Schroder Global Multi-Factor Equity Fund Final Report and Accounts June 2020 Schroder Global Multi-Factor Equity Fund
June 2020 Contents
Fund Information1 ______3 Review of Investment Activities1______4 Risk Profile1 ______5 Statement of the Manager’s Responsibilities ______6 Report of the Trustee ______7 Independent auditors’ report to the Unitholders of Schroder Global Multi-Factor Equity Fund ______8 Comparative Table______10 Portfolio Statement1______11 Statement of Total Return______18 Statement of Change in Net Assets Attributable to Unitholders ______18 Balance Sheet ______19 Notes to the Accounts______20 Distribution Table______29 Remuneration ______30 General Information1______31
1 Collectively these comprise the Manager’s report.
2 Schroder Global Multi-Factor Equity Fund Fund Information
Investment objective and policy The Schroder Global Multi-Factor Equity Fund (the ‘Fund’) aims to achieve capital growth in excess of the MSCI ACWI World (Net Total Return) index (after fees have been deducted) over a three to five year period by investing in equity and equity related securities of companies worldwide. The Fund is actively managed and invests at least 80% of its assets in equity and equity-related securities of companies worldwide. Companies will be simultaneously assessed on all targeted equity factors using a fully integrated systematic, bottom-up investment approach. The Fund will focus on a range of equity factors (also commonly known as investment styles) that may include the following: – Low volatility – involves evaluating indicators such as share price movement and historical performance to determine those securities that the Investment Manager believes will experience smaller price movements than the global equity markets on average. – Momentum – involves evaluating trends in stocks, sectors or countries within the relevant equity market. – Quality – involves evaluating indicators such as a company’s profitability, stability and financial strength. – Value – involves evaluating indicators such as cash flows, dividends and earnings to identify securities that the Investment Manager believes have been undervalued by the market. – Small cap – involves investing in small-sized companies being companies that, at the time of purchase, are considered to be in the bottom 30% by market capitalisation of the global equity market and exhibit attractive characteristics based on the styles described above. The Fund may also invest directly or indirectly in other securities (including in other asset classes), countries, regions, industries or currencies, collective investment schemes (including Schroder funds), warrants and money market instruments, and hold cash. The Fund may use derivatives with the aim of achieving investment gains, reducing risk or managing the Fund more efficiently (for more information, please refer to section 6 of Appendix I of the Prospectus). With effect from 7 August 2019 the Fund’s Investment objective and policy changed, previously it was: The Fund aims to achieve capital growth by investing in equity and equity related securities of companies worldwide. The Fund will invest at least 80% of its assets in equity and equity-related securities of companies worldwide. The Fund will focus on a range of equity factors (also commonly known as investment styles) that may include the following: – Low volatility – involves evaluating indicators such as share price movement and historical performance to determine those securities that the Investment Manager believes will experience smaller price movements than the global equity markets on average. – Momentum – involves evaluating trends in stocks, sectors or countries within the relevant equity market. – Quality – involves evaluating indicators such as a company’s profitability, stability and financial strength. – Value – involves evaluating indicators such as cash flows, dividends and earnings to identify securities that the Investment Manager believes have been undervalued by the market. – Small cap – involves investing in small-sized companies being companies that, at the time of purchase, are considered to be in the bottom 30% by market capitalisation of the global equity market and exhibit attractive characteristics based on the styles described above. The Fund may also invest in collective investment schemes, exchange-traded funds, money market instruments and warrants, and may hold cash. The Fund may use derivatives with the aim of achieving investment gains, reducing risk or managing the Fund more efficiently. Fund characteristics The Fund’s performance should be assessed against its target benchmark, being to exceed the MSCI ACWI World (Net Total Return) index. The Investment Manager invests on a discretionary basis and is not limited to investing in accordance with the composition of the benchmark. The target benchmark has been selected because it is representative of the type of investments in which the Fund is likely to invest, and it is, therefore, an appropriate target in relation to the return that the Fund aims to provide.
Schroder Global Multi-Factor Equity Fund 3 Review of Investment Activities
From 28 June 2019 to 30 June 2020, the price of I Accumulation units on a Fund Manager: dealing price to dealing price basis fell 0.02%. In the same period, the Schroders Systematic Investment Team MSCI All Countries World index generated a net return of 5.18%1 in sterling terms.
Global equity market performance has been dominated by the negative The Schroders Systematic Investment Team was established effects of both the spread of and measures to contain the Covid-19 in 2011 and manages over £23 billion (as at 31 December coronavirus, followed by the subsequent positive impacts from the easing of 2019) across a range of quantitative equity strategies lockdowns and accompanying early signs of economic recovery. In absolute The team consists of over 20 members based in London terms, this has resulted in a volatile 12-month period for the fund, albeit one under the leadership of Ashley Lester that is disguised by the 0.0% overall return. On a relative basis, over the last 12 months, the fund has struggled to perform due to the combination of two large factor drawdowns. First, larger cap stocks have experienced record outperformance over smaller cap stocks. As a result, our overweight to small cap stocks has hurt performance. Second, Value has seen the continuation of an exceptionally deep, prolonged and broad-based drawdown. On a more positive note, strong performance from our Profitability factor has helped to mitigate underperformance elsewhere. Towards the end of this period, we began implementing a Size constraint in the portfolio. As referenced above, the underperformance of Size has been a drag on performance over the long term. Whilst we do not regard Size as a return factor in itself, we recognise that we, like many factor investors, are exposed to Size risk as we seek factor returns in smaller cap stocks. The new constraint takes the form of a continuous control on our Size exposure. Importantly, this removes the overall Size bias without materially impacting our ability to access the other return factors in the portfolio whilst simultaneously allowing us to invest in attractive small cap stocks as the opportunities arise.
