PROXIMA INVESTMENTS SICAV - Annual Report

Transcription

Audited annual report
as at 31st March 2013
PROXIMA INVESTMENTS SICAV
Société d'Investissement à Capital Variable
Luxembourg
R.C.S. Luxembourg B 125 182
No subscription can be received on the basis of this financial report. Subscriptions are only valid if made on the basis of the
current prospectus and the key investor information document ("KIID"), supplemented by the latest annual report and the
most recent semi-annual report, if published thereafter.
Contents
Organisation ..................................................................................................................................................... 3
General information ......................................................................................................................................... 5
Report on activities of the Board of Directors............................................................................................... 7
Report of the réviseur d'entreprises agréé .................................................................................................. 10
Consolidated statement of net assets .......................................................................................................... 12
Consolidated statement of operations and other changes in net assets ................................................. 13
PROXIMA INVESTMENTS SICAV - GLOBAL BOND ABSOLUTE RETURN ............................................... 14
Statement of net assets ................................................................................................................................ 14
Statement of operations and other changes in net assets ........................................................................... 15
Statistical information .................................................................................................................................... 16
Statement of investments and other net assets ........................................................................................... 17
Industrial and geographical classification of investments ............................................................................. 19
Statement of changes in investments ........................................................................................................... 20
PROXIMA INVESTMENTS SICAV - GLOBAL VALUE .................................................................................. 23
PROXIMA INVESTMENTS SICAV - ATHENA LONG SHORT ....................................................................... 31
PROXIMA INVESTMENTS SICAV - ASIA LONG SHORT EQUITY............................................................... 40
PROXIMA INVESTMENTS SICAV - ROSEMARY .......................................................................................... 48
PROXIMA INVESTMENTS SICAV - NORTH AMERICA LONG SHORT EQUITY ........................................ 61
1
Contents (continued)
PROXIMA INVESTMENTS SICAV - OCKHAM............................................................................................... 67
Notes to the financial statements ................................................................................................................. 73
Unaudited appendix to the notes to the financial statements ................................................................... 85
2
Organisation
Registered Office
41, Boulevard Royal
L-2449 LUXEMBOURG
Board of Directors
Chairman
Sylvain FERAUD
Managing Director
CASA4FUNDS SA
41, Boulevard Royal
L-2449 LUXEMBOURG
Directors
Margherita BALERNA BOMMARTINI
Head of Operations & Branch Manager
CASA4FUNDS SA Luxembourg, Swiss Branch, Paradiso
Via L. Zuccoli, 19
CH-6900 PARADISO
Arnaud BOUTEILLER
Head of Risk Management and Fund Compliance
CASA4FUNDS SA
41, Boulevard Royal
L-2449 LUXEMBOURG
Giacomo MERGONI
Director, Investment Manager
PROXIMA INVESTMENT MANAGEMENT LTD
16 Berkeley Street
UK-LONDON W1J 8DZ
Management Company
CASA4FUNDS SA
41, Boulevard Royal
L-2449 LUXEMBOURG
Board of Directors
of the Management Company
Chairman
Giovanni Giacomo SCHRAEMLI
Executive Board Member
BANCA ARNER S.A.
Piazza Manzoni, 8
CH-6901 LUGANO
Directors
Head of Operations & Branch Manager
CASA4FUNDS SA Luxembourg, Swiss Branch, Paradiso
Via L. Zuccoli, 19
CH-6900 PARADISO
Oscar CRAMERI
Executive Board Member
HORAFIDES S.A.
Via Bossi, 23
CH-6830 CHIASSO
3
Organisation (continued)
Sylvain FERAUD
Managing Director
CASA4FUNDS SA
41, Boulevard Royal
L-2449 LUXEMBOURG
Giulio ROMANI
Chief Executive Officer
BANCA ARNER S.A.
Piazza Manzoni, 8
CH-6901 LUGANO
Day-to-day managers
of the Management Company
Sylvain FERAUD
Custodian Bank and
Listing Agent
BANQUE DE LUXEMBOURG
Société Anonyme
14, Boulevard Royal
L-2449 LUXEMBOURG
Administration Agent,
Registrar and Transfer
Agent
EUROPEAN FUND ADMINISTRATION
Société Anonyme
2, Rue d’Alsace
L-1122 LUXEMBOURG
Investment Managers
CASA4FUNDS SA
41, Boulevard Royal
L-2449 LUXEMBOURG
PROXIMA INVESTMENT MANAGEMENT LTD
16 Berkeley Street
UK-LONDON W1J 8DZ
Sponsor
CASA4FUNDS SA
41, Boulevard Royal
L-2449 LUXEMBOURG
Correspondent Bank
in Italy
SOCIETE GENERALE SECURITIES SERVICES (SGSS) S.p.A.
Via Benigno Crespi 19a
Maciachini Center Mac 2
I-20159 MILANO
Cabinet de révision agréé
DELOITTE Audit
Société à responsabilité limitée
560, Rue de Neudorf
L-2220 LUXEMBOURG
4
General information
PROXIMA INVESTMENTS SICAV (hereafter the "Fund") is a Luxembourg Investment Company
("Société d'Investissement à Capital Variable") incorporated for an unlimited duration under the name
of PROXIMA SICAV in Luxembourg on 13th February 2007. It is organised in accordance with the
provisions of Part I of the amended Law of 17th December 2010 relating to Undertakings for Collective
Investment.
The Extraordinary General Meeting dated 13th March 2007 decided to amend the name of the Fund
from "PROXIMA SICAV" into "PROXIMA INVESTMENTS SICAV".
The Articles of Incorporation of the Fund were published for the first time in the "Mémorial, Recueil des
Sociétés et Associations" (the "Mémorial") on 27th March 2007. The Articles have been amended for
the last time on 25th July 2012 and the coordinated Articles were published in the "Mémorial" on
29th August 2012. The Articles have been filed with the "Registre de Commerce et des Sociétés de
Luxembourg" where these documents are kept available for inspection and where copies thereof can
be obtained.
The Fund is structured as an "umbrella fund", which means that it is made up of several Sub-Funds
having each their specific assets and liabilities and their own distinct investment policy.
At the date of the report, the following Sub-Funds are offered for subscription:
-
PROXIMA INVESTMENTS SICAV - GLOBAL BOND ABSOLUTE RETURN
PROXIMA INVESTMENTS SICAV - GLOBAL VALUE
PROXIMA INVESTMENTS SICAV - ATHENA LONG SHORT
PROXIMA INVESTMENTS SICAV - ASIA LONG SHORT EQUITY
PROXIMA INVESTMENTS SICAV - ROSEMARY
PROXIMA INVESTMENTS SICAV - NORTH AMERICA LONG SHORT EQUITY
PROXIMA INVESTMENTS SICAV - OCKHAM
(launched on 7th December 2012)
in EUR
in EUR
in EUR
in USD
in EUR
in USD
in EUR
With effect on 7th December 2012, the Board of Directors decided the incorporation the Sub-Fund
OCKHAM - NAVIGATOR FUND of OCKHAM SICAV into the Sub-Fund PROXIMA INVESTMENTS
SICAV - OCKHAM of PROXIMA INVESTMENTS SICAV.
At the date of the report, the outstanding Classes of Shares are:
-
(*)
Class A: capitalization shares in registered and bearer form reserved to retail investors
(hereafter Class A capitalization Share);
Class A: distribution shares in registered and bearer form reserved to retail investors
(hereafter Class A distribution Share);
Class B: capitalization shares in registered and bearer form reserved to institutional investors
(hereafter Class B capitalization Share);
Class B: distribution shares in registered and bearer form reserved to institutional investors
(hereafter Class B distribution Share);
Class S EUR and Class S USD: capitalization shares in registered and bearer form reserved
to specific investors (both retail and institutional, specifically authorized by the Board of
Directors or subscribing through intermediaries specifically authorized by the Board of
Directors) (hereafter Class S EUR and Class S USD capitalization Shares);
(*)
Class C EUR and Class C USD: capitalization shares in registered and bearer form
available to all types of Investors (hereafter Class C EUR and Class C USD capitalization
Shares).
registered form only for Class B capitalisation and for Class C EUR in the Sub-Fund PROXIMA INVESTMENTS SICAV OCKHAM.
5
General information (continued)
For the Sub-Fund PROXIMA INVESTMENTS SICAV - GLOBAL VALUE, the Net Asset Value per
Share is determined every day in Luxembourg, under the responsibility of the Board of Directors of the
Fund.
For the Sub-Fund PROXIMA INVESTMENTS SICAV - OCKHAM, the Net Asset Value per Share is
determined every Friday.
For the other Sub-Funds, the Net Asset Value per Share is calculated every Wednesday.
If a Valuation Day is a (legal or bank) holiday in Luxembourg, the Valuation Day shall be the next
following bank business day.
The Net Asset Value per Share of each Class in a Sub-Fund, the subscription and redemption prices
are available at the Fund's registered office.
The current prospectus, the key investor information document (KIID), copy of the Articles, the
financial annual reports as well as the semi-annual reports of the Fund are available free of charge at
the Fund's registered office and at the Correspondent Bank in Italy.
6
Report on activities of the Board of Directors
The performance between 1st April 2012 and 31st March 2013 has been +3.74%, which compares to
a gain of 3.34% of the FTSE Euro Corporate Bonds 1-3 year Index.
The economic scenario has been characterized by diminished fears over government debt in Europe,
a slower growth in China and a slow recovery in the US. Spreads on Euro denominated issues have
reduced considerably after the ECB intervention in September 2012. New issues have been
constantly oversubscribed and long term rates have remained extremely low.
During the year the manager has reduced risk shortening maturities and increasing the overall quality
of the portfolio as implied returns on high yield corporates and peripheral government bonds were
considered unattractive.
Volatility has been reduced in 2013 by increasing the exposure to high rating names and reducing the
exposure to EU peripheral countries. The fund ended the year with a relatively low risk exposure.
Duration has remained below 2 years throughout the period. Non Euro exposure has been kept to
non-significant levels.
a gain of 5.92% for the Eurostoxx50 and a gain of 11.40% for the S&P500. Returns have been
positive across the European region, with an overperformance of Nordic vs Southern countries.
Fears over government debt in Europe have somewhat subsided following the intervention of the ECB
while a slower but positive growth in China and a more robust recovery in the US have sustained the
markets. A new government in Japan and a powerful quantitative easing have reignited the local
markets.
The equity exposure of the fund has been on average 85% with the remaining assets invested in
corporate bonds. Throughout the year the fund has maintained its main positions in defensive stocks,
including utilities, pharmaceutical companies and regulated businesses (namely toll road operators
and electricity and gas grid operators) as investors have shown somewhat reluctant to buy cyclical
names. Like the previous year, the fund has been on average invested in Italy for 20%, in Europe exItaly for 45%, in the US for 15%.
The fund closed the period between 31st March 2012 and 31st March 2013 with a performance of
0.98% net of all fees.
Just like last year, the performance can be explained dividing the period in two sub-periods: in the first
four months (April 2012 - July 2012) the fund lost 11.5%, following the slow progress of reforms in
Italy. The market correction that followed the initial exuberance following the appointment of Mr Monti
government gave us the opportunity to buy into medium and small caps with historically low
valuations. Investors capitulated in July and our fund increased both the net and gross exposure as a
consequence.
We have been proven right so far in our core scenario (survival of the Euro and no default of Italian
and Spanish government bonds). We think we are living in very exciting times for investing in Italy and
although volatility will remain higher than in other markets, we strongly believe that returns will more
than reward investors on a risk adjusted basis.
7
Report on activities of the Board of Directors (continued)
PROXIMA INVESTMENTS SICAV - ASIA LONG SHORT
The performance between 1st April 2012 and 31st March 2013 has been -10.48%, which compares to
a gain of 1.16% of the Shanghai Composite index and a gain of 7.08 of the MS Asia Pacific Index.
The economic scenario in the region’s major economies (China, India) has been characterized by a
less restrictive monetary policy, while in Japan the new government of Mr Shinzo Abe has given the
markets now confidence and the launch of US-style quantitative easing measures.
The manager has overestimated the ability of the new Chinese government to return the economy to
stronger growth. China has hit a soft patch and this has cost the fund dearly. In December the
manager has decided to cut losses and concentrate on a more concentrated portfolio of mainly
Chinese value stocks, seeking to generate Alpha rather than chasing the markets’ Beta. Net exposure
has been kept between 50 % and 60% while gross exposure has been between 70% and 80%. The
manager strongly believes that a strict value strategy in Greater China will generate positive risk
adjusted returns as widely demonstrated in other more developed markets.
The performance between 31st March 2012 and 31st March 2013 has been +2.73% which compares
to a loss of 5.92% for the Eurostoxx50 and a gain of 11.40% for the S&P500.
Fears over government debt in Europe have somewhat subsided following the intervention of the ECB
while a slower but positive growth in China and a more robust recovery in the US have sustained the
markets. A new government in Japan and a powerful quantitative easing have reignited the local
markets.
Correlation among asset classes and currencies remained strong and traditional hedging strategies
have not been performing as expected.
The manager has maintained a low exposure with opportunistic investments with a thematic approach
(miners, technology, energy, subordinated and hybrid corporate bonds). Option strategies have
generated positive returns while reducing the overall portfolio volatility.
a gain of 11.40% of the S&P500 Index.
The economic scenario in the US has been characterized by a slow but robust recovery, with positive
signs from the property and job markets. Banks have continued to outperform the market as most of
our stocks have done (including Google and AIG).
The manager has gradually reduced the net exposure from 70% to 60% to take into account the fair
valuation reached by some positions. The general outlook is still positive although more stocks have
been priced for excessive growth and make for good shorts. Equities are still sustained by the Fed
asset purchase program and by the historically low long term rates (still negative in real terms) which
compare with high real returns from the stock markets.
8
Report on activities of the Board of Directors (continued)
The performance between 7th December 2012 and 31st March 2013 has been -1,53%.
PROXIMA INVESTMENTS SICAV - OCKHAM was managed in a very conservative way since the
merger occurred in December 2012: the manager invested most of the existing liquidity into various
safe corporate bonds with attractive returns, while keeping a large position in a virtually free-risk short
duration German Bund. Moreover, a few existing Equity positions were managed reducing their weight
progressively on the strength
Luxembourg, 30th May 2013
The Board of Directors
Note: The information in this report represents historical data and is not an indication of future results.
9
Deloitte Audit
Société à responsabilité limitée
560, rue de Neudorf
L-2220 Luxembourg
B.P. 1173
L-1011 Luxembourg
Report of the réviseur d'entreprises agréé
Tel: +352 451 451
Fax: +352 451 452 992
www.deloitte.lu
To the Shareholders of
Following our appointment by the general meeting of the shareholders, we have audited the
accompanying financial statements of PROXIMA INVESTMENTS SICAV and of each of its sub-funds,
which comprise the statement of net assets and the statement of investments and other net assets as
at 31st March 2013 and the statement of operations and other changes in net assets for the year then
ended, and a summary of significant accounting policies and other explanatory notes to the financial
statements.
Responsibility of the Board of Directors of the Fund for the financial statements
The Board of Directors of the Fund is responsible for the preparation and fair presentation of these
financial statements in accordance with Luxembourg legal and regulatory requirements relating to the
preparation of the financial statements and for such internal control as the Board of Directors of the
Fund determines is necessary to enable the preparation of financial statements that are free from
material misstatement, whether due to fraud or error.
Responsibility of the réviseur d’entreprises agréé
Our responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit in accordance with International Standards on Auditing as adopted for
Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that
we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance
whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures
in the financial statements. The procedures selected depend on the réviseur d’entreprises agréé’s
judgement, including the assessment of the risks of material misstatement of the financial statements,
whether due to fraud or error. In making those risk assessments, the réviseur d’entreprises agréé
considers internal control relevant to the entity’s preparation and fair presentation of the financial
statements in order to design audit procedures that are appropriate in the circumstances, but not for
the purpose of expressing an opinion on the effectiveness of the entity’s internal control.
Société à responsabilité limitée au capital de 35.000 EUR
RCS Luxembourg B 67.895
10
Consolidated statement of net assets (in EUR)
Assets
Securities portfolio at market value
Option contracts at market value
Cash at banks
Cash collateral at banks
Other liquid assets
Formation expenses, net
Receivable on sales of securities
Receivable on swap contracts
Receivable on issues of shares
Income receivable on portfolio
Interest receivable on bank accounts
Unrealised gain on swap contracts
Prepaid expenses
107,769,332.19
156,139.83
14,742,784.89
4,104,725.12
1,561,806.34
36,049.21
1,307,782.73
205,379.10
390,960.55
1,048,290.59
18.02
26,634.27
10,382.17
Total assets
131,360,285.01
Liabilities
Bank liabilities
Other liquid liabilities
Short option contracts at market value
Payable on purchases of securities
Payable on swap contracts
Payable on redemptions of shares
Interest payable on swap contracts
Unrealised loss on forward foreign exchange contracts
Interest on bank liabilities and expenses payable
7.82
29,621.07
161,457.39
1,386,694.11
327,584.43
2.19
4,061.06
708,994.38
543,850.63
Total liabilities
3,162,273.08
Net assets at the end of the year
128,198,011.93
The accompanying notes are an integral part of these financial statements.
