECTRONICS (South Korea) Information Technology 2 564 000.00 156 691 826.08 0.65 5 463 273 TENCENT HOLDINGS (China) Information Technology 336.20 198 916 197.30 0.83 4 823 146 UNITED SPIRITS LTD (India) Consumer Staples 2 397.65 149 754 206.40 0.62 Portfolio value 22 021 913 254.12 91.45 Net assets 24 079 727 138.47 100.00 42 / Management report CARMIGNAC THIRD QUARTER 2017
Xavier Hovasse Charles Zerah Diversified emerging markets fund combining three performance drivers: emerging market equities, bonds, and currencies. By actively managing the equity exposure between 0% and 50%, the Fund manager seeks to benefit from market upturns while limiting drawdowns. The Fund aims to outperform its reference indicator over 5 years. In the third quarter of 2017, Carmignac Portfolio Emerging Patrimoine returned +2.64%, compared with a +2.00% increase in its reference indicator. This takes its gain since the start of the year to +6.66%, versus +7.87% for its indicator. The Fund benefited handsomely from rising share prices in emerging markets and from declining yields on both local-currency and foreign-currency bonds in those countries. Fixed income component As in the previous quarter, the key emerging markets saw an acceleration in GDP growth driven by a rebound in commodity prices, a booming Chinese economy and vigorous international trade. Yields on local-currency emerging market debt (as measured by the JP Morgan GBI-EM Diversified Index) fell 16 basis points during the third quarter to 5.99%. In our bond portfolio, we have retained our preference for local debt over sovereign debt denominated in strong currencies, due to a combination of accommodative monetary policies and falling inflation in most emerging economies. The primary focus of our local-currency debt strategy is Latin America, where we have invested in inflation-linked Brazilian bonds (which still offer an attractive 30-year yield of 5.1%), Mexico s 30-year paper and Chilean issues. In contrast, we are less sanguine about Central and Eastern Europe. The European Central Bank should soon begin downsizing its bond-buying programme, which is likely to push European bond yields up. That explains our cautious overall stance on Hungarian and Polish fixed-income assets. Moreover, we believe upward pressure on wages could fuel inflation in both countries. Russia, however, remains an important investment destination for us. We initiated a position in Indian debt during the second quarter, while in the third we raised our exposure to Asia by buying localcurrency Indonesian debt. Indonesia offers an impressive 6% yield on 10-year paper, whereas inflation remains moderate. Since our purchases, the central bank has shaved 50 basis points off its benchmark rate. There has been very little change in our exposure to foreign-currency debt. We bought into the new dollar-denominated sovereign bond issued by Ukraine, a country that now enjoys financial support from the International Monetary Fund. We maintain our constructive outlook on bonds from emerging markets, which are buoyed by sound economic fundamentals and ample flows of capital from abroad. We plan to keep our exposure to local-currency emerging market debt high, while taking a much more selective approach to dollar- and euro-denominated sovereign debt now that monetary policy tightening is on the cards. Currency component The euro s appreciation against the greenback during the quarter proved detrimental to the Fund s performance, given our currency allocation. On the brighter side, our exposure to Europe s single currency shielded us considerably from forex market volatility. Despite upbeat economic data in emerging markets, their currencies failed by and large to gain ground against the euro as the cyclical upswing in Europe prompted international investors to shift large amounts of capital there. We have kept our currency allocation skewed to Latin America, even beefing up our Argentine peso holdings. At the same time, we have increased our exposure to Asian currencies, particularly to the Indonesian rupiah and the Indian rupee, to reap the benefits of strong GDP growth in those two economies. Equity component With the current environment working unambiguously to the advantage of emerging-world stocks, the equity component of our Fund continued to boost performance. China, a major allocation with 6.1% of the Fund s assets, posted sound economic indicators once again. The country s PMIs scaled highs seldom reached before as capital outflows were staunched for the time being and forex reserves began heading back upwards (adding $52 billion in the third quarter). And with inflation still negligible in September the CPI inched up by just 1.6% on an annualised basis monetary policy has remained loose. In the third Performance of the fund since its launch 125 25% 120 115 110 105 100 95 90 85 03/11 06/11 06/12 06/13 06/14 06/15 06/16 06/17 09/17 Carmignac Portfolio Emerging Patrimoine A EUR acc 50% MSCI EM NR (Eur) + 50% JP Morgan GBI EM (Eur) 20% From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report DIVERSIFIED MANAGEMENT / 43
DIVERSIFIAED MANAGEMENT quarter we acquired a new holding in Bitauto, a leading web portal serving the automotive industry and an online financial services platform for car-buyers. India, with 5.3% of the Fund s assets the second largest allocation in our equity portfolio, was similarly blessed with moderate inflation, showing a 3.2% annualised increase in the CPI. The lack of upward pressure on consumer prices was apparently enough to convince the country s otherwise fervently orthodox central bank to ease monetary policy mildly, lowering its key interest rate by 25 basis points. In addition, both exports and manufacturing indices bear witness to a fairly sound economy. We entered India s cement industry by buying a stake in Ambuja Cement. With a 10% market share, Ambuja should be among the prime beneficiaries of the infrastructure and social housing programmes the government has singled out for priority treatment. In Latin America, we continue to favour Argentina, one of the more promising emerging economies in our view. A reform-minded administration has been working in tandem with a hawkish central bank, and the payoff is already tangible. Inflation, while high, should slow further. And though Argentina s balance of payments is still weighed down by a current account deficit, direct foreign investment and substantial portfolio flows have put it on sounder foundations. To take advantage of the economic recovery under way, we raised our exposure to the country by acquiring a stake in the Grupo Supervielle bank. Argentine households and businesses have borrowed few money in the past, leaving the country with an unusually low banking penetration rate that opens up a major opportunity for Supervielle. Source of data: Carmignac, CEIC, JP Morgan Research, Barclays, Credit Suisse, Company data, 29/09/2017. Sector breakdown (derivatives excluded) (%) Bond portfolio (derivatives excluded) - Rating breakdown (%) Information Technology 31.5 AAA 6.2 Financials 21.0 AA 5.0 Consumer Discretionary 20.3 A 11,5 16.0 Materials 6.8 BBB 30.1 Consumer Staples 5.6 BB 27.8 Industrials 4.7 B 3,6 13.2 Real Estate 3.3 CCC 1.7 Utilities 3.1 Telecommunication Services 3.1 Healthcare 0.6 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 10.10 9.94 Bond portfolio (derivatives excluded) - Maturity breakdown (%) Net currency exposure of Euro share classes (%) < 1 year 6.9 EUR 13,6 46.8 1-3 years 3.6 JPY -1.0 3-5 years 12.2 Latin America 28.2 5-7 years 11.1 Emerging Asia 0,1 14.4 7-10 years 20,5 31.5 Eastern Europe, Middle East and Africa 11.8 > 10 years 32.0 Other -0.2 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Portfolio Emerging Patrimoine A EUR acc 6,66 2,64-0,21 5,09 13,61 9,09-19,68 Reference indicator* 7,87 2,00 0,38 9,04 15,59 17,52-24,69 Category average** 4,96 1,33-1,21 6,83 12,81 16,7-17,25 Ranking (quartile) 2 1 2 3 3 4-3 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * 50% MSCI EM NR (Eur) + 50% JP Morgan GBI EM (Eur) (Accrued interest). ** Global Emerging Markets Equity. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). 44 / Management report CARMIGNAC THIRD QUARTER 2017
Quarterly gross performance contribution (%) Equity Portfolio Bond Portfolio Equity Derivatives Bond Derivatives Currency Derivatives Total 1.58 0.81 0.46-0.39 0.63 3.09 Modified duration of the bond portfolio (derivatives included) Euro 0.92 United States -0.09 Other 2.55 Statistics (%) 1 year 3 years Fund volatility 8.63 8.87 Benchmark volatility 9.49 11.32 Sharpe ratio 0.63 0.52 Beta 0.84 0.69 Alpha -0.04 0.07 Calculation period: weekly (1 year) and monthly (3 years). DIVERSIFIED MANAGEMENT HOLDINGS CARMIGNAC PORTFOLIO EMERGING PATRIMOINE AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 25 901 006.87 2.97 Cash (including collateral cash from derivative positions) 25 901 006.87 2.97 Developed countries fixed rate Government bonds 28 137 298.18 3.23 3 000 000 GREECE 3.00% 24/02/2038 (Greece) Euro 71.26 2 192 203.15 0.25 3 000 000 GREECE 3.00% 24/02/2039 (Greece) Euro 71.11 2 187 913.15 0.25 28 000 000 UNITED STATES 0.75% 31/10/2017 (USA) Dollar 99.99 23 757 181.88 2.72 Emerging markets fixed rate Government bonds 237 008 351.72 27.17 24 376 695 ARGENTINA 7.82% 31/12/2033 (Argentina) Euro 111.94 27 785 016.85 3.19 21 850 000 BAHRAIN 7.00% 12/10/2028 (Bahrain) Dollar 102.26 19 515 291.83 2.24 5 000 000 BRAZIL 5.62% 21/02/2047 (Brazil) Dollar 101.19 4 308 149.00 0.49 10 000 000 EGYPT 5.75% 29/04/2020 (Egypt) Dollar 103.78 8 986 188.65 1.03 9 050 000 EGYPT 6.12% 31/01/2022 (Egypt) Dollar 103.63 8 015 464.13 0.92 130 000 000 000 INDONESIA 7.00% 15/05/2022 (Indonesia) IDR 103.68 8 685 069.27 1.00 470 000 000 000 INDONESIA 7.00% 15/05/2027 (Indonesia) IDR 103.86 31 453 291.50 3.61 100 000 000 000 INDONESIA 8.38% 15/09/2026 (Indonesia) IDR 112.44 7 089 003.35 0.81 100 000 000 MALAYSIA 3.90% 16/11/2027 (Malaysia) MYR 99.89 20 309 408.80 2.33 4 389 700 MEXICO 7.50% 03/06/2027 (Mexico) Mexican peso 104.51 21 843 245.02 2.50 6 000 000 REPUBLIC OF ECUADOR 10.50% 24/03/2020 (Ecuador) Dollar 108.10 5 499 500.93 0.63 10 000 000 RUSSIA 4.75% 27/05/2026 (Russia) Dollar 106.17 9 122 034.71 1.05 24 454 000 SOUTH AFRICA 3.75% 24/07/2026 (South Africa) Euro 104.14 25 643 797.65 2.94 250 000 000 THAILAND 4.88% 22/06/2029 (Thailand) Thai baht 123.70 7 932 007.47 0.91 40 000 000 TURKEY 11.00% 02/03/2022 (Turkey) TRY 100.57 9 648 795.02 1.11 14 700 000 TURKEY 3.25% 14/06/2025 (Turkey) Euro 100.23 14 879 819.26 1.71 7 600 000 UKRAINE 7.38% 25/09/2032 (Ukraine) Dollar 97.71 6 292 268.28 0.72 Emerging countries inflation-linked Government bonds 174 154 240.24 19.97 78 689 BRAZIL I/L 6.00% 15/08/2050 (Brazil) Real Brazil 3 458.39 72 774 609.81 8.34 73 400 000 CHILE I/L 1.50% 01/03/2021 (Chile) Chilean peso 101.19 26 207 889.48 3.00 900 000 MEXICO I/L 4.50% 04/12/2025 (Mexico) Mexican peso 110.60 27 336 270.82 3.13 3 000 000 000 RUSSIA I/L 2.50% 16/08/2023 (Russia) Russian Ruble 95.71 47 835 470.13 5.48 Developed countries fixed rate corporate bonds 30 009 827.19 3.44 4 319 050 AFREN 10.25% C 27/10/2017 (United Kingdom) Energy 0.33 12 220.62 0.00 19 516 720 AFREN 6.62% C 09/12/2017 (United Kingdom) Energy 0.32 53 406.01 0.01 100 000 000 JP MORGAN 0.00% 03/01/2030 (USA) Financials 30.10 8 047 974.97 0.92 1 500 000 000 JP MORGAN 0.00% C 22/02/2032 (USA) Financials 8.09 5 652 009.87 0.65 2 500 000 000 JP MORGAN 0.00% C 29/06/2022 (USA) Financials 12.42 4 019 292.60 0.46 5 000 000 TIZIR LTD 9.50% C 19/07/2020 (United Kingdom) Materials 103.75 4 471 666.48 0.51 9 000 000 TULLOW OIL 6.00% C 09/10/2017 (United Kingdom) Energy 99.31 7 753 256.64 0.89 Emerging markets fixed rate corporate bonds 50 570 806.86 5.79 2 700 000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 6.88% C 06/07/2022 (Mexico) Financials (subordinated debt) 106.35 2 466 940.77 0.28 3 500 000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 7.62% C 06/01/2028 (Mexico) Financials (subordinated debt) 109.58 3 298 849.42 0.38 6 000 000 GTLK EUROPE 5.12% 31/05/2024 (Russia) Financials 101.62 5 246 119.52 0.60 5 230 000 RUSSIAN RAILWAYS VIA RZD CAPITAL PLC 2.10% 02/10/2023 (Russia) Industrials 100.63 4 601 395.62 0.53 5 100 000 CEDC FINANCE 10.00% C 31/12/2022 (Poland) Consumer Discretionary 97.26 4 307 189.14 0.49 640 000 000 INTERNATIONAL FINANCE CORP 6.30% 25/11/2024 (India) Financials 101.42 8 590 790.36 0.98 4 500 000 PETROBRAS GLOBAL FINANCE BV 6.12% 17/01/2022 (Brazil) Energy 107.49 4 140 900.44 0.47 CARMIGNAC THIRD QUARTER 2017 / 45
