FP Frontier MAP Balanced Fund Short Report for the year ended 31 May 2016 Investment Objective and Policy The aim of the Fund is to provide Shareholders with medium to long term investment growth through investing across multiple asset classes targeted towards investors prepared to assume some market risk. The Fund will seek to achieve its objective through investment either directly or indirectly to multiple asset classes including global equities, global fixed income, emerging market equities, emerging fixed income, global real estate, global commodities, managed futures and hedge funds. These asset classes will be accessed in the most cost efficient manner by, for example, investment in index tracking or replicating funds, derivatives (used for efficient portfolio management purposes), exchange traded funds, and funds of managed accounts. By combining investments across the range of asset classes available, a highly diversified, low volatility portfolio can be achieved and the Fund will also gain exposure across a range of geographical areas. The Fund may also invest, at the ACD s discretion, in other transferable securities, money market instruments, cash and near cash and deposits to meet the investment objective. Fund Facts Risk Profile Interim/Annual Accounting End Dates 30 November 31 May Ex-dividend (xd) Dates - 01 June Income Distribution/ Accumulation Dates - 31 July Please refer to the Full Prospectus for details of all the risks. The Fund has exposure to credit, counterparty and usual market risks. Past performance is not a guide to future performance. The value of investments and any income from them may go down as well as up. Exchange rate changes may cause the value of any overseas investments to rise or fall. You should always regard investments in the Fund as medium to long term. Charges Share Class Initial Charge# Annual Management Charge as at Total Expense Ratios as at Total Expense Ratios as at Share Class A 5.00% 1.50% 2.18% 2.17% Share Class B 5.00% 1.00% 1.68% 1.67% Share Class C 5.00% 0.75% 1.43% 1.42% # The ACD does not currently levy an Initial Charge in respect of any Share Classes of the Fund Page 1
Distributions/Accumulations Distributions Distribution payable 31/07/16 Distribution paid 31/07/15 Share Class A Accumulation 0.0000 0.0000 Share Class B Accumulation 0.1968 0.5742 Share Class C Accumulation 0.7375 0.9874 Comparative Tables Performance Record A Accumulation B Accumulation 31/05/14 31/05/14 Change in net assets per Share Opening net asset value per Share 137.42 131.65 127.94 139.17 132.66 128.28 Return before operating charges* (2.95) 8.67 6.28 (7.13) 8.76 6.32 Operating charges (2.77) (2.90) (2.57) (2.17) (2.25) (1.94) Return after operating charges* (5.72) 5.77 3.71 (9.30) 6.51 4.38 Closing net asset value per Share 131.70 137.42 131.65 129.87 139.17 132.66 Retained distributions on accumulation Shares 0.00 0.00 0.00 0.20 0.57 0.00 * after direct transaction costs of: 0.03 0.00 0.01 0.03 0.00 0.01 Performance Return after operating charges (4.16%) 4.38% 2.90% (6.68%) 4.91% 3.41% Other information Closing net asset value 2,032,710 5,149,320 9,449,326 1,488,155 5,929,695 7,241,407 Closing number of Shares 1,543,422 3,747,064 7,177,749 1,145,897 4,260,805 5,458,688 Operating charges 2.18% 2.17% 2.02% 1.68% 1.67% 1.52% Direct transaction costs 0.02% 0.00% 0.01% 0.02% 0.00% 0.01% Prices Highest Share price 137.60 139.99 131.96 139.36 141.71 132.97 Lowest Share price 115.68 125.74 122.88 117.57 126.95 123.26 Page 2
Comparative Tables (continued) Performance Record (continued) C Accumulation 31/05/14 Change in net assets per Share Opening net asset value per Share 144.07 137.05 132.14 Return before operating charges* (7.67) 9.00 6.58 Operating Charges (1.91) (1.98) (1.67) Return after operating charges* (9.58) 7.02 4.91 Closing net asset value per Share 134.49 144.07 137.05 Retained distributions on accumulation Shares 0.74 0.99 0.83 * after direct transaction costs of: 0.03 0.00 0.01 Performance Return after operating charges (6.65%) 5.12% 3.72% Other information Closing net asset value 29,406,027 44,293,027 50,064,120 Closing number of Shares 21,864,209 30,743,434 36,530,935 Operating charges 1.43% 1.42% 1.27% Direct transaction costs 0.02% 0.00% 0.01% Prices Highest Share price 144.27 146.68 137.31 Lowest Share price 121.92 131.22 126.98 Major Holdings Top 10 Holdings % of Fund as at Standard Life Sterling Liquidity 8.04 SSgA GBP Liquidity 8.03 Insight GBP Liquidity Plus 3 8.01 Crown Managed Futures UCITS 7.98 Insight GBP Liquidity 3 7.17 Federated Sterling Cash Plus 2 6.88 Federated Short-Term Sterling Prime 4 5.68 BlackRock World Ex Euro Government Bond Index 4.98 HSBC Index Tracker FTSE 100 4.28 NGAM H2O MultiReturns 2.96 Top 10 Holdings % of Fund as at HSBC Index Tracker FTSE 100 11.37 Insight GBP Liquidity Plus 3 9.24 Federated Sterling Cash Plus 2 7.66 Crown Managed Futures UCITS 7.51 SSgA GBP Liquidity 7.45 Federated Short-Term Sterling Prime 4 6.99 Insight GBP Liquidity 3 6.07 Ignis Sterling Liquidity 2 5.66 BlackRock World Ex Euro Government Bond Index 4.91 T. Rowe Global Natural Resources Equity 4.32 Page 3
