Schroder Global Asset Allocation Fund Interim Report & Accounts May 2011
Fund Information 1 Investment Objective and Policy The fund s investment objective is to provide capital appreciation through active management across global financial markets. To achieve the investment objective the Manager will utilise a global tactical asset allocation strategy designed to capture relative value opportunities across countries, currencies and asset classes. The Manager will aim to invest primarily in derivatives, for example, to create market exposures to equity, fixed income, currency, volatility, inflation, and alternative asset classes including, but not limited to, property and commodities. However, the Manager may reduce the fund s exposure to derivatives where the Manager deems it to be in the best interests of the fund to do so. The fund may also invest in transferable securities, collective investment schemes, warrants, cash, deposits and money market instruments. Financial highlights Dealing price 16.5.11 16.11.10 % change X Accumulation units 54.79p 54.89p (0.18) Fund information Launch date 22 April 2009 Launch price 50.00p per X Accumulation unit Accounting dates Interim Final Revenue allocation date Total expense ratio 15 May 15 November Final 15 January For the period For the year to 15.5.11 to 15.11.10 X Accumulation units * 0.09% 0.18% The Total expense ratio is annualised based on the fees suffered during the accounting period. * The Manager s periodic charge for X Accumulation units is invoiced directly to unitholders and is therefore not included in the Total expense ratio. Total purchases and sales For the period For the year to 15.5.11 to 15.11.10 000 s 000 s Total purchases 1,524 61,677 Total sales 49,274 18,081
Review of Investment Activities 2 From 16 November 2010 to 16 May 2011 the price of X Accumulation units on a dealing price to dealing price basis fell 0.18% in comparison with an increase of 0.39% in Sterling 3 Month LIBOR (Source: Lipper). While fund performance relative to Sterling 3 Month LIBOR was strong in the first months of the period under review, in the second half of the period our position in Japanese equities relative to Korean equities, and in core relative to peripheral European equities (via underlying derivatives), detracted slightly from returns. Global political and economic risks have increased but the recovery in the US is gathering pace, and we believe equities are attractive. Although terrible on a human scale and not yet resolved, we do not believe the earthquake in Japan will undermine the global recovery. We have a bias to developed markets which offer better value than emerging markets. Tensions in the Middle East and North Africa have resulted in higher oil prices, feeding inflation around the world. We had increased commodities, in particular energy, to help hedge against this. However, we closed our position in agriculture, and took profit on other commodities later in the period. The rise in inflation is also likely to lead to rate rises, with the European Central Bank first to move among the major economies although, with unemployment still high in many countries, there are unlikely to be dramatic rises. However, this makes us negative on government bonds. We also closed our position in high yield bonds as it had generated significant profits. We continue to like Asian emerging market currencies which are structurally sound and we expect these economies will allow a gradual appreciation against the dollar because it helps to offset inflationary pressures. 13 June 2011 Please remember that past performance is not a guide to future performance and it might not be repeated. The value of investments and the revenue from them may go down as well as up and investors may not get back the amount originally invested. Because of this, you are not certain to make a profit on your investments and you may lose money.
Net Asset Value and Comparative Tables 3 Unit price range Year to X Accumulation units 31 Dec Highest Lowest dealing dealing p p 2009 53.38 50.00 2010 56.96 51.75 2011 to 15 May 58.48 54.34 Net revenue Year to X Accumulation units 31 Dec pence per unit 2009 0.0871 2010 0.0886 2011 to 15 May Nil Net asset value As at Net asset Net asset Number 15 Nov value value per of units unit in issue 000 s p 2009 X Accumulation units 32,768 52.97 63,053,273 2010 X Accumulation units 62,202 54.89 113,321,580 2011 at 15 May X Accumulation units 81,764 55.14 148,280,848 Please remember that past performance is not a guide to future performance and it might not be repeated. The value of investments and the revenue from them may go down as well as up and investors may not get back the amount originally invested. Because of this, you are not certain to make a profit on your investments and you may lose money.