DIVERSIFIED MANAGEMENT HOLDINGS CARMIGNAC PORTFOLIO EMERGING PATRIMOINE AT 30/09/2017 Price in currencies Total value ( ) % of net assets 10 000 000 PETROLEOS MEXICANOS 4.25% 15/01/2025 (Mexico) Energy 99.70 8 511 405.29 0.98 10 000 000 PETROLEOS MEXICANOS 6.50% 13/03/2027 (Mexico) Energy 110.85 9 407 216.30 1.08 Equities 326 479 103.32 37.43 North America 5 975 476.64 0.69 110 103 LAS VEGAS SANDS (USA) Consumer Discretionary 64.16 5 975 476.64 0.69 Asia-Pacific 8 413 422.60 0.96 274 761 LINE CORP (Japan) Information Technology 36.20 8 413 422.60 0.96 Europe 6 905 573.27 0.80 206 836 JERONIMO MARTINS (Portugal) Consumer Staples 16.69 3 452 092.84 0.40 171 831 LILAC GROUP (United Kingdom) Consumer Discretionary 23.76 3 453 480.43 0.40 Latin America 79 517 931.74 9.12 32 936 BANCO MACRO (Argentina) Financials 117.35 3 269 361.87 0.37 722 939 BANCO SANTANDER MEXICO (Mexico) Financials 10.09 6 170 237.28 0.71 1 145 099 BB SEGURIDADE PARTICIPACOES (Brazil) Financials 28.63 8 767 113.98 1.01 1 444 547 CEMEX (Mexico) Materials 9.08 11 094 981.19 1.27 201 166 CIA DE ENER. ELEC. PAULISTA (Brazil) Utilities 68.32 3 675 316.19 0.42 1 758 733 GRUPO BANORTE (Mexico) Financials 125.58 10 288 020.93 1.18 2 706 527 GRUPO MEXICO SA DE CV (Mexico) Materials 55.69 7 021 033.25 0.80 424 084 GRUPO SUPERVIELLE SA CL-B (Argentina) Financials 24.69 8 856 905.74 1.02 59 255 MERCADOLIBRE INC (Argentina) Information Technology 258.93 12 978 258.46 1.49 990 169 MEXICO REAL ESTATE MGMT (Mexico) Real Estate 24.09 1 111 111.32 0.13 1 056 389 TRANSMISSORA ALIANCA (Brazil) Utilities 22.25 6 285 591.53 0.72 Asia 179 059 865.77 20.53 176 135 58.COM (China) Information Technology 63.14 9 407 176.37 1.08 1 684 163 AIA GROUP LTD (Hong Kong) Financials 57.60 10 505 727.74 1.20 1 172 446 AMBUJA CEMENTS (India) Materials 266.45 4 045 493.10 0.46 15 733 651 ASTRA INTERNATIONAL (Indonesia) Consumer Discretionary 7 900.00 7 806 031.14 0.89 11 732 BAIDU INC (China) Information Technology 247.69 2 458 043.55 0.28 1 988 109 BHARTI INFRATEL LTD (India) Telecommunication Services 398.40 10 257 044.41 1.18 195 723 BITAUTO HOLDINGS LTD-ADR (China) Information Technology 44.68 7 397 144.00 0.85 12 500 710 DALI FOODS GROUP CO LTD (China) Consumer Staples 5.60 7 581 274.88 0.87 1 239 893 FUYAO GROUP GLASS INDUSTRY-A (China) Consumer Discretionary 25.49 4 024 483.50 0.46 219 853 HDFC BANK (India) Financials 1 807.80 5 146 899.28 0.59 98 806 HERO MOTOCORP LTD (India) Consumer Discretionary 57.79 4 829 600.84 0.55 136 888 HOUSING DEVELOPMENT FINANCE (India) Financials 1 742.15 3 088 259.71 0.35 56 731 HYUNDAI MOTOR (South Korea) Consumer Discretionary 150 500.00 6 305 619.41 0.72 443 386 KANGWON LAND (South Korea) Consumer Discretionary 35 000.00 11 460 955.75 1.31 7 540 SAMSUNG BIOLOGICS CO LTD (South Korea) Healthcare 337 500.00 1 879 385.79 0.22 13 647 SAMSUNG ELECTRONICS (South Korea) Information Technology 2 564 000.00 24 703 438.50 2.83 22 710 SAMSUNG SDI CO (South Korea) Information Technology 198 500.00 3 329 265.73 0.38 741 912 TAIWAN SEMICONDUCTOR (Taiwan) Information Technology 37.55 23 565 213.67 2.70 2 248 911 TATA MOTORS LTD (India) Consumer Discretionary 401.50 11 692 880.95 1.34 237 286 UNITED SPIRITS LTD (India) Consumer Staples 2 397.65 7 367 510.48 0.84 2 977 068 ZHENGZHOU YUTONG BUS CO-A (China) Industrials 24.60 9 325 668.40 1.07 242 734 ZTO EXPRESS CAYMAN INC (China) Industrials 14.04 2 882 748.57 0.33 Africa 18 647 763.37 2.14 101 941 NASPERS LTD (South Africa) Consumer Discretionary 2 920.00 18 647 763.37 2.14 Eastern Europe 4 545 308.49 0.52 2 677 777 MOSCOW EXCHANGE (Russia) Financials 115.50 4 545 308.49 0.52 Middle East 23 399 337.69 2.68 110 202 CHECK POINT SOFTWARE (Israel) Information Technology 114.02 10 628 685.54 1.22 4 935 648 EMAAR PROPERTIES PJSC (United Arab Emirates) Real Estate 8.49 9 651 105.29 1.11 2 531 771 ENKA INSAAT VE SANAYI (Turkey) Industrials 5.18 3 119 546.86 0.36 Portfolio value 846 359 627.51 97.03 Net assets 872 260 634.38 100.00 46 / Management report CARMIGNAC THIRD QUARTER 2017
Malte Heininger European equity fund with an actively managed net equity exposure ranging between 0% and 50%. The Fund aims to generate alpha through the combination of long and short positions, while following a flexible and active management with an emphasis on limiting downside risk. The Fund aims to outperform its reference indicator over 3 years. Q3 was a good quarter for Carmignac Euro-Patrimoine. While the reference indicator was up +2.30%, the Fund gained +5.20% although maintaining a prudent beta adjusted net exposure. The year-to-date performance of the Fund is +8.60%, versus +5.65% for the indicator. Our constructive view on Europe was confirmed during the quarter, with an overall strong earnings season, relatively dovish ECB meetings and the German IFO Business Climate Index hitting an all-time high. The German election proved to be a non-event, with Merkel comfortably winning a 4th term as expected. However, the major parties worst post-war performance and the rise of the right-wing protest party AFD are indicative of a trend similar to what we have seen in France and the US, namely a widening and lasting gap between the winners and losers of the new digital world order. While equity indices are at or close to all-time highs and unemployment close to post-war lows in countries like Germany and the US, a significant portion of the population still feels left behind and wants change. Notwithstanding all the enthusiasm about technological progress and digitisation, the acceleration that we re currently experiencing and will witness in the near future could lead to serious structural problems and social unrest of the kind that could undermine the current peaceful environment. In such fields as autonomous driving, electronic vehicles, renewable energies, 3D printing, virtual reality and Artificial Intelligence, we are fast approaching an inflection point that will affect the way we live and work to an extent that we can barely even imagine today. The ensuing changes will create long-term winners and losers and, given the technological J-curve effect, it will take less time than in the past for the effects to become apparent. As investors, we try to position ourselves accordingly on the long and the short side. With that in mind, we have built a significant position in RIB Software. RIB is a market leader in 5D Building Information Modelling Software. While the construction market is huge, with about $9 trillion in annual volumes, the industry still operates in a relatively outmoded fashion and has not really changed much in the last 200 years. Companies like RIB help construction companies transition into the digital age by providing software solutions that merge the 3D construction process with the relevant timing and cost considerations and working to optimise the whole supply chain. To optimise procurement, they have partnered with Flex, a leader in contract manufacturing and supply chain management, to promote a global sourcing platform for the construction industry. While the market opportunity has been obvious for some time, we think that digitisation of the industry is moving close to an inflection point, partly facilitated by the innovative platform solution that RIB is offering together with Flex. When the market you serve weighs $9 trillion, you hardly need to make particularly bold assumptions to project a significant total addressable market. Another beneficiary of digitisation that we bought earlier this year is Vivendi. While their music business had been a clear loser in the shift from physical devices to digital, the mix shift has changed in their favour and their music business is accelerating again. As the largest music entertainment company in the world, Vivendi benefits from the rise in paid streaming services provided by Spotify, Apple, Amazon and Google. Due to their unique content and the shift of the industry from piracy downloads to paid streaming, the monetisation opportunity for Vivendi is huge. Lastly, a new hire on our team should be mentioned. Juhana Kaikkonen joined us in October from Silverlake, a tech-focused private equity firm, and will work very closely with the Fund manager on the investment side. Performance of the fund since conversion** 200 180 160 140 120 100 88% 80 12/02 12/04 12/06 12/08 12/10 12/12 12/14 12/16 09/17 Carmignac Euro-Patrimoine A EUR acc 50% Euro Stoxx 50 NR (Eur) + 50% Eonia compounded. From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). **The Fund was transformed on 01/01/2003: new reference indicator and new investment strategy. 53% * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report DIVERSIFIED MANAGEMENT / 47
DIVERSIFIED MANAGEMENT Statistics (%) 1 year 3 years Fund volatility 6.73 8.18 Benchmark volatility 6.10 7.97 Sharpe ratio 1.72 0.44 Beta 0.67 0.35 Alpha 0.07 0.20 Calculation period: weekly (1 year) and monthly (3 years). Exposure by asset class (%) Sector Exposure (%) Positions Long Short Net Cons. Goods 7.2-7.1 0.2 Regional Indexes 1.9-21.0-19.1 Industrials 13.9-9.0 4.9 Basic Materials 5.5-3.8 1.7 Oil & Gas 0-2.5-2.5 Healthcare 7.5-2.0 5.5 Cons. Services 24.2-5.1 19.1 Financials 21.6-11.8 9.8 Technology 23.2-5.8 17.4 Telecommunication 0.9-0.3 0.6 Total 105.9-68.3 37.6 Long positions -68.3 Net equity exposure Cash (including collateral cash from derivative positions) 6,8 105.9 Short positions 37.6 12.4 Quarterly gross performance contribution (%) Equity Portfolio Equity Derivatives Bond Derivatives Currency Derivatives Total 6.29-0.79-0.02 0.48 5.96 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 6.11 7.36 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since conversion on 01/01/2003*** Carmignac Euro-Patrimoine A EUR acc 8.60 5.20 10.08 11.20 10.54 12.15 23.08 87.50 Reference indicator* 5.65 2.30 2.21 10.85 10.43 31.03 7.74 53.47 Category average** 4.84 1.1 2.17 7.53 11.7 29.27 20.6 129.07 Ranking (quartile) 1 1 1 1 3 4 3 3 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * 50% Euro Stoxx 50 NR (Eur) + 50% Eonia compounded. ** EUR Moderate Allocation. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). ***The Fund was transformed on 01/01/2003: new reference indicator and new investment strategy. 48 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC EURO-PATRIMOINE AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 38 339 554.02 12.40 Cash (including collateral cash from derivative positions) 33 103 332.59 10.71 Carmignac Court Terme Mutual Fund - Money Market 5 236 221.43 1.69 Equities European Union 245 294 996.66 79.33 Germany 135 959 545.52 43.97 131 900 BASF SE Basic Materials 90.04 11 876 276.00 3.84 29 340 BAYER AG Basic Materials 115.30 3 382 902.00 1.09 36 781 BILFINGER BERGER AG Industrials 35.43 1 303 150.83 0.42 137 312 BMW Consumer Goods 85.83 11 785 488.96 3.81 119 735 CANCOM SE Technology 63.50 7 603 172.50 2.46 1 232 539 COMMERZBANK AG Financials 11.51 14 186 523.89 4.59 149 632 DELIVERY HERO AG Consumer Services 33.50 5 012 672.00 1.62 177 158 DEUTSCHE BANK AG Financials 14.63 2 591 821.54 0.84 148 825 DEUTSCHE BOERSE AG Financials 91.71 13 648 740.75 4.41 10 558 FRESENIUS MEDICAL CARE Healthcare 68.25 720 583.50 0.23 117 115 HAPAG-LLOYD AG Industrials 35.75 4 186 861.25 1.35 125 468 MORPHOSYS Healthcare 71.37 8 954 651.16 2.90 998 534 RIB SOFTWARE SE Technology 17.95 17 923 685.30 5.80 132 300 SAP AG Technology 92.69 12 262 887.00 3.97 124 825 SIEMENS AG Industrials 119.20 14 879 140.00 4.81 77 512 SOFTWARE Technology 41.31 3 201 633.16 1.04 171 544 TAG IMMOBILIEN AG Financials 14.22 2 439 355.68 0.79 Belgium 4 435 340.00 1.43 212 704 FAGRON NV Healthcare 12.32 2 620 513.28 0.85 44 092 TESSENDERLO CHEMIE Basic Materials 41.16 1 814 826.72 0.59 Spain 4 038 127.50 1.31 200 533 NEINOR HOMES SA Financials 18.10 3 629 647.30 1.17 86 763 TALGO SA Industrials 4.71 408 480.20 0.13 Finland 4 339 438.50 1.40 162 222 FERRATUM OYJ Financials 26.75 4 339 438.50 1.40 France 23 896 667.42 7.73 389 463 ALTRAN TECHNOLOGIES SA Technology 15.56 6 060 044.28 1.96 26 121 CRITEO SA-SPON ADR Technology 41.50 916 952.72 0.30 66 966 MAISONS DU MONDE SA Consumer Goods 37.20 2 490 800.37 0.81 19 631 SOPRA STERIA GROUP Technology 157.05 3 083 048.55 1.00 19 321 TELEPERFORMANCE Industrials 126.30 2 440 242.30 0.79 415 760 VIVENDI Consumer Services 21.42 8 905 579.20 2.88 Ireland 9 433 609.77 3.05 1 410 062 ALLIED IRISH BANKS PLC Financials 5.09 7 170 165.27 2.32 85 413 SMURFIT KAPPA GROUP PLC Industrials 26.50 2 263 444.50 0.73 Netherlands 24 049 823.57 7.78 182 183 ABN AMRO GROUP NV-CVA Financials 25.34 4 616 517.22 1.49 160 040 ALTICE SA Telecommunication 16.95 2 711 877.80 0.88 418 820 ASR NEDERLAND Financials 33.85 14 174 962.90 4.58 97 753 KONINKLIJKE VOLKERWESSELS Industrials 26.05 2 546 465.65 0.82 United Kingdom 39 142 444.38 12.66 1 869 137 ALFA FINANCIAL SOFTWARE HOLD Technology 5.07 10 744 117.24 3.47 2 690 547 GOCOMPARE.COM GROUP PLC Consumer Services 1.05 3 190 854.70 1.03 1 673 947 INFORMA PLC Consumer Services 6.72 12 766 184.92 4.13 242 052 MICRO FOCUS INTER. Technology 23.87 6 557 091.57 2.12 27 986 RECKITT BENCKISER Consumer Goods 68.13 2 163 861.07 0.70 86 541 SHIRE PLC Healthcare 37.88 3 720 334.88 1.20 Equities ex European Union 25 571 428.62 8.27 USA 16 665 350.03 5.39 195 595 GRUBHUB INC Consumer Services 52.66 8 712 597.45 2.82 231 970 TRIPADVISOR INC Consumer Services 40.53 7 952 752.58 2.57 Switzerland 8 906 078.59 2.88 2 169 NESTLE SA Consumer Goods 81.10 153 784.06 0.05 18 067 PANALPINA WELTTRANSPORT Industrials 141.90 2 241 296.76 0.72 3 466 TEMENOS GROUP AG Technology 98.80 299 375.62 0.10 62 326 VIFOR PHARMA AG Healthcare 114.00 6 211 622.15 2.01 Portfolio value 270 866 425.28 87.60 Net assets 309 205 979.30 100.00 DIVERSIFIED MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 49
DIVERSIFIED MANAGEMENT NET EQUITY EXPOSURE CARMIGNAC EURO-PATRIMOINE AT 30/09/2017 Exposure ( ) % Exposure Long derivative positions 56 679 614.00 18.33 European Union 8 244 685.00 2.67 Consumer Services (1 Position) United Kingdom 1 324 049.00 0.43 Healthcare (1 Position) Ireland 1 031 356.00 0.33 Regional Indexes (1 Position) Europe 5 889 280.00 1.90 ex European Union 48 434 929.00 15.66 Consumer Goods (1 Position) Switzerland 5 676 823.00 1.84 Consumer Services (1 Position) USA 458 893.00 0.15 Consumer Services (2 Positions) Switzerland 26 483 168.00 8.56 Industrials (2 Positions) Switzerland 12 749 216.00 4.12 Technology (1 Position) Switzerland 3 066 829.00 0.99 Short derivative positions -211 201 392.00-68.30 European Union -176 827 652.00-57.19 Basic Materials (1 Position) Germany -11 868 019.00-3.84 Consumer Goods (2 Positions) Germany -17 111 334.00-5.53 Consumer Goods (1 Position) Spain -2 151 580.00-0.70 Consumer Goods (1 Position) Finland -316 853.00-0.10 Consumer Goods (1 Position) Ireland -2 206 619.00-0.71 Consumer Services (1 Position) France -1 929 520.00-0.62 Consumer Services (1 Position) Netherlands -3 203 327.00-1.04 Consumer Services (3 Positions) United Kingdom -7 603 021.00-2.46 Financials (3 Positions) Germany -30 684 019.00-9.92 Financials (2 Positions) Netherlands -792 400.00-0.26 Financials (1 Position) United Kingdom -2 920 420.00-0.94 Healthcare (2 Positions) Germany -2 960 673.00-0.96 Industrials (3 Positions) Germany -19 574 684.00-6.33 Industrials (1 Position) Belgium -1 685 162.00-0.54 Industrials (1 Position) Spain -1 270 544.00-0.41 Industrials (1 Position) France -2 336 919.00-0.76 Industrials (1 Position) Sweden -1 257 799.00-0.41 Oil & Gas (1 Position) Germany -2 162 292.00-0.70 Technology (1 Position) Germany -12 254 367.00-3.96 Technology (1 Position) Belgium -1 611 692.00-0.52 Regional Indexes (7 Positions) Europe -45 481 600.00-14.71 Regional Indexes (1 Position) Sweden -5 444 808.00-1.76 ex European Union -34 373 740.00-11.12 Consumer Services (1 Position) USA -3 111 535.00-1.01 Financials (1 Position) USA -2 207 284.00-0.71 Healthcare (1 Position) Switzerland -3 160 642.00-1.02 Industrials (1 Position) Switzerland -1 709 203.00-0.55 Oil & Gas (1 Position) China -5 398 060.00-1.75 Technology (1 Position) USA -3 922 631.00-1.27 Telecommunication (1 Position) Switzerland -1 002 941.00-0.32 Regional Indexes (1 Position) USA -9 790 272.00-3.17 Regional Indexes (1 Position) Switzerland -4 071 172.00-1.32 Equity Investment 270 866 425.28 87.60 Net equity exposure 116 344 647.28 37.63 50 / Management report CARMIGNAC THIRD QUARTER 2017