12
Consolidated statement of operations and other changes in net assets (in EUR)
from 1st April 2012 to 31st March 2013
Income
Dividends, net
Interest on bonds and other debt securities, net
Interest on bank accounts
Interest on swap contracts
Commissions received
Other income
673,873.67
2,237,276.72
2,807.07
6,570.07
7,341.54
6,595.04
Total income
2,934,464.11
Expenses
Management fees
Performance fees
Custodian fees
Banking charges and other fees
Transaction fees
Central administration costs
Professional fees
Other administration costs
Subscription duty ("taxe d'abonnement")
Interest paid on bank liabilities
Interest paid on swap contracts
Other expenses
1,017,167.63
874,932.25
77,364.94
13,642.97
369,187.45
438,042.92
47,118.85
126,809.82
30,357.59
1,384.63
81,320.64
97,551.64
Total expenses
3,174,881.33
Net investment loss
-240,417.22
Net realised gain/(loss)
- on securities portfolio
- on options
- on futures contracts
- on swap contracts
- on forward foreign exchange contracts
- on foreign exchange
3,045,213.95
-442,983.31
80,984.94
-617,482.17
607,745.49
-28,213.22
Realised result
2,404,848.46
Net variation of the unrealised gain/(loss)
- on options
- on swap contracts
3,857,420.57
74,763.62
84,680.75
46,568.06
-818,697.57
Result of operations
5,649,583.89
Subscriptions
61,086,947.12
Redemptions
-31,857,837.49
Total changes in net assets
34,878,693.52
Total net assets at the beginning of the year
92,740,623.24
Revaluation difference
578,695.17
Total net assets at the end of the year
128,198,011.93
13
Statement of net assets (in EUR)
Assets
Cash at banks
Other liquid assets
Receivable on issues of shares
Prepaid expenses
42,000,581.89
5,678,357.61
211.44
390,960.55
790,693.92
0.02
3,420.48
Total assets
48,864,225.91
Liabilities
46,692.26
Total liabilities
46,692.26
48,817,533.65
Class A capitalization Shares outstanding
Net asset value per Class A capitalization Share
75,405.070
10.37
Class A distribution Shares outstanding
Net asset value per Class A distribution Share
73,408.909
10.34
Class B capitalization Shares outstanding
Net asset value per Class B capitalization Share
8,158.940
1,112.48
Class B distribution Shares outstanding
Net asset value per Class B distribution Share
34,066.388
1,121.33
14
Statement of operations and other changes in net assets (in EUR)
Income
1,572,833.63
675.53
5,073.95
Total income
1,578,583.11
Expenses
Management fees
Performance fees
Custodian fees
Transaction fees
Professional fees
Other expenses
227,696.61
165,775.01
20,648.44
4,347.72
9,412.13
117,317.82
17,312.70
27,954.01
4,637.24
9.65
20,788.91
Total expenses
615,900.24
Net investment income
962,682.87
- on options
103,937.07
-19,609.79
34,250.65
-695.72
Realised result
1,080,565.08
- on options
465,183.25
33,276.29
1,579,024.62
Subscriptions
22,109,832.99
Redemptions
-11,734,534.32
11,954,323.29
36,863,210.36
48,817,533.65
15
Statistical information (in EUR)
Total net assets
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
48,817,533.65
36,863,210.36
21,702,047.93
Number of Class A capitalization Shares
- outstanding at the beginning of the year
- issued
- redeemed
- outstanding at the end of the year
0.000
118,379.704
-42,974.634
75,405.070
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
10.37
-
Number of Class A distribution Shares
- issued
- redeemed
71,001.763
27,025.146
-24,618.000
73,408.909
Net asset value per Class A distribution Share
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
10.34
9.99
9.98
Number of Class B capitalization Shares
- issued
- redeemed
7,442.303
1,581.342
-864.705
8,158.940
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
1,112.48
1,069.96
1,064.75
Number of Class B distribution Shares
- issued
- redeemed
26,136.912
17,137.474
-9,207.998
34,066.388
Net asset value per Class B distribution Share
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
1,121.33
1,078.59
1,073.12
16
Statement of investments and other net assets (in EUR)
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Investments in securities
Transferable securities admitted to an official stock exchange listing
Bonds
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
400,000
500,000
500,000
300,000
500,000
300,000
100,000
500,000
400,000
500,000
500,000
100,000
500,000
999,990
950,000
500,000
300,000
550,000
500,000
400,000
400,000
800,000
800,000
700,000
100,000
500,000
500,000
500,000
500,000
500,000
1,000,000
500,000
500,000
750,000
400,000
700,000
1,000,000
500,000
350,000
500,000
350,000
400,000
500,000
350,000
1,000,000
500,000
500,000
500,000
600,000
500,000
500,000
750,000
350,000
463,500
400,000
500,000
350,000
600,000
500,000
Abbey Natl T Serv Plc FRN EMTN 12/28.08.13
Air France KLM 4.75% Sen 06/22.01.14
Air France KLM 6.75% 09/27.10.16
Altadis Finance BV 5.125% 03/02.10.13
Aquarius and Inv Zurich VAR EMTN 13/02.10.43
Assicurazioni Generali SpA VAR EMTN 12/10.07.42
Assicurazioni Generali SpA VAR EMTN Sen 12/12.12.42
Banca Mon dei Pasc di Sien SpA 4.5% EMTN 12/07.03.14
Banca Pop di Vicenza S.c.p.a. 4.75% EMTN Sen 11/16.09.13
Banca Popolare di Milano 4% EMTN Sen 11/15.04.13
Banca Popolare di Vicenza SCRL 6.75% EMTN Sen 12/27.02.15
Banco Pop Societa Cooperativa 3.75% EMTN Sen 13/28.01.16
Banco Pop Societa Cooperativa 4% Sen 11/06.04.13
Banco Pop Societa Cooperativa 4.75% Conv 10/24.03.14
Beni Stabili SpA 3.875% Conv Sen 10/23.04.15
Bombardier Inc 6.125% EMTN Regs Sen 10/15.05.21
Bombardier Inc 7.25% Sen 06/15.11.16
Caisse Cent Crédit Immo France FRN EMTN Sen 12/09.08.13
Credito Valtellinese Scarl 4% EMTN Sen 13/24.07.15
Credito Valtellinese Scarl 4.5% EMTN Sen 11/27.11.13
Davide Campari SpA 5.375% Sen 09/14.10.16
ENEL SpA FRN Sen 10/26.02.16
ENEL SpA FRN Ser 0001 12/20.02.18
ENI SpA FRN Sen 11/11.10.17
Fiat Finance & Trade Ltd SA 6.625% EMTN Sen 13/15.03.18
Fiat Finance & Trade Ltd SA 7.625% EMTN 09/15.09.14
Finmeccanica Finance SA 5.75% EMTN Sen 03/12.12.18
Gruppo Editoriale Espresso SpA 5.125% Sen 04/27.10.14
Heineken NV 5% 03/04.11.13
Iberdrola Intl BV VAR EMTN Sen Sub 13/27.02.Perpetual
Immobiliar Grand Distribuz SpA 3.5% Conv 07/28.12.13
Instituto de Credito Oficial 3.875% Ser 423 12/31.10.14
Intesa Sanpaolo SpA VAR 10/01.06.Perpetual
Italia 2% BOT 10/01.06.13
Italia 3.75% BTP 09/15.12.13
Italia FRN 10/15.12.15
Italia FRN CCT 08/01.12.14
Italia ILB Ser CPI 10/15.09.21
KA Finanz AG 2.25% 10/24.03.14
Koninklijke KPN NV VAR Reg S Sen Sub 13/14.09.Perpetual
Lafarge SA VAR 09/27.05.14
Lloyds TSB Bank Plc 11.875% EMTN 11/16.12.21
Mediaset SpA 5% REGS 10/01.02.17
Merrill Lynch & Co Inc FRN EMTN Ser 3619 Tr 1 06/25.08.14
Monte Dei Paschi Di Siena SpA 4.125% EMTN 11/11.11.13
Nexans SA 5.75% EMTN 07/02.05.17
Peugeot SA 6.875% EMTN Sen 11/30.03.16
Peugeot SA 8.375% EMTN 09/15.07.14
Prysmian SpA 5.25% Sen 10/09.04.15
Red Electrica de Espana Fin BV 4.75% EMTN Sen 03/18.09.13
Rexel SA 8.25% Sen 09/17.04.13
Royal Bank of Scotland Plc 6% EMTN 01/10.05.13
Royal Bank of Scotland Plc VAR Ser 3455 12/16.03.22
Safilo Cap Intl SA 9.625% Sen 03/15.05.13
Santander Intl Debt SA 4.375% Sen 12/04.09.14
Stora Enso Oyj 5% EMTN Sen 12/19.03.18
Stora Enso Oyj 5.125% EMTN Ser 11 Tr 1 04/23.06.14
Telecom Italia SPA FRN EMTN Ser 17 Tr 1 07/07.06.16
Telecom Italia SpA VAR Sub 13/20.03.73
399,440.00
511,125.00
543,750.00
313,650.00
501,406.00
292,455.00
100,000.00
504,000.00
399,860.00
500,080.00
504,378.75
99,844.00
497,600.00
1,012,439.88
890,690.00
537,750.00
317,250.00
543,149.26
504,200.00
403,960.00
421,400.00
730,700.00
815,080.00
718,707.50
100,050.00
518,145.00
532,500.00
500,940.00
525,700.00
497,702.00
961,570.00
516,250.00
508,000.00
747,450.00
399,200.00
637,000.00
956,400.00
448,605.53
358,750.00
506,000.00
385,105.00
432,800.00
477,785.71
331,450.00
993,000.00
537,500.00
512,660.00
528,900.00
611,960.00
510,100.00
544,060.00
768,750.00
362,425.00
451,395.23
399,400.00
497,900.00
367,675.00
500,460.00
501,549.00
17
402,780.00
511,300.00
544,350.00
306,585.00
501,650.00
347,100.00
103,160.00
498,625.00
403,140.00
500,150.00
520,450.00
97,260.00
500,025.00
997,390.03
961,029.50
540,650.00
313,545.00
553,960.00
499,025.00
403,400.00
436,620.00
782,960.00
821,840.00
737,154.95
101,510.00
529,895.00
535,575.00
508,225.00
513,100.00
491,750.00
973,800.00
511,825.00
504,700.00
751,500.00
407,612.00
675,710.00
989,640.00
493,848.57
356,877.50
494,050.00
378,595.00
493,980.00
496,150.00
348,460.00
996,950.00
533,450.00
515,300.00
525,625.00
629,490.00
508,750.00
546,525.00
753,712.50
416,447.50
461,785.05
410,260.00
515,750.00
365,312.50
572,460.00
481,775.00
0.83
1.05
1.12
0.63
1.03
0.71
0.21
1.02
0.83
1.02
1.07
0.20
1.02
2.04
1.97
1.11
0.64
1.13
1.02
0.83
0.89
1.60
1.68
1.51
0.21
1.09
1.10
1.04
1.05
1.01
1.99
1.05
1.03
1.54
0.83
1.38
2.03
1.01
0.73
1.01
0.78
1.01
1.02
0.71
2.04
1.09
1.06
1.08
1.29
1.04
1.12
1.54
0.85
0.95
0.84
1.06
0.75
1.17
0.99
Statement of investments and other net assets (in EUR) (continued)
Currency
Number /
nominal value
EUR
EUR
EUR
EUR
600,000
1,100,962.5
300,000
450,000
GBP
GBP
GBP
400,000
300,000
400,000
USD
USD
USD
500,000
700,000
500,000
Description
Cost
Turkey 6.5% Sen 04/10.02.14
Unione Banche Italiane ScpA 5.75% Conv 09/10.07.13
Volkswagen Leasing GmbH FRN EMTN 11/03.06.13
Zurich Finance (USA) Inc VAR EMTN 03/02.10.23
Market value
% of
total net
assets
638,010.00
1,129,330.34
300,000.00
446,175.00
33,005,568.20
628,260.00
1,109,770.20
300,165.00
456,795.00
33,569,535.30
1.29
2.27
0.61
0.94
68.76
Aston Martin Capital Ltd 9.25% Reg-S 11/15.07.18
Jaguar Land Rover Plc 8.125% RegS 11/15.05.18
Ladbrokes Group Finance Plc 7.625% Reg-S 10/05.03.17
489,236.55
388,040.16
518,807.80
1,396,084.51
482,791.50
391,135.44
534,893.11
1,408,820.05
0.99
0.80
1.10
2.89
Instituto de Credito Oficial 3.25% EMTN Ser 277 08/14.05.13
Meccanica Holdings USA Inc 6.25% Reg S Sen 09/15.07.19
Telecom Italia SA 5.25% Sen Gl 05/01.10.15
400,226.85
547,702.39
395,795.69
1,343,724.93
390,748.77
566,415.61
411,018.77
1,368,183.15
0.80
1.16
0.84
2.80
35,745,377.64
36,346,538.50
74.45
754,365.00
754,365.00
217,500.00
217,500.00
0.45
0.45
Total bonds
Bonds in default of payment
EUR
1,000,000
Seat Pagine Gialle SpA 10.5% Ser REGS 10/31.01.17
Total bonds in default of payment
Transferable securities dealt in on another regulated market
Bonds
EUR
500,000
Ziggo Bond Co BV 8% Reg S 10/15.05.18
548,095.00
540,000.00
1.11
GBP
600,000
William Hill Plc 7.125% EMTN 09/11.11.16
806,384.03
797,283.35
1.63
1,354,479.03
1,337,283.35
2.74
77,746.49
14,000.00
91,746.49
0.00
0.00
0.00
0.00
0.00
0.00
651,842.68
870,220.40
425,195.00
422,886.50
2,370,144.58
723,851.06
896,352.00
442,295.00
434,502.00
2,497,000.06
1.48
1.84
0.91
0.89
5.12
333,001.00
518,250.91
851,251.91
415,397.83
611,738.15
1,027,135.98
0.85
1.25
2.10
3,221,396.49
3,524,136.04
7.22
509,998.92
509,998.92
575,124.00
575,124.00
1.18
1.18
41,677,363.57
42,000,581.89
86.04
5,678,357.61
11.63
1,138,594.15
2.33
48,817,533.65
100.00
Total bonds
Other transferable securities
Bonds
EUR
EUR
78,351
14,000
Cogeme Set SpA in liquidazione VAR Conv 09/13.03.14
Risanamento Napoli SpA VAR Conv 11/31.12.14
Total bonds
Open-ended investment funds
Investment funds (UCITS)
EUR
EUR
EUR
EUR
33,999.58
80
3,500
5,050
USD
USD
22,613.065
3,400.329
BlackRock Global Fds Em Mks Local Currency Bond A2 Cap
Carmignac Portfolio Capital Plus A EUR Cap
Pictet Asian Local Currency Debt I EUR Cap
Pictet Funds (LUX) Global Emerging Currencies I EUR Cap
F Templeton Inv Fds Global Bond I Cap
Muzinich Fds AmericaYield Units Hedged A USD Cap
Total investment funds (UCITS)
Tracker funds (UCITS)
EUR
4,400
Multi Units France Lyxor ETF EuroMTS Inflation Lk Inv Grade
Total tracker funds (UCITS)
Total investments in securities
Cash at banks
Other net assets/(liabilities)
Total
18
Industrial and geographical classification of investments
Industrial classification
(in percentage of net assets)
Banks
22.33 %
Diversified financial services
10.96 %
Investment funds
10.37 %
Countries and governments
8.08 %
Capital goods
5.25 %
Media
5.25 %
Utilities
3.28 %
Telecommunication services
3.17 %
Automobiles and components
2.94 %
Materials
2.59 %
Transportation
2.17 %
Real estate
1.99 %
Insurance
1.95 %
Food, beverage and tobacco
1.94 %
Energy
1.51 %
Special Purpose Vehicle (SPV)
1.16 %
Hotels, restaurants and leisure
1.10 %
Total
86.04 %
Geographical classification
(by domicile of the issuer)
Italy
37.70 %
Grand Duchy of Luxembourg
10.16 %
France
9.61 %
United Kingdom
7.76 %
The Netherlands
5.85 %
United States of America
2.81 %
Spain
2.69 %
Finland
1.81 %
Canada