Portfolio Information Breakdown by Investment type 100 90 88.21% 80 70 60 50 40 30 20 10 0-10 Investments [87.08%] 8.54% Net other assets [8.45%] 3.01% Exchange Traded Funds [4.59%] 0.36% Futures [0.10%] (0.04%) (0.08%) Forward Currency Contracts [(0.04%)] Total Return Swaps [(0.18%)] Comparative figures shown above in square brackets relate to 31 May 2015. Investment Manager s Report Investment Review We can report that for the twelve month period to 31 May 2016 the Fund delivered performance of -7.54% for the A Share Class, -7.06% for the B Share Class and -6.83% for the C Share Class. (Source: Bloomberg; total return basis) Following our annual review of the University Endowments, we made some changes to the portfolio as at the 31 March asset allocation review. In 2014 we announced the inclusion of listed private equity as an asset class within the FP Frontier MAP Balanced Fund, giving investors access to the asset class so favoured by Endowments, whilst still maintaining daily liquidity. This was initially via investments into the LPX 50 Index, an index composed of the 50 largest listed and liquid companies that invest either directly into private equity deals, directly lend to private companies or are managers to private equity funds. This allocation modestly increased over time as our ongoing research confirmed the benefits and our internal expertise in the area developed. However we still remained substantially underinvested in private equity compared to the Endowments, with Yale having as much as 30% of the Endowment invested in private equity. Over this time, substantial research was also conducted on new methods of accessing private equity using daily liquid instruments and we are pleased to announce a complementary method of accessing private equity alongside the existing LPX 50 Index exposure. Page 4
Investment Manager s Report (continued) Investment Review (continued) Listed closed ended funds that invest in private equity companies either directly, through co-investments with other general partners or via investments in private limited partnerships. This provides us exposure to exactly the same underlying deals and companies as the private limited partnerships that private equity is famous for. Through these vehicles we can get exposure to private companies such as Caffé Nero (coffee house chain), TGI Fridays (restaurant chain), J. Crew Group (clothing) and RAC (Automotive service). These investment vehicles have substantial track records spanning numerous business cycles with some formed over 25 years ago. While there was no change to the allocation to Hedge Funds we did improve the way we accessed the asset class. To date, the Fund has primarily used hedge fund index vehicles designed to track the performance of the hedge fund industry. Given the disappointing performance of the aggregate hedge fund industry since 2013, we reallocated substantially to external regulated absolute return strategies uncorrelated to the overall equity market. As of 31 May 2016 there were 7 funds included within the asset class. The Fund invests directly and indirectly across nine traditional and alternative asset classes: Global Equities, Private Equity, Emerging Market Equities, Global Bonds, Emerging Market Bonds, Global Real Estate, Global Commodities, Hedge Funds and Managed Futures. The Policy Weights for the asset classes are determined on a quarterly basis and were reviewed in March. The policy asset class weights for the year from the 31 March 2016 have been: Global Equities (Inc. UK Equities 8%, US Small & Mid Cap 4% each) 28% Private Equity 14% Emerging Market Equities 8% Global Bonds 6% Emerging Market Bonds 2% Global Real Estate 10% Global Commodities (Inc. Natural Resources equity) 7% Hedge Funds 14% Managed Futures 11% The asset allocation changes moved the exposures closer into line with that of the US University Endowment Funds, as indications from a qualitative and quantitative perspective made it clearer that there we were underexposed to the Private Equity asset class. This was the largest change (+6%) and was almost entirely funded from a switch out of UK equity (-5%). We added a basket of listed closed end funds, names such as Habourvest Global Private Equity Ltd. and NB Private Equity Partners, amongst others. We reduced the HSBC Tracker FTSE 100 Fund. We reduced Global Equity (-2%), this was out of the MSCI World Total Return Swap. We added marginally to Emerging Equity (+1%), where we also switched our exposure from a Total Return Swap on the MSCI Emerging Markets index into the MSCI Emerging Market index futures. Page 5
