Winton Absolute Return Futures Fund
A Sub-Fund of Winton UCITS Funds ICAV
(An umbrella open-ended Irish collective asset-management vehicle with segregated liability between sub-funds incorporated in Ireland under the Irish Collective Asset-Management Vehicles Act 2015 and authorised by the Central Bank as a UCITS pursuant to the UCITS Regulations).
Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Table of Contents Page(s)
General Information 2 - 3
Investment Manager’s Report 4
Statement of Financial Position 5
Statement of Comprehensive Income 6
Statement of Changes in Equity 7
Statement of Cash Flows 8
Schedule of Investments 9 - 13
Notes to the Condensed Unaudited Interim Financial Statements 14 - 22
Statement of Significant Purchases and Sales 23 - 24
WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND General Information Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Directors Dermot Butler 1,2 John Skelly 1 Julie Kinsella 2 Rajeev Patel 1 Taavi Davies 1
Registered Office 32 Molesworth Street Dublin 2 Ireland
Investment Manager and Distributor Winton Capital Management Limited Grove House 27 Hammersmith Grove London, W6 0NE United Kingdom
Manager Winton Fund Management Ireland DAC 32 Molesworth Street Dublin 2 Ireland
Depositary The Bank of New York Mellon SA/NV (Dublin Branch) Riverside Two Sir John Rogerson’s Quay Grand Canal Dock Dublin 2 Ireland
Administrator and Transfer Agent Citco Fund Services (Ireland) Limited Custom House Plaza, Block 6 International Financial Services Centre Dublin 1 Ireland
FX Prime Brokers and Clearing Brokers UBS AG, London Branch 5 Broadgate London, EC2M 2QS United Kingdom
Societe Generale International Limited One Bank Street Canary Wharf London, E14 4SG United Kingdom
1 These Directors of the ICAV are independent of the Investment Manager and of all Service Providers to the ICAV. 2 Dermot Butler resigned and was replaced by Julie Kinsella as a Director on 17 June 2020.
2 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND General Information (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
ICAV Secretary MFD Secretaries Limited 32 Molesworth Street Dublin 2 Ireland
Independent Auditors KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place International Financial Services Centre Dublin 1 Ireland
Legal Advisers in Ireland on Matters of Irish Law Maples and Calder LLP 75 St. Stephen’s Green Dublin 2 Ireland
Legal Advisers in the UK on Matters of English Law Simmons & Simmons LLP CityPoint One Ropemaker Street London, EC2Y 9SS United Kingdom
Global Registration Service Provider Maples and Calder LLP 75 St. Stephen’s Green Dublin 2 Ireland
Facilities Agent in the UK Winton Capital Management Limited Grove House 27 Hammersmith Grove London, W6 0NE United Kingdom
The latest Prospectus including the relevant Fund Supplement, the Instrument of Incorporation, the Key Investor Information Document (“KIID”), the annual and semi-annual reports as well as a list containing all purchases and sales which have been made during the reporting year can be obtained free of charge from the Investment Manager.
The information contained in these financial statements is historical and not indicative of future performance. The performance data contained in these financial statements does not take account of any commissions or costs charged when subscribing for and redeeming shares.
3 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Investment Manager’s Report Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Winton Capital Management Limited, the Investment Manager, is part of the Winton Group (“Winton”). Winton is a research-led investment management company with a single-minded focus on statistical and mathematical inference in financial markets. Founded in 1997 by CEO David Harding, the firm manages assets for many of the world’s largest pension funds, sovereign wealth funds, banks and fund platforms.
Winton Absolute Return Futures Fund (the “Fund”) is a diversified investment strategy seeking positive returns on a rolling three- year basis and long-term conservative capital growth.
In pursuing this objective, the Fund operates a portfolio of systematic strategies that seeks to profit from rises and falls in equity indices, fixed income, commodities and currencies around the world. Access to markets is gained predominantly via futures and forwards.
Winton Absolute Return Futures Fund Performance
The Fund’s GBP I shares delivered a net return of -11.10% between 1 March 2020 and 28 August 2020, to end the review period with a NAV of £90.062 per share.
The review period has been difficult both for the Fund and for investors in general. Market reactions to the global pandemic and the prospect of a stimulus-driven recovery have been dramatic. Global stock markets, which started to sell off in the final week of February, continued to slide through most of March, before a technology-led recovery lifted the Nasdaq and S&P 500 to new all-time highs. US 10-year Treasury note yields fell in March to a record low of below 1%, and have remained there. In commodities, front-month WTI crude futures briefly turned negative in April and gold prices have soared to their highest levels since 2012.
The Fund’s losses over the six months are mostly explained by its long exposure to equity indices heading into March’s market downturn. The Fund’s fundamental signals – which use data extrinsic to markets – lost money from long oil, long stock index, short fixed income and long emerging market currency positions. At the same time, the Fund’s price-based technical signals were long stock indices after an uptrend in equities. By the time the Fund’s positioning had turned around, markets had begun to recover, leading to further losses in May through to August.