1.75 %
Germany
1.64 %
Turkey
1.29 %
Ireland
1.25 %
Jersey
0.99 %
Austria
0.73 %
Total
86.04 %
19
Statement of changes in investments
Currency
Description
Purchases
Sales
Bonds
CAD
Canada 1% 11/01.02.14
0
1,500,000
CHF
HeidelbergCem Fin Lux SA 7.25% 11/14.11.17
0
350,000
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Air France KLM 4.75% Sen 06/22.01.14
Air France KLM 6.75% 09/27.10.16
Aquarius and Inv Zurich VAR EMTN 13/02.10.43
ArcelorMittal SA VAR 09/03.06.16
Assicurazioni Generali SpA VAR EMTN Sen 12/12.12.42
Banca CR Firenze SpA FRN EMTN Ser 12 Tr 1 02/21.06.12
Banca Mon dei Pasc di Sien SpA 4.5% EMTN 12/07.03.14
Banca Pop di Vicenza S.c.p.a. 4.75% EMTN Sen 11/16.09.13
Banca Pop Etruria e Lazio Scrl FRN EMTN Ser 10 11/11.02.13
Banca Popolare di Milano 4% EMTN Sen 11/15.04.13
Banca Popolare di Vicenza SCRL 6.75% EMTN Sen 12/27.02.15
Banca Popolare di Vicenza SCRL FRN EMTN Ser 26 10/15.03.13
Banco Pop Societa Cooperativa 3.75% EMTN Sen 13/28.01.16
Banco Pop Societa Cooperativa 4% Sen 11/06.04.13
Banco Pop Societa Cooperativa 4.75% Conv 10/24.03.14
Banco Santander Totta SA 3.75% EMTN 09/12.06.12
Bayer AG VAR Sub 05/29.07.2105
Bombardier Inc 6.125% EMTN Regs Sen 10/15.05.21
BPCE SA VAR 09/31.12.Perpetual
Caisse Cent Crédit Immo France FRN EMTN Sen 12/09.08.13
CAM 2012 SPA 5.625% Conv Pirelli 12/26.10.17
Citigroup Inc FRN EMTN Sen 06/09.02.16
Conti-Gummi Finance BV 6.5% EMTN Reg S 10/15.01.16
Credito Valtellinese Scarl 4% EMTN Sen 13/24.07.15
Credito Valtellinese Scarl 4.5% EMTN Sen 11/27.11.13
Deutsche Boerse AG VAR Sub 08/13.06.13
Deutschland 0.75% 11/13.09.13
Dow Chemical Co 3.5% 05/19.09.12
EDP Finance BV 4.25% EMTN Ser 11 06/12.06.12
Enagas SA 4.25% EMTN Reg S 12/05.10.17
ENEL SpA 4.875% T-Bond 12/20.02.18
ENEL SpA FRN Sen 10/26.02.16
ENEL SpA FRN Ser 0001 12/20.02.18
ENI SpA 4.875% 11/11.10.17
ENI SpA FRN Sen 11/11.10.17
Espana 4.25% 11/31.10.16
European Fin Stability Facilit 1% PSI 12/12.03.14
FCE Bank Plc 4.75% EMTN Sen 11/19.01.15
FCE Bank Plc 7.125% EMTN 07/15.01.13
FCE Bank Plc 9.375% EMTN 09/17.01.14
Fiat Finance & Trade Ltd SA 6.625% EMTN Sen 13/15.03.18
Fiat Finance & Trade Ltd SA 6.625% Sen 06/15.02.13
Fiat Finance & Trade Ltd SA 7% Ser GMTN 12/23.03.17
Fiat Finance & Trade Ltd SA 7.625% EMTN 09/15.09.14
Finmeccanica Finance SA 5.75% EMTN Sen 03/12.12.18
Gas Natural Finance 5.25% EMTN 09/09.07.14
GE Capital European Funding FRN EMTN 06/17.05.21
Glencore Finance SA 5.25% EMTN 10/22.03.17
Goldman Sachs Group Inc FRN EMTN 07/30.01.17
Gruppo Editoriale Espresso SpA 5.125% Sen 04/27.10.14
Hypo Alpe-Adria-Bank AG 4.625% EMTN Ser 136 03/29.10.13
Iberdrola Intl BV VAR EMTN Sen Sub 13/27.02.Perpetual
Immobiliar Grand Distribuz SpA 3.5% Conv 07/28.12.13
Instituto de Credito Oficial 3.875% Ser 423 12/31.10.14
Intesa Sanpaolo SpA 2.625% EMTN Sen 09/04.12.12
500,000
500,000
500,000
850,000
300,000
100,000
0
500,000
100,000
0
200,000
203,000
600,000
100,000
200,000
999,990
0
0
350,000
500,000
300,000
350,000
400,000
0
650,000
500,000
400,000
0
0
0
0
400,000
0
200,000
800,000
150,000
700,000
350,000
0
0
350,000
350,000
100,000
500,000
0
0
500,000
350,000
0
0
0
500,000
800,000
500,000
500,000
500,000
500,000
0
0
0
850,000
0
0
300,000
0
0
300,000
0
0
600,000
0
0
0
600,000
500,000
0
0
300,000
300,000
400,000
300,000
650,000
0
0
600,000
1,200,000
200,000
300,000
400,000
400,000
0
500,000
950,000
0
350,000
1,000,000
300,000
350,000
350,000
0
500,000
450,000
250,000
0
350,000
1,100,000
300,000
600,000
400,000
800,000
0
0
0
500,000
20
Statement of changes in investments (continued)
Currency
Description
Purchases
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Intesa Sanpaolo SpA VAR 10/01.06.Perpetual
Italia 2% BOT 10/01.06.13
Italia 3.75% BTP 09/15.12.13
Italia 4.25% BOT 11/01.07.14
Italia 4.75% BTP 02/01.02.13
Italia FRN Ser EU 11/15.04.18
KA Finanz AG 2.25% 09/17.12.12
KA Finanz AG 2.25% 10/24.03.14
Koninklijke KPN NV VAR Reg S Sen Sub 13/14.09.Perpetual
Lafarge SA VAR 09/27.05.14
Lottomatica SpA VAR Reg-S 06/31.03.66
Mediaset SpA 5% REGS 10/01.02.17
Merrill Lynch & Co Inc FRN EMTN Ser 3619 Tr 1 06/25.08.14
Monte Dei Paschi Di Siena SpA 4.125% EMTN 11/11.11.13
Monte Dei Paschi Di Siena SpA 5% EMTN Sen 07/25.10.12
Monte Dei Paschi Di Siena SpA FRN EMTN 2006/8 06/22.03.13
Morgan Stanley FRN EMTN Sen 06/13.04.16
Nexans SA 5.75% EMTN 07/02.05.17
Northern Rock Asset Mgt Plc 3.625% EMTN 06/28.03.13
OMV AG VAR EMTN Perpetual
Peugeot SA 4% 10/28.10.13
Peugeot SA 8.375% EMTN 09/15.07.14
Pirelli & C. SpA 5.125% 11/22.02.16
Red Electrica de Espana Fin BV 4.75% EMTN Sen 03/18.09.13
Rexel SA 8.25% Sen 09/17.04.13
Risanamento Napoli SpA 1% Conv Reg S 07/10.05.14
Royal Bank of Scotland Plc VAR Ser 3455 12/16.03.22
Santander Intl Debt SA 4.375% Sen 12/04.09.14
SIAS SpA 4.5% EMTN Sen 10/26.10.20
Slovenia 4.375% Ser RS65 09/02.04.14
Solarworld AG 6.125% Sen 10/21.01.17
Stora Enso Oyj 5% EMTN Sen 12/19.03.18
Stora Enso Oyj 5.125% EMTN Ser 11 Tr 1 04/23.06.14
Stora Enso Oyj 5.5% EMTN Reg S Sen 12/07.03.19
Telecom Italia SpA VAR Sub 13/20.03.73
Terna Rete Elettr Nazional SpA 2.875% EMTN 12/16.02.18
Veneto Banca Holding SCPA FRN EMTN Sen 11/04.03.13
Xstrata Finance Dubai Ltd 2.375% EMTN 12/19.11.18
Ziggo Bond Co BV 8% Reg S 10/15.05.18
GBP
GBP
GBP
GBP
GBP
FCE Bank Plc 4.825% EMTN Reg-S 12/15.02.17
Jaguar Land Rover Plc 8.125% RegS 11/15.05.18
Ladbrokes Group Finance Plc 7.625% Reg-S 10/05.03.17
William Hill Plc 7.125% EMTN 09/11.11.16
USD
USD
USD
USD
USD
Instituto de Credito Oficial 3.25% EMTN Ser 277 08/14.05.13
Meccanica Holdings USA Inc 6.25% Reg S Sen 09/15.07.19
Telecom Italia SA 5.25% Sen Gl 05/01.10.15
Telefonica Emisiones SA 4.949% Sen 09/15.01.15
Telefonica Emisiones SA 5.855% Sen 07/04.02.13
Sales
800,000
750,000
400,000
0
1,500,000
700,000
1,000,000
0
700,000
300,000
0
350,000
500,000
350,000
0
200,000
350,000
1,000,000
500,000
350,000
0
500,000
0
250,000
700,000
500,000
500,000
0
500,000
200,000
0
350,000
400,000
0
1,000,000
0
500,000
350,000
0
500,000
200,000
540,498
0
300,000
500,000
300,000
0
0
300,000
1,500,000
1,100,000
0
900,000
200,000
800,000
150,000
0
0
0
300,000
200,000
0
0
500,000
350,000
600,000
0
300,000
850,000
700,000
0
0
500,000
0
0
600,000
0
0
600,000
1,000,000
600,000
0
0
400,000
0
200,000
0
400,000
300,000
0
400,000
0
300,000
400,000
300,000
0
300,000
0
0
0
500,000
700,000
500,000
1,200,000
0
0
0
0
1,200,000
500,000
250,000
0
EUR
21
Currency
Description
Purchases
Sales
Index options
USD
CBOE SPX Volatility Index CALL 07/12 OPRA 30
0
400
80
3,500
5,050
0
0
0
EUR
EUR
EUR
Carmignac Portfolio Capital Plus A EUR Cap
Pictet Asian Local Currency Debt I EUR Cap
Pictet Funds (LUX) Global Emerging Currencies I EUR Cap
22
Assets
Cash at banks
Other liquid assets
Prepaid expenses
9,693,395.27
66,604.23
726,638.24
24,871.86
14,573.06
0.01
3,105.94
Total assets
10,529,188.61
Liabilities
Bank liabilities
Total liabilities
0.65
29,618.03
474.60
67,750.47
66,169.59
164,013.34
10,365,175.27
401,616.824
7.94
8,772.175
818.15
23
Income
Dividends, net
Other income
193,225.93
23,984.60
65.60
1,758.03
6,595.04
Total income
225,629.20
Expenses
Management fees
Performance fees
Custodian fees
Transaction fees
Professional fees
Other expenses
98,396.92
85,780.35
10,868.42
857.09
27,421.58
52,477.70
3,792.28
11,240.13
1,814.17
30.34
10,326.85
Total expenses
303,005.83
Net investment loss
-77,376.63
- on options
508,676.07
-122,927.38
104,372.73
-11,037.10
Realised result
401,707.69
- on options
487,302.60
-20,770.03
-71,766.64
796,473.62
Subscriptions
2,540,338.11
Redemptions
-2,745,846.34
590,965.39
9,774,209.88
10,365,175.27
24
Total net assets
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
10,365,175.27
9,774,209.88
11,028,709.76
- issued
- redeemed
397,614.973
40,110.937
-36,109.086
401,616.824
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
7.94
7.32
7.58
- issued
- redeemed
9,148.393
2,954.977
-3,331.195
8,772.175
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
818.15
750.45
773.44
25
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Shares
CHF
CHF
CHF
4,800
1,410
900
Nestlé SA Reg
Roche Holding AG B de jouis Pref
Zurich Insurance Group AG Reg
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
1,850
18,000
16,108
340,000
2,800
21,000
7,150
99,000
17,220
36,000
211,450
6,300
12,330
34,000
66,200
80,240
Allianz SE Reg
Assicurazioni Generali SpA
Atlantia SpA
Banca Popolare di Milano
Bayer AG Reg
Deutsche Telekom AG Reg
DiaSorin SpA
ENEL SpA
ENI SpA
Fiat Industrial SpA
Intesa Sanpaolo SpA Az.di Risp. non conv.
Oesterreichische Post AG
Prysmian SpA
Save SpA
Snam SpA
Terna Rete Elettr Nazional SpA
GBP
GBP
GBP
GBP
GBP
37,510
5,150
11,650
3,800
101,360
BP Plc
British American Tobacco Plc
GlaxoSmithKline Plc
Reckitt Benckiser Group Plc
Vodafone Group Plc
USD
USD
USD
USD
USD
USD
USD
USD
7,750
5,750
2,720
320
3,000
4,260
2,300
2,970
American Intl Group Inc
Coca-Cola Co
Exxon Mobil Corp
Google Inc A
Johnson & Johnson
JPMorgan Chase & Co
Mc Donald's Corp
Philip Morris Intl Inc
Total shares
191,219.65
167,780.11
141,033.55
500,033.31
270,922.62
256,197.49
195,496.42
722,616.53
2.61
2.47
1.89
6.97
136,015.45
228,865.44
198,765.78
155,919.53
208,235.11
173,930.64
201,872.63
308,281.58
282,053.12
316,193.04
250,568.25
133,254.13
135,243.48
302,374.07
231,290.47
231,492.36
3,494,355.08
196,007.50
218,520.00
198,450.56
162,350.00
225,316.00
173,166.00
195,195.00
252,054.00
301,866.60
315,720.00
207,961.08
211,648.50
197,896.50
334,050.00
235,407.20
259,175.20
3,684,784.14
1.89
2.11
1.92
1.57
2.18
1.67
1.88
2.43
2.91
3.05
2.01
2.04
1.91
3.22
2.27
2.50
35.56
206,597.87
132,045.81
163,607.72
169,822.14
173,994.64
846,068.18
204,467.22
215,291.02
212,440.17
212,497.95
224,177.21
1,068,873.57
1.97
2.08
2.05
2.05
2.16
10.31
200,337.39
128,412.54
142,344.60
169,214.91
143,241.68
120,472.84
133,705.28
139,474.42
1,177,203.66
234,777.01
181,458.50
191,267.08
198,282.88
190,869.72
157,774.08
178,927.78
214,872.76
1,548,229.81
2.27
1.75
1.85
1.91
1.84
1.52
1.73
2.07
14.94
6,017,660.23
7,024,504.05
67.78
318,766.19
318,766.19
402,277.11
402,277.11
3.88
3.88
4,000.00
4,000.00
0.00
0.00
0.00
0.00
Investment certificates
USD
3,350
Gold Bullion Sec Ltd Certif Gold Perpetual
Total investment certificates
Bonds
EUR
4,000
Total bonds
26
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
EUR
EUR
EUR
7,450
7,270
220
BlackRock Global Fds Em Mks Local Currency Bond A2 Cap
F Templeton Inv Fds Asian Growth Fd A Cap
Proxima Investments SICAV Gl Bond Absolute Return B Cap
148,874.41
187,360.20
236,024.25
572,258.86
158,610.50
204,505.10
244,906.20
608,021.80
1.53
1.97
2.36
5.86
USD
USD
338
556
Proxima Investments SICAV Asia Long Short Equity S Cap
Proxima Investments SICAV North America Long Short Eq S
Cap
197,675.68
443,499.87
206,157.71
542,606.02
1.99
5.24
641,175.55
748,763.73
7.23
1,213,434.41
1,356,785.53
13.09
iShares Plc MSCI AC Far East ex-Japan Dist
iShares Plc MSCI Japan USD Dist
232,057.50
320,068.57
552,126.07
245,884.20
379,629.50
625,513.70
2.37
3.66
6.03
Source Mks Plc Financials S&P US Select Sector ETF Cap
244,482.34
284,314.88
2.74
796,608.41
909,828.58
8.77
8,350,469.24
9,693,395.27
93.52
45,773.50
29,230.65
32,357.47
107,361.62
12,290.76
29,263.72
25,049.75
66,604.23
0.12
0.28
0.24
0.64
-2,160.00
-2,160.00
-474.60
-474.60
0.00
0.00
726,638.24
7.01
-0.65
0.00
EUR
EUR
6,940
44,900
USD
3,780
Options
Listed financial instruments
Index options
USD
USD
USD
1,050
250
30
S&P 500 Composite Index PUT 05/13 OPRA 1500
Total options
Short options
Options on transferable securities
EUR
-12
ENI SpA PUT 04/13 IM 16.5
Total short options
Cash at banks
Bank liabilities
Total
27
-120,987.22
-1.17
10,365,175.27
100.00
Investment funds
21.86 %
8.51 %
Pharmaceuticals and biotechnology
8.24 %
Insurance
8.16 %
Utilities
7.20 %
Transportation
7.18 %
Energy
6.73 %
Materials
6.06 %
3.83 %
Banks
3.58 %
3.05 %
Household and personal products
2.05 %
Software and services
1.91 %
Capital goods
1.91 %
1.73 %
1.52 %
Total
93.52 %
Italy
27.78 %
14.94 %
13.09 %
United Kingdom
10.31 %
Ireland
8.77 %
Switzerland
6.97 %
Germany
5.74 %
Jersey
3.88 %
Austria
2.04 %
Total
93.52 %
28
Currency
Description
Purchases
Sales
Other
Shares
CHF
CHF
CHF
CHF
Nestlé SA Reg
Novartis AG Reg
Roche Holding AG B de jouis Pref
Zurich Insurance Group AG Reg
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Allianz SE Reg
Atlantia SpA
Banco Pop Societa Cooperativa
Bayer AG Reg
DiaSorin SpA
ENEL SpA
ENI SpA
Fiat Industrial SpA
Gemina SpA
Impregilo SpA
ING Groep NV Certif
Intesa Sanpaolo SpA Az.di Risp. non conv.
