R.C.S B 199247
Notice The sole legally binding basis for the purchase of shares of the Company described in this report is the latest valid Sales Prospectus with its terms of contract.
Page Additional Information to the Investors in the Federal Republic of Germany 2 Organisation 3 General Information 5 Management Report 7 Schedule of Investments: SEB Alternative Strategies SICAV - SEB Diversified 9 SEB Alternative Strategies SICAV - SEB Industrial Opportunities 13 Combined Statement of Net Assets 15 Notes to the Financial Statements 16 1
Shares in circulation: The following Sub-Funds are publicly approved for distribution in Germany: SEB Alternative Strategies SICAV - SEB Diversified SEB Alternative Strategies SICAV - SEB Industrial Opportunities The information disclosed above is as at 30 June 2017 and this may change after the period end. The current Sub-Funds in circulation and the current registrations per share class are visible in the distribution matrix on www.sebgroup.lu. 2
Company Board of Directors of the Company: SEB Alternative Strategies SICAV 4, rue Peternelchen, L-2370 Howald, Luxembourg Chairperson Matthias Ewald Branch Manager SEB Investment Management AB Luxembourg Alternative Investment Fund Manager ( AIFM ): Members Tobias Hjelm Global Head of Product Development & Management SEB Investment Management AB Solna, Sweden Elisabeth Scheja Sterner Head of Global Product & Distribution Strategy Skandinaviska Enskilda Banken AB (publ) Stockholm, Sweden SEB Investment Management AB Stjärntorget 4 SE-169 79 Solna, Sweden Board of Directors of the AIFM: Chairperson Johan Wigh (since 26 September 2016) Advokat, Törngren Magnell Sandemarsvägen 18 122 60 Enskede Sweden William Paus (until 26 September 2016) Head of Skandinaviska Enskilda Banken AB (publ) Oslo Branch Norway Members Magnus Wallberg Chief Financial Officer Life and Investment Management Division Skandinaviska Enskilda Banken AB (publ) Sweden Karin S. Thorburn Professor in Finance at the Norwegian School of Economics Starefossveien 58 A 5019 Bergen, Norway 3
Jenny Askfelt Ruud (since 18 May 2017) Advisor Ratos AB Äppelviksv 5 167 53 Bromma Sweden Branch of the Management Company: SEB Investment Management AB, Luxembourg Branch 4, rue Peternelchen L-2370 Howald, Luxembourg Central Administration (including administrative, registrar and transfer agent function) and Paying Agent in Luxembourg: Portfolio Manager Depositary: Auditor of the Company: Auditor of the AIFM: Global Distributor: Representatives and Paying Agents outside Luxembourg: The Bank of New York Mellon SA/NV 2-4, rue Eugène Ruppert L-2453 Luxembourg SEB Investment Management AB Stjärntorget 4 SE-169 79 Solna, Sweden Skandinaviska Enskilda Banken S.A. 4, rue Peternelchen L-2370 Howald, Luxembourg PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator L-2182 Luxembourg PricewaterhouseCoopers AB Torsgatan 21 SE-113 97 Stockholm, Sweden Skandinaviska Enskilda Banken AB (publ) Kungsträdgårdsgatan 8 SE-106 40 Stockholm, Sweden The full list of representatives and paying agents outside Luxembourg can be obtained, free of any charge, at the registered office of the AIFM, at the address of the Branch and on the website of the Branch. 4
SEB Alternative Strategies SICAV is a Luxembourg open-ended investment company with variable share capital, organised in the form of a SICAV under the Luxembourg law of 10 August 1915 on commercial companies, as amended ( 1915 Law ), and governed by Part II of the Luxembourg Law on Undertakings for Collective Investment of 17 December 2010, as amended, (the "Law ). The Company qualifies as an alternative investment fund ( AIF ) under the Luxembourg law of 12 July 2013 on Alternative Investment Fund Managers, as amended, (the AIFM Law ). The Company has appointed SEB Investment Management AB as its AIFM in accordance with the provisions of Chapter I, Article 4 of the 2013 Law. The Company was incorporated on 4 August 2015 for an unlimited duration as a public limited company ( société anonyme ). The Articles of Incorporation were published in Recueil Spécial des Sociétés et Associations (hereafter Mémorial C ) on 14 August 2015. The Articles of Incorporation lastly modified with effect from 4 August 2015 have been published in the Mémorial C on 14 August 2015. The Company is registered with the RCS under the number B199247. The Company is managed by SEB Investment Management AB. (the Management Company ). The AIFM was established on 19 May 1978 in the form of a Swedish limited liability company (AB). The AIFM is authorised by Finansinspektionen for the management of UCITS and for the discretionary management of financial instruments and investment portfolios under the Swedish UCITS Act (SFS 2004:46). The AIFM is also authorised as an alternative investment fund manager to manage alternative investment funds under the Swedish AIFM Act (SFS 2013:561). The AIFM has delegated parts of the Central Administration as further detailed hereafter, including the administrative, registrar and transfer agent functions- under its continued responsibility and control - at its own expenses to The Bank of New York Mellon SA/NV, 2-4, rue Eugène Ruppert, L-2453 Luxembourg. This company was incorporated in Luxembourg as a société anonyme on 15 December 1998 and is an indirect wholly-owned subsidiary of The Bank of New York Mellon Corporation. It is registered with the Luxembourg Trade and Companies' Register under Corporate Identity Number B 67654 (the Administrative Agent and "Registrar and Transfer Agent ). In the capacity of Administrative Agent, it carries out certain administrative duties related to the administration of the Company, including the calculation of the NAV of the Shares and the provision of account services for the Company. In its capacity as Registrar and Transfer Agent, it will process all subscriptions, redemptions and transfers of shares, and will register these transactions in the Shareholders' register of the Company. The investment objectives of the Company with respect to its Sub-Funds are to provide participation in selected Sub- Funds investing in shares and/or units of investment funds of the open-ended and accessorily of the closed-ended type, as well as in securities and in other assets permitted by law, with the purpose of spreading investment risks and affording its shareholders the results of the management of its Sub-Funds. At present, two Sub-Funds are at the Shareholders disposal: SEB Alternative Strategies SICAV - SEB Diversified SEB Alternative Strategies SICAV - SEB Industrial Opportunities Unless otherwise laid down in part II of the Prospectus, "The Sub-Funds", the Company may decide to issue, for each Sub-Fund, capitalisation Shares ("C" Shares) and distribution Shares ("D" Shares). The "C" Shares will reinvest their income, if any. The "D" Shares may pay a dividend to its Shareholders, upon decision of the Company. Dividends are paid annually, except for those Sub-Funds where the Company would decide on a monthly, quarterly or semi-annual dividend payment. 5
The Company may issue Share Classes whose Reference Currency is not the Base Currency of the respective Sub- Fund. With regard to such Share Classes, the Company has the ambition to hedge the currency exposure from the Base Currency into the currency exposure of the Reference Currency. Considering the practical challenges of doing so, the Company does not guarantee how successful such currency hedging of Share Classes will be. For Share Classes where the Company has an ambition to currency-hedge the Share Class, an H- will precede the currency denomination of the Share Class. For example (H-SEK) means that there is an ambition by the Company to hedge the currency exposure from a Base Currency into a SEK-exposure for the Share Class. The ambition of such hedging activity is to limit the performance impact related to fluctuations in the exchange rate between the Base Currency and the Reference Currency of the Share Class. The profit and loss effects related to currency hedging of a particular Share Class, will be allocated to the relevant Share Class. Currently, the following share classes are offered for the Sub-Funds: SEB Alternative Strategies SICAV - SEB Diversified o Capitalisation shares ( C (H-SEK) shares) LU1188221706 o Distribution shares ( HNWD (H-SEK) shares) LU1188222266 o Capitalisation shares ( IC (EUR) shares) LU1188222340 o Capitalisation shares ( IC (H-SEK) shares) LU1188222696 o Capitalisation shares ( SIC (H-USD) shares) LU1188223231 SEB Alternative Strategies SICAV - SEB Industrial Opportunities o Capitalisation shares ( HNWC (H-EUR) shares) LU1242470554 o Capitalisation shares ( HNWC2 (H-EUR) shares) LU1242471107 o Capitalisation shares ( HNWC (H-SEK) shares) LU1242470711 o Capitalisation shares ( HNWC2 (H-SEK) shares) LU1242471362 o Capitalisation shares ( IC (H-EUR) shares) LU1242471529 o Capitalisation shares ( IC (H-SEK) shares) LU1242471875 o Distribution shares ( ID (H-EUR) shares LU1362436328 o Capitalisation shares ( SIC (H-EUR) shares) LU1242472170 