Technical signals were, nevertheless, profitable over the full six months, with the signals’ positive performance in fixed income, commodities and currencies during the first quarter providing valuable diversification from the losses elsewhere in the portfolio. The technical signals also latched onto the recovery in equities, rallying precious metals and the downtrend in the US dollar in the second half of the review period.
While recent returns have been challenging, they are consistent with both the historical and expected performance characteristics of the Fund’s investment strategy. This is not to say that Winton is content with the results: the firm remains committed to improving the Fund’s strategy. To that end, Winton has reviewed each of its existing signals to ensure that they are still appropriate, given the current environment. This resulted in a slight reallocation away from fundamental and towards technical signals. Moreover, Winton is confident that a number of its promising R&D projects can enhance the Fund’s future performance characteristics.
4 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Financial Position Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
As at As at 28 August* 29 February 2020 2020 Notes GBP GBP
Assets Financial assets at fair value through profit or loss: Transferable securities 4 25,705,579 70,923,689 Derivative instruments 4,5 257,651 1,534,034 Balances due from brokers 2,667,889 4,999,687 Cash and cash equivalents 2,663,214 8,929,084 Interest income receivable 317,904 560,557 Receivable for fund shares sold 19,928 253,800 Operational expense rebate receivable 59,064 226,852 Prepaid expenses 2,938 13,695 Total assets 31,694,167 87,441,398
Liabilities Financial liabilities at fair value through profit or loss: Derivative instruments 4,5 143,988 3,727,059 Payable for fund shares repurchased 1,084,357 862,744 Investment management fees payable 22,050 59,374 Custody transaction fees payable 5,668 7,369 Auditor fees payable 5,441 12,699 Depositary and safekeeping fees payable 4,337 4,681 Administration fees payable 1,850 5,222 Other expenses payable 33,600 35,139 Total liabilities 1,301,291 4,714,287
Equity Share capital 30,392,876 82,727,111 Total equity 30,392,876 82,727,111
Total equity and liabilities 31,694,167 87,441,398
Shares outstanding per share class Class GBP I 337,468 816,575
Net asset value per share Class GBP I GBP90.062 GBP101.310
* The period end of the Fund is based upon the last valuation day of the calendar month being 28 August 2020.
5 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Comprehensive Income Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
For the financial For the financial period ended period ended 28 August 2020 31 August 2019* Notes GBP GBP
Investment income Net realised and change in unrealised (loss)/gain on financial assets and liabilities at fair value through profit or loss (7,433,807) 6,883,444 Interest income on financial assets and liabilities at fair value through profit or loss 248,943 983,966 Interest income on cash and broker balances 6,455 39,409 Other income 3,549 1,813 Total investment (loss)/income (7,174,860) 7,908,632
Operating expenses Investment management fees 268,572 412,924 Administration fees 22,315 22,871 Legal and professional fees 17,229 22,326 Depositary and safekeeping fees 11,762 16,869 Custody transaction fees 8,894 12,434 Interest expense 8,021 12,923 Auditor fees 5,926 5,312 Registration fees 5,702 2,451 Directors’ fees 6 4,343 3,282 Other expenses 21,183 22,249 Operational expense rebate (59,072) (50,960) Total operating expenses 314,875 482,681
Net (loss)/gain from operations (7,489,735) 7,425,951
Total comprehensive (loss)/gain (7,489,735) 7,425,951
There are no recognised gains or losses arising during the financial period other than those dealt with in the Statement of Comprehensive Income. In arriving at the results for the financial period all amounts relate to continuing operations.
* Financial period presented is for 6 months for comparability purposes.
6 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Changes in Equity Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
For the financial For the financial period ended period ended 28 August 2020 31 August 2019* GBP GBP
Operating activities Total comprehensive (loss)/gain (7,489,735) 7,425,951
Capital transactions Issue of shares 11,500,075 31,070,300 Redemption of shares (56,344,575) (19,582,248) Movement in equity resulting from capital transactions (44,844,500) 11,488,052
Net (decrease)/increase in equity during the financial period (52,334,235) 18,914,003 Total equity at the beginning of the financial period 82,727,111 81,750,258 Total equity at the end of the financial period 30,392,876 100,664,261
* Financial period presented is for 6 months for comparability purposes.