Oesterreichische Post AG
Prysmian SpA
Save SpA
Snam SpA
Telecom Italia SpA Risp
Total SA
Unicredit SpA Post Raggruppamento
GBP
GBP
GBP
GBP
GBP
BP Plc
GlaxoSmithKline Plc
Reckitt Benckiser Group Plc
Vodafone Group Plc
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Coca-Cola Co
Exxon Mobil Corp
Google Inc A
Hewlett-Packard Co
Johnson & Johnson
JPMorgan Chase & Co
Mc Donald's Corp
Microsoft Corp
Pfizer Inc
Philip Morris Intl Inc
1,980
3,780
220
110
2,040
3,780
250
300
0
0
0
0
350
27,360
3,340
340,000
137,790
2,800
25,010
780
53,910
10,890
36,000
29,490
25,000
0
124,560
1,200
1,820
34,000
14,480
110,000
12,100
310
0
470
9,360
6,910
0
137,790
0
24,660
3,070
32,070
10,620
0
382,040
25,000
26,220
78,170
2,850
3,830
0
13,380
330,000
17,190
5,010
49,190
0
0
928
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
9,650
720
830
4,430
24,150
5,630
940
2,060
630
7,870
0
0
0
0
0
8,300
550
220
350
0
300
0
240
5,620
0
770
550
880
340
380
7,210
310
1,870
370
13,980
10,320
950
0
2,600
0
0
0
0
0
0
0
0
0
1,420
450
0
0
0
200,000
200,000
0
0
0
0
150,000
200,000
0
0
USD
Gold Bullion Sec Ltd Certif Gold Perpetual
Bonds
EUR
EUR
EUR
EUR
Deutsche Boerse AG VAR Sub 08/13.06.13
Fiat Finance & Trade Ltd SA 6.875% EMTN
09/13.02.15
Risanamento Napoli SpA 1% Conv Reg S
07/10.05.14
29
Currency
USD
Description
Purchases
Crédit Agricole SA 9.75% 09/26.12.Perpetual
Sales
Other
0
250,000
0
75
0
30
75
12
30
0
0
0
1,050
250
100
470
450
30
0
0
320
470
450
0
0
0
0
0
0
0
Bestinver SICAV Iberian R Cap
BlackRock Global Fds Em Mks Local Currency Bond
A2 Cap
F Templeton Inv Fds Asian Growth Fd A Cap
Proxima Investments SICAV Gl Bond Absolute
Return B Cap
820
1,000
820
960
0
0
720
0
938.437
292.705
0
0
Proxima Investments SICAV Asia Long Short Equity
S Cap
Proxima Investments SICAV North America Long
Short Eq S Cap
338
0
0
266
101.562
0
34,250
34,250
0
1,790
21,700
16,770
650
13,040
16,770
0
0
0
4,290
510
0
EUR
EUR
EUR
ENEL SpA PUT 03/13 IM 2.7
Snam SpA PUT 03/13 IM 3.3
Index options
USD
USD
USD
USD
USD
USD
EUR
EUR
EUR
EUR
USD
USD
EUR
EUR
EUR
EUR
USD
db x-trackers S&P 500 2X Inverse Daily UCITS ETF
1 Cap
iShares Plc MSCI AC Far East ex-Japan Dist
iShares Plc MSCI Japan USD Dist
Lyxor ETF FTSE MIB D D Sh (B) Cap
Source Mks Plc Financials S&P US Select Sector
ETF Cap
30
Assets
Cash at banks
Other liquid assets
Prepaid expenses
16,699,327.34
1,836,196.26
1,342,229.51
864,784.34
5,808.96
1,296,945.97
86,697.83
6,443.64
0.13
10,457.57
770.28
Total assets
22,149,661.83
Liabilities
Payable on purchases of securities
3.04
82,940.70
1,386,694.11
41,076.31
3,887.25
36,639.52
Total liabilities
1,551,240.93
20,598,420.90
254,481.338
9.62
18,610.528
975.33
31
Income
Dividends, net
288,264.69
231,991.36
238.86
856.53
Total income
521,351.44
Expenses
Management fees
Performance fees
Custodian fees
Transaction fees
Professional fees
Other expenses
207,889.45
89,831.66
10,927.11
1,901.60
68,862.31
69,648.31
7,693.38
21,746.69
3,085.47
449.09
22,791.15
15,420.47
Total expenses
520,246.69
1,104.75
- on options
- on swap contracts
389,808.44
232,945.88
240,850.00
-464,020.33
811.89
87,247.14
Realised result
488,747.77
- on options
- on swap contracts
-143,609.14
44,234.35
10,457.57
-7,523.55
392,307.00
Subscriptions
8,268,615.31
Redemptions
-4,450,962.32
4,209,959.99
16,388,460.91
20,598,420.90
32
Total net assets
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
20,598,420.90
16,388,460.91
13,469,183.89
- issued
- redeemed
299,406.192
71,275.146
-116,200.000
254,481.338
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
9.62
9.57
9.99
- issued
- redeemed
14,002.765
8,057.327
-3,449.564
18,610.528
- as at 31.03.2013
- as at 31.03.2012
- as at 31.03.2011
975.33
965.78
1,003.47
33
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Shares
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
500,000
1,500
49,500
55,000
15,000
130,000
16,000
19,500
17,000
900,000
55,200
45,000
9,256
12,500
45,000
20,000
20,000
9,000
27,000
130,000
83,000
42,000
22,419
60,000
1,000
280,000
150,000
800,000
50,000
660,000
50,000
500,000
22,000
30,000
110,000
110,000
170,000
16,000
25,000
12,000
270,000
20,013
370,000
21,500
150,000
20,000
1,000,000
280,000
17,000
200,000
GBP
80,000
A2A SpA
Adidas AG Reg Share
Alerion Clean Power
Amplifon SpA Post Frazionamento
Ansaldo STS SpA
Atlantia SpA
Audika Groupe
Autogrill SpA
Biesse SpA
Buzzi Unicem SpA Risp
Carrefour SA
Cembre SpA
Dada SpA
Datalogic SpA Post Frazionamento
E.ON SE
El. En. SpA
Electricité de France
Elica SpA
ENI SpA
ERG SpA
Esprinet SpA
Fiat SpA
Fielmann AG
Fondiaria Sai SpA
Gruppo Editoriale Espresso SpA
Il Sole 24 Ore SpA
Indesit Co SpA
Intesa Sanpaolo SpA
Landi Renzo SpA
Maire Tecnimont SpA
Marr SpA
Nice SpA
Parmalat SpA
Piaggio & C. SpA
Poltrona Frau SpA
Recordati Ind Chim e Farm SpA
Royal Dutch Shell Plc A
SABAF SpA
Saras Raffinerie Sarde SpA
Save SpA
Snam SpA
Sol SpA
Stefanel SPA
STMicroelectronics NV
Telecom Italia SpA
Total SA
Bwin Party Digital Enterta Plc
Total shares
215,315.10
99,729.48
221,535.23
199,039.85
98,644.64
1,562,691.70
215,929.91
258,401.05
139,385.94
381,137.58
184,193.05
158,720.29
158,926.71
80,480.41
131,371.27
130,828.64
352,106.10
113,642.30
409,508.05
126,934.97
1,434,827.70
292,997.73
60,354.48
240,465.18
64,623.24
352,199.85
187,362.86
757,900.72
286,837.71
879,765.69
86,912.08
264,903.73
167,102.36
87,250.59
209,660.45
209,628.09
161,089.60
86,672.72
634,553.92
99,135.11
401,933.41
143,310.91
1,293,354.06
92,090.05
74,558.86
115,605.49
731,620.50
844,511.67
675,674.35
732,497.88
16,907,923.26
231,650.00
121,410.00
188,199.00
224,400.00
117,000.00
1,578,200.00
197,120.00
178,230.00
156,910.00
429,750.00
132,480.00
254,025.00
197,661.88
86,812.50
169,650.00
120,400.00
272,400.00
138,510.00
403,920.00
143,390.00
1,454,990.00
298,200.00
79,990.99
249,000.00
72,000.00
361,200.00
107,100.00
398,000.00
306,000.00
753,720.00
67,000.00
185,500.00
188,210.00
77,700.00
218,900.00
220,000.00
167,450.00
112,960.00
629,750.00
113,040.00
255,825.00
196,627.73
1,315,720.00
98,857.00
54,570.00
120,000.00
551,000.00
904,400.00
635,035.00
666,000.00
16,200,864.10
1.13
0.59
0.91
1.09
0.57
7.66
0.96
0.87
0.76
2.09
0.64
1.23
0.96
0.42
0.82
0.58
1.32
0.67
1.96
0.70
7.06
1.45
0.39
1.21
0.35
1.75
0.52
1.93
1.49
3.66
0.33
0.90
0.91
0.38
1.06
1.07
0.81
0.55
3.06
0.55
1.24
0.95
6.39
0.48
0.27
0.58
2.68
4.39
3.08
3.23
78.65
110,174.24
136,162.54
0.66
17,018,097.50
16,337,026.64
79.31
34
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
188,421.96
188,421.96
188,300.70
188,300.70
0.91
0.91
66,299.00
417,675.00
483,974.00
0.00
174,000.00
174,000.00
0.00
0.85
0.85
7,000.00
7,000.00
0.00
0.00
0.00
0.00
17,697,493.46
16,699,327.34
81.07
-12,800.00
-25,018.20
-20,800.00
-7,700.00
-16,200.00
-82,518.20
-11,305.60
-26,950.50
-10,000.00
-18,268.60
-16,416.00
-82,940.70
-0.05
-0.13
-0.05
-0.09
-0.08
-0.40
3,178,425.77
15.43
803,608.49
3.90
20,598,420.90
100.00
Bonds
EUR
189,000
Total bonds
EUR
EUR
1,944,000
800,000
IT Holding Finance SA 9.875% Sen 04/15.11.12
Bonds
EUR
7,000
Total bonds
Short options
EUR
EUR
EUR
EUR
EUR
-32
-90
-200
-7
-18
Atlantia SpA CALL 12/13 IM 12.5
Carrefour SA CALL 12/13 MONEP 20
E.ON SE CALL 12/13 EUX 14
Luxottica Group SpA CALL 12/13 IM 35
Terna Rete Elettr Nazional SpA CALL 09/13 IM 3.1
Total short options
Cash and cash collateral at banks
Total
35
Utilities
16.10 %
Energy
15.89 %
Insurance
9.41 %
Banks
8.98 %
Consumer durables and apparel
3.60 %
Media
3.30 %
2.68 %
2.61 %
Transportation
2.48 %
Health care equipment and services
2.31 %
Technology hardware and equipment
2.02 %
Food retailing, drugstores and pharmacies
1.87 %
Capital goods
1.87 %
1.81 %
Materials
1.71 %
1.42 %
1.06 %
0.82 %
Semiconductors and semiconductor equipment
0.58 %
0.55 %
Total
81.07 %
Italy
66.73 %
France
6.87 %
United Kingdom
3.06 %
Germany
2.26 %
0.91 %
Gibraltar
0.66 %
The Netherlands
0.58 %
Total
81.07 %
36
Currency
Description
Purchases
Sales
Other
Shares
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
A2A SpA
Adidas AG Reg Share
Alerion Clean Power
Amplifon SpA Post Frazionamento
Ansaldo STS SpA
Atlantia SpA
Audika Groupe
Autogrill SpA
Azimut Holding SpA
Biesse SpA
Buongiorno SpA
Buzzi Unicem SpA Risp
Carraro SpA
Carrefour SA
Cementir SpA
Dada SpA
Datalogic SpA Post Frazionamento
DeLclima S.p.A.
DiaSorin SpA
El. En. SpA
Electricité de France
Elica SpA
Enel Green Power S.p.A.
ENEL SpA
ENI SpA
ERG SpA
Esprinet SpA
Fiat Industrial SpA
Fiat SpA
Fiera Milano SpA
Finmeccanica SpA
Fondiaria Sai SpA
Fondiaria Sai SpA
Fondiaria Sai SpA
France Telecom SA
Gemina SpA
Geox SpA
Gruppo Editoriale Espresso SpA
Hellenic Exchanges SA Hg
Indesit Co SpA
Intesa Sanpaolo SpA
Lafarge SA
Landi Renzo SpA
Maire Tecnimont SpA
Marr SpA
Mediaset SpA
Monte Dei Paschi Di Siena SpA
Nokia Oyj
OPAP SA
Parmalat SpA
Piaggio & C. SpA
Poltrona Frau SpA
Prelios SpA
Recordati Ind Chim e Farm SpA
Royal Dutch Shell Plc A
SABAF SpA
Safilo Group SpA
Saras Raffinerie Sarde SpA
Save SpA
Snam SpA
500,000
1,500
9,500
15,000
0
161,000
5,000
10,800
0
0
1,440,000
23,200
70,000
23,000
0
256
15,000
5,000
24,146
80,000
3,500
6,500
27,000
150,000
125,000
0
96,000
35,000
57,000
10,000
80,000
0
40,000
1,400
0
280,000
0
80,000
0
80,000
20,000
41,094
1,685,000
0
55,000
370,000
6,000
0
850,000
0
15,000
110,000
110,000
100,000
250,000
8,000
25,000
12,000
4,000
50,000
0
370,000
37
0
0
7,000
13,500
10,142
51,000
20,750
0
8,000
23,000
540,000
0
140,000
0
75,000
0
65,000
10,000
4,146
170,000
13,500
4,000
0
120,000
125,000
100,000
58,000
18,000
34,581
10,000
20,000
15,999
40,000
1,400
0
126,500
25,000
320,000
50,000
20,000
70,000
54,094
1,025,000
3,000
75,000
0
0
90,000
850,000
20,000
65,000
50,000
40,000
100,000
850,000
14,000
0
0
17,000
0
6,987
70,000
0
0
0
0
3,142
0
1,750
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-50,000
126,500
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Currency
Description
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Sol SpA
Sorin SpA
Stefanel SPA
STMicroelectronics NV
Telecom Italia SpA
Tesmec S.p.A.
Tod's SpA
Total SA
Télévision Française 1 SA TF1
Valeo SA
GBP
GBP
GBP
GBP
BP Plc
GlaxoSmithKline Plc
Lloyds Banking Group Plc
USD
USD
USD
USD
Coca-Cola Co
Google Inc A
Johnson & Johnson
Medtronic Inc
Purchases
Sales
Other
4,000
0
0
20,000
1,000,000
280,000
0
0
11,000
18,000
365,000
2,000
17,500
140,000
50,000
0
0
0
198,591
2,000
0
18,000
165,000
5,700
0
0
0
0
0
0
0
0
0
0
0
0
75,000
110,000
0
50,000
120,000
30,000
8,000
600,000
0
0
0
0
0
0
0
0
300
300
3,000
7,000
0
0
0
0
400,000
0
0
400,000
200,000
150,000
0
0
0
1,500,000
0
279,000
1,500,000
500,000
279,000
0
0
0
450,000
100,000
150,000
0
450,000
100,000
150,000
300,000
0
0
0
0
0
350,000
0
0
500,000
0
0
224,961
0
200,000
0
0
1,000,000
1,000,000
0
300
800
32
20
0
0
300
800
32
0
32
90
0
0
0
0
0
0
Bonds
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Buzzi Unicem SpA 5.125% EMTN 09/09.12.16
Commerzbank AG 6.375% EMTN Ser 773
11/22.03.19
Deutschland 4.5% 03/04.01.13
Monte Dei Paschi Di Siena SpA 7.25% EMTN Sen
12/10.07.15
MPS Capital Trust I FRN 01/07.02.Perpetual
Nokia Oyj 5% Conv Sen 12/26.10.17
Nokia Oyj 5.5% EMTN Sen 09/04.02.14
Risanamento Napoli SpA 1% Conv Reg S
07/10.05.14
Telecom Italia SPA FRN EMTN Ser 17 Tr 1
07/07.06.16
Unicredito Luxembourg Finance SA VAR
31.12.Perpetual
Unione Banche Italiane ScpA 5.75% Conv
09/10.07.13
EUR
Seat Pagine Gialle SpA 10.5% Ser REGS
10/31.01.17
Money market instruments
EUR
Italia 0% BOT 12/14.02.13
EUR
EUR
EUR
EUR
EUR
EUR
Assicurazioni Generali SpA CALL 03/13 IM 14
Assicurazioni Generali SpA CALL 03/13 IM 14.5
38
Currency
Description
Purchases
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
ENI SpA CALL 03/13 IM 18
ENI SpA CALL 09/12 IM 17.5
ENI SpA CALL 12/13 IM 19.5
Intesa Sanpaolo SpA CALL 03/13 IM 1.5
Snam SpA CALL 12/12 IM 3.3
Snam SpA CALL 12/12 IM 3.6
Telecom Italia SpA CALL 06/13 IM .78
Telecom Italia SpA CALL 09/13 IM .68
Unicredit SpA Post Raggruppamento CALL 03/13 IM 4.8
GBP
USD
USD
USD
Sales
Other
200
0
40
90
90
54
350
0
70
70
500
500
0
70
200
200
40
90
0
54
350
7
70
0
500
500
18
70
0
0
0
0
0
0
0
0
0
0
0
0
0
0
BP Plc CALL 09/12 LIFFE 4.8
45
0
0
Coca-Cola Co CALL 05/12 OPRA 65
Johnson & Johnson CALL 01/13 OPRA 65
Medtronic Inc CALL 01/13 OPRA 40
3
30
70
0
0
0
0
0
0
S&P 500 Composite Index CALL 05/12 OPRA 1400
75
0
0
Index options
USD
39
Statement of net assets (in USD)
Assets
Cash at banks
Other liquid assets
Prepaid expenses
5,542,801.50
1,266,193.78
1,280,000.00
135,112.88
8,366.07
44,590.41
5,644.89
1.00
20,355.78
987.08
Total assets
8,304,053.39
Liabilities
Bank liabilities
Payable on redemptions of shares
0.80
29,952.88
2.81
411,275.13
23,176.37
Total liabilities
464,407.99
7,839,645.40
Class C EUR capitalization Shares outstanding
Net asset value per Class C EUR capitalization Share
3,242.638
EUR 738.80
Class C USD capitalization Shares outstanding
Net asset value per Class C USD capitalization Share
266.250
879.83
Class S EUR capitalization Shares outstanding
Net asset value per Class S EUR capitalization Share
4,262.677
EUR 775.89
Class S USD capitalization Shares outstanding
Net asset value per Class S USD capitalization Share
381.238
779.66
40
Statement of operations and other changes in net assets (in USD)
Income
Dividends, net
89,591.44
4,200.01
441.58
7,321.62
Total income
101,554.65
Expenses
Management fees
Custodian fees
Transaction fees
Professional fees
Other expenses
116,032.52
13,990.19
2,568.51
185,427.35
86,921.18
2,998.28
41,332.37
3,813.85
184.30
27,631.81
16,342.90
Total expenses
497,243.26
Net investment loss
-395,688.61
- on swap contracts
132,855.97
70,408.04
-333,318.41
172,315.87
-73,892.39
Realised result
-427,319.53
- on swap contracts
-262,026.12
45,840.15
-495,201.57
-1,138,707.07
Subscriptions
3,689,038.78
Redemptions
-756,869.31
1,793,462.40
6,046,183.00
7,839,645.40
41
Statistical information (in USD)
Total net assets
- as at 31.03.2013
- as at 31.03.2012
7,839,645.40
6,046,183.00
Number of Class C EUR capitalization Shares
- issued
- redeemed
585.825
2,968.491
-311.678
3,242.638
- as at 31.03.2013
- as at 31.03.2012
EUR 738.80
EUR 831.35
Number of Class C USD capitalization Shares
- issued
- redeemed
245.250
56.000
-35.000
266.250
- as at 31.03.2013
- as at 31.03.2012
879.83
987.58
Number of Class S EUR capitalization Shares