1 Source: Thomson Reuters Datastream. Past performance is not a guide to future performance and may not be repeated. The value of investments and the income from them may go down as well as up and investors may not get back the amounts originally invested. Exchange rate changes may cause the value of any overseas investments to rise or fall.
4 Schroder Global Multi-Factor Equity Fund Risk Profile
Risk and reward indicator
Lower risk Higher risk Potentially lower reward Potentially higher reward
1234 5 6 7
The risk category was calculated using simulated historical performance data and may not be a reliable indicator of the Fund’s future risk profile. The Fund’s risk category is not guaranteed to remain fixed and may change over time. A fund in the lowest category does not mean a risk-free investment. For specific risks, including the risk and reward profile, please refer to the Key Investor Information Document available on the following website www.schroders.com.
Schroder Global Multi-Factor Equity Fund 5 Statement of the Manager’s Responsibilities
The Financial Conduct Authority’s Collective Investment Schemes sourcebook requires the Manager to prepare accounts for each annual and half yearly accounting period, in accordance with United Kingdom Generally Accepted Accounting Practice, which give a true and fair view of the financial position of the Fund and of its net revenue and the net capital losses on the property of the Fund for the year. In preparing the accounts the Manager is required to: – select suitable accounting policies and then apply them consistently; – comply with the disclosure requirements of the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association (now the Investment Association) in May 2014; – follow generally accepted accounting principles and applicable accounting standards; – prepare the accounts on the basis that the Fund will continue in operation unless it is inappropriate to do so; – keep proper accounting records which enable it to demonstrate that the accounts as prepared comply with the above requirements; – make judgements and estimates that are prudent and reasonable. The Manager is responsible for the management of the Fund in accordance with its Trust Deed, the Prospectus and the Collective Investment Schemes sourcebook, and for taking reasonable steps for the prevention and detection of fraud, error and non-compliance with law or regulations. The Manager’s report and accounts for the year ended 30 June 2020 were signed on 8 October 2020 on behalf of the Manager by:
P. Chislett S. Reedy Directors
6 Schroder Global Multi-Factor Equity Fund Report of the Trustee
Statement of the Trustee’s responsibilities in respect of the Scheme and report of the Trustee to the unitholders of the Schroder Global Multi-Factor Equity Fund (‘the fund’) for the year ended 30 June 2020 The Trustee of the Schroder Global Multi-Factor Equity Fund must ensure that the fund is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Financial Services and Markets Act 2000, as amended, (together ‘the regulations’), the Trust Deed and Prospectus (together ‘the Scheme documents’) as detailed below. The Trustee must in the context of its role act honestly, fairly, professionally, independently and in the interests of the fund and its investors. The Trustee is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the fund in accordance with the regulations. The Trustee must ensure that: – the fund’s cash flows are properly monitored and that cash of the fund is booked in cash accounts in accordance with the regulations; – the sale, issue, repurchase, redemption and cancellation of units are carried out in accordance with the regulations; – the value of units of the fund are calculated in accordance with the regulations; – any consideration relating to transactions in the fund’s assets is remitted to the fund within the usual time limits; – the fund’s income is applied in accordance with the regulations; and – the instructions of the Authorised Fund Manager (‘the Manager’), which is the UCITS Management Company, are carried out (unless they conflict with the regulations). The Trustee also has a duty to take reasonable care to ensure that the fund is managed in accordance with the regulations and the Scheme documents of the fund in relation to the investment and borrowing powers applicable to the fund. Having carried out such procedures as we considered necessary to discharge our responsibilities as Trustee of the fund, it is our opinion, based on the information available to us and the explanations provided, that, in all material respects the fund, acting through the Manager: (i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the fund’s units and the application of the fund’s income in accordance with the regulations and the Scheme documents of the fund; and (ii) has observed the investment and borrowing powers and restrictions applicable to the fund in accordance with the regulations and the Scheme documents of the fund.