Frédéric Leroux Diversified fund, feeder of the Carmignac Investissement international equity fund. Through the use of derivatives, the Fund Manager is free to adjust the fund s exposure to Carmignac Investissement s equity risk from anywhere between 0% and 100%. The Fund combines strong convictions on global equities and expertise in managing market risk exposure. The Fund aims to outperform its reference indicator over 5 years. Carmignac Investissement Latitude gained +0.40% in the third quarter, against a +1.48% rise in its reference indicator and a +0.78% increase in its master fund, Carmignac Investissement. This takes the Fund s performance since the start of the year to +3.04%, versus +4.61% for its reference indicator. Derivatives transactions made a marginal contribution to performance in the quarter, while our equity-market trades put in a slightly positive showing thanks largely to our positions on the Euro Stoxx 50 and DAX 30, and despite losses on our hedge on the emerging-market index. Our short positions on Bunds, which we initiated out of a belief that eurozone bond yields would start edging upwards, detracted from performance, as did our sterling hedge, which turned out to be premature. The Fund went into the third quarter with an equity market exposure equal to that of its master fund, which is the maximum allowed for the Fund.** In addition to its investment in its master fund, Carmignac Investissement Latitude has long positions on futures and options contracts on the regional and sector-specific indices that are more sensitive to the business cycle than broader indices. At the same time, the Fund has shorted less-cyclical indices, thus preventing its exposure from exceeding that of its master fund. The Fund s long positions mainly concern the DAX 30, the European banking index, and the Nikkei 225, while its short positions are on the S&P 500 European staple and utility indices. These positions reflect our expectation of above-potential GDP growth in Europe, which would be a boon for cyclical stocks. In the forex market, we are keeping our US dollar exposure the same as that of the reference indicator, or 53%, consistent with our outlook three months ago that the bulk of the dollar s appreciation against the euro has already happened. The Fund has short positions on the yen and pound sterling as we expect those currencies to continue losing ground to the greenback. These exchange-rate and equity derivatives in the Fund s portfolio are the primary factors differentiating it from its master fund. We feel that our macroeconomic outlook from this past July is still relevant. Output has continued to expand in both Europe and the emerging world, while the United States has managed to sustain a growth rate of between 2.0% and 2.5% and Japan has kept its head above water. In view of that moderate yet synchronised growth, the Fed and the ECB can now progress calmly towards monetary policy normalisation, although such a shift would no doubt seem more legitimate if inflation were higher. Then again, low inflation opens the door to a return to normal monetary policies that will be gradual enough not to undermine the global economic expansion. At the same time, the fact that the United States has yet to introduce stimulus measures makes it easier for the US economy to keep humming without much danger of overheating and without being an excessive contributor to global growth. Investors risk appetite has been stimulated by the prospects of major tax reform and large-scale infrastructure spending in the US two scenarios that may or may not get off the ground. But if they do, the resulting GDP growth rate could prove too high to allow central banks to continue to play it safe, in which case the monetary policy normalisation process is likely to pick up speed. The other danger facing the market for risk assets would be a dramatic economic slump emanating from the United States. That makes it imperative to keep a close watch on where world trade is heading. For the past six months, export growth in the leading trading nations has been close to zero, after a trade boom that did a great deal to disseminate economic growth across the globe and boost corporate earnings. A telling sign of how solid the expansionary phase in the business cycle is today is that wave after wave of political uncertainty and even upset has barely caused a ripple. Leaving aside the two risks mentioned above and as long as the stock market rally doesn t spin out of control recent trends can be expected to continue. We have retained our unabashedly bullish investment strategy, which we intend to implement in our four key asset classes in the following way: We will maintain maximum exposure to equities meaning the same exposure as for Carmignac Investissement while adding a cyclical bias through derivatives positions on the countries and sectors most highly correlated with economic activity. To avoid exceeding the master fund s equity exposure, we will use derivatives to short defensive sectors and markets. Performance of the fund since its launch 300 250 200 150 100 163% 117% 50 01/05 01/07 01/09 01/11 01/13 01/15 01/17 09/17 Carmignac Investissement Latitude A EUR acc MSCI AC World NR (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. **The Fund s equity exposure can range from 0% to 100% of its master fund s equity exposure. Management report DIVERSIFIED MANAGEMENT / 51
DIVERSIFIED MANAGEMENT On the interest-rate front, we plan to keep our exposure to duration low or even negative in the event that German and US bond yields sag further. In the forex market, we will maintain negative exposure to the yen and to sterling, and we will de-index our holdings from fluctuations in the US dollar as soon as the greenback has adequately corrected its fall against the euro. Net currency exposure of the fund (%) USD EUR JPY GBP CHF AUD and CAD Latin America Emerging Asia -16.1-8.4-0.7-4.8 0.3 6,8 3.6 27,1 40,1 63.2 62.4 In more general terms, we will be closely tracking macroeconomic shifts and political developments in the United States so that we can tackle the two risks discussed above as effectively as possible. Statistics (%) 1 year 3 years Fund volatility 10.21 9.63 Benchmark volatility 10.35 11.62 Sharpe ratio 0.69 0.21 Beta 0.83 0.59 Alpha -0.07-0.31 Calculation period: weekly (1 year) and monthly (3 years). Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 11.16 10.79 Quarterly gross performance contribution (%) Equity Derivatives Bond Derivatives Currency Derivatives Mutual Fund Total 0.11-0.16-0.19 0.76 0.52 Exposure rate (%): 93.54 Exposure rate of the master fund (%): 95.78 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Investissement Latitude A EUR acc 3.04 0.40 0.37 6.63 5.42 18.88 47.80 163.00 MSCI AC World NR (Eur) 4.61 1.48-0.77 12.79 32.50 76.12 56.72 116.86 Category average* 3.34 0.96 0.73 5.49 8.32 19.3 7.64 39.92 Ranking (quartile) 3 3 3 2 3 3 1 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * EUR Flexible Allocation - Global. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). 52 / Management report CARMIGNAC THIRD QUARTER 2017
Carmignac Profil Réactif 100 A EUR acc Carmignac Profil Réactif 75 A EUR acc Carmignac Profil Réactif 50 A EUR acc Frédéric Leroux Pierre-Edouard Bonenfant The Profils Réactifs funds are managed on a discretionary basis by the portfolio manager, who pursues an active asset allocation policy, mainly involving funds invested in international equities and bonds. They aim to generate a positive annual return while keeping annual volatility below that of their reference indicator. Two of our three Profil Réactif funds outperformed their reference indicators in the third quarter. Carmignac Profil Réactif 75 was up +1.11% (versus +0.66% for its reference indicator) and Carmignac Profil Réactif 50 returned +0.93% (versus -0.15%). Our third fund, Carmignac Profil Réactif 100, increased +1.38%, compared with +1.48% for its reference indicator. This takes their gains since the start of the year to +6.11% for Carmignac Profil Réactif 100, to +4.74% for Carmignac Profil Réactif 75 and to +2.06% for Carmignac Profil Réactif 50, versus +4.61%, +2.14% and -0.31% for their respective benchmarks. In our preceding report, we stressed our highly constructive macroeconomic outlook, reflecting our conviction that the acceleration of growth in Europe and Japan was being counterbalanced by a US economy apparently approaching the end of its expansionary cycle. The current cocktail of real, but moderate growth mixed with relatively lax monetary policy should allow risk assets to make further gains despite the current tendency towards higher interest rates, we argued. Our three Profil Réactif funds thus maintained fairly high average equity exposures in July and August: 77% in the case of Carmignac Profil Réactif 100, 54% in the case of Carmignac Profil Réactif 75 and 32% in the case of Carmignac Profil Réactif 50. At the beginning of the quarter, we added a position in Carmignac Investissement to our portfolios in order to round out our equity allocation, which until then had been predominantly focused on Europe (via Carmignac Euro-Patrimoine, Carmignac Portfolio Grande Europe and Carmignac Euro-Entrepreneurs) and the emerging markets. The end of the summer saw market stress as geopolitical tension around North Korea mounted. That led us to pare back our exposure to highbeta stocks (European and global equities) and move into bond funds via Carmignac Sécurité or Carmignac Portfolio Capital Plus, depending on the Profil Réactif fund. At the same time, we initiated a position in our diversified fund Carmignac Portfolio Emerging Patrimoine to take advantage of the spreads on emerging-market bonds. In September, our three Profil Réactif funds had average equity market exposures of 45%, 36% and 24%, respectively. All three of them benefited during the quarter from the positive contribution to performance delivered by Carmignac Euro-Patrimoine and Carmignac Euro-Entrepreneurs. The Carmignac Profil Réactif 100 and 75 funds also booked gains on their exposure to emerging-market equities through Carmignac Emergents. In contrast, those two funds positions in Carmignac Portfolio Grande Europe detracted from performance. Carmignac Profil Réactif 50 was likewise hurt by its fixed-income investments. Our derivatives strategies based on buying country and regional indices (Japan and Europe) and sector indices (European banks) contributed positively to the quarterly performance of all three Profil Réactif funds. Our Profil Réactif funds are entering the fourth quarter of 2017 with moderate equity market exposure and low exposure to the US dollar. In the United States, the prospect of tax reform, however remote, has created expectations that are buoying business sentiment for the time being. Although the expansionary phase in the US already shows signs of fatigue, its economy is still growing at a decent pace, and in sync with the rest of the world. We see no reason in the current environment to fear either overheating which would drive central bankers to step up the pace of monetary policy normalisation or an abrupt trend reversal. The global economy is growing robustly enough to be able to handle the first stages of the unfolding contraction in monetary stimulus, which will reduce monthly cash injections into the system from $200 billion to $150 billion as of next January. Moreover, with unconditional monetary support from central banks drawing to a close, we should see a return to more symmetric business cycles. Interpreting them should be easier and so should taking the right portfolio management decisions. * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report PROFILED MANAGEMENT / 53
PROFILED MANAGEMENT Asset allocation (%) Title CPR 100 A EUR acc CPR 75 A EUR acc CPR 50 A EUR acc Carmignac Euro-Entrepreneurs A EUR acc 6.19 6.20 6.21 Carmignac Emergents A EUR acc 19.24 16.79 0.00 Carmignac Portfolio Emerging Discovery A EUR acc 4.94 4.96 4.98 Carmignac Euro-Patrimoine A EUR acc 19.34 19.34 19.39 Carmignac Portfolio Emerging Patrimoine A EUR acc 10.07 0.00 10.64 Carmignac Portfolio Global Bond A EUR acc 0.00 0.00 3.31 Carmignac Securité A EUR acc 3.83 16.35 18.91 Carmignac Portfolio Capital Plus A EUR acc 18.87 18.88 18.92 Carmignac Court Terme A EUR acc 15.78 15.88 15.91 Cash (including collateral cash from derivative positions) 1.74 1.60 1.74 Total 100.00 100.00 100.00 Exposure by asset class (%) CPR 100 A EUR acc CPR 75 A EUR acc CPR 50 A EUR acc Equities 43.87 36.15 24.92 Bonds 20.01 25.33 36.44 Cash (including collateral cash from derivative positions) 36.12 38.52 38.64 Net currency exposure of Euro share classes (%) Carmignac Profil Réactif 100 Net currency exposure of Euro share classes (%) Carmignac Profil Réactif 75 Net currency exposure of Euro share classes (%) Carmignac Profil Réactif 50 USD 8.9 USD 8.0 USD 1.8 EUR JPY -0.1 26,0 70.4 EUR GBP 1.4 25,1 77.6 EUR JPY 0.2 86.8 GBP 1.4 CHF 0.5 GBP 1.3 CHF 0.5 AUD and CAD -0.2 CHF 0.5 AUD and CAD -0.2 Latin America 2.9 AUD and CAD -0.2 Latin America Emerging Asia Eastern Europe, Middle East and Africa 5.9 9.6 3.4 Emerging Asia Eastern Europe, Middle East and Africa 7.5 2.0 Latin America Emerging Asia Eastern Europe, Middle East and Africa 4.2 3.5 1.5 CARMIGNAC PROFIL RÉACTIF 100 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Profil Réactif 100 A EUR acc 6.11 1.38 2.47 17.75 17.17 27.87 13.44 113.08 MSCI AC World NR (Eur) 4.61 1.48-0.77 12.79 32.50 76.12 56.72 70.36 Category average** 3.34 0.96 0.73 5.49 8.32 19.3 7.64 38.63 Ranking (quartile) 1 2 1 1 1 2 3 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * EUR Moderate Allocation. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Statistics (%) 1 year 3 years Performance of the fund since its launch Fund volatility 10.40 9.34 Benchmark volatility 10.35 11.62 Sharpe ratio 1.74 0.61 Beta 0.89 0.53 Alpha 0.11 0.03 Calculation period: weekly (1 year) and monthly (3 years). Quarterly gross performance contribution (%) Equity Derivatives Mutual Fund Total 0.10 1.53 1.63 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 5.78 10.79 54 / Management report 225 113% 200 175 70% 150 125 100 75 50 01/02 01/04 01/06 01/08 01/10 01/12 01/14 01/16 09/17 Carmignac Profil Réactif 100 A EUR acc MSCI AC World NR (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). CARMIGNAC THIRD QUARTER 2017