7 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Cash Flows Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
For the financial For the financial period ended period ended 28 August 2020 31 August 2019* GBP GBP
Cash flow from operating activities Total comprehensive (loss)/income (7,489,735) 7,425,951
Adjustments to reconcile total comprehensive (loss)/income to cash used in operating activities Interest income on cash and broker balances (6,455) (39,409) Interest income on debt securities (838,527) (983,966) Interest expense 8,021 12,923
Changes in operating assets and liabilities Decrease/(increase) in financial assets and liabilities at fair value through profit or loss 42,911,422 (15,791,657) Decrease in balances due from brokers 2,331,798 2,157,725 Decrease/(increase) in operational expense rebate receivable 167,788 (49,150) Decrease in prepaid expenses 10,757 809 Increase in balances due to brokers – 154,902 (Decrease)/increase in other liabilities (51,538) 17,954 Cash used in operating activities 37,043,531 (7,093,918)
Interest on cash and broker balances received 8,688 801,450 Interest on debt securities received 1,078,947 84,931 Interest expense paid (8,021) (12,923) Net cash provided by/(used in) operating activities 38,123,145 (6,220,460)
Cash flows from financing activities Proceeds from issue of shares 11,733,947 30,891,387 Payments on redemption of shares (56,122,962) (19,469,223) Net cash (used in)/provided by financing activities (44,389,015) 11,422,164
Net (decrease)/increase in cash and cash equivalents for the financial period (6,265,870) 5,201,704 Cash and cash equivalents at the beginning of the financial period 8,929,084 5,447,523 Cash and cash equivalents at the end of the financial period 2,663,214 10,649,227
* Financial period presented is for 6 months for comparability purposes.
8 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Financial assets at fair value through profit or loss (29 February 2020: 87.59%)
Investment in debt securities Nominal Fair value % of Net (29 February 2020: 85.73%) Interest rate % Maturity shares GBP assets
France (29 February 2020: 4.96%) Société Générale SA* Zero Coupon 4/7/2022 13,457 2,105,458 6.93 %
Total France 2,105,458 6.93 %
United Kingdom (29 February 2020: 80.77%) United Kingdom Gilt 1.50 % 22/1/2021 5,700,000 5,734,029 18.87 % United Kingdom Gilt 3.75 % 7/9/2020 4,600,000 4,605,520 15.15 % United Kingdom Gilt 3.75 % 7/9/2021 5,000,000 5,193,400 17.09 % United Kingdom Gilt 8.00 % 7/6/2021 7,600,000 8,067,172 26.54 %
Total United Kingdom 23,600,121 77.65 %
Total investment in debt securities 25,705,579 84.58 %
Total investments in transferable securities 25,705,579 84.58 %
* Equity Linked Note
Investment in forward foreign currency exchange contracts (29 February 2020: 0.09%) Fair value % of Net Currency Buy Sell GBP assets
Forwards contracts included in trading portfolio (all expire between 31/8/2020 and 30/9/2020)
IDR/USD 7,502,432,000 501,938 10,130 0.03 % CLP/USD 2,223,040 2,821 24 0.00 % INR/USD 60,299,450 802,113 14,608 0.05 % BRL/USD 191,944 34,270 725 0.00 % CNH/USD 3,500,000 502,818 5,006 0.02 % PLN/EUR 500,000 113,993 34 0.00 % ZAR/USD 2,000,000 118,535 1,324 0.01 % SEK/EUR 13,000,000 1,255,049 9,515 0.03 % PHP/USD 4,871,400 100,000 420 0.00 % USD/TWD 300,000 8,784,720 539 0.00 %
Unrealised gains on open forward foreign currency exchange contracts 42,325 0.14 %
9 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Financial assets at fair value through profit or loss (29 February 2020: 87.59%) (continued)
Investments in futures contracts (29 February 2020: 1.77%) Fair value % of Net Currency Description Notional GBP assets
AUD 15 of 90 Day Australian Bills (Day Session) Dec-20 8,266 1,181 0.00 % AUD 5 of 90 Day Australian Bills (Day Session) Jun-21 2,755 285 0.00 % 12 of 90 Day Australian Bills (Day Session) AUD Mar-21 6,613 584 0.00 % AUD 5 of 90 Day Australian Bills (Day Session) Sep-21 2,755 272 0.00 % CAD 1 of Canadian Bankers Acceptances Dec-20 MON 1,430 7 0.00 % CAD 3 of Canadian Bankers Acceptances Mar-21 MON 4,289 71 0.00 % EUR 22 of 3 Mo Euribor Dec-21 LIF 49,064 279 0.00 % EUR 19 of 3 Mo Euribor Dec-22 42,373 424 0.00 % EUR 17 of 3 Mo Euribor Jun-21 37,913 67 0.00 % EUR 22 of 3 Mo Euribor Jun-22 49,064 836 0.00 % EUR 16 of 3 Mo Euribor Jun-23 35,683 524 0.00 % EUR 23 of 3 Mo Euribor Mar-22 51,294 