J.P. Morgan Europe Limited Trustee Bournemouth 21 July 2020
Schroder Global Multi-Factor Equity Fund 7 Independent auditors’ report to the Unitholders of Schroder Global Multi-Factor Equity Fund
Report on the audit of the financial statements Opinion In our opinion, the financial statements of Schroder Global Multi-Factor Equity Fund (the “Fund”): – give a true and fair view of the financial position of the Fund as at 30 June 2020 and of the net revenue and the net capital losses on its scheme property for the year then ended; and – have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook and the Trust Deed. We have audited the financial statements, included within the Final Report and Accounts (the “Annual Report”), which comprise: the balance sheet as at 30 June 2020; the statement of total return and the statement of change in net assets attributable to unitholders for the year then ended; the distribution table; and the notes to the financial statements, which include a description of the significant accounting policies. Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence We remained independent of the Fund in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements. Conclusions relating to going concern We have nothing to report in respect of the following matters in relation to which ISAs (UK) require us to report to you where: – the Manager’s use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or – the Manager has not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the Fund’s ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue. However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the Fund’s ability to continue as a going concern. Reporting on other information The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The Manager is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.
Manager’s Report In our opinion, the information given in the Manager’s Report for the financial year for which the financial statements are prepared is consistent with the financial statements. Responsibilities for the financial statements and the audit Responsibilities of the Manager for the financial statements As explained more fully in the Statement of the Manager’s Responsibilities set out on page 6, the Manager is responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The Manager is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Manager is responsible for assessing the Fund’s ability to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the Manager either intend to wind up or terminate the Fund, or have no realistic alternative but to do so.
8 Schroder Global Multi-Factor Equity Fund Independent auditors’ report to the Unitholders of Schroder Global Multi-Factor Equity Fund (continued)
Auditors’ responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at: www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditors’ report.
Use of this report This report, including the opinions, has been prepared for and only for the Fund’s unitholders as a body in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing. Other required reporting Opinion on matter required by the Collective Investment Schemes sourcebook In our opinion, we have obtained all the information and explanations we consider necessary for the purposes of the audit.
Collective Investment Schemes sourcebook exception reporting Under the Collective Investment Schemes sourcebook, we are also required to report to you if, in our opinion: – proper accounting records have not been kept; or – the financial statements are not in agreement with the accounting records and returns. We have no exceptions to report arising from this responsibility.
PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors Edinburgh 8 October 2020
Schroder Global Multi-Factor Equity Fund 9 Comparative Table
I Accumulation units X Accumulation units
2020 2019 2018 2020 2019 2018 Financial year to 30 June p per unit p per unit p per unit p per unit p per unit p per unit
Change in net asset value
Opening net asset value 56.05 53.90 50.00 56.21 53.99 50.00
Return before operating charges* 0.08 2.27 4.00 0.07 2.23 4.00
Operating charges (0.13) (0.12) (0.10) (0.02) (0.01) (0.01)
Return after operating charges* (0.05) 2.15 3.90 0.05 2.22 3.99
Distributions1 (1.25) (1.28) (0.99) (1.36) (1.34) (1.08)
Retained distributions1 1.25 1.28 0.99 1.36 1.34 1.08
Closing net asset value 56.00 56.05 53.90 56.26 56.21 53.99
*after direct transaction costs of (0.06) (0.06) (0.05) (0.06) (0.06) (0.05)
Performance
Return after charges (%) (0.09) 3.99 7.80 0.09 4.11 7.98
Other information
Closing net asset value (£000’s) 245,922 223,175 317,981 51,705 146,168 406,719
Closing number of units 439,108,653 398,166,238 589,957,935 91,902,116 260,054,751 753,278,760
Operating charges (%) 0.24 0.23 0.20 0.04 0.03 0.02
Direct transaction costs (%)** 0.11 0.11 0.10 0.11 0.11 0.10
Prices
Highest dealing price (p) 60.21 57.49 55.29 60.45 57.60 55.39
Lowest dealing price (p) 44.67 49.00 48.57 44.85 49.13 48.58
I Accumulation units The unit class was launched on 7 August 2017.
X Accumulation units The unit class was launched on 7 August 2017. 1 These figures have been rounded to 2 decimal places. ** Direct transaction costs have been stated after deducting the proportion of the amounts collected from dilution adjustments. The Operating charges are represented by the Ongoing Charges Figure (OCF) which is the European standard method of disclosing the charges of a unit class of a Fund based on the financial year’s expenses and may vary from year to year. It includes charges such as the Fund’s Annual management charge, Registrar fees, Safe custody fees, Trustee’s fees and Audit fee but ordinarily excludes the costs of buying or selling assets for the Fund (unless these assets are units of another Fund). Where published, the Key Investor Information Document (KIID) contains the current OCF. For a more detailed breakdown please visit www.schroders.com. Past performance is not a guide to future performance and may not be repeated. The value of investments and the income from them may go down as well as up and investors may not get back the amounts originally invested. Exchange rate changes may cause the value of any overseas investments to rise or fall.