CARMIGNAC PROFIL RÉACTIF 75 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Profil Réactif 75 A EUR acc 4.74 1.11 2.02 14.42 12.72 20.32 19.07 128.87 Reference indicator* 2.14 0.66-1.89 7.47 26.89 56.90 68.50 88.16 Category average** 5.09 1.38 1.28 8.98 16.56 37.78 20.21 55.58 Ranking (quartile) 3 3 2 1 3 4 3 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * 75% MSCI ACW NR (Eur) + 25% Citigroup WGBI (Eur) (Accrued interest). ** EUR Aggressive Allocation - Global. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). PROFILED MANAGEMENT Statistics (%) 1 year 3 years Fund volatility 8.19 7.74 Benchmark volatility 8.26 9.37 Sharpe ratio 1.81 0.56 Beta 0.84 0.55 Alpha 0.14-0.03 Calculation period: weekly (1 year) and monthly (3 years). Quarterly gross performance contribution (%) Equity Derivatives Mutual Fund Total 0.07 1.29 1.36 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 4.81 8.72 Performance of the fund since its launch 240 129% 220 200 88% 180 160 140 120 100 80 60 06/99 06/02 06/05 06/08 06/11 06/14 06/17 09/17 Carmignac Profil Réactif 75 A EUR acc 75% MSCI ACW NR (Eur) + 25% Citigroup WGBI all maturities (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). CARMIGNAC PROFIL RÉACTIF 50 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Profil Réactif 50 A EUR acc 2.06 0.93 0.97 9.87 8.26 11.80 20.53 83.56 Reference indicator* -0.31-0.15-3.01 2.32 21.20 38.87 72.27 86.07 Category average** 3.17 0.87 0.86 4.98 10.27 24.48 16.34 45.26 Ranking (quartile) 3 2 2 1 3 4 3 1 From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. * 50% MSCI ACW NR (Eur) + 50% Citigroup WGBI (Eur) (Accrued interest). ** EUR Flexible Allocation - Global. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Statistics (%) 1 year 3 years Fund volatility 6.26 6.15 Benchmark volatility 6.45 7.58 Sharpe ratio 1.64 0.47 Beta 0.71 0.52 Alpha 0.15-0.05 Calculation period: weekly (1 year) and monthly (3 years). Quarterly gross performance contribution (%) Equity Derivatives Mutual Fund Total 0.05 1.13 1.18 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 3.52 6.54 Performance of the fund since its launch 200 175 150 125 100 86% 84% 75 01/02 01/04 01/06 01/08 01/10 01/12 01/14 01/16 09/17 Carmignac Profil Réactif 50 A EUR acc 50% MSCI ACW NR (Eur) + 50% Citigroup WGBI all maturities (Eur) From 01/01/2013 the equity index reference indicators are calculated net dividends reinvested. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). CARMIGNAC THIRD QUARTER 2017 / 55
Charles Zerah International fixed income fund that implements interest rate, credit and currency strategies across the globe. Its flexible and opportunistic style enables the Fund to implement a largely unconstrained, conviction-driven allocation and swiftly adapt, when necessary, to fully exploit opportunities in all market conditions. The Fund aims to outperform its reference indicator over 2 years. In the third quarter of 2017, Carmignac Portfolio Unconstrained Global Bond was down -0.59% ; that was less marked, however, than the -1.93% fall in its reference indicator. The Fund was hurt by the euro s sharp appreciation against the other main international currencies, but we did make gains on the appreciation in value of corporate bonds, emerging-market debt and government paper from the EU periphery in our portfolio. Although the Fund has recorded a performance of -0.37% since the beginning of the year, its benchmark has done substantially worse, shedding -5.62%. Government Bond component In our previous report, we stated that we were maintaining our cautious stance on developed-country government bonds after the governors of the leading central banks shifted their rhetoric to set the stage for monetary policy normalisation. But despite the Federal Reserve s firm intention to shrink its balance sheet from October onwards, US Treasury yields traded in a range of roughly 40 basis points this past quarter. The lack of any serious inflationary pressure at this stage of the business cycle has apparently kept yields in the US struggling for direction. However, the renewed focus on the tax cuts promised by President Trump for before the end of 2017 has left fixed-income investors jittery. If Congress actually passes the proposed tax bill by year-end though we doubt it will we will be in for a sharp rise in inflation expectations that will drive bond yields up. We have therefore stuck to our cautious approach to the US bond market after the corrections we saw in September, and we have scaled back our positions on the US yield curve. Performance of the fund since its launch 190 180 170 65% 160 48% 150 140 130 40% 120 32% 110 100 90 12/07 03/08 03/09 03/10 03/11 03/12 03/13 03/14 03/15 03/16 03/17 09/17 Carmignac Portfolio Unconstrained Global Bond A EUR acc JP Morgan GBI Global (EUR) (accrued interest) ---- Carmignac Portfolio Unconstrained Global Bond A EUR acc rebased at 01/03/2010, date of the beginning of fund management by C. Zerah ---- JP Morgan GBI Global (EUR) (accrued interest) rebased at 01/03/2010, date of the beginning of fund management by C. Zerah Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). We have taken the opposite tack in Europe, however, either maintaining or stepping up our positions on the German, French and Swiss yield curves. The European Central Bank can be expected to announce a plan during the fourth quarter to downsize its quantitative easing programme, based on the vigorous economic upswing in the eurozone and a number of upbeat leading indicators. While inflation is still low, we are beginning to see encouraging signs of a pick-up fuelled by the vibrant economy. This leads us to believe that a strategy of shorting various segments of the German yield curve (5, 10 and 30 years) offers our Fund an attractive risk reward. At the same time, we have kept our Italian and Spanish government paper and increased our Greek debt holdings, both to benefit from the recovery in those economies and to offset the high cost of our short positions on Germany and France. The Fund benefitted from the good performance of its emerging market bonds, though they contributed less in Q3 than in the previous quarter. To adjust our allocation, we scaled back our exposure to foreign-currency debt and bought more local-currency debt. More specifically, after taking profits on commodityrelated sovereigns from Russia and South Africa, we initiated positions in Indonesian and Indian local-currency debt. We have maintained our allocation to this asset class as a whole because we feel it still offers attractive spreads between local-currency bonds and foreign debt. Lastly, we will be continuing with our cautious approach to developedcountry government bonds and actively managing the Fund s overall modified duration. Corporate Bond component For several quarters now, our corporate credit investments have had three clear-cut focus areas: subordinated bank bonds from Europe, structured credit and energy sector bonds issued mainly in emerging markets. We continued to take profits on financial-sector paper in the third quarter, given that yields on a large number of subordinated bonds issued by European banks slid by over 100 basis points since the start of the year. In the process, we offloaded such names as Caixa Bank, Danske Bank, Unicredit and Banco Sabadell. As in the preceding quarters, corporate credit was a significant driver of the Fund s performance this time around, contributing nearly 64 basis points. Our global macroeconomic outlook prompts us to stick to those three investment themes, all of which should benefit from a growing world economy. Paper issued by banks and oil companies, together with European CLOs, accounts for roughly 15% of the Fund s assets. Currency component At the beginning of the third quarter, the bulk of our currency exposure was to the euro, but we had also maintained some exposure to the US dollar. As it turns out, our dollar exposure detracted from performance. The continuing appreciation of the euro against all other currencies cost the Fund 134 basis * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. 56 / Management report FIXED INCOME MANAGEMENT
points during the period. That appreciation reflected a major reversal among institutional investors worldwide, as they had been pulling out of the eurozone and its currency since the sovereign debt crisis hit the continent. The sharp rebound in economic activity, combined with the beginning of monetary policy normalisation by the ECB, should provide further support to the region s common currency. The Fund therefore remains highly exposed to the euro. We have also maintained our diversified allocation to emergingmarket currencies, which account for more than 12% of the Fund s assets (see Bond portfolio (derivatives excluded) - Rating breakdown (%) Carmignac Portfolio Emerging Patrimoine report). Our 9% exposure to the yen stems from a portfolio construction strategy geared to limiting volatility in the Fund in the event of an exogenous shock. To conclude, we are maintaining our cautious stance on developed-country government bonds, as well as our diversified allocation to emerging-market sovereigns and to corporate bonds. We will also continue with our prudent approach to currency allocation, with the euro as our primary exposure. Net currency exposure of Euro share classes (%) FIXED INCOME MANAGEMENT AAA 5.8 USD 6.3 AA 12.3 EUR 24,6 74.9 A 20.7 JPY 8.5 BBB 17,5 25.9 GBP -2.0 BB 19.1 CHF 0.2 B 16.3 AUD and CAD 0.3 Latin America 5.5 Emerging Asia 7.2 Eastern Europe, Middle East and Africa -0.8 Sector breakdown (derivatives excluded) (%) Bond portfolio (derivatives excluded) - Maturity breakdown (%) Financials Energy Industrials 3.0 33.2 63.8 < 1 year 1-3 years 3-5 years 9.6 18.7 23.0 5-7 years 2.4 7-10 years 1,6 16.3 > 10 years 29.5 Modified duration of the bond portfolio (derivatives included) Euro -0.74 United States 0.24 Other 0.58 Statistics (%) 1 year 3 years Fund volatility 3.55 6.64 Benchmark volatility 5.20 7.29 Sharpe ratio 1.00 1.00 Beta 0.36 0.77 Alpha 0.11 0.16 Calculation period: weekly (1 year) and monthly (3 years). Quarterly gross performance contribution (%) Bond Portfolio Bond Derivatives Currency Derivatives Total 1.05-0.71-0.45-0.11 Value at Risk (%) Fund Reference indicator 99% - 20 days (2 years) 3.30 3.93 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Portfolio Unconstrained Global Bond A EUR acc -0.37-0.59-2.16 1.34 15.92 22.01-39.52 JP Morgan GBI (Eur) (Accrued interest) -5.62-1.93-5.66-7.79 10.79 7.46-64.61 Category average* -4.4-1.77-5.16-3.91 7.3 9.21-61.07 Ranking (quartile) 1 1 1 1 1 1-4 * Global Bond. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). CARMIGNAC THIRD QUARTER 2017 / 57
FIXED INCOME MANAGEMENT HOLDINGS CARMIGNAC PORTFOLIO UNCONSTRAINED GLOBAL BOND AT 30/09/2017 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 285 221 038.23 26.36 Cash (including collateral cash from derivative positions) 110 166 689.03 10.19 25 000 000 GREECE 05/01/2018 Treasury bill in Euro 24 896 250.00 2.30 20 000 000 ITALY 12/01/2018 Treasury bill in Euro 20 025 000.00 1.85 70 000 000 ITALY 14/02/2018 Treasury bill in Euro 70 106 400.00 6.48 20 000 000 SPAIN 13/10/2017 Treasury bill in Euro 20 003 690.50 1.85 40 000 000 SPAIN 17/11/2017 Treasury bill in Euro 40 023 008.70 3.70 Fixed income investments 796 738 249.24 73.64 Developed countries fixed rate Government bonds 305 598 291.80 28.24 10 000 000 AUSTRIA 1.50% 02/11/2086 (Austria) Euro 84.97 8 634 271.23 0.80 35 000 000 AUSTRIA 2.10% 20/09/2117 (Austria) Euro 102.55 35 919 028.08 3.32 10 000 000 GREECE 3.00% 24/02/2027 (Greece) Euro 87.31 8 913 043.84 0.82 10 000 000 GREECE 3.00% 24/02/2028 (Greece) Euro 84.23 8 604 443.84 0.80 1 000 000 GREECE 3.00% 24/02/2031 (Greece) Euro 78.22 800 334.38 0.07 1 000 000 GREECE 3.00% 24/02/2032 (Greece) Euro 77.30 791 174.38 0.07 3 500 000 GREECE 3.00% 24/02/2036 (Greece) Euro 72.54 2 602 545.34 0.24 1 000 000 GREECE 3.00% 24/02/2039 (Greece) Euro 71.11 729 304.38 0.07 4 000 000 GREECE 3.00% 24/02/2040 (Greece) Euro 70.92 2 909 377.53 0.27 2 000 000 GREECE 3.00% 24/02/2041 (Greece) Euro 70.85 1 453 368.77 0.13 10 000 000 GREECE 4.38% 01/08/2022 (Greece) Euro 99.01 9 976 913.70 0.92 40 000 000 ITALY 2.20% 01/06/2027 (Italy) Euro 100.91 40 661 758.90 3.76 25 000 000 ITALY 2.70% 01/03/2047 (Italy) Euro 89.55 22 445 918.51 2.07 20 000 000 PORTUGAL 4.45% 15/06/2018 (Portugal) Euro 103.40 20 948 019.18 1.94 40 000 000 PORTUGAL 4.75% 14/06/2019 (Portugal) Euro 108.17 43 846 608.22 4.05 59 932 000 SPAIN 0.40% 30/04/2022 (Spain) Euro 100.66 60 430 010.29 5.59 15 000 000 SPAIN 1.50% 30/04/2027 (Spain) Euro 100.11 15 112 064.38 1.40 20 000 000 SPAIN 2.90% 31/10/2046 (Spain) Euro 101.42 20 820 106.85 1.92 Emerging markets fixed rate Government bonds 235 145 885.83 21.73 33 419 661 ARGENTINA 7.82% 31/12/2033 (Argentina) Euro 111.94 38 092 360.74 3.52 13 000 000 BAHRAIN 7.00% 12/10/2028 (Bahrain) Dollar 102.26 11 610 928.78 1.07 10 000 000 BRAZIL 5.62% 21/02/2047 (Brazil) Dollar 101.19 8 616 298.00 0.80 1 080 000 000 CZECH REPUBLIC 0.00% 10/02/2020 (Czech Republic) Czech Crown 100.08 41 583 625.42 3.84 1 611 170 000 CZECH REPUBLIC 0.00% 17/07/2019 (Czech Republic) Czech Crown 100.13 62 071 406.72 5.74 161 000 000 000 INDONESIA 7.00% 15/05/2022 (Indonesia) IDR 103.68 10 756 124.25 0.99 400 000 000 000 INDONESIA 7.00% 15/05/2027 (Indonesia) IDR 103.86 26 768 758.72 2.47 2 150 000 MEXICO 7.50% 03/06/2027 (Mexico) Mexican peso 104.51 10 698 447.91 0.99 2 050 000 MEXICO 8.00% 07/11/2047 (Mexico) Mexican peso 109.44 10 685 959.08 0.99 10 000 000 TURKEY 3.25% 14/06/2025 (Turkey) Euro 