Risk Profile 4 The fund is authorised as a non-ucits retail scheme. The investment and borrowing powers of these types of scheme are wider than those for UCITS funds whilst still aiming to provide a prudent spread of risk The fund invests in assets which are not denominated in sterling. Exchange rates may cause the value of overseas investments and the revenue from them to rise or fall. The fund invests in a wide range of derivatives in order to meet its investment objective. One of the aims of the Manager is to achieve volatility targets for the portfolio and in order to do this leverage will be used. The use of leverage can increase gains as well as losses and expose the fund to increased risk. Whilst it is intended that the additional risk that leverage exposes the fund to is controlled by the value at risk methodology, there can be no guarantee that this risk control may be achieved especially under extreme or changing market conditions. For these reasons, the purchase of units should not normally be regarded as a short term investment.
Statement of the Manager s Responsibilities 5 The Financial Services Authority s Collective Investment Schemes Sourcebook (COLL) requires the Manager to prepare accounts for each annual and half yearly accounting period, in accordance with United Kingdom Generally Accepted Accounting Practice, which give a true and fair view of the financial position of the fund and of its net revenue and the net capital losses on the property of the fund for the period. In preparing the accounts the Manager is required to: select suitable accounting policies and then apply them consistently; comply with the disclosure requirements of the Statement of Recommended Practice for Authorised Funds issued by the IMA in October 2010; follow generally accepted accounting principles and applicable accounting standards; prepare the accounts on the basis that the fund will continue in operation unless it is inappropriate to do so; keep proper accounting records which enable it to demonstrate that the accounts as prepared comply with the above requirements. The Manager is responsible for the management of the fund in accordance with its Trust Deed, the Prospectus and the COLL and for taking reasonable steps for the prevention and detection of fraud, error and non-compliance with law or regulations. The Manager s report and accounts for the period ended 15 May 2011 were signed on 28 June 2011 on behalf of the Manager by: C.E. Helmstetter R.E. Stoakley Directors
Portfolio Statement as at 15.5.11 6 Holding Market % of at value total net 15.5.11 000 s assets Australian Dollar Denominated Derivatives (0.04)% (15.11.10 (0.21)%) Australia 10 Year Bond Future June 2011 365 (28) (0.03) SPI 200 Futures June 2011 8 (5) (0.01) (33) (0.04) Canadian Dollar Denominated Derivatives (0.05)% (15.11.10 0.00%) C$3,149,790 for US$3,312,350 C$3,149,790 (26) (0.03) Canada 10 Year Bond Future June 2011 (9) (19) (0.02) (45) (0.05) Chinese Yuan Denominated Derivatives 0.02% (15.11.10 0.07%) CNY328,298,516 for US$50,530,786 CNY328,298,516 17 0.02 17 0.02 Euro Denominated Derivatives (0.33)% (15.11.10 (0.20)%) 8,333,510 for 7,061,816 8,333,510 258 0.32 Forward to sell 8,333,510 for 7,061,816 (8,333,510) (258) (0.32) Dax Index Future June 2011 3 23 0.03 Euro-Bund Futures June 2011 (239) (169) (0.21) Euro-Schatz Futures June 2011 (20) (2) 0.00 Euro Stoxx 50 Futures June 2011 (683) (122) (0.15) (270) (0.33) Guernsey 6.37% (15.11.10 29.76%) Schroder Offshore Cash Fund A Accumulation Units # 2,932,003 5,209 6.37 5,209 6.37