212 0.00 % EUR 18 of 3 Mo Euribor Mar-23 40,143 747 0.00 % EUR 20 of 3 Mo Euribor Sep-21 44,603 468 0.00 % EUR 21 of 3 Mo Euribor Sep-22 46,833 669 0.00 % EUR 12 of 3 Mo Euribor Sep-23 26,762 45 0.00 % EUR 7 of Euro Bund Sep-20 6,244 5,379 0.02 % EUR 1 of Euro Buxl 30 Year Bond Sep-20 892 2,801 0.01 % EUR 4 of Euro-BTP Future Sep-20 3,568 18,466 0.06 % EUR 16 of German Euro BOBL Sep-20 14,273 2,364 0.01 % EUR 4 of Short Term Euro-BTP Future Sep-20 3,568 1,570 0.01 % GBP 16 of 3 Mo Sterling IR Dec-21 20,000 2,356 0.01 % GBP 14 of 3 Mo Sterling IR Dec-22 17,500 2,763 0.01 % GBP 10 of 3 Mo Sterling IR Jun-21 12,500 1,506 0.01 % GBP 16 of 3 Mo Sterling IR Jun-22 20,000 2,738 0.01 % GBP 12 of 3 Mo Sterling IR Jun-23 15,000 625 0.00 % GBP 16 of 3 Mo Sterling IR Mar-22 20,000 2,588 0.01 % GBP 13 of 3 Mo Sterling IR Mar-23 16,250 2,088 0.01 % GBP 13 of 3 Mo Sterling IR Sep-21 16,250 2,200 0.01 % GBP 15 of 3 Mo Sterling IR Sep-22 18,750 2,662 0.01 % JPY 1 of Nikkei 225 Stock Index (Day Session) Sep-20 162,942 783 0.00 % 2 of Tokyo Stock Price Index (Day Session) JPY Sep-20 228,290 2,776 0.01 % NZD 1 of New Zealand Bank Bills Dec-20 505 – 0.00 % SGD 3 of MSCI Singapore Index Sep-20 48,230 521 0.00 %
10 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Financial assets at fair value through profit or loss (29 February 2020: 87.59%) (continued)
Investments in futures contracts (29 February 2020: 1.77%) (continued) Fair value % of Net Currency Description Notional GBP assets
USD 26 of 2 Year US Treasury Notes Dec-20 38,976 2,096 0.01 % USD 14 of 3 Mo Eurodollar Future Dec-22 CME 26,234 215 0.00 % USD 12 of 3 Mo Eurodollar Future Jun-23 CME 22,486 1,096 0.01 % USD 13 of 3 Mo Eurodollar Future Mar-23 CME 24,360 581 0.00 % USD 15 of 3 Mo Eurodollar Future Sep-22 CME 28,108 290 0.00 % USD 29 of 5 Year US Treasury Note Dec-20 21,737 3,420 0.01 % USD 25 of Australian Dollar Future Sep-20 CME 18,739 50,459 0.17 % USD 4 of E-Mini S&P 500 Stock Index Sep-20 525,353 42,846 0.14 % USD 25 of Euro FX (Day Session) Sep-20 2,342,315 17,952 0.06 % USD 19 of Mexican Peso Sep-20 71,206 7,008 0.02 % USD 8 of Swiss Franc Sep-20 7,495 28,506 0.09 %
Unrealised gains on futures contracts 215,326 0.71 %
Total derivative assets 257,651 0.85 %
Total financial assets at fair value through profit or loss 25,963,230 85.43 %
Financial liabilities at fair value through profit or loss (29 February 2020: (4.51)%)
Investment in forward foreign currency exchange contracts (29 February 2020: (0.47)%) Fair value % of Net Currency Buy Sell GBP assets
Forwards contracts included in trading portfolio (all expire between 31/8/2020 and 2/10/2020)
TWD/USD 37,730 1,285 (1) (0.00) % TRY/USD 500,000 71,353 (2,626) (0.01) % USD/RUB 6,326 469,627 (9) (0.00) % USD/KRW 203,401 240,932,560 (351) (0.00) % EUR/NOK 559,265 6,000,000 (12,656) (0.04) % USD/CLP 100,000 78,801,340 (863) (0.00) % USD/BRL 498,965 2,774,214 (7,385) (0.03) %
Unrealised losses on open forward foreign currency exchange contracts (23,891) (0.08) %
11 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Financial liabilities at fair value through profit or loss (29 February 2020: (4.51)%) (continued)
Investments in futures contracts (29 February 2020: (4.04)%) Fair value % of Net Currency Description Notional GBP assets
28 of 3 Year Australian T- Bonds (Day Session) AUD Sep-20 15,431 (1,753) (0.01) % 14 of 6% 10 Year Australian T-Bonds AUD (Day Session) (SFE) Sep-20 7,715 (8,525) (0.03) % AUD 1 of Share Price Index 200 (Day) Sep-20 83,271 (2,659) (0.01) % CAD 12 of Canadian 10 Year Bond Future Dec-20 6,863 (5,284) (0.02) % EUR 4 of 2 Year German Debt in Euro Schatz Sep-20 3,568 (370) (0.00) % EUR 4 of CAC 40 Stock Index - 10 Eur Sep-20 178,324 (903) (0.01) % EUR 6 of Dow Jones Euro Stoxx 50 Sep-20 DTB 177,325 (7,092) (0.02) % EUR 4 of Euro-OAT Future Sep-20 3,568 (1,427) (0.01) % EUR 1 of FTSE MIB Index Sep-20 88,453 (674) (0.00) % GBP 9 of 3 Mo Sterling IR Sep-23 11,250 (775) (0.00) % GBP 4 of FTSE 100 Index Sep-20 238,460 (780) (0.00) % GBP 5 of Long Gilt Dec-20 5,000 (5,950) (0.02) % USD 15 of 10 Year US Govt Treasury Note Dec-20 11,243 (422) (0.00) % USD 16 of 3 Mo Eurodollar Future Dec-21 CME 29,982 (871) (0.00) % USD 9 of 3 Mo Eurodollar Future Jun-21 CME 16,865 (9) (0.00) % USD 15 of 3 Mo Eurodollar Future Jun-22 CME 28,108 (459) (0.00) % USD 15 of 3 Mo Eurodollar Future Mar-22 CME 28,108 (759) (0.00) % USD 14 of 3 Mo Eurodollar Future Sep-21 CME 26,234 (515) (0.00) % USD 10 of 3 Mo Eurodollar Future Sep-23 CME 18,739 (422) (0.00) % USD 9 of British Pound Sterling (Day Session) Sep-20 4,216 (29,668) (0.10) % USD 9 of Canadian Dollar (Day Session) Sep-20 6,746 (17,153) (0.06) % USD 3 of E-Mini Russell 2000 Index Sep-20 CME 177,158 (17,702) (0.06) % USD 7 of Japanese Yen Future Sep-20 CME 6,558 (3,261) (0.01) % USD 1 of SGX CNX Nifty ETS Index Sep-20 17,525 (302) (0.00) % USD 2 of Ultra Long Term US Treasury Bond Dec-20 1,499 (5,973) (0.02) % USD 5 of US Long Bond Dec-20 3,748 (6,389) (0.02) %