100.23 10 122 326.03 0.94 5 000 000 UKRAINE 7.38% 25/09/2032 Dollar 97.71 4 139 650.18 0.38 Emerging countries inflation-linked Government bonds 38 843 213.31 3.59 42 000 BRAZIL I/L 6.00% 15/08/2050 (Brazil) Real Brazil 3 458.39 38 843 213.31 3.59 Developed countries fixed rate corporate bonds 90 556 049.19 8.37 3 150 000 BANK OF IRELAND 4.12% C 19/09/2022 (Ireland) Financials (subordinated debt) 99.46 2 654 409.69 0.25 2 777 000 000 INTERNATIONAL FINANCE CORP 6.30% 25/11/2024 (USA) Financials 101.42 37 275 976.32 3.45 1 500 000 000 JP MORGAN 0.00% C 22/02/2032 (USA) Financials 8.09 5 652 009.87 0.52 2 500 000 000 JP MORGAN 0.00% C 29/06/2022 (USA) Financials 12.42 4 019 292.60 0.37 6 800 000 MURPHY OIL CORP 5.75% C 15/08/2020 (USA) Energy 102.89 5 959 792.76 0.55 5 230 000 RUSSIAN RAILWAYS VIA RZD CAPITAL PLC 2.10% 02/10/2023 (Russia) Industrials 100.63 4 601 395.62 0.43 20 000 000 SOCIETE GENERALE 7.88% C 18/12/2023 (France) Financials (subordinated debt) 111.16 19 194 023.85 1.77 13 000 000 TULLOW OIL 6.00% C 09/10/2017 (United Kingdom) Energy 99.31 11 199 148.48 1.04 Emerging markets fixed rate corporate bonds 45 836 482.27 4.24 6 300 000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 6.88% C 06/07/2022 (Mexico) Financials (subordinated debt) 106.35 5 756 195.13 0.53 6 300 000 BANCO MERCANTIL DEL NORTE SA/GRAND CAYMAN 7.62% C 06/01/2028 (Mexico) Financials (subordinated debt) 109.58 5 937 928.97 0.55 10 000 000 PETROBRAS GLOBAL FINANCE BV 5.62% 20/05/2043 (Brazil) Energy 89.42 7 739 394.77 0.72 10 000 000 PETROLEOS MEXICANOS 4.25% 15/01/2025 (Mexico) Energy 99.70 8 511 405.29 0.79 20 000 000 PETROLEOS MEXICANOS 6.75% 21/09/2047 (Mexico) Energy 105.53 17 891 558.11 1.65 Developed countries convertible corporate bonds 18 054 710.00 1.67 31 000 000 MITSUBISHI UF 4.17% 15/12/2050 (Japan) Financials (subordinated debt) 58.24 18 054 710.00 1.67 Asset Backed Securities 62 703 616.84 5.80 2 000 000 APOLLO MANAGEMENT, ALME LOAN FUNDING V (Europe) CLO (BB tranche) 101.53 2 056 937.33 0.19 2 000 000 ARES MANAGEMENT, ARES EUROPEAN CLO VIII (Europe) CLO (BB tranche) 102.29 2 062 640.53 0.19 2 500 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO X (Europe) CLO (B tranche) 101.67 2 586 988.92 0.24 5 000 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XIV (Europe) CLO (BB tranche) 100.04 5 056 687.44 0.47 2 000 000 CARLYLE, CARLYLE GMS EURO CLO 2013-1 (Europe) CLO (B tranche) 100.96 2 051 650.80 0.19 2 200 000 CVC CREDIT PARTNERS, CVC CORDATUS VIII (Europe) CLO (B tranche) 101.99 2 331 763.72 0.22 3 700 000 CAIRN CAPITAL, CAIRN CLO 2016-6 (Europe) CLO (B tranche) 101.28 3 807 342.96 0.35 3 100 000 CAIRN CAPITAL, CAIRN CLO 2016-7 (Europe) CLO (B tranche) 102.40 3 222 041.66 0.30 5 000 000 PRAMERICA, DRYDEN 46 EURO CLO (Europe) CLO (BB tranche) 102.06 5 165 877.28 0.48 1 000 000 BAIN CREDIT, NEWHAVEN CLO (Europe) CLO (B tranche) 99.63 1 008 080.06 0.09 1 000 000 BAIN CREDIT, NEWHAVEN II CLO (Europe) CLO (B tranche) 99.12 1 000 796.03 0.09 2 250 000 ONEX CREDIT, OCP EURO CLO 2017-1 (Europe) CLO (B tranche) 94.95 2 136 398.40 0.20 2 500 000 BLACKSTONE/GSO, ORWELL PARK (Europe) CLO (BB tranche) 97.70 2 466 701.67 0.23 4 000 000 PARTNERS GROUP, PENTA CLO 2 (Europe) CLO (BB tranche) 99.95 4 028 308.93 0.37 2 750 000 PARTNERS GROUP, PENTA CLO 3 (Europe) CLO (BB tranche) 100.00 2 656 225.00 0.25 7 400 000 CHENAVARI, TORO EUROPEAN CLO 1 (Europe) CLO (BB tranche) 98.95 7 407 724.37 0.68 5 200 000 CHENAVARI, TORO EUROPEAN CLO 2 (Europe) CLO (BB tranche) 102.25 5 393 018.28 0.50 3 000 000 CHENAVARI, TORO EUROPEAN CLO 2 (Europe) CLO (B tranche) 100.60 3 070 033.00 0.28 1 500 000 TIKEHAU CAPITAL, TIKEHAU CLO (Europe) CLO (BB tranche) 99.91 1 510 185.70 0.14 3 600 000 TIKEHAU CAPITAL, TIKEHAU CLO II (Europe) CLO (BB tranche) 101.89 3 684 214.76 0.34 Portfolio value 796 796 640.38 73.64 Net assets 1 081 959 287.47 100.00 58 / Management report CARMIGNAC THIRD QUARTER 2017
Keith Ney Fund invested in bonds and other debt securities denominated in Euro. It seeks to outperform its reference indicator, the Euro MTS 1-3 years, over a 2-year investment horizon with lower volatility. In the third quarter of 2017, Carmignac Sécurité decreased by -0.24%, while its benchmark increased by +0.08%, bringing the year-to-date performance for the Fund to +0.16%, versus the benchmark -0.26%. Quarterly Performance Review Our disappointing third quarter performance was driven by the reversal of gains in our interest rate hedges from earlier in the year. These losses more than offset gains in our Italian and Spanish sovereign and investment grade credit investments. After closing the second quarter near the highs of the year, German interest rates declined materially during the quarter, hurting our short positions. The trading range of 2017 for the 10 year German government bond of 0.1% to 0.5% yield to maturity was temporarily broken to the high end during July, but couldn t hold. The ECB s governing council members made a fierce effort to control the Sintra speech sell-off, hammering home their motto persistence, patient and prudent regarding the pace of policy normalization. Our bearish portfolio construction, which worked well preserving capital during the twelve month period of rising rates since they bottomed in July 2016 until July 2017, was clearly too conservative for this short period. Over the medium-term, our view remains that this positioning is appropriate to manage the alignment of economic, political, and liquidity cycles that all call for higher rates. We remain skeptical that the portfolio rebalance channel won t eventually work in reverse, and that as monetary policy makers confidence in normalizing policy increases, risky assets will eventually need to reflect a less accommodating liquidity environment. The current unique market regime combining risk premia suppression by central banks, deteriorating secondary market liquidity, and inflows into non-fundamentally driven index funds and volatility sensitive investment strategies, will eventually break, producing opportunities for the discerning long-term value investor. Investment Strategy With Carmignac Sécurité s benchmark offering a negative average yield to maturity of -0.46%, short-maturity Eurozone fixed income is severely challenged. Although subject to an attendant higher level of volatility, we are convinced that a flexible and opportunistic strategy with disciplined risk management is essential to outperform during this era of financial repression and its heightened political, macro, and market-driven uncertainty. Carmignac Sécurité will continue to focus on the following core strategies: Firstly, non-core European government bond spreads are likely to tighten over the medium-term. We have re-established exposure in both Italy and Spain. In particular in Italy, spreads to Germany have materially lagged the risk premia compression seen across other European asset classes, even Italian equities and subordinated bank credit. In our view, the widening in the 10 year BTP/Bund spread from its cycle trough in March 2015 near 90bp to 165bp at quarter-end is excessive. Sparked by political concerns that we feel will pass, this spread cushion will serve to absorb the risk premia shift to a post-qe era that few other asset classes have yet to reflect. Italy will benefit from the Eurozone s broadening cyclical recovery and increasing political momentum for further, faster integration. Secondly, bank credit across the capital structure should outperform, as the multi-year trend of de-risking, de-leveraging, and re-regulating banks works to decrease the excessive systemic discount still in bank credit spreads. In particular, the banking policy shift from taxpayer funded bail-outs to unsecured creditor funded restructuring and resolution should drive increased bank risk differentiation and flight to quality within the periphery. Financials remain our largest credit exposure at 21% of the fund, with the underlying risk today mostly focused on senior unsecured and very short-maturity securities. Thirdly, tight European non-financial credit spreads have kept us focused on the fringes of the market. Our exposure to European Collaterised Loan Obligations is around 5%, mostly in AAA Performance of the fund since its launch 400 276% 350 300 250 200 150 243% 100 01/89 01/93 01/97 01/99 (1) 01/01 01/05 01/09 01/13 01/17 09/17 Carmignac Sécurité A EUR acc Euro MTS 1-3 years Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). (1) Date of creation of the Euro and the Euro MTS 1-3 years index. * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. Management report FIXED INCOME MANAGEMENT / 59
FIXED INCOME MANAGEMENT tranches. This remains a broken asset class, where regulatory constraints and crisis scars allow us to benefit from very attractive spread levels considering the low rate of historical defaults. At 36% of the fund, the non-financial corporate credit portfolio is highly rated and short-maturity, designed to take minimal risk. Within this allocation, non-european corporate credit geographic risk is 16% and non-euro denominated corporate credit risk is about 1%, but the underlying currency risk remains fully hedged. Lastly, the overall duration will be managed tactically, with an opportunistic approach to curve positioning beyond our benchmark s 1-3 year maturity focus, but always within our -3 to +4 portfolio duration risk limitation. This flexible low duration strategy, instead of short-maturity, will help to support directional, carry, and roll-down driven performance in this difficult negative front-end yield environment. The degree of monetary policy normalization priced into the markets, both in terms of balance sheet growth and the timing and pace of rate hikes, appears too dovish. With a durable and broadbased growth cycle, medium-term inflation expectations rising modestly, and political momentum pointing to greater, not less, Eurozone integration, we have maintained our core European duration shorts. We ended the quarter with a modified duration at -63bp and cash and equivalents around 9%. Sector breakdown (derivatives excluded) (%) Bond portfolio (derivatives excluded) - Rating breakdown (%) Financials 35.8 AAA 6.9 Consumer Discretionary 20.1 AA 10.3 Industrials 11.7 A 38.4 Healthcare 7.9 BBB 8,6 39.5 Consumer Staples 7.9 BB 2.3 Telecommunication Services 5.4 B 2.6 Materials 3,.7 Energy 3.5 Real Estate 2.4 Information Technology 1.1 Utilities 0.6 Statistics (%) 1 year 3 years Bond portfolio (derivatives excluded) - Maturity breakdown (%) Fund volatility 0.63 1.18 Benchmark volatility 0.50 0.50 Sharpe ratio 1.12 1.04 Beta -0.46 0.64 Alpha 0.00 0.07 Calculation period: weekly (1 year) and monthly (3 years). < 1 year 1-3 years 3-5 years 5-7 years 7-10 years 11,3 23.6 11.6 5.4 13.0 42.7 > 10 years 3.6 Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years 5 years 10 years Since the first NAV Carmignac Securité A EUR acc 0.16-0.24-0.14 0.35 3.03 9.26 35.59 276.43 Euro MTS 1-3 Y (Accrued interest) -0.26 0.08 0.08-0.29 0.76 5.41 24.33 - Category average* 0.27 0.18 0.31 0.19 0.99 5.47 15.51 185.56 Ranking (quartile) 2 4 4 2 1 1 1 1 * EUR Diversified Bond - Short Term. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). 60 / Management report CARMIGNAC THIRD QUARTER 2017
Quarterly gross performance contribution (%) Bond Portfolio Bond Derivatives Currency Derivatives Total 0.24-0.39 0.15 0.00 HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Modified duration of the bond portfolio (derivatives included) Euro -0.95 United-States 0.24 Other 0.08 Price in currencies Total value ( ) % of net assets Cash, cash equivalents and derivatives operations 1 496 779 528.44 9.70 Cash (including collateral cash from derivative positions) 455 086 928.86 2.95 66 344 000 GREECE 02/02/2018 Treasury bill in Euro 65 985 433.32 0.43 106 060 000 GREECE 05/01/2018 Treasury bill in Euro 105 605 859.60 0.68 155 093 000 GREECE 08/12/2017 Treasury bill in Euro 154 596 797.37 1.00 44 581 000 GREECE 15/12/2017 Treasury bill in Euro 44 402 284.08 0.29 178 494 066 PORTUGAL 16/03/2018 Treasury bill in Euro 178 798 465.42 1.16 89 256 530 PORTUGAL 17/11/2017 Treasury bill in Euro 89 296 551.29 0.58 178 493 065 PORTUGAL 19/01/2018 Treasury bill in Euro 178 685 896.86 1.16 88 678 000 PORTUGAL 20/07/2018 Treasury bill in Euro 88 960 375.06 0.58 90 000 000 VOLKSWAGEN 03/11/2017 Commercial paper in Euro 90 028 049.83 0.58 45 300 000 METRO AG 19/12/2017 Commercial paper in Euro 45 332 886.75 0.29 Fixed income investments 13 936 730 601.13 90.30 Developed countries fixed rate Government bonds 3 489 887 866.97 22.61 50 776 000 GREECE 4.38% 01/08/2022 (Greece) Euro 99.01 50 658 777.00 0.33 53 213 000 GREECE 4.75% 17/04/2019 (Greece) Euro 102.58 55 754 088.41 0.36 22 346 597 IRELAND 0.80% 15/03/2022 (Ireland) Euro 104.29 23 404 650.31 0.15 89 237 000 ITALY 0.65% 15/10/2023 (Italy) Euro 96.82 86 667 588.82 0.56 252 043 000 ITALY 1.20% 01/04/2022 (Italy) Euro 102.24 257 700 340.56 1.67 44 617 000 ITALY 1.25% 01/12/2026 (Italy) Euro 94.16 42 199 498.14 0.27 44 587 000 ITALY 1.50% 01/06/2025 (Italy) Euro 98.56 44 171 536.87 0.29 178 201 000 ITALY 1.60% 01/06/2026 (Italy) Euro 97.73 175 114 695.01 1.13 199 544 000 ITALY 1.85% 15/05/2024 (Italy) Euro 102.73 206 403 986.53 1.34 133 555 000 ITALY 2.00% 01/12/2025 (Italy) Euro 101.50 136 468 630.04 0.88 461 446 000 ITALY 2.20% 01/06/2027 (Italy) Euro 100.91 469 070 726.94 3.04 133 567 000 ITALY 2.70% 01/03/2047 (Italy) Euro 89.55 119 921 359.90 0.78 89 238 000 ITALY 3.75% 01/03/2021 (Italy) Euro 111.80 100 064 792.95 0.65 89 237 000 ITALY 3.75% 01/09/2024 (Italy) Euro 114.73 102 673 853.88 0.67 44 692 000 SPAIN 0.25% 31/01/2019 (Spain) Euro 100.77 45 108 890.65 0.29 147 550 000 SPAIN 0.40% 30/04/2022 (Spain) Euro 100.66 148 776 079.86 0.96 134 159 000 SPAIN 0.75% 30/07/2021 (Spain) Euro 102.67 137 921 571.86 0.89 223 132 000 SPAIN 1.15% 30/07/2020 (Spain) Euro 103.61 231 637 333.35 1.50 281 132 000 SPAIN 1.30% 31/10/2026 (Spain) Euro 99.37 282 729 599.98 1.83 89 049 000 SPAIN 2.90% 31/10/2046 (Spain) Euro 101.42 92 700 484.74 0.60 55 254 000 SPAIN 4.50% 31/01/2018 (Spain) Euro 101.62 57 818 088.36 0.37 176 921 000 SPAIN 5.90% 30/07/2026 (Spain) Euro 138.15 246 278 782.21 1.60 446 923 000 UNITED STATES 2.25% 15/02/2027 (USA) Dollar 99.34 376 642 510.60 2.44 Developed countries inflation-linked Government bonds 103 683 105.58 0.67 102 630 000 ITALY I/L 0.45% 22/05/2023 (Italy) Euro 100.84 103 683 105.58 0.67 Emerging markets fixed rate Government bonds 424 454 179.96 2.75 22 429 621 ARGENTINA 2.26% 31/12/2038 (Argentina) Euro 68.28 15 320 066.65 0.10 45 159 000 BAHRAIN 5.88% 26/01/2021 (Bahrain) Dollar 104.48 40 328 875.10 0.26 19 760 000 BAHRAIN 6.75% 20/09/2029 (Bahrain) Dollar 99.52 16 674 777.36 0.11 611 750 000 CZECH REPUBLIC 0.00% 17/07/2019 (Czech Republic) Czech Crown 100.13 23 568 079.76 0.15 25 300 000 EGYPT 6.12% 31/01/2022 (Egypt) Dollar 103.63 22 407 872.09 0.15 115 766 000 KUWAIT 2.75% 20/03/2022 (Kuwait) Dollar 101.17 99 167 166.53 0.64 19 497 900 MEXICO 7.75% 13/11/2042 (Mexico) Mexican peso 106.25 98 572 749.46 0.64 26 745 000 SOUTH KOREA 0.50% 30/05/2022 (South Korea) Euro 99.62 26 690 333.95 0.17 9 055 000 SOUTH KOREA 2.00% 30/04/2020 (South Korea) Euro 104.68 9 556 266.19 0.06 49 039 000 TURKEY 3.25% 14/06/2025 (Turkey) Euro 100.23 49 634 508.12 0.32 13 608 000 TURKEY 4.35% 12/11/2021 (Turkey) Euro 109.56 15 435 729.63 0.10 6 350 000 TURKEY 5.12% 18/05/2020 (Turkey) Euro 109.84 7 097 755.12 0.05 Developed countries fixed rate corporate bonds 7 637 544 144.24 49.49 89 224 000 EUROPEAN FINANCIAL STABILITY FUND 0.50% 20/01/2023 (Luxembourg) Financials 102.69 91 932 559.52 0.60 26 748 000 3M CO 1.88% 15/11/2021 (USA) Industrials 107.05 29 075 640.27 0.19 FIXED INCOME MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 61