10 Schroder Global Multi-Factor Equity Fund Portfolio Statement
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
Equities 99.57% (99.34%) Qualicorp Consultoria e Corretora de Seguros 85,625 369 0.12 Australia 2.35% (1.78%) Telefonica Brasil AGL Energy 53,668 511 0.17 Preference 61,613 450 0.15
Alumina 436,339 396 0.13 Vale 62,159 522 0.18
Aurizon Holdings 184,575 507 0.17 4,742 1.59
Brambles 77,239 469 0.16
CIMIC Group 13,294 179 0.06 Canada 1.20% (3.17%)
Evolution Mining 337,545 1,067 0.36 Cogeco Communications 2,620 150 0.05
Fortescue Metals Group 207,476 1,605 0.54 Constellation Software 1,137 1,026 0.34
Medibank 185,992 309 0.10 Magna International 21,283 768 0.26
Qantas Airways 370,396 782 0.26 Real Matters 11,140 173 0.06
Technology One 36,471 179 0.06 Royal Bank of Canada 26,776 1,466 0.49
Wesfarmers 39,822 996 0.34 3,583 1.20
7,000 2.35
Cayman Islands 3.25% (0.91%)
Austria 0.05% (0.11%) Alibaba Group Holding ADR 6,057 1,061 0.36 ANDRITZ 4,820 144 0.05 Baidu ADR 5,579 545 0.18 144 0.05 CK Asset Holdings 206,000 998 0.33
CK Hutchison Holdings 95,000 496 0.17 Belgium 0.48% (0.08%) Longfor Group Holdings 95,000 368 0.12 Galapagos 8,978 1,433 0.48 Seazen Group 246,000 174 0.06 1,433 0.48 Shimao Group Holdings 195,500 674 0.23
Tencent Holdings 73,900 3,875 1.30 Bermuda 0.13% (0.72%) Vipshop Holdings ADR 91,208 1,479 0.50 Nine Dragons Paper Holdings 218,000 160 0.06 9,670 3.25
Triton International 8,936 219 0.07
379 0.13 China 1.38% (2.28%)
Anhui Conch Cement H 30,500 167 0.06
Brazil 1.59% (1.38%) Bank of Communications H 340,000 171 0.06 Banco do Brasil 285,879 1,403 0.47 China Construction BB Seguridade Bank H 2,743,000 1,806 0.61 Participacoes 106,636 451 0.15 China National Building Itausa Preference 653,581 961 0.32 Material H 642,000 556 0.19
Minerva 203,466 399 0.14 China Pacific Insurance Group H 237,400 516 0.17 Petroleo Brasileiro Preference 57,439 187 0.06 China Telecom H 1,834,000 415 0.14
Schroder Global Multi-Factor Equity Fund 11 Portfolio Statement (continued)
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
Sinopharm Group H 221,200 461 0.15 CLP Holdings 60,000 478 0.16
4,092 1.38 Sino Land 142,000 144 0.05
3,464 1.16
Denmark 1.56% (1.39%)
AP Moller – Maersk B 642 608 0.21 India 0.61% (0.63%)
Coloplast B 7,741 976 0.33 Dr Reddy’s Laboratories ADR 18,648 798 0.27 Novo Nordisk B 40,793 2,152 0.72 Infosys ADR 28,907 226 0.08 Pandora 20,279 893 0.30 Vedanta ADR 172,641 786 0.26 4,629 1.56 1,810 0.61
Finland 0.38% (0.00%) Indonesia 0.10% (0.09%) Kone B 17,380 970 0.33 Telekomunikasi Indonesia Orion B 3,689 145 0.05 Persero 1,739,800 304 0.10
1,115 0.38 304 0.10
France 0.51% (1.42%) Ireland 1.43% (1.37%)
Air France-KLM 63,690 234 0.08 Accenture A 13,878 2,428 0.82
Bouygues 33,610 933 0.31 Endo International 111,257 303 0.10
Eutelsat Communications 16,099 121 0.04 Seagate Technology 38,716 1,524 0.51
Veolia Environnement 12,320 225 0.08 4,255 1.43
1,513 0.51
Isle of Man 0.00% (0.05%)
Germany 0.74% (2.63%)
Bayer 2,598 157 0.05 Israel 0.08% (0.00%)
Deutsche Lufthansa 92,839 759 0.26 Plus500 17,155 226 0.08
Deutsche Post 5,301 158 0.05 226 0.08
Gerresheimer 2,127 159 0.05
HUGO BOSS 15,805 390 0.13 Italy 1.26% (2.91%)
ProSiebenSat.1 Media 60,248 584 0.20 A2A 208,661 240 0.08
2,207 0.74 Assicurazioni Generali 77,172 950 0.32
Azimut Holding 46,377 645 0.22
Hong Kong 1.16% (1.73%) Enel 272,062 1,915 0.64
AIA Group 286,200 2,172 0.73 3,750 1.26
BOC Hong Kong Holdings 59,000 153 0.05 Japan 4.54% (6.52%) China Unicom Hong Kong 1,172,000 517 0.17 Aeon Mall 22,600 244 0.08
12 Schroder Global Multi-Factor Equity Fund Portfolio Statement (continued)
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
FamilyMart 31,800 444 0.15 Malta 0.00% (0.04%)
Fujitsu 17,700 1,685 0.57