- issued
- redeemed
4,430.876
208.614
-376.813
4,262.677
- as at 31.03.2013
- as at 31.03.2012
EUR 775.89
EUR 866.65
Number of Class S USD capitalization Shares
- issued
- redeemed
43.238
338.000
0.000
381.238
- as at 31.03.2013
- as at 31.03.2012
779.66
868.68
42
Statement of investments and other net assets (in USD)
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Shares
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
178,000
552,000
935,000
32,000
462,000
6,524,000
116,000
325,000
175,000
131,000
SGD
266,000
USD
USD
USD
USD
USD
USD
USD
USD
3,650
14,520
31,210
9,760
8,600
6,810
6,500
11,500
Brilliance China Auto Hgs Ltd
Clear Media Ltd
Emperor Entertainme Hotel Ltd
ENN Energy Hgs Ltd
Far East Horizon Ltd
Hop Hing Group Holdings Ltd
Luk Fook Holdings (Intl) Ltd
Value Partners Group Ltd
Wumart Stores Inc H
Yingde Gases Group Co Ltd
Osim Intl Ltd
Baidu Inc ADR repr 0.1 Share A
Ctrip.Com Intl Ltd ADR Repr 1/4 Shares
E House Hgs ADR Repr 1 Share
Home Inns & Hotels Mgt Inc ADR repr 2 Shares
Mindray Medical Intl Ltd ADR repr 1 Sh A
Netease Inc ADR Repr 1 Share
Sohu.com Inc
SouFun Holdings Ltd spons ADR repr 1 Share A
Bank liabilities
238,416.78
363,139.06
260,475.53
148,281.01
362,677.06
325,268.85
424,059.36
237,639.06
343,098.46
148,459.79
2,851,514.96
209,113.69
380,417.49
292,674.92
177,249.92
305,300.11
298,338.93
372,070.26
210,580.89
316,499.31
145,967.11
2,708,212.63
2.67
4.85
3.73
2.26
3.89
3.81
4.75
2.69
4.04
1.86
34.55
391,681.13
427,821.67
5.46
373,790.43
338,710.61
150,635.97
303,729.34
302,601.32
301,539.44
313,207.91
315,193.36
2,399,408.38
320,105.00
310,437.60
145,126.50
290,750.40
343,484.00
372,983.70
322,465.00
301,415.00
2,406,767.20
4.08
3.96
1.85
3.71
4.38
4.76
4.11
3.84
30.69
5,642,604.47
5,542,801.50
70.70
2,546,193.78
32.48
Total
43
-0.80
0.00
-249,349.08
-3.18
7,839,645.40
100.00
12.95 %
11.48 %
11.33 %
9.84 %
Real estate
9.42 %
Media
4.85 %
Utilities
4.12 %
4.04 %
2.67 %
Total
70.70 %
Cayman Islands
24.10 %
China
17.14 %
Bermuda
11.15 %
Hong Kong
8.74 %
Singapore
5.46 %
4.11 %
Total
70.70 %
44
Currency
Description
Purchases
Sales
Other
Shares
AUD
AUD
AUD
AUD
AUD
Karoon Gas Australia Ltd
Kingsgate Consolidated Ltd
Medusa Mining Ltd
Newcrest Mining Ltd
Perseus Mining Ltd
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
HKD
Anhui Conch Cement Co Ltd H
Bank of China Ltd H
BBMG Corp
Beijing Enterprises Hgs Ltd
Brilliance China Auto Hgs Ltd
Cheung Kong Holdings Ltd
China Com Construction Cie Ltd H
China Foods Ltd
China Lilang Ltd
China Mengniu Dairy Co Ltd
China Oilfield Services Ltd H
China Railway Group Ltd H
China Shineway Pharm Group Ltd
China ZhengTong Auto Serv Hgs
Clear Media Ltd
Cosco Pacific Ltd
Datang Intl Power Gener Co Ltd H
Digital China Hgs Ltd
Emperor Entertainme Hotel Ltd
ENN Energy Hgs Ltd
Far East Horizon Ltd
Galaxy Entertainment Gr Ltd
Giordano Intl Ltd
Golden Eagle Retail Group Ltd
Hop Hing Group Holdings Ltd
Huabao Intl Holdings Ltd
Jiangsu Expressway Co Ltd H
Kingboard Chemical Hgs Ltd
Kingdee Intl Softwar Gr Co Ltd
Kunlun Energy Co Ltd
Lee & Man Paper Manufact Ltd
Lenovo Group Ltd
Lianhua Supermarket Hgs Co Ltd H
Luk Fook Holdings (Intl) Ltd
NagaCorp Ltd
Nine Dragons Paper (Hgs) Ltd
Poly Property Group Co Ltd
Prada Spa
Sinopec Shanghai Petroc Co Ltd H
Sinotruk (Hong Kong) Ltd
SJM Holdings Ltd
Soho China Ltd
Television Broadcasts Ltd
Tencent Holdings Ltd
Value Partners Group Ltd
Weichai Power Co Ltd H
Wharf Hgs Ltd (The)
Wumart Stores Inc H
Yingde Gases Group Co Ltd
Zhaojin Mining Industry Co Ltd H
Zijin Mining Group Co Ltd H
ZTE Corp H
45
3,472
14,708
67,776
12,695
76,405
11,017
14,708
67,776
12,695
76,405
0
0
0
0
0
57,500
99,000
172,500
4,500
178,000
20,000
172,000
60,000
160,000
23,000
70,000
398,000
38,000
24,500
552,000
44,000
220,000
158,000
935,000
32,000
462,000
96,000
74,000
68,000
6,524,000
160,000
0
0
294,000
62,000
46,000
398,000
0
116,000
492,000
151,000
317,000
11,000
224,000
147,500
30,000
146,500
12,000
0
325,000
28,000
33,000
175,000
131,000
298,500
892,000
37,200
57,500
294,000
221,500
14,500
0
20,000
221,000
60,000
209,000
23,000
110,000
398,000
38,000
73,500
0
44,000
220,000
207,000
0
0
0
144,000
74,000
68,000
0
233,000
50,000
15,000
294,000
110,000
147,000
398,000
34,000
0
492,000
151,000
317,000
11,000
224,000
147,500
79,000
146,500
12,000
2,500
0
28,000
33,000
0
0
323,000
892,000
37,200
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Currency
Description
IDR
IDR
IDR
IDR
Bank Negara Indonesia (PT) Tbk
Perusahaan Gas Negara (PT) Tbk Ser B
PT Gudang Garam Tbk scripless
PT Indofood CBP Sukses Mak Tbk
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
Purchases
Sales
Other
304,000
43,000
22,500
34,500
548,000
294,000
22,500
110,000
0
0
0
0
Chiyoda Corp
Cyber Agent Ltd
Dainippon Screen Mfg Co Ltd
DeNA Co Ltd
Disco Corp
Fuji Media Hgs
Hitachi Metals Ltd
Japan Tobacco Inc
JSR Corp
Kakaku.com Inc
KDDI Corp
Kirin Holdings Co Ltd
Mitsui & Co Ltd
Mitsui Fudosan Co Ltd
NGK Insulators Ltd
Nidec Corp
Orix Corp
Park24 Co Ltd
Rakuten Inc
Sanrio Co Ltd
Sapporo Holdings KK
Sega Sammy Holdings Inc
Seven Bank Ltd
Softbank Corp
Sumitomo Metal Mining Co Ltd
Sumitomo Mitsui Fin Group Inc
Sumitomo Mitsui Trust Hgs Inc
Universal Entertainment Corp
Yahoo Japan Corp
1,000
67
0
700
6,600
93
10,000
3,611
5,200
3,700
800
23,000
14,700
13,000
7,000
200
750
14,700
16,675
1,500
23,000
0
36,800
6,400
4,000
7,500
0
2,800
1,252
6,000
67
10,000
3,200
8,900
132
10,000
8,013
5,200
3,700
800
23,000
14,700
18,000
7,000
700
750
14,700
31,400
1,500
23,000
2,500
36,800
10,300
4,000
10,900
12,000
2,800
1,252
0
0
0
0
0
0
0
4,378
0
0
0
0
0
0
0
0
0
0
14,652
0
0
0
0
0
0
0
0
0
0
KRW
KRW
KRW
KRW
KRW
KRW
KRW
KRW
KRW
KRW
Amorepacific Corp (New)
Daelim Industrial Co Ltd
Daum Communications Corp
GS Holdings Corp
Hyundai Fire&Marine Ins Co Ltd
Hyundai Mobis
Hyundai Wia Corp
Kangwon Land Inc
Lotte Shopping Co Ltd
NHN Corp
89
968
6,056
493
5,630
480
1,562
3,670
0
904
187
1,946
6,056
1,469
8,140
480
2,294
3,670
130
1,404
0
0
0
0
0
0
0
0
0
0
SGD
SGD
SGD
Genting Singapore Plc
Noble Group Ltd
Osim Intl Ltd
23,000
39,000
266,000
73,000
39,000
0
0
0
0
THB
THB
THB
THB
THB
THB
THB
Amata Corp PCL Units Non voting DR
Bangkok Bank PCL Foreign Reg
Bank of Ayudhya PCL Units Non voting DR
Charoen Pokphand Foods PCL Units Nv DR
Minor Intl PCL Foreign Reg
PTT Explor & Prod PCL Non Voting DR
PTT PCL Uts Nv DR
238,300
12,100
66,700
60,300
161,500
19,300
26,900
238,300
12,100
217,200
60,300
161,500
29,400
26,900
0
0
0
0
0
0
0
USD
USD
USD
USD
USD
Baidu Inc ADR repr 0.1 Share A
Canon Inc ADR repr 1 Share
China Mobile Ltd ADR repr 5 Shares
China Unicom (Hong Kong) Ltd ADR repr 10 Shares
CNOOC Ltd ADR repr 100 shares
5,450
2,300
4,840
5,900
2,000
1,800
3,300
4,840
5,900
2,000
0
0
0
0
0
46
Currency
Description
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Ctrip.Com Intl Ltd ADR Repr 1/4 Shares
E House Hgs ADR Repr 1 Share
Focus Media Holding Ltd ADR repr 5 Share
Home Inns & Hotels Mgt Inc ADR repr 2 Shares
HSBC Holdings Plc spons ADR repr 5 Shares
Infosys Ltd spons ADR repr 1 Share
Mindray Medical Intl Ltd ADR repr 1 Sh A
Netease Inc ADR Repr 1 Share
New Oriental Educ & Tec Gr Inc ADR repr 1 Share
Reliance Industries Ltd GDR repr 2 Shares 144A
Samsung Electronics Co Ltd spons GDR repr 0.5
Share
Silvercorp Metals Inc
Sina Corp Reg
SK Telecom Co Ltd ADR repr 0.111 Share
Sohu.com Inc
SouFun Holdings Ltd spons ADR repr 1 Share A
Taiwan Semiconduct Mfg Co Ltd ADR repr 5 Shares
Telecom Corp of New Zealand ADR repr 5 Shares
Telekom Indonesia (PT) Tbk ADR repr 40 Shares
United Microelectronics Corp ADR repr 5 Shares
Yanzhou Coal Mining Co Ltd ADR Repr 10 Shs H
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Purchases
Sales
Other
22,220
31,210
6,500
9,760
1,370
6,900
8,600
6,810
3,800
4,673
786
7,700
0
9,400
0
1,370
7,940
0
0
3,800
4,673
786
0
0
0
0
0
0
0
0
0
0
0
14,700
3,100
23,800
6,500
15,500
5,900
40,300
2,000
36,900
7,800
14,700
3,620
23,800
0
4,000
5,900
40,300
2,000
61,400
7,800
0
0
0
0
0
0
0
0
0
0
600,000
600,000
600,000
600,000
0
0
700,000
500,000
300,000
0
700,000
200,000
700,000
500,000
800,000
700,000
300,000
700,000
500,000
300,000
350,000
700,000
200,000
700,000
500,000
800,000
700,000
300,000
0
0
0
0
0
0
0
0
0
0
0
19,000
19,000
0
Bonds
USD
USD
China 4.75% Gl 03/29.10.13
Korea 4.25% Sen 03/01.06.13
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
US 0% T-Bills 11/15.11.12
US 0% T-Bills 11/18.10.12
US 0% T-Bills 11/26.07.12
US 0% T-Bills 11/28.06.12
US 0% T-Bills 12/07.02.13
US 0% T-Bills 12/14.03.13
US 0% T-Bills 12/17.01.13
US 0% T-Bills 12/24.01.13
US 0% T-Bills 12/27.09.12
US 0% T-Bills 12/28.03.13
US 0% T-Bills 12/30.08.12
Tracker funds (UCI)
USD
WisdomTree Trust Japan Hedged Eq Fd
47
Assets
Cash at banks
Other liquid assets
Prepaid expenses
15,475,280.70
89,535.60
1,109,391.37
561,863.51
566,501.20
6,401.08
10,748.37
121,358.42
770.28
Total assets
17,941,850.53
Liabilities
Bank liabilities
6.16
78,042.09
11,531.55
152.19
239,481.02
23,108.62
Total liabilities
352,321.63
17,589,528.90
1,000.000
9.32
48
18,887.857
930.77
Income
Dividends, net
68,121.15
305,175.36
1,426.83
509.56
Total income
375,232.90
Expenses
Management fees
Custodian fees
Transaction fees
Professional fees
Other expenses
85,843.00
10,903.35
2,400.44
84,468.57
64,756.45
6,829.62
15,687.37
8,134.73
512.03
1,854.07
12,297.62
Total expenses
293,687.25
81,545.65
- on options
- on swap contracts
-107,821.35
-533,392.02
-214,809.10
-50,114.04
280,176.59
-45,932.74
Realised result
-590,347.01
- on options
- on swap contracts
1,305,238.50
18,023.01
84,680.75
-28.88
-276,038.40
541,527.97
Subscriptions
1,999,999.46
Redemptions
-1,040,423.02
1,501,104.41
16,088,424.49
17,589,528.90
49
Total net assets
- as at 31.03.2013
- as at 31.03.2012
17,589,528.90
16,088,424.49
- issued
- redeemed
1,000.000
0.000
0.000
1,000.000
- as at 31.03.2013
- as at 31.03.2012
9.32
9.16
- issued
- redeemed
17,747.132
2,362.725
-1,222.000
18,887.857
- as at 31.03.2013
- as at 31.03.2012
930.77
906.02
50
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Shares
CAD
25,000
HudBay Minerals Inc
194,745.91
187,335.39
1.07
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
3,000
10,000
5,000
70,000
20,000
10,000
60,000
3,000
5,000
Bayerische Motorenwerke AG
Brembo SpA
Daimler AG Reg
Deutsche Rohstoff AG Reg sh
DiaSorin SpA
Mauna Kea Technologies O
SAF Holland SA
Siemens AG Reg
Tipp24 SE Reg
177,109.36
79,656.05
192,742.00
859,923.98
572,800.00
123,837.92
314,694.82
239,363.80
184,953.55
2,745,081.48
201,930.00
125,100.00
212,225.00
969,500.00
546,000.00
123,900.00
366,000.00
252,090.00
207,550.00
3,004,295.00
1.15
0.71
1.21
5.51
3.10
0.70
2.08
1.43
1.18
17.07
GBP
GBP
GBP
GBP
6,032
80,000
40,000
8,217
Dragon Oil Plc
Imperial Tobacco Group Plc
225,603.98
112,310.89
273,475.92
233,938.67
845,329.46
252,162.22
136,162.54
308,167.31
223,905.87
920,397.94
1.43
0.77
1.75
1.27
5.22
HKD
15,000
China Mobile Ltd
127,814.42
123,945.00
0.71
JPY
2,500
70,821.11
100,668.33
0.57
NOK
10,000
Statoil ASA
197,252.47
188,396.87
1.07
SEK
7,000
Swedish Match AB
170,079.71
169,160.73
0.96
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
5,000
2,500
4,000
7,500
8,000
5,000
10,000
750
10,000
15,000
600
30,000
5,000
3,000
221,695.73
1,045,354.31
164,709.39
171,617.29
209,497.45
213,081.72
182,166.22
379,737.40
224,391.78
186,794.68
283,767.16
183,227.11
179,440.88
161,405.26
3,806,886.38
263,217.45
863,533.50
165,843.38
258,925.44
252,464.01
234,499.98
217,097.82
464,725.51
442,935.74
257,286.67
314,643.57
177,689.34
240,235.67
175,184.36
4,328,282.44
1.50
4.91
0.94
1.47
1.44
1.33
1.23
2.64
2.52
1.46
1.79
1.01
1.37
1.00
24.61
8,158,010.94
9,022,481.70
51.28
354,115.17
354,115.17
358,944.95
358,944.95
2.04
2.04
930,160.44
930,160.44
912,525.00
912,525.00
5.19
5.19
Toyota Motor Corp
American Express Co
Apple Inc
Citigroup Inc
Coca-Cola Co
ConocoPhillips
General Motors Co
Google Inc A
Green Mtn Coffee Roasters Inc
Morgan Stanley
Samsung Electronics Co Ltd spons GDR repr 0.5 Share
Vaalco Energy Inc
Viacom Inc B
Wal-Mart Stores Inc
Total shares
Closed-ended tracker funds
USD
7,000
ProShares Trust UltraShort 20+ Year Treasury
Total closed-ended tracker funds
EUR
7,500
ETFS Metal Sec Ltd Certif Phys Gold Perpetual
Total investment certificates
51
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Bonds
EUR
EUR
EUR
EUR
EUR
EUR
300,000
600,000
500,000
500,000
450,000
300,000
Labco SAS 8.5% Reg-S Sen 11/15.01.18
Rottapharm Ltd 6.125% Reg S Sen 12/15.11.19
Veneto Banca Holding SCPA 4% EMTN Sen 13/31.07.15
GBP
GBP
250,000
250,000
Assicurazioni Generali SpA FRN Reg S Sub Perpetual
Total bonds
300,000.00
577,646.67
505,000.00
508,000.00
453,983.28
299,250.00
2,643,879.95
347,100.00
634,500.00
515,300.00
504,925.00
448,335.00
297,450.00
2,747,610.00
1.97
3.61
2.93
2.87
2.55
1.69
15.62
235,897.50
298,384.48
534,281.98
229,448.35
301,744.69
531,193.04
1.31
1.72
3.03
3,178,161.93
3,278,803.04
18.65
563,882.67
563,882.67
624,237.51
624,237.51
3.55
3.55
133,809.50
567,820.00
701,629.50
133,038.50
582,600.00
715,638.50
0.76
3.31
4.07
520,516.90
520,516.90
562,650.00
562,650.00
3.20
3.20
14,406,477.55
15,475,280.70
87.98
Bonds
CNY
5,000,000
Morgan Stanley 3% EMTN Reg-S Ser 5419 11/02.11.13
Total bonds
EUR
EUR
500
5,000
Pictet Asian Local Currency Debt R EUR Cap
EUR
15,000
Lyxor Asia PA exJP C EUR Cap
Options
EUR
20
Siemens AG Reg PUT 06/13 EUX 80
4,780.00
2,880.00
0.02
USD
USD
USD
25
100
50
Apple Inc CALL 06/13 OPRA 550
Viacom Inc B CALL 01/14 OPRA 70
13,085.58
16,217.47
9,962.17
39,265.22
3,648.21
15,022.05
9,364.39
28,034.65
0.02
0.09
0.05
0.16
44,045.22
30,914.65
0.18
19,750.00
18,000.00
14,772.50
4,125.00
7,250.00
8,875.00
72,772.50
26,300.00
4,000.00
0.00
562.50
3,000.00
4,625.00
38,487.50
0.15
0.02
0.00
0.00
0.02
0.03
0.22
Total options on transferable securities
Index options
EUR
EUR
EUR
EUR
EUR
EUR
100
500
75
75
100
50
DAX Germany Index PUT 04/13 EUX 7600
Euro Stoxx 50 EUR (Price) Index CALL 06/13 EUX 3000
FTSE MIB Index CALL 04/13 IM 19000
52
Currency
Number /
nominal value
USD
USD
USD
25
10
20
Description
Cost
Total index options
Total options
Market value
% of
total net
assets
4,536.08
6,757.02
12,443.13
23,736.23
8,974.21
2,575.21
8,584.03
20,133.45
0.05
0.01
0.05
0.11
96,508.73
58,620.95
0.33
140,553.95
89,535.60
0.51