FIXED INCOME MANAGEMENT HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Price in currencies Total value ( ) % of net assets 4 400 000 AIR LIQUIDE 0.12% C 13/05/2020 (France) Materials 100.41 4 419 507.67 0.03 11 900 000 AIR LIQUIDE SA 2.91% 12/10/2018 (France) Materials 103.15 12 612 131.21 0.08 16 691 000 AIRBUS GROUP 5.50% 25/09/2018 (France) Industrials 105.55 17 637 804.98 0.11 37 804 000 AKELIUS RESIDENTIAL PROPERTY 1.50% 23/01/2022 Real Estate 102.98 39 418 764.20 0.26 14 978 000 AKZO NOBEL NV 4.00% 17/12/2018 (Netherlands) Materials 104.98 16 199 917.55 0.10 21 300 000 ALLERGAN FUND 0.50% C 01/05/2021 (Ireland) Healthcare 100.44 21 431 012.51 0.14 16 674 000 ALLIED IRISH 2.75% 16/04/2019 (Ireland) Financials 104.30 17 604 046.03 0.11 11 550 000 ALTICE SA 6.62% C 15/02/2018 (Netherlands) Consumer Discretionary (Dollar) 106.10 10 369 579.21 0.07 35 441 000 ALTICE SA 7.25% C 27/10/2017 (Netherlands) Consumer Discretionary 106.40 38 052 174.74 0.25 4 530 000 AMERICAN HONDA FINANCE 1.88% 04/09/2019 (Japan) Consumer Discretionary 103.83 4 710 383.36 0.03 10 396 000 AMGEN INC 2.12% 13/09/2019 (USA) Healthcare 104.27 10 851 806.21 0.07 54 816 000 AMGEN INC 4.38% 05/12/2018 (USA) Healthcare 105.29 59 697 837.87 0.39 7 549 000 ANADARKO PETROLEUM 8.70% 15/03/2019 (USA) Energy (Dollar) 109.11 6 995 181.04 0.05 125 616 000 ANHEUSER-BUSCH INBEV 0.62% 17/03/2020 (Belgium) Consumer Staples 101.66 128 125 136.58 0.83 46 124 000 ANHEUSER-BUSCH INBEV 1.88% 20/01/2020 (Belgium) Consumer Staples 104.48 48 798 301.11 0.32 67 607 000 ANHEUSER-BUSCH INBEV 2.00% 16/12/2019 (Belgium) Consumer Staples 104.65 71 830 085.15 0.47 9 017 000 ANHEUSER-BUSCH INBEV 4.00% 26/04/2018 (Belgium) Consumer Staples 102.42 9 392 957.02 0.06 13 491 000 AP MOELLER-MAERSK A/S 4.38% 24/11/2017 (Denmark) Industrials 100.65 14 084 160.46 0.09 9 574 000 ATENTO LUXCO 1 SA 6.12% C 10/08/2019 (USA) Industrials (Dollar) 104.77 8 557 864.79 0.06 4 429 000 ATLANTIA SPA 3.62% 30/11/2018 (Italy) Industrials 104.31 4 755 061.77 0.03 44 800 000 ATOS 2.38% C 02/04/2020 (France) Information Technology 105.47 47 522 557.37 0.31 17 250 000 AUCHAN SA 2.88% 15/11/2017 (France) Consumer Staples 100.37 17 751 681.99 0.12 69 700 000 AUCHAN SA 3.62% 19/10/2018 (France) Consumer Staples 103.94 74 862 745.84 0.49 13 450 000 AUCHAN SA 6.00% 15/04/2019 (France) Consumer Staples 109.51 15 106 899.97 0.10 6 900 000 AUTOROUTES DU SUD 4.00% 24/09/2018 (France) Industrials 104.02 7 184 116.48 0.05 28 300 000 AUTOROUTES DU SUD 7.38% 20/03/2019 (France) Industrials 110.99 32 537 777.68 0.21 9 233 000 AVIVA PLC 0.10% 13/12/2018 (United Kingdom) Financials 100.16 9 254 932.80 0.06 112 964 000 BANK OF AMERICA 1.88% 10/01/2019 (USA) Financials 102.60 117 442 388.14 0.76 44 743 000 BANK OF AMERICA 2.50% 27/07/2020 (USA) Financials 106.85 48 016 287.55 0.31 57 846 000 BANK OF AMERICA 4.62% 14/09/2018 (USA) Financials (subordinated debt) 104.48 60 577 923.95 0.39 28 600 000 BANKIA 3.50% 17/01/2019 (Spain) Financials 104.63 30 635 622.63 0.20 105 400 000 BANQUE FED CRED MUTUEL 0.25% 14/06/2019 (France) Financials 100.64 106 156 800.88 0.69 25 300 000 BANQUE FED CRED MUTUEL 0.38% 13/01/2022 (France) Financials 100.33 25 451 345.99 0.16 4 699 000 BASF SE 1.38% C 22/10/2018 (Germany) Materials 101.74 4 825 536.99 0.03 8 989 000 BASF SE 1.50% 01/10/2018 (Germany) Materials 101.71 9 143 001.27 0.06 7 109 000 BAYER AG 1.12% C 24/10/2017 (Germany) Healthcare 100.08 7 170 116.95 0.05 8 900 000 BBVA 2.38% 22/01/2019 (Spain) Financials 103.24 9 335 720.84 0.06 37 921 000 BERKSHIRE HATHAWAY 0.25% C 17/12/2020 (USA) Financials 100.50 38 178 255.03 0.25 10 879 000 BERKSHIRE HATHAWAY 0.50% C 13/02/2020 (USA) Financials 101.27 11 047 564.89 0.07 19 830 000 BERKSHIRE HATHAWAY 0.62% C 17/11/2022 (USA) Financials 100.58 20 033 553.59 0.13 19 100 000 BERTELSMANN SE & CO 0.25% C 26/04/2021 (Germany) Consumer Discretionary 100.43 19 199 327.85 0.12 83 766 000 BG ENERGY CAPITAL 3.00% 16/11/2018 (Netherlands) Energy 103.63 89 017 588.88 0.58 22 041 000 BG ENERGY CAPITAL 6.5% C 30/11/2017 (Netherlands) Energy (subordinated debt) 101.02 23 471 488.07 0.15 79 419 000 BHP BILLITON FINANCE LTD 2.12% 29/11/2018 (Australia) Materials 102.67 82 964 383.83 0.54 81 133 000 BMW 0.12% 12/01/2021 (Germany) Consumer Discretionary 100.21 81 375 109.76 0.53 32 351 000 BMW 0.12% 15/04/2020 (Germany) Consumer Discretionary 100.38 32 493 202.59 0.21 18 020 000 BMW 0.50% 05/09/2018 (Germany) Consumer Discretionary 100.67 18 148 186.38 0.12 10 845 000 BMW 0.50% 21/01/2020 (Germany) Consumer Discretionary 101.28 11 021 916.12 0.07 9 899 000 BMW 1.50% 05/06/2018 (Germany) Consumer Discretionary 101.26 10 072 346.41 0.07 19 837 000 BMW 1.62% 17/07/2019 (Germany) Consumer Discretionary 103.15 20 529 958.04 0.13 39 233 000 BMW 3.25% 14/01/2019 (Germany) Consumer Discretionary 104.41 41 878 825.15 0.27 950 000 BOUYGUES 3.64% 29/10/2019 (France) Industrials 107.64 1 054 696.09 0.01 24 350 000 BOUYGUES 4.00% 12/02/2018 (France) Industrials 101.51 25 338 226.40 0.16 8 922 000 BP CAPITAL MARKETS PLC 2.99% 18/02/2019 (United Kingdom) Energy 104.39 9 479 359.30 0.06 32 434 000 BRITISH TELECOMMUNICATIONS 1.12% 10/06/2019 (United Kingdom) Telecommunication Services 102.04 33 209 319.22 0.22 6 400 000 BUREAU VERITAS 3.12% C 21/10/2020 (France) Industrials 108.44 7 080 078.03 0.05 32 200 000 CAIXABANK 6.75% C 13/06/2024 (Spain) Financials (subordinated debt) 106.50 34 413 383.89 0.22 67 729 000 CARLSBERG BREWERIES 2.62% 03/07/2019 (Denmark) Consumer Staples 104.76 71 401 025.15 0.46 6 992 000 CARLSBERG BREWERIES 3.38% 13/10/2017 (Denmark) Consumer Staples 100.10 7 228 506.79 0.05 15 098 000 CHANNEL LINK 1.76% C 30/06/2022 (United Kingdom) Information Technology 101.61 15 418 104.95 0.10 22 548 000 CHANNEL LINK 2.71% C 30/06/2027 (United Kingdom) Information Technology 102.70 23 332 402.44 0.15 7 100 000 CHRISTIAN DIOR 0.75% C 24/03/2021 (France) Consumer Discretionary 101.32 7 208 170.93 0.05 8 900 000 CHRISTIAN DIOR 1.38% C 19/03/2019 (France) Consumer Discretionary 102.05 9 117 900.04 0.06 62 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Price in currencies Total value ( ) % of net assets 8 216 000 CIBA SPECIAL CHEMICALS 4.88% 20/06/2018 (Germany) Materials 103.63 8 629 133.12 0.06 135 381 000 CITIGROUP INC 5.00% 02/08/2019 (USA) Financials 109.39 149 247 148.56 0.97 128 078 000 CITIGROUP INC 7.38% 04/09/2019 (USA) Financials 114.37 147 235 854.61 0.95 12 656 000 COCA-COLA 0.00% 09/03/2021 (USA) Consumer Staples 99.91 12 644 989.28 0.08 18 013 000 COCA-COLA 2.00% C 05/09/2019 (USA) Consumer Staples 103.99 19 030 517.36 0.12 8 989 000 COFIROUTE 5.25% 30/04/2018 (France) Industrials 103.09 9 468 548.37 0.06 31 900 000 COMPAGNIE DE ST GOBAIN 0.00% 27/03/2020 (France) Industrials 100.05 31 914 355.00 0.21 7 724 000 COMPAGNIE DE ST GOBAIN 4.00% 08/10/2018 (France) Industrials 104.20 8 353 367.39 0.05 47 235 000 COMPAGNIE DE ST GOBAIN 4.50% 30/09/2019 (France) Industrials 109.14 51 568 332.43 0.33 17 955 000 COMPASS GROUP 3.12% 13/02/2019 (United Kingdom) Consumer Discretionary 104.49 19 117 640.36 0.12 47 482 000 CON'L RUBBER CRP AMERICA 0.50% 19/02/2019 (Germany) Consumer Discretionary 100.92 48 063 934.19 0.31 7 950 000 CONTINENTAL AG 0.00% C 05/01/2020 (Germany) Consumer Discretionary 100.14 7 961 368.50 0.05 2 205 000 CONTINENTAL AG 3.00% 16/07/2018 (Germany) Consumer Discretionary 102.54 2 275 273.83 0.01 18 873 000 CPI PROPERTY 2.13% C 04/10/2024 (Germany) Real Estate 100.48 18 963 967.86 0.12 49 149 000 CREDIT SUISSE 1.38% 29/11/2019 (Switzerland) Financials 103.06 51 221 256.49 0.33 45 000 000 CRH FINANCE 5.00% 25/01/2019 (Ireland) Materials 106.73 49 576 210.27 0.32 47 455 000 DAIMLER AG 0.25% 11/05/2020 (Germany) Consumer Discretionary 100.51 47 745 099.57 0.31 115 252 000 DAIMLER AG 0.50% 09/09/2019 (Germany) Consumer Discretionary 101.08 116 531 155.11 0.76 29 137 000 DAIMLER AG 0.62% 05/03/2020 (Germany) Consumer Discretionary 101.50 29 678 369.45 0.19 22 552 000 DAIMLER AG 1.50% 19/11/2018 (Germany) Consumer Discretionary 101.85 23 264 834.74 0.15 11 715 000 DAIMLER AG 2.12% 27/06/2018 (Germany) Consumer Discretionary 101.76 11 988 023.69 0.08 9 917 000 DAIMLER AG 2.62% 02/04/2019 (Germany) Consumer Discretionary 104.14 10 458 794.24 0.07 43 400 000 DAIMLER INTERNATIONAL 0.00% 15/03/2019 (Germany) Consumer Discretionary 100.16 43 468 138.00 0.28 26 900 000 DANONE SA 0.17% C 03/10/2020 (France) Consumer Staples 100.41 27 051 397.62 0.18 16 000 000 DANONE SA 1.25% 06/06/2018 (France) Consumer Staples 100.99 16 222 805.48 0.11 1 765 000 DELHAIZE LION/DE LEEUW 4.25% 19/10/2018 (Netherlands) Consumer Staples 104.37 1 913 907.73 0.01 22 630 000 DEUTSCHE POST AG 0.38% C 01/01/2021 (Germany) Industrials 101.24 22 952 493.00 0.15 116 600 000 DEXIA CREDIT 0.04% 11/12/2019 (Belgium) Financials 100.63 117 371 237.12 0.76 5 439 000 DH EUROPE FINANCE SA 1.00% C 08/04/2019 (USA) Healthcare 101.70 5 544 535.97 0.04 38 382 000 DIAGEO FINANCE PLC 1.12% C 20/04/2019 (United Kingdom) Consumer Staples 101.96 39 295 559.95 0.25 4 411 000 DOVER CORP. 2.12% 01/12/2020 (USA) Industrials 106.32 4 768 181.03 0.03 37 879 000 EE FINANCE 3.25% 03/08/2018 (United Kingdom) Telecommunication Services 102.76 39 128 685.29 0.25 1 764 000 ENGIE SA 6.88% 24/01/2019 (France) Utilities 109.25 2 010 970.15 0.01 9 000 000 ENI SPA 4.75% 14/11/2017 (Italy) Energy 100.58 9 430 508.22 0.06 33 952 000 EUROFINS SCIENTIFIC SE 2.12% C 25/04/2024 (Luxembourg) Healthcare 101.16 34 485 227.79 0.22 29 209 000 EUROFINS SCIENTIFIC SE 2.25% 27/01/2022 (Luxembourg) Healthcare 104.09 30 850 817.88 0.20 27 924 000 EUROFINS SCIENTIFIC SE 3.12% 26/11/2018 (Luxembourg) Healthcare 103.50 29 643 468.12 0.19 37 498 000 EUROFINS SCIENTIFIC SE 3.38% C 30/10/2022 (Luxembourg) Healthcare 108.66 41 599 027.84 0.27 8 845 000 EUROFINS SCIENTIFIC SE 4.88% C 29/04/2023 (Luxembourg) Healthcare (subordinated debt) 107.82 9 722 416.73 0.06 7 500 000 EUROFINS SCIENTIFIC SE 7.00% C 31/01/2020 (Luxembourg) Healthcare (subordinated debt) 112.32 8 776 097.26 0.06 22 803 000 FCA BANK SPA IRELAND 1.25% 13/06/2018 (Italy) Financials 100.94 23 105 039.79 0.15 13 743 000 FCA BANK SPA IRELAND 1.25% 21/01/2021 (Italy) Financials 102.81 14 249 194.22 0.09 7 121 000 FCA BANK SPA IRELAND 1.25% 23/09/2020 (Italy) Financials 102.70 7 315 420.86 0.05 34 636 000 FCA BANK SPA IRELAND 2.00% 23/10/2019 (Italy) Financials 103.84 36 619 053.34 0.24 40 520 000 FCA BANK SPA IRELAND 2.62% 17/04/2019 (Italy) Financials 103.99 42 628 422.12 0.28 68 556 000 FCA BANK SPA IRELAND 2.88% 26/01/2018 (Italy) Financials 100.92 70 539 447.17 0.46 43 449 000 FCA BANK SPA IRELAND 4.00% 17/10/2018 (Italy) Financials 104.23 46 959 060.20 0.30 18 900 000 FCE BANK PLC 0.87% 13/09/2021 (USA) Consumer Discretionary 101.06 19 108 394.51 0.12 13 686 000 FCE BANK PLC 1.75% 21/05/2018 (USA) Consumer Discretionary 101.17 13 934 162.80 0.09 58 070 000 FCE BANK PLC 1.88% 18/04/2019 (USA) Consumer Discretionary 103.02 60 324 866.05 0.39 11 195 000 FCE BANK PLC 2.88% 03/10/2017 (USA) Consumer Discretionary 100.02 11 197 015.10 0.07 36 862 000 FEDEX CORP 0.50% C 09/03/2020 (USA) Industrials 101.06 37 341 009.07 0.24 31 216 000 FERROVIAL 3.38% 30/01/2018 (Spain) Industrials 101.14 32 281 607.34 0.21 100 324 000 FIAT INDUSTRIAL 6.25% 09/03/2018 (United Kingdom) Industrials 102.74 106 646 061.16 0.69 47 100 000 FONCIERE DES REGIONS 3.88% 16/01/2018 (France) Real Estate 101.15 48 943 152.04 0.32 19 900 000 FONCIERE LYONNAISE 1.88% C 26/08/2021 (France) Real Estate 105.50 21 313 218.95 0.14 15 000 000 FONCIERE LYONNAISE 2.25% C 16/08/2022 (France) Real Estate 107.22 16 379 815.07 0.11 8 100 000 FONCIERE LYONNAISE 3.50% 28/11/2017 (France) Real Estate 100.58 8 387 308.11 0.05 40 694 000 FORD MOTOR CREDIT 1.90% 12/08/2019 (USA) Consumer Discretionary (Dollar) 99.52 34 348 855.23 0.22 38 200 000 GALERIES LAFAYETTE 4.75% 26/04/2019 (France) Consumer Discretionary 107.46 41 846 645.26 0.27 14 465 000 GENERAL ELECTRIC CAPITAL 1.62% 15/03/2018 (USA) Industrials 100.88 14 722 377.92 0.10 52 983 000 GENERAL ELECTRIC CAPITAL 2.25% 20/07/2020 (USA) Industrials 106.42 56 629 464.25 0.37 113 531 000 GENERAL ELECTRIC CAPITAL 2.88% 18/06/2019 (USA) Industrials 105.23 120 422 113.97 0.78 FIXED INCOME MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 63