o Capitalisation shares ( SIC (USD) shares) LU1242472337 The base currency of the Company is euro. The currency of Sub-Fund SEB Alternative Strategies SICAV SEB Diversified is euro and SEB Alternative Strategies SICAV SEB Industrial Opportunities is US Dollar. The issue and redemption prices, which are computed daily on bank business days in Luxembourg, except 24 December and 31 December ("Valuation date"), can be obtained from the registered offices of the Company, the Depositary and the Paying Agent. In addition, the Net Asset Value, fact sheets and other informational material is published on the SEB Luxembourg website www.sebgroup.lu (http://www.sebgroup.lu). When registered in other countries, the publication media might differ according to the regulatory requirements. The audited annual and un-audited semi-annual reports of the Company may be obtained, free of charge at the registered office of the AIFM, at the address of its Branch and on the website. These reports as well as copies of the Prospectus and the Articles of Association are available, free of charge, at the registered office of the AIFM, at the address of the Branch and on the website. 6
Dear Shareholders, With this report, we want to give you an overview of the general economic environment, the development of the most important capital markets, our investment policy and the performance of our Company SEB Alternative Strategies SICAV. We would like to thank you for your confidence and will do everything within our power to justify your decision of investing in our Company. A brighter growth outlook In the past year growth in developed and emerging markets has strengthened and the outlook has brightened. Although we have seen signs of improving growth in the period after the financial crisis, what sets the past year apart is the concerted nature of the recovery in the sense that all major regions and sectors contributed to the positive development. As such it is the first truly all-encompassing growth acceleration that we have seen since 2009/2010. On the back of the improving growth outlook, equity prices and earnings forecasts have risen significantly. Oddly enough, the optimism has primarily been contained in the equity market. Although rates have increased, ~ 1%-point for US 10-year bonds, it is important to note that this is roughly the same level as in early 2016 and, as such, the fixed income market still seems sceptical of the positive growth outlook. We think the divergence between fixed income and equity markets illustrates the confusion and debate in the markets as to whether it is possible to believe in a sustained growth recovery at this late stage, by historical standards, of the business cycle - with equity market saying yes and fixed income markets saying no. The past year has also seen a series of major elections and referendums: Trump winning the US presidency, Italy rejecting constitutional reforms, France electing a newly formed reform party, and the UK opting to leave the EU. Even though all of these events have captured the news the impact on financial markets has in general been minuscule. More than anything else the past year has for the financial markets been about improving growth rather than politics. In the following paragraphs we describe the developments and our outlook for the financial markets, global growth and monetary policy. Financial markets On the back of the strong improvement in global growth, equity markets rallied last year. European and emerging market equities in particular experienced returns exceeding those of earlier years. It is also worth noting that for the first time since the immediate recovery from the financial crisis the gains in equities was driven more by earnings growth than by multiple expansion. That is to say, equities rallied because firms are again seeing genuine earnings growth rather than just rising on an increasing willingness among investors to pay higher prices for future earnings. In the fixed income markets, the improving growth outlook led to higher yields during H2 2016. However, while equities continued to rally in the first half of 2017, yields started trading in a relatively tight range. As such, the German 10-year rate fluctuated from 0.2% to 0.4% in the first six months of 2017 - despite the generally improving growth outlook. We believe continued doubt regarding the sustainability of the current growth recovery is the main reason for this muted development. Foreign exchange markets largely mirrored the developments in the geographic growth picture: the USD strengthened significantly in the second half of 2016 when the US led the recovery, and weakened in the first half of 2017 as Europe and emerging markets led the recovery. This left foreign exchange markets more or less back where they started - despite development in growth and politics. 7