Hulic 33,500 255 0.08 Mexico 0.47% (0.00%)
IR Japan Holdings 1,900 162 0.05 Grupo Financiero Banorte O 207,621 592 0.20 ITOCHU 91,000 1,596 0.54 Kimberly-Clark de JGC Holdings 50,800 435 0.15 Mexico A 120,128 149 0.05
Kakaku.com 31,700 651 0.22 Wal-Mart de Mexico 335,610 651 0.22
Kaken Pharmaceutical 5,000 208 0.07 1,392 0.47
Kansai Electric Power 53,100 419 0.14
Kenedix 56,300 226 0.07 Netherlands 1.51% (2.04%)
Lawson 10,700 435 0.15 Flow Traders 9,689 282 0.10
Marubeni 159,800 588 0.20 ING Groep 137,973 781 0.26
Mitsubishi Chemical Koninklijke Ahold Delhaize 76,376 1,692 0.57 Holdings 156,600 741 0.25 LyondellBasell Industries A 18,823 991 0.33 Mitsubishi Heavy Industries 42,500 816 0.27 Pharming Group 231,817 247 0.08
Nichi-iko Pharmaceutical 17,100 169 0.06 Randstad 13,477 488 0.17
Nissan Motor 431,900 1,303 0.44 4,481 1.51
Nomura Research Institute 10,100 223 0.07
NTT DOCOMO 13,700 298 0.10 New Zealand 0.00% (0.13%)
Obayashi 65,800 500 0.17
Optorun 9,400 178 0.06 Norway 0.05% (0.67%)
Sawai Pharmaceutical 4,200 176 0.06 Salmar 4,174 160 0.05
Sekisui House 55,400 858 0.29 160 0.05
Seven Bank 110,600 247 0.08
Taiko Pharmaceutical 21,400 420 0.14 Panama 0.29% (0.47%)
Tohoku Electric Power 30,600 237 0.08 Carnival 65,033 865 0.29
13,514 4.54 865 0.29
Jersey 0.47% (0.58%) Portugal 0.00% (0.17%)
Glencore 668,531 1,145 0.38
IWG 96,086 254 0.09 Puerto Rico 0.00% (0.09%)
1,399 0.47
Russia 1.30% (1.50%)
Malaysia 0.16% (0.00%) LUKOIL ADR 15,771 955 0.32
Hartalega Holdings 197,900 489 0.16 MMC Norilsk Nickel ADR 70,961 1,510 0.51
489 0.16 Novolipetsk Steel GDR 9,261 150 0.05
Schroder Global Multi-Factor Equity Fund 13 Portfolio Statement (continued)
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
Sberbank of Russia ADR 115,947 1,075 0.36 Lundin Energy 15,316 299 0.10
Severstal GDR 15,436 152 0.05 Scandic Hotels Group 107,820 307 0.10
Tatneft ADR 729 28 0.01 Swedish Match 13,786 783 0.26
3,870 1.30 3,894 1.31
Singapore 0.85% (0.20%) Switzerland 4.20% (1.10%)
DBS Group Holdings 136,700 1,664 0.56 Dufry 22,295 535 0.18
Singapore Exchange 116,100 565 0.19 EMS-Chemie Holding 799 503 0.17
Wilmar International 130,500 312 0.10 Geberit 3,946 1,604 0.54
2,541 0.85 Kuehne + Nagel International 5,740 774 0.26
Nestle 39,177 3,518 1.18 South Africa 0.26% (0.37%) Novartis 11,125 786 0.27 FirstRand 76,666 137 0.05 Roche Holding 10,510 2,958 0.99 Kumba Iron Ore 9,442 205 0.07 Zurich Insurance Group 6,377 1,827 0.61 Mr Price Group 35,700 240 0.08 12,505 4.20 MultiChoice Group 38,935 194 0.06
RMB Holdings 58,440 5 0.00 Taiwan 1.79% (1.67%) 781 0.26 International Games System 49,000 994 0.33
South Korea 0.80% (1.47%) Quanta Computer 222,000 434 0.15
Samsung Electronics 55,771 1,995 0.67 Sitronix Technology 39,000 166 0.06
Samsung Engineering 47,507 392 0.13 Taiwan Semiconductor Manufacturing 363,000 3,135 1.05 2,387 0.80 United Microelectronics 1,398,000 612 0.20
5,341 1.79 Spain 1.46% (1.67%)
Endesa 23,582 472 0.16 Thailand 0.11% (0.31%) Industria de Diseno Textil 72,148 1,554 0.52 Advanced Info Naturgy Energy Group 28,524 431 0.14 Service NVDR 30,200 147 0.05
Pharma Mar 53,156 372 0.13 Thanachart Capital NVDR 184,100 171 0.06
Telefonica 389,925 1,512 0.51 318 0.11
4,341 1.46
Turkey 0.76% (0.80%)
Sweden 1.31% (1.08%) BIM Birlesik Magazalar 77,807 629 0.21
Axfood 8,936 159 0.05 Koza Anadolu Metal Madencilik Isletmeleri 351,967 561 0.19 Essity B 44,735 1,173 0.40 Migros Ticaret 45,438 208 0.07 Hennes & Mauritz B 99,894 1,173 0.40
14 Schroder Global Multi-Factor Equity Fund Portfolio Statement (continued)
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
Turkcell Iletisim Hizmetleri 341,005 667 0.22 Apple 38,574 11,412 3.83