FIXED INCOME MANAGEMENT HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Price in currencies Total value ( ) % of net assets 28 402 000 GENERAL ELECTRIC CAPITAL 5.38% 23/01/2020 (USA) Industrials 112.71 33 069 211.17 0.21 43 450 000 GENERAL ELECTRIC CAPITAL 6.00% 15/01/2019 (USA) Industrials 107.96 48 771 500.06 0.32 11 312 000 GENERAL MOTORS FINANCIAL 1.88% 15/10/2019 (USA) Consumer Discretionary 103.78 11 945 059.81 0.08 53 045 000 GLAXOSMITHKLINE CAPITAL PLC 0.00% C 12/08/2020 (United Kingdom) Healthcare 100.03 53 061 974.40 0.34 37 852 000 GLAXOSMITHKLINE CAPITAL PLC 0.62% 02/12/2019 (United Kingdom) Healthcare 101.54 38 632 606.76 0.25 16 873 000 GLOBALWORTH REAL ESTATE 2.88% 20/06/2022 (Romania) Real Estate 102.26 17 394 532.87 0.11 40 521 000 GOLDMAN SACHS GROUP INC 0.75% 10/05/2019 (USA) Financials 101.38 41 201 752.80 0.27 17 645 000 GOLDMAN SACHS GROUP INC 2.62% 19/08/2020 (USA) Financials 107.23 18 977 132.24 0.12 18 065 000 GOLDMAN SACHS GROUP INC 6.38% 02/05/2018 (USA) Financials 103.86 19 247 846.71 0.12 36 040 000 HEIDELBERGCEMENT 5.62% 04/01/2018 (Germany) Materials 101.50 38 089 876.21 0.25 4 428 000 HEIDELBERGCEMENT 8.50% 31/10/2019 (Germany) Materials 117.76 5 374 241.46 0.03 35 700 000 HEIDELBERGCEMENT 9.50% 15/12/2018 (Germany) Materials 111.59 40 854 366.00 0.26 20 859 000 HEINEKEN NV 2.50% 19/03/2019 (Netherlands) Consumer Staples 103.83 21 941 616.39 0.14 27 990 000 HEMSO FASTIGHETS 1.00% C 09/06/2026 (Sweden) Real Estate 96.62 27 063 182.08 0.18 20 463 000 HONEYWELL INTERNATIONAL INC 0.65% 21/02/2020 (USA) Industrials 101.59 20 869 580.19 0.14 22 600 000 HSBC 1.88% 16/01/2020 (United Kingdom) Financials 104.48 23 913 877.32 0.15 35 000 000 IBM CORP 1.38% 19/11/2019 (USA) Financials 103.23 36 549 780.82 0.24 49 670 000 IBM CORP 1.88% 06/11/2020 (USA) Financials 105.78 53 385 486.10 0.35 17 989 000 ING BANK NV 0.70% 16/04/2020 (Netherlands) Financials 101.98 18 404 011.16 0.12 10 524 000 ING BANK NV 1.25% 13/12/2019 (Netherlands) Financials 103.12 10 958 730.58 0.07 18 018 000 ING BANK NV 3.25% 03/04/2019 (Netherlands) Financials 105.22 19 251 413.55 0.12 9 736 000 INTERXION 6.00% C 10/10/2017 (Netherlands) Information Technology 103.48 10 200 894.00 0.07 16 247 000 INTESA SAN PAOLO 1.12% 14/01/2020 (Italy) Financials 102.40 16 767 965.62 0.11 30 272 000 INTESA SAN PAOLO 3.00% 28/01/2019 (Italy) Financials 104.01 32 102 958.38 0.21 78 057 000 INTESA SAN PAOLO 4.00% 09/11/2017 (Italy) Financials 100.43 81 199 981.14 0.53 10 700 000 INTESA SAN PAOLO 4.38% 15/10/2019 (Italy) Financials 108.83 12 097 972.59 0.08 12 516 000 INTESA SAN PAOLO 4.80% 05/10/2017 (Italy) Financials 100.05 13 119 358.64 0.09 9 525 000 INTRUM JUSTIT 2.62% C 15/06/2018 (Sweden) Industrials 101.82 9 767 208.84 0.06 32 892 000 INTRUM JUSTIT 2.75% C 15/07/2019 (Sweden) Industrials 101.54 33 643 573.06 0.22 12 000 000 INTRUM JUSTIT 3.12% C 15/07/2020 (Sweden) Industrials 101.18 12 243 121.67 0.08 8 000 000 IPSEN SA 1.88% C 16/03/2023 (Luxembourg) Healthcare 104.18 8 379 114.52 0.05 31 448 000 JOHNSON & JOHNSON 0.25% C 20/12/2021 (USA) Healthcare 100.79 31 751 580.90 0.21 59 959 000 JP MORGAN 1.88% 21/11/2019 (USA) Financials 104.27 63 491 357.17 0.41 46 000 000 KBC BANK 8.00% C 25/01/2018 (Belgium) Financials (subordinated debt) 101.88 40 228 447.90 0.26 13 542 000 LAFARGE SA 5.50% 16/12/2019 (Switzerland) Materials 112.06 15 768 972.62 0.10 4 518 000 LINDE AG 1.75% 17/09/2020 (Germany) Materials 105.67 4 777 726.82 0.03 44 165 000 LUXOTTICA GROUP 3.62% 19/03/2019 (Luxembourg) Consumer Discretionary 105.47 47 447 536.40 0.31 18 036 000 LVMH 1.25% 04/11/2019 (France) Consumer Discretionary 103.02 18 786 011.00 0.12 4 516 000 LVMH 1.75% 13/11/2020 (France) Consumer Discretionary 105.34 4 827 307.06 0.03 5 300 000 LVMH 4.00% 06/04/2018 (France) Consumer Discretionary 102.20 5 520 882.95 0.04 33 888 000 MEDIOBANCA SPA 0.75% 17/02/2020 (Italy) Financials 101.52 34 582 091.23 0.22 113 604 000 MEDIOBANCA SPA 0.88% 14/11/2017 (Italy) Financials 100.13 114 631 338.09 0.74 11 166 000 MEDIOBANCA SPA 4.00% 30/09/2018 (Italy) Financials 104.03 11 619 935.12 0.08 36 223 000 MERCK FINANCIAL SERVICES 0.75% C 02/06/2019 (Germany) Healthcare 101.58 36 819 483.64 0.24 13 096 000 MERCK FINANCIAL SERVICES 4.50% 24/03/2020 (Germany) Healthcare 111.40 14 900 818.96 0.10 26 783 000 MORGAN STANLEY 2.25% 12/03/2018 (USA) Financials 101.12 27 422 229.49 0.18 40 700 000 MORGAN STANLEY 5.00% 02/05/2019 (USA) Financials 108.17 44 882 571.74 0.29 15 702 000 NATIONWIDE BUILDING SOCIETY 0.50% 29/10/2019 (United Kingdom) Financials 101.11 15 949 837.79 0.10 33 400 000 NESTE OYJ 2.12% C 17/12/2021 (Finland) Energy 105.48 35 618 222.11 0.23 900 000 NESTE OYJ 4.00% 18/09/2019 (Finland) Energy 107.75 971 229.45 0.01 44 687 000 NETFLIX INC 3.62% 15/05/2027 (USA) Consumer Discretionary 101.78 46 163 675.71 0.30 5 270 000 NN GROUP NV 0.25% C 01/03/2020 (Netherlands) Financials 100.57 5 304 251.39 0.03 42 256 000 NOMURA EUROPE 1.88% 29/05/2018 (Japan) Financials 101.41 43 127 486.59 0.28 24 131 000 NUMERICABLE 5.38% C 27/10/2017 (France) Consumer Discretionary 104.56 25 404 795.05 0.16 18 111 000 NUMERICABLE 5.62% C 15/05/2019 (France) Consumer Discretionary 108.32 19 753 124.37 0.13 31 517 000 NYKRE 0.38% 16/06/2020 (Denmark) Financials 100.62 31 748 645.63 0.21 45 293 000 NYKRE 0.75% 14/07/2021 (Denmark) Financials 101.17 45 899 671.81 0.30 10 804 000 NYKRE 0.88% 13/06/2019 (Denmark) Financials 101.52 10 997 120.76 0.07 31 600 000 ORANGE 1.88% 02/10/2019 (France) Telecommunication Services 103.96 32 854 247.29 0.21 33 800 000 ORANGE 1.88% 03/09/2018 (France) Telecommunication Services 101.88 34 486 853.04 0.22 23 000 000 ORANGE 4.12% 23/01/2019 (France) Telecommunication Services 105.59 24 943 326.71 0.16 13 400 000 ORANGE 5.62% 22/05/2018 (France) Telecommunication Services 103.77 14 181 229.18 0.09 16 915 000 PACCAR FINANCIAL EUROPE 0.12% 19/05/2020 (USA) Industrials 100.43 16 996 178.10 0.11 64 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Price in currencies Total value ( ) % of net assets 7 564 000 PACCAR FINANCIAL EUROPE 0.12% 24/05/2019 (USA) Industrials 100.45 7 601 306.06 0.05 31 551 000 PFIZER INC 0.00% C 06/02/2020 (USA) Healthcare 100.18 31 607 476.29 0.20 27 909 000 PPG INDUSTRIES INC 0.00% C 03/10/2019 (USA) Materials 100.23 27 974 027.97 0.18 20 600 000 PPR 1.88% 08/10/2018 (France) Consumer Discretionary 102.09 21 410 674.90 0.14 11 700 000 PPR 2.50% 15/07/2020 (France) Consumer Discretionary 107.03 12 586 853.59 0.08 31 530 000 PPR 3.12% 23/04/2019 (France) Consumer Discretionary 105.10 33 578 361.57 0.22 72 645 000 RENAULT 0.38% 10/07/2019 (France) Consumer Discretionary 100.76 73 256 909.73 0.47 42 361 000 RENAULT 0.75% C 12/10/2021 (France) Consumer Discretionary 100.82 42 936 883.29 0.28 9 016 000 RENAULT 2.88% 22/01/2018 (France) Consumer Discretionary 100.95 9 281 582.95 0.06 9 001 000 ROYAL BANK OF SCOTLAND 5.38% 30/09/2019 (United Kingdom) Financials 110.72 9 969 973.68 0.06 81 916 000 ROYAL BANK OF SCOTLAND 6.93% 09/04/2018 (United Kingdom) Financials (subordinated debt) 103.46 87 502 273.96 0.57 21 645 000 SAMPO OYJ 1.12% 24/05/2019 (Finland) Financials 102.12 22 191 287.18 0.14 19 600 000 SANOFI 0.00% 05/04/2019 (France) Healthcare 100.33 19 665 268.00 0.13 2 645 000 SANOFI 4.12% 11/10/2019 (France) Healthcare 108.76 2 983 337.53 0.02 20 100 000 SANTANDER 4.12% 04/10/2017 (Spain) Financials 100.03 20 933 285.42 0.14 11 200 000 SANTANDER CONSUMER 0.38% 17/02/2020 (Spain) Financials 100.60 11 292 875.62 0.07 37 100 000 SANTANDER CONSUMER 0.62% 20/04/2018 (Spain) Financials 100.47 37 380 938.48 0.24 9 200 000 SANTANDER CONSUMER 0.90% 18/02/2020 (Spain) Financials 101.95 9 430 434.79 0.06 45 400 000 SANTANDER CONSUMER 1.10% 30/07/2018 (Spain) Financials 101.10 45 987 880.25 0.30 16 987 000 SATO OYJ 2.38% C 24/12/2020 (Sweden) Real Estate 105.62 18 155 335.61 0.12 4 400 000 SCHNEIDER ELECTRIC SE 3.50% 22/01/2019 (France) Industrials 104.70 4 713 835.12 0.03 2 650 000 SCHNEIDER ELECTRIC SE 3.62% 20/07/2020 (France) Industrials 110.10 2 937 441.87 0.02 18 000 000 SCHNEIDER ELECTRIC SE 3.75% 12/07/2018 (France) Industrials 103.01 18 694 753.15 0.12 5 507 000 SECURITAS AB 2.25% 14/03/2018 (Sweden) Industrials 101.05 5 633 791.51 0.04 47 884 000 SKANDINAVISKA 1.88% 14/11/2019 (Sweden) Financials 104.34 50 758 115.75 0.33 26 986 000 SKANDINAVISKA 2.00% 18/03/2019 (Sweden) Financials 103.26 28 160 811.48 0.18 4 400 000 SOCIETE DES AUTOROUTES 2.25% 16/01/2020 (France) Industrials 105.12 4 695 932.55 0.03 35 500 000 SOCIETE DES AUTOROUTES 4.88% 21/01/2019 (France) Industrials 106.50 39 017 631.78 0.25 44 900 000 SOCIETE DES AUTOROUTES 5.12% 18/01/2018 (France) Industrials 101.56 47 227 437.63 0.31 22 100 000 SOCIETE GENERALE 5.85% 26/03/2018 (France) Financials (subordinated debt) 102.95 23 427 703.82 0.15 1 087 000 SPAREBANK 1 SR BANK 2.00% 14/05/2018 (Norway) Financials 101.40 1 110 708.36 0.01 7 149 000 STATOIL ASA 2.00% 10/09/2020 (Norway) Energy 105.98 7 585 448.41 0.05 42 254 000 SWISSCOM AG 2.00% 30/09/2020 (Switzerland) Telecommunication Services 105.86 44 735 340.10 0.29 13 974 000 SYMRISE AG 1.75% 10/07/2019 (Germany) Materials 102.94 14 441 924.18 0.09 21 300 000 TELEFONICA EMISIONES 2.74% 29/05/2019 (Spain) Telecommunication Services 104.72 22 507 918.33 0.15 11 700 000 TELEFONICA EMISIONES 4.80% 21/02/2018 (Spain) Telecommunication Services 101.95 12 272 119.74 0.08 30 593 000 TELENOR ASA 4.12% 26/03/2020 (Norway) Telecommunication Services 110.32 34 409 954.50 0.22 19 983 000 TELSTRA CORP LTD 4.25% 23/03/2020 (Australia) Telecommunication Services 110.66 22 564 184.95 0.15 22 134 000 TEVA PHARMACEUTICAL 1.25% C 31/12/2022 (Israel) Healthcare 97.27 21 671 617.71 0.14 18 060 000 TOYOTA MOTOR 1.80% 23/07/2020 (Japan) Consumer Discretionary 105.16 19 055 118.37 0.12 38 814 000 TRIONISTA 6.88% C 18/10/2017 (Luxembourg) Industrials 103.96 41 485 519.10 0.27 24 169 000 UBS AG LONDON 0.50% 15/05/2018 (Switzerland) Financials 100.49 24 333 143.93 0.16 15 690 000 UNICREDIT 2.42% C 03/05/2020 (Italy) Financials (subordinated debt) 100.50 15 831 471.50 0.10 14 359 000 UNICREDIT 2.60% 28/12/2017 (Italy) Financials 100.61 14 649 243.25 0.09 16 800 000 UNICREDIT 2.62% 30/01/2018 (Italy) Financials 100.94 17 254 301.92 0.11 44 084 000 UNICREDIT 3.38% 11/01/2018 (Italy) Financials 101.00 45 605 048.97 0.30 7 497 000 UNICREDIT 5.00% 21/05/2018 (Italy) Financials 103.21 7 876 071.94 0.05 17 156 000 UNICREDIT 5.65% 24/07/2018 (Italy) Financials 104.61 18 131 818.98 0.12 48 500 000 UNIPER SE 0.12% 08/12/2018 (Germany) Utilities 100.25 48 672 852.67 0.32 1 800 000 VINCI SA 3.38% 30/03/2020 (France) Industrials 108.55 1 984 987.97 0.01 18 050 000 VIVENDI 4.88% 02/12/2019 (France) Consumer Discretionary 110.70 20 715 737.74 0.13 38 773 000 VODAFONE GROUP PLC 0.38% 22/11/2021 (United Kingdom) Telecommunication Services 100.23 38 945 842.60 0.25 22 573 000 VODAFONE GROUP PLC 5.00% 04/06/2018 (United Kingdom) Telecommunication Services 103.52 23 740 821.89 0.15 9 439 000 VOLKSWAGEN 0.75% 11/08/2020 (Germany) Consumer Discretionary 101.65 9 604 645.40 0.06 33 560 000 VOLKSWAGEN 1.00% 04/10/2017 (Germany) Consumer Discretionary 100.01 33 899 378.95 0.22 45 092 000 VOLKSWAGEN 1.50% 13/02/2019 (Germany) Consumer Discretionary 102.03 46 436 384.01 0.30 882 000 VOLKSWAGEN 2.00% 14/01/2020 (Germany) Consumer Discretionary 104.37 933 187.90 0.01 53 100 000 VOLKSWAGEN 3.25% 10/05/2018 (Germany) Consumer Discretionary 102.02 54 862 389.00 0.36 42 088 000 VOLKSWAGEN 3.25% 21/01/2019 (Germany) Consumer Discretionary 104.28 44 844 573.74 0.29 21 675 000 VOLKSWAGEN 5.38% 22/05/2018 (Germany) Consumer Discretionary 103.47 22 855 266.10 0.15 34 200 000 WACHOVIA CORP 4.38% 27/11/2018 (USA) Financials (subordinated debt) 105.15 37 230 377.67 0.24 13 283 000 WELLS FARGO & COMPANY 2.25% 03/09/2020 (USA) Financials 106.47 14 166 310.40 0.09 52 989 000 WPP FINANCE 0.75% 18/11/2019 (United Kingdom) Consumer Discretionary 101.52 54 142 294.70 0.35 FIXED INCOME MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 65
FIXED INCOME MANAGEMENT HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Price in currencies Total value ( ) % of net assets Developed countries floating rate corporate bonds 1 218 645 562.74 7.90 31 745 000 ALLERGAN FUND TV 01/06/2019 (Ireland) Healthcare 100.06 31 763 024.11 0.21 39 192 000 AT&T INC TV 04/06/2019 (USA) Telecommunication Services 100.70 39 474 778.99 0.26 59 764 000 BANK OF AMERICA TV 26/07/2019 (USA) Financials 100.74 60 224 048.33 0.39 26 500 000 BARCLAYS BANK PLC TV 11/09/2019 (United Kingdom) Financials 100.05 26 513 721.11 0.17 90 097 000 BARCLAYS BANK PLC TV 13/03/2019 (United Kingdom) Financials 100.48 90 532 919.32 0.59 44 700 000 BMW TV 17/05/2019 (Germany) Consumer Discretionary 100.33 44 849 298.00 0.29 26 800 000 BMW TV 22/11/2019 (Germany) Consumer Discretionary 100.37 26 898 758.00 0.17 54 062 000 COCA-COLA TV 08/03/2019 (USA) Consumer Staples 100.44 54 302 035.28 0.35 14 186 000 COCA-COLA TV 26/11/2017 (USA) Consumer Staples 100.05 14 193 093.00 0.09 36 000 000 DANONE SA TV 03/11/2018 (France) Consumer Staples 100.28 36 101 520.00 0.23 43 000 000 DANSKE BANK A/S TV 19/11/2018 (Denmark) Financials 100.38 43 163 188.58 0.28 36 703 000 DEUTSCHE TELEKOM INTERNATIONAL TV 03/04/2020 (Germany) Telecommunication Services 100.66 36 945 606.83 0.24 28 234 000 FCA BANK SPA IRELAND TV 17/10/2017 (Italy) Financials 100.03 28 278 407.38 0.18 10 844 000 GOLDMAN SACHS GROUP INC TV 29/04/2019 (USA) Financials 100.84 10 941 699.62 0.07 45 057 000 GOLDMAN SACHS GROUP INC TV 31/12/2018 (USA) Financials 100.42 45 248 246.94 0.29 6 200 000 JOHN DEERE CASH MANAGEMENT SA TV 15/09/2020 (USA) Industrials 100.51 6 231 868.00 0.04 44 100 000 MCDONALD'S CO TV 05/04/2019 (USA) Consumer Discretionary 100.29 44 229 213.00 0.29 26 700 000 MERCEDES-BENZ TV 22/06/2020 (Germany) Consumer Discretionary 100.11 26 728 206.33 0.17 22 482 000 MOLSON COORS BREWING TV 15/03/2019 (USA) Consumer Staples 100.12 22 510 113.74 0.15 40 566 000 PFIZER INC TV 06/03/2019 (USA) Healthcare 100.44 40 743 273.42 0.26 36 139 000 RENAULT TV 27/11/2017 (France) Consumer Discretionary 100.09 36 178 185.72 0.23 10 600 000 SAFRAN SA TV 28/06/2019 (France) Industrials 100.20 10 620 776.00 0.07 17 900 000 SAFRAN SA TV 28/06/2021 (France) Industrials 100.27 17 948 571.15 0.12 45 000 000 SANTANDER CONSUMER TV 11/01/2019 (Spain) Financials 100.14 45 077 295.00 0.29 22 100 000 SCANIA CV AB TV 20/04/2020 (Germany) Consumer Discretionary 100.40 22 191 797.88 0.14 8 037 000 SCANIA CV AB TV 24/10/2018 (Germany) Consumer Discretionary 100.26 8 058 502.99 0.05 19 895 000 THERMO FISHER SCIENTIFIC INC TV 24/07/2019 (USA) Healthcare 100.29 19 953 