Global growth The economic outlook remains bright at the time of writing, as the second half of 2017 approaches. Sentiment indicators are at high levels, employment figures continue to grow, and banks are increasingly willing to supply credit. Thus the trends of the past year remain in place. Two things have contrasted the current recovery from the other growth spurts that we have seen after the financial crisis. First of all, the recovery has been very broad based. It has not been solely driven by one country or one sector. In our view, this makes the recovery more durable and generates positive synergies. The revival of global trade is the second factor that contrasts with the past year s recovery. From the financial crisis until now, global trade has been a missing component. All in all, the past year s growth picture looks increasingly stable and strong. Monetary policy In line with the improving growth outlook, we saw a general tightening shift for the US Federal Reserve and the ECB in the past year. The Fed hiked rates twice and announced plans on how to reduce its balance sheet. Going forward, it is worth noting that the current rate hike cycle in the US is unlike anything we have seen in the past which makes it harder to draw any firm conclusions about the possible impact of higher US rates on the financial markets. However, it is important to note that the fiscal stimulus promised by the US government under Trump is still expected although the US labour market looks tight. This increases the risk for increasing inflationary pressures in the US and a more aggressive reaction from the Fed than originally communicated. We believe this is one of the main risk scenarios for 2018. Outlook for financial markets & economic growth Given the broad based nature of the current recovery and the revival in global trade, we are confident that 2017 and 2018 will be characterised by positive growth, and the likelihood for a global recession will be low. Given our positive outlook on global growth, we expect equities to deliver a positive return. We believe the return will be driven by rising earnings and sales, since valuations are already above their historical averages. Given the reduced likelihood for a global recession, we emphasise that we also believe high yield bonds will deliver an attractive return in the coming months. Luxembourg, 4 July 2017 SEB Investment Management AB The Board of Directors 8
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Combined The accompanying notes are an integral part of these financial statements. 15
Note 1. Significant Accounting Policies The Financial Statements have been prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment and the Alternative Investment Fund Directive. Investments: a) Transferable securities and money market instruments, which are officially listed on a stock exchange, are valued at the last available price. b) Transferable securities and money market instruments, which are not officially listed on a stock exchange, but which are traded on another regulated market are valued at a price no lower than the bid price and no higher than the ask price at the time of the valuation and at which the AIFM considers to be an appropriate market price. c) Transferable securities and money market instruments quoted or traded on several markets are valued on the basis of the last available price on the principal market for the transferable securities or money market instruments in question, unless these prices are not representative. d) In the event that such prices are not in line with market conditions, or for securities and money market instruments other than those covered in a), b) and c) above for which there are no fixed prices, these securities and money market instruments, as well as other assets, will be valued at the current market value as determined in good faith by the AIFM, following generally accepted valuation principles. e) Units or shares of UCI(TS) are valued at the last available Net Asset Value obtained from the Administrative Agent of such UCI(TS) except for Exchange Traded Funds which are valued at the latest available price found on the