Vestel Elektronik Sanayi Arrow Electronics 14,818 817 0.27 ve Ticaret 107,943 208 0.07 Artisan Partners Asset 2,273 0.76 Management A 10,999 288 0.10
Autodesk 9,238 1,799 0.60
United Kingdom 4.69% (5.26%) Avnet 19,728 444 0.15
Anglo American 53,454 999 0.34 Bed Bath & Beyond 18,591 159 0.05
Auto Trader Group 62,131 327 0.11 Berkshire Hathaway B 994 143 0.05
BHP Group 133,312 2,205 0.74 Best Buy 23,241 1,643 0.55
Centrica 791,023 305 0.10 Biogen 8,220 1,774 0.60
Evraz 73,709 213 0.07 Bristol-Myers Squibb 13,144 620 0.21
GlaxoSmithKline 113,439 1,856 0.62 Cabot Oil & Gas 19,103 262 0.09
Hargreaves Lansdown 18,941 309 0.10 Cardinal Health 35,130 1,478 0.50
Howden Joinery Group 40,019 221 0.07 Catalyst Pharmaceuticals 39,476 144 0.05
Imperial Brands 45,979 707 0.24 CenturyLink 185,167 1,493 0.50
Intertek Group 2,742 149 0.05 Chemed 1,507 548 0.18
Liberty Global A 32,899 579 0.20 Cisco Systems 73,018 2,749 0.92
Nielsen Holdings 71,925 859 0.29 Citrix Systems 13,390 1,610 0.54
Prudential 134,683 1,641 0.55 Clorox 9,345 1,651 0.56
Rio Tinto 44,369 2,018 0.68 Cohen & Steers 4,044 222 0.08
Royal Dutch Shell B 117,374 1,437 0.48 Colgate-Palmolive 31,134 1,838 0.62
Tate & Lyle 20,534 137 0.05 Comerica 14,691 453 0.15
13,962 4.69 Commercial Metals 16,704 276 0.09
ConocoPhillips 850 28 0.01
United States of America 56.29% (50.55%) Corcept Therapeutics 18,163 247 0.08
AbbVie 11,311 896 0.30 Crown Castle International REIT 1,014 137 0.05 Adobe 527 185 0.06 Cummins 11,630 1,628 0.55 Alliance Data Systems 12,364 459 0.15 CVS Health 38,334 2,004 0.67 Allison Transmission Holdings 16,865 500 0.17 DaVita 24,155 1,543 0.52
Alphabet A 5,907 6,728 2.26 Dicerna Pharmaceuticals 12,916 265 0.09
Altria Group 59,755 1,900 0.64 Domino’s Pizza 4,962 1,474 0.50
Amazon.com 3,603 8,020 2.70 DXC Technology 114,706 1,507 0.51
American Axle & eBay 43,148 1,839 0.62 Manufacturing Holdings 51,058 312 0.11 EOG Resources 750 30 0.01 American Tower REIT 2,001 419 0.14 Equinix REIT 118 67 0.02 Amgen 11,186 2,122 0.71 Erie Indemnity A 1,863 291 0.10
Schroder Global Multi-Factor Equity Fund 15 Portfolio Statement (continued)
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
Facebook A 26,035 4,739 1.59 Microsoft 64,409 10,557 3.55
FactSet Research Systems 6,094 1,614 0.54 Moelis A 14,604 369 0.12
Fidelity National Financial 36,317 908 0.31 MSCI 7,017 1,876 0.63
Fortinet 13,871 1,539 0.52 National Beverage 2,929 145 0.05
Gentex 30,262 635 0.21 Newell Brands 88,610 1,129 0.38
Gilead Sciences 33,848 2,101 0.71 NIKE B 11,348 893 0.30
GrafTech International 31,869 207 0.07 NOW 38,774 267 0.09
HCA Healthcare 20,565 1,610 0.54 NRG Energy 52,975 1,397 0.47
Hershey 12,481 1,313 0.44 Old Dominion Freight Line 11,855 1,629 0.55
Home Depot 15,726 3,179 1.07 Oracle 47,482 2,120 0.71
HP 10,949 154 0.05 Owens & Minor 57,245 345 0.12
Humana 5,207 1,618 0.54 Paychex 22,928 1,403 0.47
Illinois Tool Works 13,045 1,842 0.62 Pfizer 21,576 568 0.19
Innoviva 14,222 161 0.05 Philip Morris International 37,241 2,117 0.71
Intel 63,305 3,051 1.03 Premier A 5,503 153 0.05
International Business Prestige Consumer Machines 20,853 2,030 0.68 Healthcare 10,204 309 0.10
Intuit 7,612 1,820 0.61 Procter & Gamble 34,525 3,334 1.12
Johnson & Johnson 33,042 3,731 1.25 Progressive 24,349 1,577 0.53
JPMorgan Chase 5,471 416 0.14 Prologis REIT 1,574 119 0.04
Kimberly-Clark 15,559 1,774 0.60 Public Storage REIT 3,166 494 0.17
Kontoor Brands 38,037 545 0.18 Puma Biotechnology 22,005 182 0.06
Landstar System 7,508 682 0.23 QUALCOMM 29,219 2,154 0.72
Lennox International 5,994 1,139 0.38 Radian Group 50,111 637 0.21
Macy’s 258,067 1,382 0.46 Rite Aid 82,222 1,145 0.39
Manhattan Associates 15,704 1,211 0.41 Robert Half International 33,468 1,430 0.48
MarketAxess Holdings 1,585 643 0.22 Rockwell Automation 9,525 1,633 0.55