Unrealised losses on futures contracts (120,097) (0.40) %
Total derivative liabilities (143,988) (0.48) %
Total financial liabilities at fair value through profit or loss (143,988) (0.48) %
12 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
28 August 2020 29 February 2020 Fair value % of Net Fair value % of Net GBP assets GBP assets
Financial assets less liabilities at fair value through profit or loss Forward foreign currency exchange contracts 18,434 0.06 % (315,609) (0.38) % Futures contracts 95,229 0.31 % (1,877,416) (2.27) % Debt securities 25,705,579 84.58 % 70,923,689 85.73 %
Total financial assets less liabilities at fair value through profit or loss 25,819,242 84.95 % 68,730,664 83.08 %
Cash and cash equivalents 2,663,214 8.76 % 8,929,084 10.79 % Other net assets 1,910,420 6.29 % 5,067,363 6.13 %
Total equity 30,392,876 100.00 % 82,727,111 100.00 %
% of Total assets
Analysis of total assets Transferable securities listed on an official stock exchange 6.64 % Transferable securities dealt on another regulated market 74.47 % Exchange traded financial derivative instruments 0.68 % Over the counter financial derivative instruments 0.13 % Other current assets 18.08 %
100.00 %
13 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
1. General information
Winton UCITS Funds ICAV (the “ICAV”) was originally incorporated as an umbrella investment company with segregated liability between sub-funds on 8 July 2010. The ICAV converted from an umbrella investment company to an Irish collective asset-management vehicle pursuant to the Irish Collective Asset-Management Vehicles Act 2015 (the “ICAV Act”) on 26 July 2017. The ICAV is authorised by the Central Bank of Ireland in accordance with the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, (as amended) (the “UCITS Regulations”) and is regulated by the Central Bank of Ireland in accordance with the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations”). These financial statements comply with the UCITS Regulations and with the Central Bank UCITS Regulations.
Effective 1 July 2019, the ICAV converted from a self-managed investment vehicle to an externally managed investment vehicle. Winton Fund Management Ireland DAC (the “Manager”) was appointed to manage and administer the affairs of the ICAV. Winton Capital Management Limited (the "Investment Manager" and "Distributor") acts as the Investment Manager and Distributor of the ICAV. As at 28 August 2020, the ICAV has the following sub-funds:
Name Launch date Next year end date
Winton Global Equity Fund (“WGEF”) 1 December 2010 31 December 2020 Winton European Equity Fund (“WEEF”)* 6 May 2014 Not applicable Winton US Equity Fund (“WUSEF”)** 6 May 2014 Not applicable Winton Absolute Return Futures Fund (“WARF”) 3 July 2017 28 February 2021 Winton Diversified Fund (UCITS) (“WDFU”) 3 July 2017 28 February 2021 Winton Trend Fund (UCITS) (“WTFU”) 2 July 2018 28 February 2021
* On 29 November 2019, the Directors resolved to terminate WEEF. Final termination accounts were prepared as at 31 December 2019.
** On 7 May 2019, the Directors resolved to terminate WUSEF. Final termination accounts were prepared as at 31 October 2019.
The financial statements relate to WARF (the “Fund”) only. Separate financial statements are prepared for each of the other sub-funds of the ICAV.
The only shares currently available for WARF are GBP I shares, as set out in the relevant Supplement to the Prospectus. As at 28 August 2020, GBP I shares were not currency hedged nor listed on any exchange.
The ICAV had no employees during the financial period ended 28 August 2020 or financial year ended 29 February 2020.
The current Prospectus of the ICAV and supplement for the Fund are dated 1 May 2020.