main stock exchange on which they are listed. f) Derivatives instruments traded on regulated markets or stock exchanges are valued at last available settlement prices of these contracts on regulated markets or stock exchanges on which the derivative instruments are traded by the Company. Derivatives instruments not traded on regulated markets or on stock exchanges are valued at their net liquidating value determined, pursuant to the policies established in good faith by the AIFM on a basis consistently applied for each different variety of contracts, in accordance with generally recognised principles, taking into consideration the generally accepted accounting practices, the customary practices in line with the market and the interests of the Shareholders. g) Forward foreign exchange contracts are valued based on the latest available forward exchange rates. h) Financial futures contracts, which are not matured, are valued at valuation date at market rates prevailing at this date. In the case that extraordinary circumstances occur which make it impossible or even wrong to make a valuation in accordance with the above-mentioned criteria, the AIFM is entitled to temporarily apply other generally accepted valuation procedures, which are determined by it in good faith, in order to make an appropriate valuation of the Company's Assets. Gains and losses on the sale of securities are determined using the average cost method. 16
Currency translation: All assets denominated in a different currency to the respective Sub-Funds' currency are converted into this respective Sub-Funds' currency at the last available average exchange rate. Separate accounts are maintained for each Sub-Fund in the currency in which the Net Asset Value per share to which it relates is expressed (the "accounting currency"). Transactions denominated in a currency other than the accounting currency are recorded on the basis of exchange rates prevailing on the date they occur or accrue to the Sub-Fund. Assets and liabilities, expressed in a currency other than the accounting currency, are translated on the basis of exchange rates ruling at the balance sheet date. The consolidated total is translated into EUR at the period end date exchange rate. As at 30 June 2017, the exchange rates were as follows: 1 AUD = 0.672917963 EUR 1 NOK = 0.104357055 EUR 1 CAD = 0.675278728 EUR 1 SEK = 0.103848897 EUR 1 CHF = 0.915182529 EUR 1 SGD = 0.635897867 EUR 1 GBP = 1.135650000 EUR 1 THB = 0.025766687 EUR 1 HKD = 0.112127525 EUR 1 USD = 0.875293846 EUR 1 JPY = 0.007805367 EUR 1 ZAR = 0.066768379 EUR 1 KRW = 0.000765017 EUR Income: Interest income and bank interest income are recognised on an accrual basis. Dividends are recorded on the exdividend date. This income is shown net of any withholding taxes and adjusted accordingly when tax reclaims apply. Note 2. Management Fees Under the terms of the Alternative Investment Fund Management Agreement, the AIFM shall be entitled to the following maximum fees: 1.00% is charged on SEB Alternative Strategies SICAV - SEB Diversified C (H-SEK) shares 0.75% is charged on SEB Alternative Strategies SICAV - SEB Diversified HNWD (H-SEK) shares 0.50% is charged on SEB Alternative Strategies SICAV - SEB Diversified IC (EUR) shares 0.50% is charged on SEB Alternative Strategies SICAV - SEB Diversified IC (H-SEK) shares 0.25% is charged on SEB Alternative Strategies SICAV - SEB Diversified SIC (H-USD) shares 1.50% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities HNWC (H-EUR) shares 1.50% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities HNWC (H-SEK) shares 1.00% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities HNWC2 (H-EUR) shares 1.00% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities HNWC2 (H-SEK) shares 0.75% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities IC (H-EUR) shares 0.75% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities IC (H-SEK) shares 0.75% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities ID (H-EUR) shares 0.50% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities SIC (H-EUR) shares 0.50% is charged on SEB Alternative Strategies SICAV - SEB Industrial Opportunities SIC (USD) shares 17