Portfolio Statement as at 15.5.11 (continued) 7 Hong Kong Dollar Denominated Derivatives 0.00% (15.11.10 0.13%) Indonesian Rupiah Denominated Derivatives 0.06% (15.11.10 (0.01)%) IDR56,143,749,040 for US$6,483,112 IDR56,143,749,040 47 0.06 47 0.06 Japanese Yen Denominated Derivatives (0.01)% (15.11.10 0.00%) TOPIX Index Futures June 2011 (8) (5) (0.01) (5) (0.01) Korean Won Denominated Derivatives (0.01)% (15.11.10 (0.03)%) KRW7,025,802,783 for US$6,473,903 KRW7,025,802,783 (6) (0.01) KOSPI 2 Index Futures June 2011 7 1 0.00 (5) (0.01) Luxembourg 0.00% (15.11.10 55.52%) Holding Market % of at value total net 15.5.11 000 s assets Malaysian Ringgit Denominated Derivatives (0.03)% (15.11.10 (0.04)%) MYR19,570,665 for US$6,551,947 MYR19,570,665 (23) (0.03) (23) (0.03) Mexican Peso Denominated Derivatives 0.00% (15.11.10 0.00%) MXN38,512,987 for US$3,309,240 MXN38,512,987 2 0.00 2 0.00
Portfolio Statement as at 15.5.11 (continued) 8 Holding Market % of at value total net 15.5.11 000 s assets Norwegian Krone Denominated Derivatives (0.06)% (15.11.10 (0.01)%) NOK17,913,358 for US$3,337,382 NOK17,913,358 (47) (0.06) (47) (0.06) Russian Ruble Denominated Derivatives 0.00% (15.11.10 0.00%) RUB93,139,328 for US$3,343,420 RUB93,139,328 (5) 0.00 (5) 0.00 Singapore Dollar Denominated Derivatives (0.01)% (15.11.10 (0.09)%) S$59,829,653 for US$48,278,493 S$59,829,653 (11) (0.01) (11) (0.01) Sterling Denominated Derivatives (0.01)% (15.11.10 0.00%) FTSE 100 Index Futures June 2011 9 (7) (0.01) (7) (0.01) Swedish Krona Denominated Derivatives 0.00% (15.11.10 (0.08)%) Swiss Franc Denominated Derivatives 0.17% (15.11.10 0.00%) Swiss Federal Bond Future June 2011 (3) (2) 0.00 Swiss Market IX Futures June 2011 138 143 0.17 141 0.17 US Dollar Denominated Derivatives 2.08% (15.11.10 2.10%) US$4,243,604 for 350,996,975 US$4,243,604 (67) (0.08) US$3,339,339 for 2,300,660 US$3,339,339 33 0.04
Portfolio Statement as at 15.5.11 (continued) 9 Holding Market % of at value total net 15.5.11 000 s assets US Dollar Denominated Derivatives (continued) Euro Dollars 90 Day Futures March 2012 (494) (144) (0.18) MSCI Emerging Markets Index Futures June 2011 15 (18) (0.02) Russell 2000 Mini Futures June 2011 8 24 0.03 S&P 500 E-Mini Futures June 2011 317 90 0.11 S&P MidCap 400 E-Mini Index Futures June 2011 301 757 0.92 US 2 Year Treasury Note Future June 2011 (7) (6) (0.01) US 5 Year Treasury Note Future June 2011 (21) (23) (0.03) US 10 Year Treasury Note Future June 2011 (19) (3) 0.00 JPMorgan 2.0204% CDX.EM S15 5 Year 2016 Credit Default Index Swap Sell Protection * US$11,800,000 978 1.20 Spain Government Bond 5.5% 2016 Credit Default Swap Buy Protection * US$14,500,000 527 0.64 JPMorgan 0.23% S&P500 Consumer 2011 Price Return Swap * US$8,038,164 (232) (0.28) JPMorgan 0.31% S&P500 Healthcare 2011 Price Return Swap * US$8,037,846 381 0.47 BNP 0.21% S&P500 Consumer Discretionary 2012 Price Return Swap * US$22,525,103 (598) (0.73) 1,699 2.08
Portfolio Statement as at 15.5.11 (continued) 10 Holding Market % of at value total net 15.5.11 000 s assets Portfolio of investments ** 6,664 8.15 Net other assets 75,100 91.85 Net assets attributable to unitholders 81,764 100.00% Unless otherwise stated the above securities are admitted to official stock exchange listings or trade on a regulated market. # Collective Investment Scheme permitted under the COLL, not listed on any exchange. A related party to the fund. * Over-The-Counter derivative investments not listed on recognised exchanges. ** Including derivative liabilities.