Masco 27,603 1,115 0.38 SBA Communications REIT 2,112 505 0.17
Mastercard A 12,883 3,080 1.04 Simon Property Group REIT 7,435 414 0.14
MAXIMUS 6,281 359 0.12 SpartanNash 12,392 214 0.07
McKesson 12,248 1,522 0.51 T Rowe Price Group 16,442 1,657 0.56
Medifast 5,664 628 0.21 Target 18,745 1,817 0.61
Medpace Holdings 6,802 507 0.17 Texas Instruments 21,844 2,243 0.75
Merck 39,144 2,442 0.82 United Therapeutics 13,676 1,335 0.45
MGIC Investment 153,636 1,022 0.34 UnitedHealth Group 1,672 395 0.13
Micron Technology 3,624 151 0.05 USANA Health Sciences 4,946 290 0.10
16 Schroder Global Multi-Factor Equity Fund Portfolio Statement (continued)
Holding at Market Value % of net Holding at Market Value % of net 30.6.20 £000’s assets 30.6.20 £000’s assets
Vector Group 26,901 220 0.07 Futures 0.00% (0.01%)
VeriSign 9,640 1,611 0.54 EURO STOXX 50 Index September 2020 2 (1) 0.00 Visa A 4,035 629 0.21 FTSE 100 Index September 2020 1 (1) 0.00 Vistra Energy 91,312 1,372 0.46 S&P 500 Emini Index Warrior Met Coal 21,193 263 0.09 September 2020 3 (5) 0.00
Waters 8,703 1,279 0.43 TOPIX Index September 2020 1 (2) 0.00
167,520 56.29 Futures total (9) 0.00
Equities total 296,349 99.57 Portfolio of investments 296,374 99.58
Net other assets 1,253 0.42
Forward Foreign Currency Contracts 0.01% ((0.01)%) Net assets attributable to unitholders 297,627 100.00
Buy USD 1,465,473 Sell GBP 1,160,000 20/07/2020 USD 1,465,473 34 0.01
Forward Foreign Currency Contracts total 34 0.01
The comparative percentage figures in brackets are as at 30 June 2019. Unless otherwise stated, all securities are admitted to official stock exchange listings.
Schroder Global Multi-Factor Equity Fund 17 Statement of Total Return
For the year ended 30 June 2020 2020 2019
Notes £000’s £000’s £000’s £000’s
Income
Net capital losses 2 (3,358) (401)
Revenue 3 8,767 20,361
Expenses 4 (531) (792)
Net revenue before taxation 8,236 19,569
Taxation 5 (958) (2,246)
Net revenue after taxation 7,278 17,323
Total return before distributions 3,920 16,922
Distributions 6 (7,276) (17,327)
Change in net assets attributable to unitholders from investment activities (3,356) (405)
Statement of Change in Net Assets Attributable to Unitholders
For the year ended 30 June 2020 2020 2019
£000’s £000’s £000’s £000’s
Opening net assets attributable to unitholders 369,343 724,700
Amounts receivable on issue of units 50,209 544,666
Amounts payable on cancellation of units (125,422) (908,693)
(75,213) (364,027)
Dilution adjustment 112 492
Change in net assets attributable to unitholders from investment activities (3,356) (405)
Retained distribution on Accumulation units 6,741 8,583
Closing net assets attributable to unitholders 297,627 369,343
18 Schroder Global Multi-Factor Equity Fund Balance Sheet
As at 30 June 2020 2020 2019
Notes £000’s £000’s
Assets
Investments 296,383 366,942
Current assets
Debtors 8 1,942 1,302
Cash and bank balances 9 762 1,320
Total assets 299,087 369,564
Liabilities
Investment liabilities (9) (47)
Provisions for liabilities 10 (1) 0
Creditors
Bank overdrafts 11 (43) (97)
Other creditors 12 (1,407) (77)
Total liabilities (1,460) (221)
Net assets attributable to unitholders 297,627 369,343
Schroder Global Multi-Factor Equity Fund 19 Notes to the Accounts
1 Accounting policies Basis of preparation The accounts have been prepared under the historical cost basis, as modified by the revaluation of investments, and in accordance with the Statement of Recommended Practice for UK Authorised Funds issued by the Investment Management Association in May 2014 and in accordance with United Kingdom Generally Accepted Accounting Practice, including Financial Reporting Standard 102 (The Financial Reporting Standard Applicable in the UK and Republic of Ireland (FRS 102)).