A twelfth of this rate is being payable at the end of each month and based on the average net assets of each Sub-Fund calculated daily during the relevant month. The AIFM pays portfolio management, accounting, administration, distribution and all other charges and fees on behalf of the Company. Note 3. Performance Fees In addition to the management fees, the Portfolio Manager is entitled to performance fees in the applicable share class of the SEB Alternative Strategies SICAV - SEB Diversified and SEB Alternative Strategies SICAV - SEB Industrial Opportunities. The performance fee is calculated, accrued and crystallised on a daily basis and paid out of the assets of the applicable share class of the Sub-Fund at the end of each month. The calculation of the performance fees takes place on the basis of the shares of the respective share class in circulation at the respective Valuation Day. The performance fees per share of the applicable share class of the Sub-Fund SEB Alternative Strategies SICAV - SEB Diversified equals 10% of the appreciation of the Net Asset Value per share of the C, HNW and I share class, and 7.5% of the appreciation of the Net Asset Value per share of the SI share class of the Sub-Fund over the benchmark, pre performance fees, but post the management fees and other types of fees, above the current Hurdle Value of the applicable share class of the Sub-Fund. The Sub-Fund uses the principle of High Water Mark and the Risk Free Rate as a hurdle. The 3-Month Treasury Bill Return Index is used as the Risk Free Return Index. The performance fees per share of the applicable share class of the Sub-Fund SEB Alternative Strategies SICAV - SEB Industrial Opportunities equals 20% of the appreciation of the Net Asset Value per share of the HNW, HNW2 and I share class, and 15% of the appreciation of the Net Asset Value per share of the SI share class of the Sub-Fund over the benchmark, pre performance fees, but post the management fees and other types of fees, above the current Hurdle Value of the applicable share class of the Sub-Fund. The Sub-Fund uses the principle of High Water Mark and a fixed percentage of 6% p.a. as a hurdle applicable to all classes. Note 4. Taxation The Company is liable in Luxembourg to a subscription tax ("taxe d'abonnement") of 0.05% or 0.01% (as applicable) per annum of its NAV, such tax being payable quarterly on the basis of the value of the aggregate Net Assets of the Company at the end of the relevant calendar quarter. Investments by the Company in shares or units of another Luxembourg undertaking for collective investment which are also subject to the taxe d abonnement are excluded from the NAV of the Company serving as basis for the calculation of this tax to be paid by the Company. No stamp duty or other tax is payable in Luxembourg on the issue of shares. Interest, dividend and other income realised by the Company on the sale of securities of non-luxembourg issuers, may be subject to withholding and other taxes levied by the jurisdictions in which the income is sourced. 18
Note 5. Transaction Fees Transaction fees incurred by the Company relating to the purchase or the sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of custodian and broker fees. Most of the transaction fees are included in the transaction price used to calculate the realised and unrealised gain/(loss) on securities. In line with bond market practice, a bid-offer spread is applied when buying or selling securities and other financial instruments. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker's remuneration. As at 30 June 2017, the transaction fees were as follows: SEB Alternative Strategies SICAV - SEB Diversified SEB Alternative Strategies SICAV - SEB Industrial Opportunities 232,556.33 EUR 43,997.12 USD Note 6. Collateral As at 30 June 2017, the following security was held with broker Skandinaviska Enskilda Banken AB (publ) as collateral on future positions: Sub-Fund Security description Nominal SEB Alternative Strategies SICAV - SEB Diversified 3.75% Swedish Government Bond 12/08/2017 SEK 95,000,000 SEB Alternative Strategies SICAV - SEB Diversified 0.00% Sweden Treasury Bill 20/09/2017 SEK 30,000,000 Note 7. Significant events during the period Directors There were changes to the Board of Directors of the AIFM during the period. Please refer to the Organisation Section on page 3 for details. Effective 1 April 2017, BNY Mellon has merged its legal entity The Bank of New York Mellon (Luxembourg) S.A., into The Bank of New York Mellon SA/NV. Note 8. Subsequent events after the period end There are no subsequent events after the period end. 19
SEB Investment Management AB, Luxembourg Branch 4, rue Peternelchen, L-2370 Howald, Luxembourg Postal address: PO Box 2053, L-1020 Luxembourg Phone +352-26 23 1; Fax +352-26 23 25 55 www.sebgroup.lu 20