Investment objective
The investment objective of the Fund is to achieve long-term capital appreciation through compound growth and provide positive investment returns over a rolling three year period in all market conditions. There can be no assurance that the Fund will achieve its investment objective over this or any time period and a capital loss may occur.
14 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
2. Significant accounting policies
Statement of compliance and basis of preparation
These condensed unaudited interim financial statements should be read in conjunction with the 29 February 2020 annual report and audited financial statements which have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union. These condensed unaudited interim financial statements have been compiled using accounting policies, methods of computation and presentation which are consistent with the annual report for the year ended 29 February 2020, unless otherwise stated. These condensed unaudited interim financial statements have been prepared in accordance with International Accounting Standard 34: Interim Financial Reporting (“IAS 34”), UCITS Regulations and Central Bank UCITS Regulations.
Prior period interest income from debt securities amounting to GBP753,856 and GBP230,110 was reclassed from net realised and change in unrealised (loss)/gain on financial assets and liabilities at fair value through profit or loss and from interest income on cash and broker balances, respectively, to interest income on financial assets and liabilities at fair value through profit or loss; and prior period commissions amounting to GBP214 and banking fees of GBP43,720 was reclassed from other expenses and banking fees, respectively, to net realised and change in unrealised (loss)/gain on financial assets and liabilities at fair value through profit or loss, to conform with current period presentation.
The period end of the Fund is based upon the last valuation day of the calendar month being 28 August 2020.
New standards, amendments and interpretations that are not yet effective and which have not been early adopted
There are no standards, interpretations or amendments to existing standards that are not yet effective that would be expected to have a significant impact on the Fund.
3. Financial instruments and associated risks
The risks of the Fund are consistent with those set out in the audited financial statements for the year ended 29 February 2020 and those detailed within the “Risk Factors” section of the Prospectus.
The Fund uses the commitment approach to calculate its global exposure as a result of the use of derivatives, which (as prescribed by the UCITS Regulations) shall not exceed 100% of the net asset value of the Fund.
4. Fair value measurements recognised in the Statement of Financial Position
Fair value measurements are categorised into Levels 1 to 3 based on the degree to which the inputs to the fair value measurements are observable and the significance of the inputs to the fair value measurement in its entirety, which are described as follows:
• Level 1 fair value measurements are those derived from quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;
• Level 2 fair value measurements are those derived from inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (i.e. as prices) or indirectly (i.e. derived from prices). This category includes instruments valued using; quoted market prices in active markets for similar instruments; quoted prices for identical or similar instruments in markets that are not considered active; or other valuation techniques in which all significant inputs are directly or indirectly observable from market data; and
• Level 3 fair value measurements are those derived from valuation techniques that include inputs for the asset or liability that are not based on observable market data (unobservable inputs).
15 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
4. Fair value measurements recognised in the Statement of Financial Position (continued)
Investments
Investments whose values may be obtained from quoted prices in active markets and are therefore classified in Level 1 include government bonds and future contracts. The ICAV does not adjust the quoted price for such instruments.
Derivatives
Derivative instruments can be exchange-traded or privately negotiated over the counter (“OTC”) derivatives. Exchange- traded derivatives, such as futures contracts, are typically classified within Level 1 as they are deemed to be actively traded. OTC derivatives, in this case forward foreign currency exchange contracts, are valued by the Fund using observable inputs, such as quotations received from the counterparty, dealers or broker, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs.
OTC derivatives, such as forward foreign currency exchange contracts, may have inputs which can generally be corroborated by market data and therefore classified within Level 2.
The Fund accounts for the payment and receipt of variation margin for centrally cleared derivatives and futures contracts that are characterised as collateralised-to-market as daily changes in collateral receivable from or payable to the clearing house. Gains or losses from collateralised-to-market contracts are not realised until the contracts expire or are settled.
All fair value measurements disclosed are recurring fair value measurements.
16 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
4. Fair value measurements recognised in the Statement of Financial Position (continued)
Derivatives (continued)
The following tables provide an analysis of financial assets and liabilities at fair value through profit and loss at 28 August 2020.
Level 1 Level 2 Level 3 Total GBP GBP GBP GBP
Financial assets at fair value through profit or loss Transferable securities Government bonds 23,600,121 – – 23,600,121 Other debt securities – 2,105,458 – 2,105,458 Total transferable securities 23,600,121 2,105,458 – 25,705,579
Derivative instruments Forward foreign currency exchange contracts – 42,325 – 42,325 Futures contracts 215,326 – – 215,326 Total derivative instruments 215,326 42,325 – 257,651
Total financial assets at fair value through profit or loss 23,815,447 2,147,783 – 25,963,230
Level 1 Level 2 Level 3 Total GBP GBP GBP GBP
Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (23,891) – (23,891) Futures contracts (120,097) – – (120,097) Total derivative instruments (120,097) (23,891) – (143,988)
Total financial liabilities at fair value through profit or loss (120,097) (23,891) – (143,988)
17 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
4. Fair value measurements recognised in the Statement of Financial Position (continued)
The following tables provide an analysis of financial assets and liabilities at fair value through profit and loss as at 29 February 2020.