-6,562.50
-2,340.00
-8,902.50
-14,531.25
-1,320.00
-15,851.25
-0.08
-0.01
-0.09
-11,248.90
-6,219.53
-9,633.59
-9,429.41
-11,447.14
-12,973.97
-60,952.54
-14,436.77
-8,271.88
-1,755.82
-4,135.94
-5,657.65
-13,071.13
-47,329.19
-0.08
-0.05
-0.01
-0.02
-0.03
-0.07
-0.26
-69,855.04
-63,180.44
-0.35
Short options
EUR
EUR
-125
-20
USD
USD
USD
USD
USD
USD
-50
-50
-75
-50
-50
-100
Green Mtn Coffee Roasters Inc CALL 05/13 OPRA 60
Green Mtn Coffee Roasters Inc PUT 06/13 OPRA 33
Las Vegas Sands Corp PUT 06/13 CBO 49.75
Phillips 66 PUT 01/14 OPRA 50
Viacom Inc B PUT 01/14 OPRA 50
Total options on transferable securities
Index options
EUR
-50
Euro Stoxx 50 EUR (Price) Index PUT 06/13 EUX 2250
-14,000.00
-11,350.00
-0.07
USD
-10
-11,166.15
-3,511.65
-0.02
Total index options
-25,166.15
-14,861.65
-0.09
Total short options
Bank liabilities
-95,021.19
-78,042.09
-0.44
1,671,254.88
9.50
-6.16
0.00
431,505.97
2.45
17,589,528.90
100.00
Total
53
10.78 %
9.88 %
9.58 %
Investment funds
9.31 %
Materials
6.58 %
Investment companies
5.19 %
Energy
5.16 %
5.10 %
Technology hardware and equipment
4.91 %
Insurance
3.28 %
Banks
3.16 %
2.64 %
2.52 %
1.95 %
Semiconductors and semiconductor equipment
1.79 %
1.65 %
Capital goods
1.43 %
Media
1.37 %
Retailing
1.00 %
0.70 %
Total
87.98 %
54
Industrial and geographical classification of investments (continued)
27.47 %
Germany
10.48 %
France
10.44 %
Italy
8.78 %
8.70 %
Jersey
6.91 %
Ireland
4.62 %
United Kingdom
2.70 %
South Korea
1.79 %
Hong Kong
1.65 %
Canada
1.07 %
Norway
1.07 %
Sweden
0.96 %
Gibraltar
0.77 %
Japan
0.57 %
Total
87.98 %
55
Currency
Description
Purchases
Sales
Other
Shares
AUD
Oz Minerals Ltd
10,000
10,000
0
CAD
HudBay Minerals Inc
10,000
10,000
0
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
ArcelorMittal SA
Atlantia SpA
Banco Pop Societa Cooperativa
Bayerische Motorenwerke AG
Brembo SpA
Daimler AG Reg
Deutsche Rohstoff AG Reg sh
DiaSorin SpA
ENEL SpA
ENI SpA
Eutelsat Communications
Intesa Sanpaolo SpA
Mauna Kea Technologies O
SAF Holland SA
Siemens AG Reg
Tipp24 SE Reg
Vallourec Usines Tubes
Yoox SpA
10,000
0
50,000
5,000
40,000
9,000
19,731
0
30,000
0
10,000
0
0
5,000
65,000
3,000
6,000
0
7,500
10,000
10,000
150,000
2,000
30,000
4,000
5,000
15,000
40,000
100,000
10,000
5,000
200,000
5,000
145,000
0
1,000
3,000
7,500
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
BP Plc
Dragon Oil Plc
Glencore Intl Plc
HSBC Holdings Plc
Imperial Tobacco Group Plc
WPP 2012 Ltd
0
3,500
180,000
40,000
0
15,000
5,000
7,500
15,182
4,500
100,000
20,000
30,000
50,000
3,000
22,500
182
32
0
0
0
0
217
0
HKD
HKD
HKD
HKD
China Mobile Ltd
China Telecom Corp Ltd H
China Unicom (Hong Kong) Ltd
Galaxy Entertainment Gr Ltd
20,000
0
0
0
5,000
300,000
100,000
50,000
0
0
0
0
JPY
Toyota Motor Corp
0
2,500
0
NOK
Statoil ASA
10,000
7,500
0
SEK
Swedish Match AB
7,000
0
0
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
American Express Co
Apple Inc
Citigroup Inc
Coca-Cola Co
ConocoPhillips
General Electric Co
General Motors Co
Google Inc A
Green Mtn Coffee Roasters Inc
Intel Corp
5,000
2,750
4,000
7,500
3,000
4,000
10,000
7,000
500
35,000
13,000
0
250
0
7,500
0
5,000
10,000
3,000
750
35,000
13,000
0
0
0
0
2,500
0
0
0
0
0
0
56
Currency
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Description
Purchases
JPMorgan Chase & Co
Knight Capital Group Inc
Las Vegas Sands Corp
Mc Donald's Corp
Morgan Stanley
Nasdaq OMX Gr Inc
Phillips 66
Samsung Electronics Co Ltd spons GDR repr 0.5
Share
Sothebys A
TRW Automotive Holdings Corp
Vaalco Energy Inc
Viacom Inc B
Wal-Mart Stores Inc
Sales
Other
5,000
25,000
0
1,000
15,000
5,000
0
600
5,000
25,000
3,000
3,000
10,000
12,500
3,750
0
0
0
0
0
0
0
3,750
0
10,000
0
65,000
2,000
3,000
10,000
5,000
35,000
4,643
0
0
0
0
0
0
7,000
0
0
30,000
30,000
0
6,500
1,000
0
1,000,000
1,000,000
0
500,000
300,000
100,000
500,000
0
100,000
0
0
0
250,000
0
300,000
250,000
500,000
700,000
0
0
0
1,500,000
500,000
1,500,000
1,500,000
372,000
1,500,000
500,000
1,500,000
1,500,000
372,000
0
0
0
0
0
0
0
500,000
500,000
300,000
500,000
600,000
0
0
0
0
0
0
0
0
Assicurazioni Generali SpA FRN Reg S Sub
Perpetual
HBOS Capital Funding LP VAR Ser A
01.31.05.Perpetual
250,000
0
0
250,000
0
0
500,000
0
0
Eksportfinans ASA 1.875% GTMN Sen 10/02.04.13
Santander US Debt SAU 3.724% Ser 144A
10/20.01.15
0
500,000
500,000
500,000
0
0
Closed-ended tracker funds
USD
ProShares Trust UltraShort 20+ Year Treasury
EUR
EUR
ETFS Commodity Sec Ltd Certif DJUBs Pr Index
Perpetual
ETFS Metal Sec Ltd Certif Phys Gold Perpetual
Bonds
CHF
Bank of Ireland 3% EMTN Sen 10/18.02.13
EUR
EUR
EUR
Assicurazioni Generali SpA VAR EMTN Sen
12/12.12.42
Bank of Ireland Mortgage Bank 3.125% 12/20.11.15
Intesa Sanpaolo SpA VAR Sen Sub
08/20.06.Perpetual
Italia 2.5% BTP 09/01.07.12
Italia ILB BPT 11/15.09.26
Monte Dei Paschi Di Siena SpA 7.25% EMTN Sen
12/10.07.15
Morgan Stanley FRN EMTN 07/16.01.17
MPS Capital Trust I FRN 01/07.02.Perpetual
Rottapharm Ltd 6.125% Reg S Sen 12/15.11.19
Veneto Banca Holding SCPA 4% EMTN Sen
13/31.07.15
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
USD
USD
57
Currency
Description
Purchases
Sales
Other
EUR
Italia 0% BOT 12/14.01.13
500,000
500,000
0
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Daimler AG Reg CALL 09/12 EUX 46
ENEL SpA CALL 02/13 IM 3.1
ENEL SpA CALL 12/12 IM 3
Royal Dutch Shell Plc A CALL 09/12 EUX 28
Royal Dutch Shell Plc A CALL 12/12 EUX 28
100
0
100
150
250
500
500
250
150
0
150
0
200
0
0
100
20
0
20
100
100
100
150
250
500
500
250
150
125
150
50
200
200
150
100
20
20
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
NOK
NOK
Statoil ASA CALL 09/12 OSL 160
Statoil ASA CALL 12/12 OSL 160
0
150
150
150
0
0
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Apple Inc PUT 10/12 OPRA 550
Baker Hughes Inc CALL 10/12 OPRA 50
Caterpillar Inc CALL 01/13 OPRA 120
ConocoPhillips CALL 05/12 OPRA 75
Facebook Inc A CALL 08/12 OPRA 33
General Electric Co PUT 03/13 OPRA 20
General Electric Co PUT 03/13 OPRA 21
General Motors Co CALL 06/12 OPRA 27
Google Inc A CALL 03/13 OPRA 780
Google Inc A PUT 12/12 OPRA 650
Intel Corp CALL 08/12 OPRA 26
50
25
5
25
10
10
10
100
200
200
100
100
100
0
10
10
5
20
5
5
50
0
0
0
0
100
50
0
100
100
150
250
250
250
50
0
15
25
0
10
10
200
200
200
100
100
100
150
10
10
5
20
5
5
50
50
50
50
50
100
50
75
100
100
150
250
250
250
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
58
Currency
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Description
Purchases
Microsoft Corp CALL 12/12 OPRA 32
Research In Motion Ltd CALL 05/12 OPRA 15
TRW Automotive Holdings Corp CALL 07/12 OPRA 45
Sales
Other
0
100
50
0
0
0
100
200
50
250
50
100
150
0
50
100
50
50
250
100
0
200
200
250
0
100
150
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
30
75
80
100
100
100
100
50
100
100
100
60
60
20
60
50
60
60
80
50
80
80
50
50
50
50
110
1,000
0
500
50
60
85
60
0
25
100
75
0
75
100
25
25
50
40
30
150
75
80
100
100
100
100
50
100
100
0
60
60
20
60
50
60
60
80
50
80
80
50
50
50
50
110
1,000
100
0
50
60
85
60
50
25
100
0
25
0
0
25
25
0
40
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Index options
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
DAX Germany Index CALL 06/12 EUX 7000
FTSE MIB Index PUT 03/13 IM 15000
59
Currency
Description
Purchases
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Sales
Other
0
200
0
0
100
25
15
15
35
30
10
30
30
5
20
20
10
25
10
30
30
40
20
40
15
15
30
55
30
30
35
30
20
10
20
10
20
150
200
25
25
75
25
15
15
35
30
50
30
30
15
20
20
10
25
10
30
30
40
20
40
15
15
30
55
30
30
35
30
20
10
20
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
500
5,000
0
0
0
0
10,000
5,000
0
EUR
EUR
Pictet Asian Local Currency Debt R EUR Cap
EUR
Lyxor Asia PA exJP C EUR Cap
60
Statement of net assets (in USD)
Assets
Cash at banks
Prepaid expenses
18,253,105.37
4,206,328.56
1,540,000.00
8,366.06
13,886.76
93,720.20
3,421.00
21.88
373.85
987.08
Total assets
24,120,210.76
Liabilities
Bank liabilities
0.50
322,415.85
5,009.02
98,582.61
399,049.80
Total liabilities
825,057.78
23,295,152.98
1,172.820
EUR 1,228.27
Class C USD capitalization Shares outstanding
8,969.775
1,201.13
460.786
EUR 992.94
Class S USD capitalization Shares outstanding
8,046.804
1,253.79
61
Statement of operations and other changes in net assets (in USD)
Income
Dividends, net
61,301.55
20.12
Total income
61,321.67
Expenses
Management fees
Performance fees
Custodian fees
Transaction fees
Professional fees
Other expenses
272,601.98
683,711.54
14,022.86
1,761.95
42,589.84
71,154.99
6,568.85
21,157.42
8,852.35
10.23
44,994.91
22,395.25
Total expenses
1,189,822.17
Net investment loss
-1,128,500.50
- on swap contracts
1,446,197.86
200,883.37
68,767.98
537.71
Realised result
587,886.42
- on swap contracts
2,744,148.91
470.65
-98,582.61
3,233,923.37
Subscriptions
9,584,922.92
Redemptions
-2,779,303.20
10,039,543.09
13,255,609.89
23,295,152.98
62
Statistical information (in USD)
Total net assets
- as at 31.03.2013
- as at 31.03.2012
23,295,152.98
13,255,609.89
- issued
- redeemed
0.000
1,172.820
0.000
1,172.820
- as at 31.03.2013
- as at 31.03.2012
EUR 1,228.27
-
Number of Class C USD capitalization Shares
- issued
- redeemed
5,694.352
4,284.439
-1,009.016
8,969.775
- as at 31.03.2013
- as at 31.03.2012
1,201.13
1,017.08
- issued
- redeemed
0.000
460.786
0.000
460.786
- as at 31.03.2013
- as at 31.03.2012
EUR 992.94
-
Number of Class S USD capitalization Shares
- issued
- redeemed
7,148.064
2,543.333
-1,644.593
8,046.804
- as at 31.03.2013
- as at 31.03.2012
1,253.79
1,044.20
63
Statement of investments and other net assets (in USD)
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Shares
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
43,700
6,600
1,100
86,250
30,582
37,000
5,560
172,979
48,340
45,545
800
13,640
35,500
10,310
23,000
13,300
75,050
18,640
10,325
14,140
24,500
124,131
Axis Capital Holdings Ltd
Blucora Inc
E Trade Financial Inc
EMC Insurance Group Inc
FBR and Co
Fedex Corp
G.Willi-Food International Ltd
General Motors Co
Global Indemnity Plc
Google Inc A
JPMorgan Chase & Co
KKR & Co LP
Lear Corp When Issued
Legg Mason Inc
Moody's Corp
Morgan Stanley
Oracle Corp
Regional Management Corp
WellPoint Inc
Wells Fargo & Co New
ZipRealty Inc
Total shares
1,291,112.65
177,250.26
16,302.00
814,432.37
580,429.88
345,937.21
503,371.82
817,683.86
1,385,168.60
939,191.63
422,157.97
472,117.13
656,813.90
385,495.02
646,208.00
651,217.21
1,168,538.23
640,494.63
169,300.90
856,385.84
863,558.85
214,833.74
14,018,001.70
1,696,434.00
274,692.00
17,028.00
923,737.50
805,224.06
700,410.00
545,992.00
1,148,580.56
1,344,818.80
1,056,644.00
635,224.00
647,354.40
685,860.00
565,709.70
739,450.00
709,156.00
1,649,599.00
602,817.60
208,565.00
936,492.20
906,255.00
453,078.15
17,253,121.97
7.28
1.18
0.07
3.97
3.46
3.01
2.34
4.93
5.77
4.54
2.73
2.78
2.94
2.43
3.17
3.04
7.08
2.59
0.90
4.02
3.89
1.95
74.07
1,000,031.87
1,000,031.87
999,983.40
999,983.40
4.29
4.29
15,018,033.57
18,253,105.37
78.36
5,746,328.56
24.67
-0.50
0.00
-704,280.45
-3.03
23,295,152.98
100.00
Transferable securities dealt in on another regulated market
USD
1,000,000
US 0% T-Bills 12/18.04.13
Total money market instruments
Bank liabilities
Total
64
19.98 %
Insurance
16.46 %
8.20 %
5.39 %
4.93 %
4.29 %
4.02 %
Retailing
3.97 %
Banks
3.89 %
Investment companies
2.94 %
Transportation
2.34 %
Real estate
1.95 %
Total
78.36 %
67.71 %
Israel
4.93 %
Ireland
4.54 %
Bermuda
1.18 %
Total
78.36 %
65
Currency
Description
Purchases
Sales
Other
Shares
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Abercrombie & Fitch Co A
Assisted Living Concepts Inc A
Bank of America Corp
Blucora Inc
Blyth Inc
Body Central Corp
Bridgepoint Education Inc
Charles Schwab Corp
E Trade Financial Inc
EMC Insurance Group Inc
FBR and Co
FBR Capital Markets Corp
Fedex Corp
Flagstone Reinsurance Hgs Ltd
G.Willi-Food International Ltd
Gain Capital Holdings Inc
General Motors Co
Global Indemnity Plc
Google Inc A
Hilltop Holdings Inc
JPMorgan Chase & Co
KKR & Co LP
Knight Capital Group Inc
Kohl's Corp
Lear Corp When Issued
Legg Mason Inc
Moody's Corp
Morgan Stanley
Oracle Corp
Regional Management Corp
Tree.Com Inc
Validus Holdings Ltd
WellPoint Inc
Wells Fargo & Co New
ZipRealty Inc
21,830
15,730
27,328
0
1,100
27,600
31,640
13,500
0
142,660
12,693
0
121,080
5,560
59,000
137,348
1,000
48,340
16,101
170
0
13,640
35,500
24,380
0
10,310
23,000
13,300
82,660
18,640
14,640
0
0
10,930
24,500
0
21,830
6,930
27,328
39,800
0
27,600
31,640
13,500
29,600
56,410
0
20,558
225,305
0
0
19,634
79,052
0
2,650
1,190
35,400
0
0
52,580
6,780
0
0
0
24,960
0
4,315
19,845
11,416
8,770
0
213,829
0
0
0
0
0
0
0
0
0
0
0
57,558
-230,232
0
-59,000
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
11,416
0
0
0
0
1,000,000
650,000
0
0
0
USD
USD
US 0% T-Bills 11/28.06.12
US 0% T-Bills 12/18.04.13
66
Assets
Cash at banks
Prepaid expenses
5,331,230.53
1,121,631.09
10,781.98
108,146.84
0.01
774.63
Total assets
6,572,565.08
Liabilities
41,749.70
Total liabilities
41,749.70
6,530,815.38
67
77,462.636
84.31
from 7th December 2012 to 31st March 2013
Income
Dividends, net
6,510.15
100,014.23
39.96
Total income
106,564.34
Expenses
Management fees
Custodian fees
Transaction fees
Professional fees
Other expenses
94,064.51
2,157.19
756.77
1,086.00
10,485.38
4,025.00
1,416.71
2,801.71
231.72
8,487.86
Total expenses
125,512.85
Net investment loss
-18,948.51
70,867.05
-551.30
Realised result
51,367.24
-203,602.10
-152,234.86
Subscriptions
15,809,612.96
Redemptions
-9,126,562.72
6,530,815.38
-
6,530,815.38
68
Total net assets
- as at 31.03.2013
6,530,815.38
- issued
- redeemed
0.000
184,648.598
-107,185.962
77,462.636
- as at 31.03.2013
84.31
69
Currency
Number /
nominal value
Description
Cost
Market value
% of
total net
assets
Shares
EUR
EUR
270,000
55,000
Intesa Sanpaolo SpA
TNT Express NV
Total shares
349,380.00
434,665.00
784,045.00
308,340.00
314,490.00
622,830.00
4.72
4.82
9.54
257,910.00
2,522,500.00
250,793.75
511,012.50
488,891.70
200,116.00
504,504.04
4,735,727.99
252,850.00
2,508,550.00
250,362.50
509,515.00
477,601.50
200,130.00
504,004.03
4,703,013.03
3.87
38.41
3.83
7.80
7.31
3.07
7.72
72.01
0.01
0.01
0.00
0.00
0.00
0.00
15,059.63
15,059.63
5,387.50
5,387.50
0.08
0.08
5,534,832.63
5,331,230.53
81.63
1,121,631.09
17.17