Investment Manager s Report (continued) Outlook The Fund is invested across nine asset classes with an asset allocation that is strategic rather than tactical. As such, the Fund does not participate in market timing activities. By investing across multiple asset classes with varied correlations, the Fund aims to provide investors with lower volatility and higher risk-adjusted returns than a less diversified portfolio. The investment philosophy of the Fund is based on research and empirical evidence and not on a subjective outlook for the markets or views of the investment manager. The belief that over the long term, strategic asset allocation of a portfolio will determine the vast majority of a portfolio s return and risk is resolutely held. The real global economy will continue to drive asset prices and future fund performance higher, whilst alternative assets should protect the portfolio should the short-term global economic issues deteriorate. Investment Manager Gottex Asset Management (UK) Ltd 20 June 2016 Page 6
Significant Information Under the Alternative Investment Fund Managers Directive ("AIFMD"), acting as the Alternative Investment Fund Manager ("AIFM"), Fund Partners is required to disclose how those whose actions have a material impact on the Fund are remunerated. The remuneration strategy across Fund Partners is governed by the Remuneration Committee, a committee appointed by the Fund Partners' Board. The Remuneration Committee has established an AIFM Remuneration Policy designed to ensure the AIFM Remuneration Code in the UK Financial Authority handbook is met proportionately for all AIFM Remuneration Code Staff. Fund Partners considers its activities as non complex due to the fact that regulation limits the AIF strategies conducted and the scope of investment in such a way that investor risk is mitigated. The discretion of Fund Partners and the portfolio manager is strictly controlled within certain pre-defined parameters as determined in the prospectus of each Alternative Investment Fund. In its role as an AIFM, Fund Partners deems itself as lower risk due to the nature of the activities it conducts. Fund Partners does not pay any form of variable remuneration currently. Therefore Fund Partners has provided a basic overview of how staff whose actions have a material impact on the Fund are remunerated. May 2016 Number of Beneficiaries Total remuneration paid Fixed remuneration Variable remuneration paid Carried interest paid by the AIF Total remuneration paid by the AIFM during the financial year 44 1,847,958 1,847,958 0 0 Remuneration paid to employees of the AIFM who have a material impact on the risk profile of the AIF 8 549,477 549,477 0 0 Due to the size and structure of Fund Partners, it is determined that employees of the AIFM who have a material impact on the risk profile of the AIF include the Board, Head of Product Management and Client Relations and the Head of Finance. The delegated investment manager is subject to regulatory requirements on remuneration that Fund Partners deem to be equally as effective as those detailed in the AIFMD, which would include the Capital Requirements Directive or Markets in Financial Instruments Directive. The information in this report is designed to enable Shareholders to make an informed judgment on the activities of the Fund during the period it covers and the result of those activities at the end of the period. The long Report and Accounts are available free of charge on request. For more information about the activities and performance of the Fund during the period and previous periods, please contact: Authorised Corporate Director Fund Partners Limited Cedar House, 3 Cedar Park, Cobham Road, Wimborne, Dorset BH21 7SB Customer Service Centre: 01268 448046 www.fundpartners.co.uk Authorised and regulated by the Financial Conduct Authority (FCA) Depositary Northern Trust Global Services Ltd 50 Bank Street, Canary Wharf, London E14 5NT Authorised by the Prudential Regulation Authority (PRA) and regulated by the FCA and the PRA Investment Manager Gottex Asset Management (UK) Limited 5 Savile Row, London W1S 3PD Authorised and regulated by the FCA Auditor Please note that telephone calls may be recorded for monitoring and training purposes, and to confirm investors' instructions Deloitte LLP Chartered Accountants and Statutory Auditor Saltire Court, 20 Castle Terrace, Edinburgh, EH1 2DB Page 7