Level 1 Level 2 Level 3 Total GBP GBP GBP GBP Financial assets at fair value through profit or loss Transferable securities Government bonds 66,818,980 – – 66,818,980 Other debt securities – 4,104,709 – 4,104,709 Total transferable securities 66,818,980 4,104,709 – 70,923,689
Derivative instruments Forward foreign currency exchange contracts – 71,199 – 71,199 Futures contracts 1,462,835 – – 1,462,835 Total derivative instruments 1,462,835 71,199 – 1,534,034
Total financial assets at fair value through profit or loss 68,281,815 4,175,908 – 72,457,723
Level 1 Level 2 Level 3 Total GBP GBP GBP GBP
Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (386,808) – (386,808) Futures contracts (3,340,251) – – (3,340,251) Total derivative instruments (3,340,251) (386,808) – (3,727,059)
Total financial liabilities at fair value through profit or loss (3,340,251) (386,808) – (3,727,059)
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.
There were no transfers between Level 1 and Level 2 during the financial period and year ended 28 August 2020 and 29 February 2020, respectively. The Fund did not hold Level 3 financial instruments during the period/year ended 28 August 2020 and 29 February 2020.
Assets and liabilities not measured at fair value are carried at amortised cost; their carrying values are a reasonable approximation of fair value. These assets and liabilities have been classified as Level 2.
For the assets and liabilities of the Fund which have not been measured at fair value as at 28 August 2020 and 29 February 2020 the amounts presented in the Statement of Financial Position are a reasonable approximation of fair value.
18 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
5. Derivatives instruments
The Fund may engage in transactions in financial derivative instruments where considered appropriate, and/or utilise other techniques and instruments, for investment purposes, for efficient portfolio management, to gain currency exposure and/or to protect against foreign exchange risks, subject to the conditions and within the limits laid down by the Central Bank of Ireland.
In general, these financial derivative instruments and other techniques and instruments may include, but are not limited to futures and forward foreign currency contracts.
Transactions in futures involve the obligation to make, or to take, delivery of the underlying asset of the contract at a future date, or in some cases to settle the position with cash (unless liquidated before expiry).
A forward contract locks in the price at which an index or asset may be purchased or sold on a future date. In forward foreign currency exchange contracts, the contract holders are obligated to buy or sell from another a specified amount of one currency at a specified price (exchange rate) with another currency on a specified future date. Forward contracts cannot be transferred but they can be ‘closed out’ by entering into a reverse contract.
In each case the use of such instruments must:
(i) be in accordance with the limits and guidelines issued by the Central Bank of Ireland from time to time; (ii) not contravene pertinent EU and Irish legislation; (iii) not result in an exposure to underlying instruments to which the Fund cannot have a direct exposure; and (iv) not cause the Fund to diverge from its investment objective.
The realised and unrealised gains arising from financial derivative transactions are included in “Net realised and change in unrealised gain on financial assets and liabilities at fair value through profit or loss” in the Statement of Comprehensive Income.
As at 28 August 2020 and 29 February 2020, the Fund held futures contracts and forward foreign currency exchange contracts as presented in the schedule of investments.
The Fund will gain exposure to commodity futures by investing in structured financial instruments (“SFI”) via the Société Générale SA equity linked notes which invest in the V5COM Offshore Fund SP. See note 6 for further details.
6. Directors’ fees, related and connected persons transactions
Related parties
Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions.
The Investment Manager is also the Trading Adviser to V5COM Offshore Fund SP which the Société Générale SA equity linked notes invest into, in which the Fund invests 6.93% (29 February 2020: 4.96%) of its net assets as at 28 August 2020.
Directors
The listing of Directors is shown on page 2. All the Directors who held office at the financial period end are non-executive.
As at 28 August 2020, the Manager held one non-participating share of the ICAV. As at 29 February 2020, Dermot Butler held one non-participating share of the ICAV in trust for the Investment Manager. This share was transferred to the Manager on 17 June 2020. As at 28 August 2020 and 29 February 2020, the Investment Manager held one non-participating share of the ICAV.
19 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
6. Directors’ fees, related and connected persons transactions (continued)
Directors (continued)
As at 28 August 2020 and 29 February 2020, Rajeev Patel has a holding in the Winton Group, which owns 100% of each of the Investment Manager and Manager.
Julie Kinsella is an employee and was a director of the Manager which is part of the Winton Group. On 17 June 2020, she resigned as a Director of the Manager and was appointed as a Director of the ICAV.
No other Director has any interest in the shares of the Fund or in any contract of significance with the ICAV or the Fund.
The ICAV has agreed to remunerate the Directors for services rendered in accordance with the Directors’ Service Agreements. With the exception of Julie Kinsella who does not receive a fee from the ICAV, the Directors receive an annual fee not exceeding an amount of EUR20,000 (or equivalent) per Director.
The ICAV has also agreed to reimburse the Directors for any travel, accommodation, or other expenses properly incurred in attending meetings or in connection with its business.