77,953.76
1.20
6,530,815.38
100.00
Bonds
EUR
EUR
EUR
EUR
EUR
EUR
EUR
250,000
2,500,000
250,000
500,000
465,000
200,000
500,004
Deutschland 1.75% 11/14.06.13
Espana 2.3% 09/30.04.13
Italia 3.75% BTP 09/15.12.13
Monte Dei Paschi Di Siena SpA 7.25% EMTN Sen 12/10.07.15
Santander Intl Debt SA FRN EMTN 11/19.04.13
Total bonds
EUR
400,000
Hellas Telecomm Luxembourg II FRN 06/15.01.15
EUR
25,000
Seat Pagine Gialle SpA 10.5% Reg S 12/31.01.17
Cash at banks
Total
70
50.04 %
Banks
19.75 %
Transportation
4.82 %
Materials
3.87 %
3.07 %
Media
0.08 %
Total
81.63 %
Germany
38.41 %
Italy
27.63 %
Spain
6.90 %
The Netherlands
4.82 %
3.87 %
Total
81.63 %
71
from 7th December 2012 to 31st March 2013
Currency
Description
Purchases
Sales
Shares
CAD
Potash Corp of Saskatschew Inc
EUR
EUR
EUR
EUR
Gemina SpA
Intesa Sanpaolo SpA
Seat Pagine Gialle SpA
TNT Express NV
USD
Xueda Education Group spons ADR repr 2 Shares
7,000
7,000
200,000
300,000
5,437,500
125,056
200,000
30,000
5,437,500
70,056
15,000
15,000
500,000
500,000
4,000,000
2,500,000
500,000
500,000
500,000
300,000
465,000
1,000,000
500,000
500,004
250,000
500,000
4,000,000
0
250,000
500,000
0
300,000
0
1,000,000
300,000
0
400,000
25,000
0
0
2,000,000
2,000,000
Bonds
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Banca Popolare di Vicenza SCRL FRN EMTN Ser 26 10/15.03.13
Deutschland 1.5% 11/15.03.13
Deutschland 1.75% 11/14.06.13
Espana 2.3% 09/30.04.13
Fiat Finance & Trade Ltd SA 6.625% Sen 06/15.02.13
Italia 3.75% BTP 09/15.12.13
Melia Hotels Intl SA 5% Conv Reg S Sen 09/18.12.14
Monte Dei Paschi Di Siena SpA 7.25% EMTN Sen 12/10.07.15
Praktiker AG 5.875% 11/10.02.16
Santander Intl Debt SA FRN EMTN 11/19.04.13
EUR
EUR
Hellas Telecomm Luxembourg II FRN 06/15.01.15
Seat Pagine Gialle SpA 10.5% Reg S 12/31.01.17
EUR
Italia 0% BOT 12/14.02.13
72
Notes to the financial statements
Note 1 - Principal accounting methods
1)
Presentation of the financial statements
The financial statements of the Fund are established in accordance with the Luxembourg legal and
regulatory requirements concerning undertakings for collective investment.
2)
Valuation of assets
The assets of the Fund are valued as follows:
3)
(a)
the value of any cash on hand or on deposit, bills and demand notes and accounts
receivable, prepaid expenses, cash dividends and interest declared or accrued, and not
yet received are deemed to be the full amount thereof, unless, however, the same is
unlikely to be paid or received in full, in which case the value thereof shall be determined
after making such discount as the Fund may consider appropriate in such case to reflect
the true value thereof;
(b)
the value of securities and/or financial derivative instruments which are quoted or dealt in
on any stock exchange are based on the previous day closing prices and, if appropriate,
on the average price on the stock exchange which is normally the principal market of
such securities and/or financial derivative instruments, and each security and/or financial
derivative instrument traded on any other regulated market are valued in a manner as
similar as possible to that provided for quoted securities and/or financial derivative
instruments;
(c)
for non-quoted securities or securities not traded or dealt in on any stock exchange or
other regulated market, as well as quoted or non-quoted securities on such other market
for which no valuation price is available, or securities for which the quoted prices are not
representative of the fair market value, the value thereof are determined prudently and in
good faith by the Board of Directors on the basis of foreseeable sales prices;
(d)
shares or units in open-ended investment funds are valued at their last available
calculated net asset value;
(e)
liquid assets and money market instruments may be valued at nominal value plus any
accrued interest or on an amortised cost basis as determined by the Board of Directors.
All other assets, where practice allows, may be valued in the same manner;
(f)
the financial derivative instruments which are not listed on any official stock exchange or
traded on any other organised market are valued in accordance with market practice.
Acquisition cost of securities in the portfolio
The acquisition cost of the securities held by each Sub-Fund that are denominated in currencies other
than the reference currency of the Sub-Fund is converted into this currency at the exchange rate
prevailing on the date of purchase.
4)
Net realised gain (loss) on sales of securities
The realised gain and losses on sales of securities are determined on the basis of the average
acquisition cost.
73
Notes to the financial statements (continued)
5)
Investment income
Dividend income is recorded at the ex-date, net of any withholding tax.
Interest income accrued and payable are recorded, net of any withholding tax.
6)
Valuation of Forward foreign exchange contracts
Forward foreign exchange contracts are valued at forward market rates for the remaining period from
valuation date to the maturity of the contracts. Unrealised gains or losses are recorded in the
statement of net assets. Net variation of unrealised gains and losses and net realised gains and
losses are recorded in the statement of operations and other changes in net assets.
7) Valuation of Futures contracts
Futures purchased or sold for the Fund’s account which are admitted for trading on a stock exchange
or included in another organised market are valued based on the last known settlement price for the
relevant futures contract. Unrealised gains or losses are recorded in the statement of net assets. Net
variation of unrealised gains and losses and net realised gains and losses are recorded in the
statement of operations and other changes in net assets.
8)
Valuation of Swaps contracts
Equity-linked index swap contracts are assessed as follows:
In the framework of these contracts, the Fund will receive, in the event of long contracts, one or
several payment(s) from the Counterparty (leg 2) and will make payments to the Counterparty (leg 1).
In the event of short contracts the Fund will pay one or several payment(s) to the Counterparty (leg 2)
and will receive payments from the Counterparty (leg 1).
The two legs are assessed and the total value of the swap contract is equal to the value of the optional
leg less the value of the floating leg. The swaps are valued on the basis of the recalculated market
prices and the provisions of the contracts by using the traditional elements of pricing such as the
value, the volatility of the underlying, the interest rates and the residual value of the swap.
The Fund will receive a payment from, respectively will make payments to the Counterparty on the
settlement date (and in some cases after several sub-periods). The amount of the payment will
depend on the evolution/performance of the underlying (e.g. share basket, index basket) and will only
be known with certainty after the settlement date (or, where relevant, after the sub-period under
consideration). The Fund periodically makes payments to, respectively receives payments from the
Counterparties which are tied to a benchmark interest rate.
Swaps contracts are posted off-balance sheet.
Unrealised gains or losses are recorded in the statement of net assets. Net variation of unrealised
gains and losses and net realised gains and losses are recorded in the statement of operations and
other changes in net assets.
9)
Valuation of option contracts
Premiums received on short options are recorded as liabilities and premiums paid on the purchase of
options are recorded as assets in the statement of net assets. Option contracts outstanding on the
reporting date are valued at the last settlement or close price on the stock exchanges or regulated
markets. Unrealised gains or losses are recorded in the statement of net assets. Net variation of
unrealised gains and losses and net realised gains and losses are recorded in the statement of
operations and other changes in net assets.
74
10) Formation expenses
Formation expenses are amortised on a straight line basis over a period of 5 years. These expenses
are divided in equal parts between the Sub-Funds in existence, six months after the end of the initial
offering period. In case where further Sub-Funds are created in the future, these Sub-Funds will bear
their own formation expenses which may be amortised over five accounting years.
11) Conversion of foreign currencies
Cash at banks, other net assets and the liabilities and the market value of the securities in portfolio
expressed in currencies other than the currency of the Sub-Fund are converted into this currency at
the exchange rates prevailing on the date of the report. Income and expenses expressed in currencies
other than the currency of the Sub-Fund are converted into this currency at the exchange rate
prevailing on the date of the transaction. Exchange gains or losses are recorded in the statement of
operations and other changes in net assets.
12) Consolidation
The consolidated financial statements of the Fund are expressed in EUR and are equal to the sum of
the corresponding captions in the financial statements of each Sub-Fund converted into this currency
at the exchange rate prevailing at the date of the report.
At the date of the report, the consolidation exchange rate is the following:
1
EUR
=
1.2814500
USD
US Dollar
13) Transaction fees
Transaction costs disclosed under the caption "Transaction fees" in the expenses of the statement of
operations and other changes in net assets are mainly composed of broker fees incurred by the Fund
relating to purchases or sales of securities, of fees relating to liquidation of transactions paid to the
custodian bank and of transaction fees on financial and on derivatives instruments.
Note 2 - Management fees
In accordance with the Fund Management Agreement, the Board of Directors of the Fund has
appointed CASA4FUNDS SA as the Management Company to be responsible on a day-to-day basis,
under supervision of the Directors, for providing administration, marketing and investment
management services in respect of all Sub-Funds.
For the outstanding Shares at the date of the report, the Management Company receives the following
annual Management Fees payable monthly and calculated on the average total net assets for the
relevant month:
Sub-Funds:
PROXIMA INVESTMENTS SICAV - GLOBAL BOND
ABSOLUTE RETURN
PROXIMA INVESTMENTS SICAV - ATHENA LONG
SHORT
Classes
Management fees
A
1.00%
B
0.50%
A
1.50%
B
A
1.00%
1.50% until 31st December 2012
1.60% since 1st January 2013
B
1.00%
75
Sub-Funds:
PROXIMA INVESTMENTS SICAV - ASIA LONG
SHORT EQUITY
PROXIMA INVESTMENTS SICAV - NORTH
AMERICA LONG SHORT EQUITY
Classes
Management fees
S EUR
1.25%
S USD
1.25%
C EUR
2.00%
C USD
2.00%
A
1.50%
S EUR
0.50%
S USD
1.25%
S EUR
1.25%
C USD
2.00%
C EUR
2.00%
C EUR
2.10%
The Investment Managers and the Investment Advisor are entitled to commission paid by the
Management Company out of the above mentioned Management fees.
Note 3 - Performance fee
In addition the Management Company is entitled to receive the following performance fee for the
following Classes of Shares:

for the Sub-Fund PROXIMA INVESTMENTS SICAV - GLOBAL BOND ABSOLUTE RETURN:
Until 31st December 2012, 10% p.a. of return of the relevant Class that exceeds the three months
Euribor rate, calculated at the 31st December of each year, with the High Watermark provision,
ensuring that a performance fee on new excess returns is only paid, once past
underperformances have been recovered.
Since 1st January 2013, 10% p.a. of return of the relevant Class, calculated at the
31st December of each year, with the High Watermark provision, ensuring that a performance fee
on new excess returns is only paid, once past underperformances have been recovered.
The performance fee is paid only if the Net Asset Value per Share at 31st December of the
current year is higher than the Net Asset Value per Share at 31st December of any previous year.

for the Sub-Fund PROXIMA INVESTMENTS SICAV - GLOBAL VALUE:
10% p.a. of return of the relevant Class that exceeds three months Euribor rate calculated at the
31st December of each year.
The performance fee is paid only if the Net Asset Value per Share at 31st December of the
current year is higher than the Net Asset Value per Share at 31st December of any previous year.

for the Sub-Fund PROXIMA INVESTMENTS SICAV - ATHENA LONG SHORT:
Until 31st December 2012, 10% p.a. of the Sub-Fund’s absolute return calculated at the
31st December of each year. The performance fee is paid only if the Net Asset Value per Share
at 31st December of the current year is higher than the Net Asset Value per Share at
31st December of any previous year.
Since 1st January 2013, 10% p.a. of return of the relevant Share Class that exceeds the High
Watermark (calculated as the return necessary since the start of the calendar year to equal the
Net Asset Value per Share on the last Valuation Day of the calendar year in which historically a
Performance Fee was paid). The performance fee will be paid only at the end of each calendar
year
76

for the Sub-Fund PROXIMA INVESTMENTS SICAV - ASIA LONG SHORT EQUITY:
- Class S USD and Class S EUR: 15% per annum of return of the relevant Share Class
that exceeds the High Watermark,
- Class C USD and Class C EUR: 20% per annum of return of the relevant Share Class
calculated as the return necessary since the start of the quarter to equal the Net Asset Value per
Share on the last Valuation Day of the last quarter in which a performance fee was charged. The
performance fee is paid after the end of each quarter on the value of Net Asset Value, which is
calculated on the last day of each quarter.

for the Sub-Fund PROXIMA INVESTMENTS SICAV - ROSEMARY: for all Classes 10% per
annum of the return of the relevant Share Class in accordance with the High Watermark
(calculated as the return necessary since the start of the quarter to equal the Net Asset Value per
Share on the last Valuation Day of the last quarter in which a performance fee was charged). The
performance fee is paid after the end of each quarter on the value of Net Asset Value, which is
calculated on the last day of each quarter.