292.35 0.13 37 100 000 TOTAL CAPITAL TV 19/03/2020 (France) Energy 100.65 37 341 892.00 0.24 22 976 000 TOYOTA MOTOR TV 20/07/2018 (Japan) Consumer Discretionary 100.24 23 031 372.16 0.15 45 183 000 UNICREDIT TV 19/12/2017 (Italy) Financials 100.40 45 394 448.91 0.29 24 410 000 UNICREDIT TV 30/09/2017 (Italy) Financials 100.04 24 419 519.90 0.16 39 917 000 UNICREDIT TV 31/10/2017 (Italy) Financials 100.14 40 087 095.84 0.26 4 412 000 VOLKSWAGEN TV 16/07/2018 (Germany) Consumer Discretionary 100.10 4 416 323.76 0.03 67 600 000 VOLKSWAGEN TV 30/03/2019 (Germany) Consumer Discretionary 100.15 67 698 853.73 0.44 26 500 000 VOLVO TV 03/04/2019 (Sweden) Industrials 100.15 26 539 750.00 0.17 10 000 000 VOLVO TV 06/09/2019 (Sweden) Industrials 100.61 10 062 357.50 0.07 4 400 000 VOLVO TV 13/02/2019 (Sweden) Industrials 100.22 4 409 466.11 0.03 45 056 000 WELLS FARGO & COMPANY TV 02/06/2020 (USA) Financials 100.63 45 343 041.76 0.29 Emerging markets fixed rate corporate bonds 256 863 684.96 1.66 35 973 000 BHARTI AIRTEL INTERNATIONAL 4.00% 10/12/2018 (India) Telecommunication Services 104.52 38 769 826.83 0.25 15 831 000 MOL HUNGARIAN OIL AND GAS 2.62% 28/04/2023 (Hungary) Energy 107.21 17 152 777.90 0.11 8 690 000 SIGMA ALIMENTOS SA 2.62% 07/02/2024 (Mexico) Consumer Staples 106.16 9 374 219.65 0.06 42 081 000 SINOPEC GRP 0.50% 27/04/2018 (China) Energy 100.28 42 290 061.87 0.27 76 195 000 TEVA PHARMACEUTICAL 0.38% 25/07/2020 (Israel) Healthcare 99.23 75 660 810.42 0.49 38 617 000 TEVA PHARMACEUTICALS 1.70% 19/07/2019 (Israel) Healthcare (Dollar) 98.61 32 325 794.98 0.21 26 465 000 YPF SA 3.75% 30/09/2019 (Argentina) Energy (Dollar) 102.25 23 664 582.60 0.15 18 482 000 YPF SA 8.50% 23/03/2021 (Argentina) Energy (Dollar) 112.51 17 625 610.71 0.11 Asset Backed Securities 805 652 056.68 5.22 1 775 000 APOLLO MANAGEMENT, ALME LOAN FUNDING V (Europe) CLO (AAA tranche) 101.18 1 801 437.89 0.01 4 436 000 OAKTREE CAPITAL, ARBOUR CLO III (Europe) CLO (A tranche) 100.61 4 469 277.12 0.03 31 050 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XIV (Europe) CLO (AAA tranche) 100.20 31 204 434.08 0.20 3 549 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XV (Europe) CLO (A tranche) 100.98 3 605 774.49 0.02 9 090 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XVI (Europe) CLO (AAA tranche) 101.03 9 210 499.96 0.06 8 426 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XVI (Europe) CLO (AA tranche) 101.02 8 549 525.06 0.06 3 547 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XVI (Europe) CLO (A tranche) 102.02 3 642 342.25 0.02 1 553 000 BARINGS, BABSON EURO CLO 2015-1 (Europe) CLO (A tranche) 100.02 1 560 772.66 0.01 2 799 000 BLACKROCK, BLACKROCK EUROPEAN CLO II (Europe) CLO (AA tranche) 102.54 2 879 865.60 0.02 31 385 000 COMMERZBANK, BOSPHORUS CLO III (Europe) CLO (AAA tranche) 100.40 31 601 613.38 0.20 25 873 000 CARLYLE, CARLYLE GMS EURO CLO 2015-2 (Europe) CLO (AAA tranche) 100.00 25 879 295.85 0.17 14 541 000 CARLYLE, CARLYLE GMS EURO CLO 2015-3 (Europe) CLO (AAA tranche) 100.65 14 683 308.72 0.10 5 453 000 CARLYLE, CARLYLE GMS EURO CLO 2015-3 (Europe) CLO (BB tranche) 100.80 5 562 384.57 0.04 31 177 000 CARLYLE, CARLYLE GMS EURO CLO 2016-1 (Europe) CLO (AAA tranche) 100.75 31 470 190.65 0.20 66 / Management report CARMIGNAC THIRD QUARTER 2017
HOLDINGS CARMIGNAC SÉCURITÉ AT 30/09/2017 Price in currencies Total value ( ) % of net assets 4 454 000 CARLYLE, CARLYLE GMS EURO CLO 2016-1 (Europe) CLO (BBB tranche) 102.14 4 574 254.45 0.03 9 846 000 CARLYLE, CARLYLE GMS EURO CLO 2016-2 (Europe) CLO (AA tranche) 100.61 9 941 946.64 0.06 4 476 000 CARLYLE, CARLYLE GMS EURO CLO 2016-2 (Europe) CLO (BB tranche) 102.66 4 654 726.58 0.03 19 373 000 CVC CREDIT PARTNERS, CVC CORDATUS VII (Europe) CLO (AAA tranche) 100.88 19 577 312.66 0.13 16 090 000 CVC CREDIT PARTNERS, CVC CORDATUS VII (Europe) CLO (AA tranche) 100.83 16 268 987.52 0.11 2 682 000 CVC CREDIT PARTNERS, CVC CORDATUS VII (Europe) CLO (A tranche) 101.48 2 733 423.51 0.02 15 073 000 CAIRN CAPITAL, CAIRN CLO 2016-6 (Europe) CLO (AAA tranche) 100.88 15 243 055.05 0.10 2 970 000 CAIRN CAPITAL, CAIRN CLO 2016-6 (Europe) CLO (AA tranche) 100.69 3 002 303.89 0.02 3 015 000 CAIRN CAPITAL, CAIRN CLO 2016-6 (Europe) CLO (A tranche) 101.76 3 085 898.55 0.02 14 180 000 PRAMERICA, DRYDEN 39 EURO CLO (Europe) CLO (AAA tranche) 100.00 14 180 000.00 0.09 3 545 000 PRAMERICA, DRYDEN 39 EURO CLO (Europe) CLO (AA tranche) 100.00 3 545 000.00 0.02 10 635 000 PRAMERICA, DRYDEN 39 EURO CLO (Europe) CLO (AA tranche) 100.00 10 635 000.00 0.07 9 749 000 PRAMERICA, DRYDEN 39 EURO CLO (Europe) CLO (A tranche) 100.00 9 749 000.00 0.06 18 000 000 PRAMERICA, DRYDEN 44 EURO CLO (Europe) CLO (AAA tranche) 101.01 18 238 467.39 0.12 6 200 000 PRAMERICA, DRYDEN 44 EURO CLO (Europe) CLO (AA tranche) 100.95 6 287 750.18 0.04 3 200 000 PRAMERICA, DRYDEN 44 EURO CLO (Europe) CLO (A tranche) 101.59 3 273 151.86 0.02 15 310 000 PRAMERICA, DRYDEN 46 EURO CLO (Europe) CLO (AA tranche) 100.88 15 504 789.46 0.10 59 765 000 BARINGS, DUCHESS VI CLO (Europe) CLO (AAA tranche) 99.98 8 125 255.57 0.05 23 146 000 PINEBRIDGE INVESTMENTS, EURO GALAXY V (Europe) CLO (AAA tranche) 101.06 23 430 464.69 0.15 19 916 000 GLG PARTNERS, GLG EURO CLO I (Europe) CLO (AAA tranche) 100.10 19 935 125.33 0.13 7 707 000 GLG PARTNERS, GLG EURO CLO II (Europe) CLO (AA tranche) 100.56 7 778 578.42 0.05 8 182 000 BLACKSTONE/GSO, GRIFFITH PARK (Europe) CLO (AA tranche) 100.27 8 239 237.63 0.05 3 818 000 BLACKSTONE/GSO, GRIFFITH PARK (Europe) CLO (A tranche) 101.38 3 895 329.47 0.03 7 000 000 BLACKSTONE/GSO, GRIFFITH PARK (Europe) CLO (BBB tranche) 101.68 7 179 579.09 0.05 10 690 000 INVESTCORP, HARVEST CLO XV (Europe) CLO (AA tranche) 101.22 10 848 959.36 0.07 8 028 000 INVESTCORP, HARVEST CLO XV (Europe) CLO (A tranche) 101.71 8 196 329.06 0.05 5 798 000 INVESTCORP, HARVEST CLO XV (Europe) CLO (BBB tranche) 101.65 5 925 830.12 0.04 11 803 000 INVESTCORP, HARVEST CLO XVI (Europe) CLO (AA tranche) 100.67 11 934 170.14 0.08 3 178 000 INVESTCORP, HARVEST CLO XVI (Europe) CLO (A tranche) 101.70 3 252 908.49 0.02 4 086 000 INVESTCORP, HARVEST CLO XVI (Europe) CLO (BBB tranche) 102.06 4 207 478.09 0.03 6 356 000 INVESTCORP, HARVEST CLO XVI (Europe) CLO (BB tranche) 101.29 6 525 833.52 0.04 23 620 000 ALCENTRA, JUBILEE CLO 2015-XV (Europe) CLO (AAA tranche) 100.00 23 672 955.65 0.15 34 274 000 ALCENTRA, JUBILEE CLO 2015-XV (Europe) CLO (AAA tranche) 100.00 34 274 000.00 0.22 1 572 000 ALCENTRA, JUBILEE CLO 2015-XV (Europe) CLO (AA tranche) 100.00 1 572 000.00 0.01 887 000 ALCENTRA, JUBILEE CLO 2015-XVI (Europe) CLO (AAA tranche) 100.32 890 444.23 0.01 4 093 000 BARINGS, MALIN CLO 2007-1 (Europe) CLO (AAA tranche) 100.00 581 426.41 0.00 4 439 000 BARINGS, MALIN CLO 2007-1 (Europe) CLO (AAA tranche) 99.70 4 425 825.12 0.03 25 128 000 INVESTCORP, MSIM CONISTON 2007-1 (Europe) CLO (AAA tranche) 99.98 220 338.94 0.00 2 200 000 OAK HILL ADVISORS, OAK HILL ECP IV (Europe) CLO (A tranche) 100.92 2 233 717.54 0.01 32 900 000 BLACKSTONE/GSO, ORWELL PARK PARK (Europe) CLO (AAA tranche) 100.00 32 900 000.00 0.21 2 660 000 BLACKSTONE/GSO, ORWELL PARK PARK (Europe) CLO (AA tranche) 100.00 2 660 000.00 0.02 30 163 000 PARTNERS GROUP, PENTA CLO 2 (Europe) CLO (AAA tranche) 100.15 30 207 764.91 0.20 12 791 000 PARTNERS GROUP, PENTA CLO 3 (Europe) CLO (AAA tranche) 100.00 12 791 000.00 0.08 9 042 000 PARTNERS GROUP, PENTA CLO 3 (Europe) CLO (AA tranche) 100.00 9 042 000.00 0.06 4 411 000 PARTNERS GROUP, PENTA CLO 3 (Europe) CLO (A tranche) 100.00 4 411 000.00 0.03 26 590 000 ICG, ST PAUL'S VI (Europe) CLO (AAA tranche) 100.89 26 900 738.65 0.17 887 000 ICG, ST PAUL'S VI (Europe) CLO (A tranche) 101.46 905 174.71 0.01 27 277 000 CHENAVARI, TORO EUROPEAN CLO 2 (Europe) CLO (AAA tranche) 101.06 27 640 477.53 0.18 5 455 000 CHENAVARI, TORO EUROPEAN CLO 2 (Europe) CLO (BBB tranche) 102.10 5 619 359.81 0.04 19 058 000 TIKEHAU CAPITAL, TIKEHAU CLO (Europe) CLO (AAA tranche) 100.88 19 268 022.97 0.12 28 000 000 TIKEHAU CAPITAL, TIKEHAU CLO II (Europe) CLO (AAA tranche) 100.33 28 113 930.96 0.18 3 938 000 TIKEHAU CAPITAL, TIKEHAU CLO II (Europe) CLO (BB tranche) 101.89 4 030 121.62 0.03 11 573 000 TIKEHAU CAPITAL, TIKEHAU CLO (Europe) CLO (AAA tranche) 100.00 11 573 000.00 0.07 13 252 000 TIKEHAU CAPITAL, TIKEHAU CLO (Europe) CLO (AA tranche) 100.00 13 252 000.00 0.09 7 951 000 TIKEHAU CAPITAL, TIKEHAU CLO (Europe) CLO (A tranche) 100.00 7 951 000.00 0.05 34 180 000 BLACKSTONE/GSO, TYMON PARK (Europe) CLO (AAA tranche) 100.42 34 424 888.63 0.22 Portfolio value 13 936 730 601.13 90.30 Net assets 15 433 510 129.57 100.00 FIXED INCOME MANAGEMENT CARMIGNAC THIRD QUARTER 2017 / 67
Carlos Galvis Julien Chéron Multi-asset and multi-strategy fund. Its investment philosophy focuses on optimizing performance while maintaining ex-ante volatility below 2.5% on an annual basis, in all market conditions. In the third quarter, Carmignac Portfolio Capital Plus increased by +0.08%, while its benchmark was down -0.09%, bringing the Fund s performance since the start of the year to +1.35%, while the EONIA (compounded) decreased by -0.27%. Our strategy was characterized over the period by our long positions in the euro and on European equity, our diversified credit book especially with strong convictions on subordinated financial debt and CLOs and a neutral duration exposure. Our strategy during the quarter rested on three pillars. First, a strongly expanding global economy combined with low inflation. Secondly, still accommodative monetary policies which have supported risk assets. Third, positive correlation between bonds and equities, combined with low systematic risk. With this background, the portfolio benefited from directional strategies, while relative value strategies made a negative contribution to performance. Directional strategy Based on our constructive scenario for the global economy, we focused the portfolio construction on long exposure to global equity and credit markets and a tactical stance on duration and currency risk. In the face of abundant liquidity in financial markets, our credit book continued to do well, with all themes subordinated bank debt, CLO tranches and specific opportunities raising performance. In a low rate, low-inflation environment, the opportunistic search for carry should be at the core of our strategy. The contribution of the credit strategy was +0.30%. Furthermore, the directional risk in our equity strategy made a +0.13% to the performance. Our strong conviction on global equities favouring Europe on the basis of high liquidity and strong economic data played well over the quarter. Our strategy going forward will be to remain long equities and to focus on Europe and Japan to take advantage of the most cyclically sensitive regions for global equities. We expect stocks in those two markets to outperform emerging Performance of the fund since its launch 125 120 115 110 6% 105 100 95 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 09/17 Carmignac Portfolio Capital Plus A EUR acc Eonia compounded 17% Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). markets and the US, given that both are still substantially under invested despite significant improvement in valuations and economic fundamentals. The ample liquidity in financial markets, together with limited realised inflation but strong growth, called for maintaining a neutral with tactical short duration bias in our fixed income portfolio. Over the quarter, volatility in bond markets increased as both economic and geopolitical factors worked against global fixed income portfolios. As a result, our strategy of going long the US 30-year bond and taking a short duration position in German Bund proved detrimental to the Fund s performance. The contribution of our duration strategy made a negative -0.09% contribution over the quarter. Going into year end, we expect the Federal Reserve to hike rates in December, while the ECB should stick to a cautious, but might signal moderate tapering starting in 2018. We are therefore maintaining our neutral duration exposure but keeping a short bias through German Bund in the portfolio. Our currency strategy made a negative contribution of -0.07% over the third quarter, with a weak dollar running counter to our positioning as expectations for rate hikes in the United States were ratcheted down. At a same time, better sentiment towards Europe, supported by vigorous economic momentum, helped keep the euro strong against most currencies. Going forward, the direction of the US dollar will depend on both further consolidation of the Fed s raising strategy and the outlook for US tax reform. On the other hand, confirmation of further momentum in the euro area economy with some asset purchase program tapering by the ECB, could keep the euro at current levels. We therefore expect the euro to remain trendless up to the end of the year. Relative value strategy To balance directional risk, we added relative value trades to the portfolio to diversify away from our central scenario of high growth with low inflation. The focus of this type of strategy is to benefit from market noise and spikes in volatility, with positioning and technicals in the different markets taken into account. However, our relative value strategies caused a -0.19% loss to the Fund s performance during the period. Our equity relative value strategy focused on leveraging the recovery momentum in Europe by going long a basket of cyclical stocks and short a basket of defensive sectors in Europe. On the other hand, to diversify away from our short duration bias, we initiated a long position on US technology stocks (highly correlated with bond markets) against the S&P 500. The overall contribution of that approach was +0.18%. Our currency relative value strategy diminished performance by -0.18%. With the market shorting the dollar and pricing the Federal Reserve well below the dots path, we wanted to play contrarian on the basis of technical and market expectations. However, as inflation readings continued to run well below target, expectations for a cautious Fed remained over most of the quarter and kept the dollar low. * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. 68 / Management report FIXED INCOME MANAGEMENT