Directors’ fees of GBP4,343 (31 August 2019: GBP3,282) were charged to the Fund during the financial period of which GBP23 was outstanding at the financial period end (29 February 2020: GBP66).
Investment Manager/Manager
The amounts accrued during the financial period and outstanding at the financial period end in respect of any management fees paid to the Investment Manager/Manager are disclosed in the Statement of Comprehensive Income and Statement of Financial Position respectively.
As at 28 August 2020, the Winton Group owned 9.08% (29 February 2020: 3.78%) of the Class GBP I Shares issued by the Fund.
20 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
7. Exchange rates
The following exchange rates were used to translate foreign currency assets and liabilities held by the Fund into GBP:
As at As at 28 August 29 February 2020 2020
Australian Dollar 1.81455 1.96735 Brazilian Real 7.26732 N/A Canadian Dollar 1.74854 1.71345 Chilean Peso 1039.42292 N/A Euro 1.12099 1.16145 Hong Kong Dollar 10.34006 9.95627 Indian Rupee 97.64377 N/A Indonesian Rupiah 19395.20562 18330.36600 Japanese Yen 140.47932 138.15328 New Taiwan Dollar 39.24069 38.57330 New Zealand Dollar 1.97960 2.05023 Russian Ruble 98.84991 N/A Singapore Dollar 1.81224 1.78155 South African Rand 22.14035 19.98345 South Korean Won 1576.75184 1539.43134 Swedish Krona 11.51251 12.36857 Swiss Franc 1.20600 1.23582 United States Dollar 1.33415 1.27760
8. Dividends
There were no dividends paid nor proposed for the six month financial periods ended 28 August 2020 or 31 August 2019.
9. Soft commissions arrangements and directed brokerage
There were no soft commissions paid during the six month financial periods ended 28 August 2020 or 31 August 2019.
There were no directed brokerage services utilised for the six month financial periods ended 28 August 2020 or 31 August 2019
10. Significant events during the financial period
In response to the impact of the coronavirus (COVID-19) outbreak, Winton successfully implemented business continuity procedures that included the majority of Winton’s staff working from home, pausing all international travel, asking staff to avoid public transport and introducing other social distancing measures in accordance with relevant government guidance. In recent weeks, there has been a phased return to the office and the resumption of careful use of public transport. Winton has implemented strict protocols with respect to the return to the office. Winton continues to monitor the BCP effectiveness of key service providers.
The ICAV issued a new Prospectus and supplement for each sub-fund on 1 May 2020. The supplement pertaining to the Fund provided that through the Fund’s investment in the SFI, the Fund will incur certain indirect charges which are reflected in the price of the SFI. Such indirect charges are not operational expenses of the Fund and the Investment Manager does not expect such charges to exceed 0.20 per cent of the Fund’s net asset value per annum.
21 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2020 to 28 August 2020
10. Significant events during the financial period (continued)
Dermot Butler resigned and was replaced by Julie Kinsella as a Director on 17 June 2020.
There were no other significant events during the financial period.
11. Subsequent events
There were no material subsequent events identified prior to the approval of these financial statements which would require adjustment or disclosure to the figures and notes included in the condensed unaudited financial statements.
12. Seasonal or cyclical changes
The Fund is not subject to seasonal or cyclical changes.
13. Approval of financial statements
These condensed unaudited interim financial statements were approved by the Board of Directors on 28 October 2020.
22 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Significant Purchases Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Nominal Cost % of Total Security shares GBP purchases
United Kingdom Gilt 3.75% 07/09/2020 8,500,000 8,654,650 35.80 % Société Générale SA Zero Coupon 04/07/2022 20,897 5,874,801 24.30 % United Kingdom Gilt 8.00% 07/06/2021 5,000,000 5,592,639 23.13 % United Kingdom Gilt 1.50% 22/01/2021 4,000,000 4,052,147 16.77 %
In accordance with the UCITS regulations this statement presents the aggregate purchases of a security exceeding 1.00% of the total value of purchases for the period or at least the top 20 purchases.
23 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Significant Sales Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2020 to 28 August 2020
Nominal Proceeds % of Total Security shares GBP sales
United Kingdom Gilt 3.75% 07/09/2020 14,000,000 14,255,659 28.80 % United Kingdom Gilt 2.00% 22/07/2020 10,000,000 10,098,605 20.40 % United Kingdom Gilt 1.50% 22/01/2021 9,000,000 9,132,118 18.45 % United Kingdom Gilt 8.00% 07/06/2021 6,000,000 6,476,342 13.08 % Société Générale SA Zero Coupon 04/07/2022 19,485 5,487,477 11.08 % United Kingdom Treasury Bill Zero Coupon 27/07/2020 3,000,000 2,999,868 6.06 % United Kingdom Gilt 3.75% 07/09/2021 1,000,000 1,056,757 2.13 %
In accordance with the UCITS regulations, this statement presents the aggregate sales of a security exceeding 1.00% of the total value of sales for the period or at least the top 20 sales.
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