for the Sub-Fund PROXIMA INVESTMENTS SICAV - NORTH AMERICA LONG SHORT
EQUITY:
- Class S USD and Class S EUR: 15% per annum of return of the relevant Share Class
- Class C USD and Class C EUR: 20% per annum of return of the relevant Share Class
calculated as the return necessary since the start of the quarter to equal the Net Asset Value per
Share on the last Valuation Day of the last quarter in which a performance fee was charged.
The performance fee is paid after the end of each quarter on the value of Net Asset Value, which
is calculated on the last day of each quarter.
In addition, except for the Sub-Fund PROXIMA INVESTMENTS SICAV - OCKHAM (launched on 7th
December 2012), the performance fee was calculated taking into account movements on the capital
and applying the "crystallization" principle so that the performance fee is calculated on the basis of the
Net Asset Value after deduction of all expenses, liabilities, and management fees (but not
performance fee), and is adjusted to take account of all subscriptions and redemptions.

for the Sub-Fund PROXIMA INVESTMENTS SICAV - OCKHAM (launched on
7th December 2012), the performance fee is 20 % of the net increase as a result of operations of
each quarter. The performance fee is based on the following formula:
Net Asset Value of the Sub-Fund at the end of the quarter
- Net subscriptions (i.e. subscriptions - redemptions)
- Net Asset Value of the Sub-Fund at the beginning of the quarter (= Net Asset Value at the end
of the previous quarter)
+ Dividends paid (if any)
= Net Increase as a result of operations
The performance fee is paid after the end of each quarter; however a provision for the accrued
additional commission, if any, is made at each calculation of the Net Asset Value of the
Sub-Fund.
A negative balance in any given quarter is to be carried forward and no additional commission will
be due until all negative balances carried forward have been covered (High Watermark).
77
Note 4 - Subscription, redemption and conversion fees
The Shares are currently issued at a price corresponding to the Net Asset Value per Share of the
Sub-Funds increased by an entry charge to the benefit of the placing agents.
A conversion fee of the Net Asset Value of the Shares to be converted may be charged for the benefit
of the various financial intermediaries concerned.
The Shares are repurchased at the Net Asset Value per Share of the Sub-Funds to which may be
added a redemption fee of the Net Asset Value of the Shares redeemed for the benefit of the various
financial intermediaries concerned.
Sub-Funds:
Subscription fee
Redemption fee
Conversion fee
Max 5%
none
none
Max 5%
none
none
Max 2%
2% before 6 months
and none thereafter
Max 2%
Max 2%
Max 2% before
6 months
none
Max 2%
none
none
Max 2%
2% before 6 months
and none thereafter
none
Max 2%
Max 1%
none
PROXIMA INVESTMENTS SICAV GLOBAL BOND ABSOLUTE RETURN
PROXIMA INVESTMENTS SICAV GLOBAL VALUE
PROXIMA INVESTMENTS SICAV ATHENA LONG SHORT
PROXIMA INVESTMENTS SICAV ASIA LONG SHORT EQUITY
PROXIMA INVESTMENTS SICAV ROSEMARY
PROXIMA INVESTMENTS SICAV NORTH AMERICA LONG SHORT
EQUITY
PROXIMA INVESTMENTS SICAV OCKHAM
These rates are applicable on Net Asset Value.
Note 5 - Subscription duty ("taxe d’abonnement")
The Fund is governed by Luxembourg Law.
Pursuant to the legislation and regulations which are prevailing, the Fund is subject to an annual
subscription duty ("taxe d’abonnement") of 0.05% which is payable quarterly and calculated on the
basis of the net assets of each Sub-Fund on the last day of each quarter. The rate of this tax is
reduced to 0.01% for Classes of Shares reserved to institutional investors.
Pursuant to Article 175 (a) of the amended Law of 17th December 2010 the net assets invested in
Undertakings for Collective Investments already subject to the "taxe d’abonnement" are exempt from this tax.
78
Note 6 - Forward foreign exchange contracts
As at 31st March 2013, the below Sub-Funds are committed in the following forward foreign exchange
contracts:
Currency
EUR
EUR
EUR
EUR
JPY
USD
Purchases
388,034.29
442,543.15
331,956.33
155,084.56
4,000,000.00
260,000.00
Currency
Sales
JPY
USD
USD
USD
EUR
EUR
49,000,000.00
600,000.00
450,000.00
210,000.00
32,056.42
200,277.31
Maturity
09.05.2013
09.05.2013
09.05.2013
09.05.2013
09.05.2013
09.05.2013
Unrealised result
(in EUR)
-17,952.10
-25,569.91
-19,128.46
-8,754.97
1,085.33
2,569.64
-67,750.47
Currency
EUR
Purchases
1,166,135.43
Currency
Sales
USD
1,500,000.00
Maturity
06.06.2013
Unrealised result
(in EUR)
-3,887.25
-3,887.25
Currency
Purchases
Currency
Sales
Forward foreign exchange contracts linked to Class S EUR and C EUR shares
EUR
5,410,000.00
USD
7,340,288.00
EUR
324,000.00
USD
420,130.80
EUR
9,400.00
USD
12,238.80
EUR
5,000.00
USD
6,678.00
Maturity
09.05.2013
09.05.2013
09.05.2013
09.05.2013
Unrealised result
(in USD)
-405,974.60
-4,841.05
-190.27
-269.21
-411,275.13
Currency
EUR
EUR
EUR
EUR
EUR
Purchases
589,553.12
1,119,904.43
768,994.16
756,143.67
2,579,599.06
Currency
Sales
GBP
USD
USD
USD
USD
500,000.00
1,499,999.99
1,000,000.00
1,000,000.00
3,500,000.00
Maturity
09.05.2013
09.05.2013
09.05.2013
09.05.2013
09.05.2013
Unrealised result
(in EUR)
-2,818.14
-50,374.96
-11,186.71
-24,040.29
-151,060.92
-239,481.02
Currency
Purchases
Currency
Sales
Forward foreign exchange contracts linked to C EUR shares
EUR
1,115,000.00
USD
EUR
45,000.00
USD
EUR
160,000.00
USD
EUR
300,000.00
USD
EUR
246,000.00
USD
1,513,501.00
59,816.25
206,619.20
390,300.00
320,107.50
Maturity
09.05.2013
09.05.2013
09.05.2013
09.05.2013
09.05.2013
79
Unrealised result
(in USD)
-84,340.29
-2,137.12
-1,537.84
-5,772.45
-4,794.91
-98,582.61
Note 7 - Futures contracts
As at 31st March 2013, the Sub-Funds of the Fund are not committed in any futures contract.
Note 8 - Swap contracts
As at 31st March 2013, the below Sub-Funds are committed in the following Equity-linked swap
contracts with MORGAN STANLEY & CO INTERNATIONAL PLC:
Number of Currency
contracts
Leg 1
Leg 2
Maturity
Underlying
exposure
(in EUR)
Unrealised
result
(in EUR)
-12,500
EUR
Azimut Holding SpA
Effective Overnight Index
Average Eonia
11/07/2013
-157,750.00
-55.31
-22,000
EUR
Buzzi Unicem SpA
Average Eonia
11/07/2013
-263,780.00
-317.12
-50,000
EUR
Carraro SpA
Average Eonia
11/07/2013
-97,000.00
-400.63
-1,500
USD
Deere and Co
Federal Funds Effective Rate US
27/06/2013
-100,643.80
-11.76
-17,000
SEK
Electrolux AB B
STIBOR Interbank Offered Rate
1W
16/01/2014
-336,696.86
168.64
-50,000
EUR
Geox SpA
Average Eonia
11/07/2013
-108,600.00
-441.55
-9,650
USD
Holly Corp
27/06/2013
-387,445.86
-152.97
-3,000
EUR
Hugo Boss AG Reg
Average Eonia
11/07/2013
-262,260.00
-253.33
-2,500
USD
Lululemon Athletica Inc
27/06/2013
-121,631.75
-38.46
-2,500
EUR
Pernod-Ricard
Average Eonia
11/07/2013
-243,025.00
-69.48
-20,000
EUR
Pirelli & C. SpA
Average Eonia
26/06/2014
-163,700.00
14,061.84
-40,000
HKD
Prada Spa
Hong Kong Overnight Index
Swap Reference Rate
06/03/2014
-317,653.05
-1,288.57
-1,000,000 EUR
Prelios SpA
Average Eonia
11/07/2013
-77,400.00
-313.17
-13,000
EUR
Salvatore Ferragamo SpA
Average Eonia
11/07/2013
-280,540.00
-150.36
-10,000
EUR
Tenaris SA Reg
Average Eonia
11/07/2013
-158,500.00
-57.20
-13,000
EUR
Yoox SpA
Average Eonia
11/07/2013
-190,060.00
-223.00
10,457.57
80
Number of Currency
contracts
Leg 1
Leg 2
Maturity
Underlying
exposure
(in USD)
Unrealised
result
(in USD)
-145,000
HKD
Geely Auto Hgs Ltd
Swap Reference Rate
03/07/2013
-70,416.91
9,280.70
-59,500
HKD
Intime Departm Store Gr Co
Ltd
Swap Reference Rate
03/07/2013
-82,009.00
5,258.35
-184,000
HKD
Shougang Fushan Resourc Gr Hong Kong Overnight Index
Ltd
Swap Reference Rate
03/07/2013
-123,910.06
-1,050.47
-38,400
HKD
Sinopharm Group Co Ltd H
Swap Reference Rate
03/07/2013
-67,601.01
-2,770.74
-390,000
HKD
West China Cement Ltd
Swap Reference Rate
03/07/2013
-64,304.62
9,637.94
20,355.78
Number of Currency
contracts
Leg 1
Leg 2
Maturity
Underlying
exposure
(in USD)
Unrealised
result
(in USD)
-5,000
USD
Facebook Inc A
22/05/2014
-99,808.81
0.00
-1,500
USD
LinkedIn Corp A
22/05/2014
-206,086.85
0.00
0.00
Number Currency
of
contracts
Leg 1
Leg 2
Maturity
Underlying
exposure
(in USD)
Unrealised
result
(in USD)
-2,480
USD
Annie's Inc
02/07/2013
-94,884.80
0.00
-250
USD
Autozone Inc
02/07/2013
-99,192.50
0.00
-860
USD
Avalon Bay Communities Inc
02/07/2013
-108,936.20
0.00
-2,570
USD
BJ's Restaurants Inc
02/07/2013
-85,529.60
0.00
-1,830
USD
BRE Properties Inc
02/07/2013
-89,084.40
0.00
-4,050
USD
Buckle Inc (The)
02/07/2013
-188,932.50
0.00
-1,670
USD
Church & Dwight Co Inc
02/07/2013
-107,932.10
0.00
-3,600
USD
Chuys Holdings Inc
02/07/2013
-117,288.00
0.00
-1,850
USD
Cognizant Tec Solutions
Corp
02/07/2013
-141,748.85
20.35
81
Number Currency
of
contracts
Leg 1
Leg 2
Maturity
Underlying
exposure
(in USD)
Unrealised
result
(in USD)
-3,340
USD
Conn's Inc
02/07/2013
-120,039.60
133.60
-2,150
USD
Dillards Inc A
02/07/2013
-168,882.50
0.00
-1,940
USD
Dollar General Corp
02/07/2013
-98,125.20
0.00
-1,600
USD
Eagle Materials Inc
02/07/2013
-106,608.00
0.00
-1,240
USD
Fluor Corp (New)
02/07/2013
-82,249.20
0.00
-2,560
USD
Foot Locker Inc
02/07/2013
-87,654.40
0.00
-5,400
USD
Francesca's Holdings Corp
02/07/2013
-155,088.00
324.00
-2,200
USD
Fresh Market Inc (The)
02/07/2013
-94,094.00
0.00
10,760
USD
Goldman Sachs Group Inc
10/10/2013
1,583,334.00
0.00
-1,680
USD
Hain Celestial Group Inc
02/07/2013
-102,614.40
0.00
-10,000
USD
Intersections Inc
02/07/2013
-94,100.00
0.00
-10,500
USD
LifeLock Inc
02/07/2013
-101,115.00
0.00
-860
USD
Lululemon Athletica Inc
02/07/2013
-53,617.56
-3.44
-2,610
USD
Lumber Liquidators Hgs Inc
02/07/2013
-183,274.20
0.00
-1,560
USD
Macerich Co
02/07/2013
-100,432.80
0.00
-710
USD
Mettler Toledo Intl Inc
02/07/2013
-151,386.20
0.00
-540
USD
NewMarket Corp
02/07/2013
-140,594.40
0.00
-1,160
USD
O Reilly Automotive Inc
02/07/2013
-118,829.24
-128.76
-4,580
USD
RealPage Inc
02/07/2013
-94,851.80
0.00
-2,990
USD
Restoration Hardware Hgs
Inc
02/07/2013
-104,650.00
0.00
-1,140
USD
Salesforce.com Inc
02/07/2013
-203,866.20
0.00
-3,100
USD
ServiceNow Inc
02/07/2013
-112,220.00
0.00
-1,160
USD
Simon Property Group Inc
02/07/2013
-183,929.60
0.00
-3,000
USD
Six Flags Entertainment Corp
02/07/2013
-217,440.00
0.00
82
Number Currency
of
contracts
Leg 1
Leg 2
Maturity
Underlying
exposure
(in USD)
Unrealised
result
(in USD)
-5,090
USD
Susser Holdings Corp
02/07/2013
-260,149.90
0.00
-3,418
USD
Tootsie Roll Industries Inc
02/07/2013
-102,232.38
0.00
-3,130
USD
Vitamin Shoppe Inc
02/07/2013
-152,900.50
0.00
-1,100
USD
Westinghouse Air Brak Tec
Corp
02/07/2013
-112,321.00
0.00
-4,900
USD
World Acceptance Corp
(S.C.)
02/07/2013
-420,763.00
0.00
-2,810
USD
iShares Trust Dow Jones US
Real Estate Index Fd Dist
02/07/2013
-195,238.80
28.10
373.85
Note 9 - Short options
As at 31st March 2013, the below Sub-funds are committed in the following issued short option
contracts:
Currency
Number
EUR
12
Denomination
Commitment
(in EUR)
15,251.10
15,251.10
Currency
Number
EUR
32
EUR
90
EUR
200
EUR
7
EUR
18
Denomination
Commitment
(in EUR)
89,098.24
133,131.55
105,418.80
99,378.51
290,700.00
717,727.10
Currency
Number
Denomination
Commitment
(in EUR)
EUR
125
EUR
20
USD
50
USD
50
USD
75
USD
50
USD
50
USD
100
101,362.63
24,368.70
97,667.33
66,661.83
11,959.26
43,973.62
32,761.33
88,887.20
467,641.90
Index options
EUR
USD
171,873.31
77,146.18
249,019.49
716,661.39
50
10
83
Note 10 - Pledged assets
At the date of the report, the following Sub-Funds have pledged cash at bank, recorded in the caption
"Cash Collateral at banks", in favour of Morgan Stanley & Co International PLC, acting as counterparty
to the Fund for swap contracts:
EUR 1,342,229.51
USD 1,280,000.00
EUR 561,863.51
USD 1,540,000.00
Note 11 - Cross Sub-Funds investments
As at 31st March 2013, the Sub-Fund PROXIMA INVESTMENTS SICAV - GLOBAL VALUE invested
in the following Sub-Funds as described below:
Sub-fund
Description
Currency
Quantity
Market
value
PROXIMA
INVESTMENTS
SICAV GLOBAL
VALUE
Proxima Investments SICAV Asia Long
Short Equity S Cap
Proxima Investments SICAV Gl Bond
Absolute Return B Cap
Proxima
Investments
SICAV
North
America Long Short Eq S Cap
EUR
338
206,157.71
% of
total
net
assets
1.99
EUR
220
244,906.20
2.36
EUR
556
542,606.02
5.24
As per art 181(8) of the amended Law of 17th December 2010 relating to Undertakings for Collective
Investment, the commission on subscriptions and redemptions detailed in note 4 and the management
fees detailed in note 2 are not applied to the assets of the Sub-Fund PROXIMA INVESTMENTS
SICAV - GLOBAL VALUE invested in other Sub-Funds of the Fund.
The consolidated statement of net assets and the consolidated statement of operations and other
changes in net assets have not been ajusted to remove the impact of the above.
84
Unaudited appendix to the notes to the financial statements
Risk management
As required by Circular CSSF 11/512, the Board of Directors needs to determine the global risk
exposure of the Fund either by applying the commitment approach or the VaR approach. In terms of
risk management, the Board of Directors of the Fund decided to adopt :
-
the commitment approach as a method of determining the global risk exposure for the Sub-Funds:




-
PROXIMA INVESTMENTS SICAV - OCKHAM (launched on 7th December 2012)
the absolute VaR approach as a method of determining the global risk exposure for the Sub-Funds:



The parameters of the VaR are :



one-tailed confidence interval of 99 %
holding period equivalent to 1 month
effective observation period (history) of risk factors : 1 year (250 business days)
The results of the absolute VaR are :
PROXIMA SICAV ASIA LONG SHORT
PROXIMA SICAV ATHENA LONG SHORT
PROXIMA SICAV NORTH AMERICA
Max
14.28
14.63
18.68
Min
3.36
6.44
8.39
Average
7.31
9.73
13.94
The results for the leverage are :
Average
Expected level of leverage
defined in the prospectus
Higher leverage Levels defined in
the prospectus
PROXIMA SICAV NORTH AMERICA
PROXIMA SICAV ATHENA LONG SHOR
PROXIMA SICAV ASIA LONG SHORT
36.39%
17.81%
35.30%
50%
30%
90%
150%
130%
190%
85

PROXIMA INVESTMENTS SICAV - Annual Report

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