Statement of Total Return (unaudited) 11 For the six months ended 15 May 2011 15.5.11 15.5.10 000 s 000 s 000 s 000 s Income Net capital (losses)/gains (285) 1,873 Revenue 190 56 Expenses (21) (20) Finance costs: Interest payable (3) (6) Net revenue before taxation 166 30 Taxation (33) 76 Net revenue after taxation 133 106 Total return before distributions (152) 1,979 Distributions 4 0 Change in unitholders funds from investment activities (148) 1,979 Statement of Change in Unitholders Funds (unaudited) For the six months ended 15 May 2011 15.5.11 15.5.10 000 s 000 s 000 s 000 s Opening net assets 62,202 * 32,768 Amounts receivable on issue of units 19,735 0 Amounts payable on cancellation of units 0 (252) 19,735 (252) Stamp duty reserve tax (25) 0 Change in unitholders funds from investment activities (148) 1,979 Closing net assets 81,764 34,495 * * The Opening net assets for the current period do not equal the Closing net assets for the comparative period as they are not consecutive periods.
Balance Sheet (unaudited) 12 As at 15 May 2011 15.5.11 15.11.10 000 s 000 s 000 s 000 s Assets Investment assets 8,490 54,885 Debtors 68 3 Cash and bank balances 75,536 9,576 Total other assets 75,604 9,579 Total assets 84,094 64,464 Liabilities Investment liabilities (1,826) (823) Creditors (80) (41) Bank overdrafts (424) (1,398) Total other liabilities (504) (1,439) Total liabilities (2,330) (2,262) Net assets 81,764 62,202 Unitholders funds 81,764 62,202
Notes to the Accounts (unaudited) 13 Accounting policies Basis of accounting The accounts have been prepared under the historical cost basis, as modified by the revaluation of investments, and in accordance with the Statement of Recommended Practice for Authorised Funds issued by the IMA in October 2010. Except as described below, the accounting policies applied are consistent with those of the annual accounts for the year ended 15 November 2010 and are described in those annual accounts. From 23 March 2011, the investment limit for collective investment schemes was reduced to 10% of the fund s net asset value. Prior to this date the investment limit was 100%.
General Information 14 Manager Schroder Unit Trusts Limited 31 Gresham Street London EC2V 7QA Authorised and regulated by the Financial Services Authority Investment Adviser Schroder Investment Management Limited 31 Gresham Street London EC2V 7QA Authorised and regulated by the Financial Services Authority Registrar * International Financial Data Services Limited IFDS House St Nicholas Lane Basildon Essex SS15 5FS Administration details Schroders FREEPOST RLTZ-CHSY-HBUT PO Box 1102 Chelmsford Essex CM99 2XX Investor Services 0800 718 777 Dealing 0800 718 788 Fax 0870 043 4080 Trustee J.P. Morgan Trustee and Depositary Company Limited Chaseside Bournemouth BH7 7DA Authorised and regulated by the Financial Services Authority Independent Auditors PricewaterhouseCoopers LLP 7 More London Riverside London SE1 2RT * The Manager has delegated the function of Registrar to International Financial Data Services Limited. Authorisation The fund is an authorised unit trust and is constituted pursuant to the COLL and is structured as a trust. The fund is a non-ucits retail scheme for the purpose of the categorisation of the COLL. Initial Management Charge The issue price of the units reflects an initial management charge of 10.00% of the creation price (this is approximately 9.09% of the buying price). This is retained by the Manager. The Prospectus and the Simplified Prospectus are available on request or can be downloaded from our website www.schroders.co.uk. Schroders is required by the European Union Savings Directive to report payments to HM Revenue & Customs that are made by the fund to investors living in other European Union member states.
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