Revenue Dividends and real estate income distributions receivable from equity investments are recognised net of attributable tax credits and are credited to revenue when they are first quoted ex-dividend. Dividends from US Real Estate Investment Trusts are initially accounted for at an estimated 70% revenue and 30% capital split when the security goes ex-dividend. Following the end of the calendar year, US Real Estate Investment Trusts publish the split between revenue and capital of the dividends they have previously declared. When this information is received the initial estimated allocation is adjusted to reflect the published split between revenue and capital. The ordinary element of stocks received in lieu of cash dividends is recognised as revenue of the Fund. Any enhancement above the cash dividend is treated as capital. Interest receivable from bank balances, futures clearing houses and brokers is accounted for on an accruals basis. Interest receivable from debt securities is accounted for on an effective yield basis.
Special dividends Special dividends are treated as revenue or capital depending on the facts of each particular case.
Interest on debt securities bought or sold Interest on debt securities bought or sold is excluded from the capital cost of securities, and is dealt with as part of the revenue of the Fund.
Expenses Expenses of the Fund are charged against revenue except for costs associated with the purchase and sale of investments which are allocated to the capital of the Fund. All expenses except for professional fee are accounted for on an accruals basis.
Taxation Corporation tax is provided for on the revenue liable to corporation tax less deductible expenses. Deferred taxation is provided for on all timing differences that have originated but not reversed by the balance sheet date, other than those differences regarded as permanent. Any liability to deferred taxation is provided for at the average rate of taxation expected to apply. Deferred tax assets and liabilities are not discounted to reflect the time value of money.
Distributions The revenue available for distribution is the total revenue earned by the Fund, less deductible expenses and taxation charged to revenue. For Accumulation units this revenue is not distributed but automatically reinvested in the Fund and is reflected in the value of these units.
Dilution adjustment In certain circumstances the Manager may apply a dilution adjustment on subscriptions and redemptions of units. If applied, the dilution adjustment is paid to the Fund. See Prospectus for further details.
Valuation All investments of the Fund have been valued at market value at 18:00 on the last working day of the accounting period. Market value is defined by the Statement of Recommended Practice as fair value which generally is the bid value of each security and the offer value for short positions.
Foreign currencies Transactions in foreign currencies are translated into sterling at the exchange rate prevailing on the date of the transaction. Assets and liabilities valued in foreign currencies have been translated into sterling at the exchange rates prevailing at the balance sheet date.
20 Schroder Global Multi-Factor Equity Fund Notes to the Accounts (continued)
2 Net capital losses The net capital losses during the year comprise:
2020 2019 £000’s £000’s
Non-derivative securities (2,466) 959
Derivative contracts (994) (987)
Forward foreign currency contracts 121 (496)
Foreign currency gains 24 172
Transaction costs (43) (49)
Net capital losses (3,358) (401)
3 Revenue
2020 2019 £000’s £000’s
UK dividends 747 1,341
Overseas dividends 7,885 18,706
Real estate income distributions 117 259
Scrip dividends 2 8
Interest on debt securities 2 1
Bank interest 14 46
Total revenue 8,767 20,361
4 Expenses
2020 2019 £000’s £000’s
Payable to the Manager, associates of the Manager and agents of either of them:
Annual management charge 447 633
Payable to the Trustee, associates of the Trustee and agents of either of them:
Trustee’s fees 34 69
Safe custody fees 15 44
Dividend expenses 17 20
66 133
Other expenses:
Audit fee 12 12
Professional fee 0 3
Interest payable 6 11
18 26
Total expenses 531 792
Schroder Global Multi-Factor Equity Fund 21 Notes to the Accounts (continued)
5 Taxation (a) Analysis of the tax charge for the year
2020 2019 £000’s £000’s
Corporation tax 15 0
Double tax relief (15) 0
Overseas withholding tax 957 2,246
Total current tax (Note 5(b)) 957 2,246
Deferred tax (Note 5(c))
Origination and reversal of timing differences 1 0
Total taxation 958 2,246
Corporation tax has been provided for at a rate of 20% (2019 – 20%).
(b) Factors affecting the current tax charge for the year The tax assessed for the year is different from that calculated when the standard rate of corporation tax for authorised unit trusts of 20% (2019 – 20%) is applied to the net revenue before taxation. The differences are explained below.
2020 2019 £000’s £000’s
Net revenue before taxation 8,236 19,569
Net revenue for the year before taxation multiplied by the standard rate of corporation tax 1,647 3,914
Effects of:
Revenue not subject to corporation tax (1,657) (3,848)
Movement in excess management expenses (22) (47)
Irrecoverable overseas withholding tax 942 2,246
Expensed withholding tax incurred 0 (27)
Movement in revenue taxable in different periods 47 8
Current tax charge for the year (Note 5(a)) 957 2,246
(c) Provision for deferred tax
2020 2019 £000’s £000’s
Movement in deferred tax for the year (Note 5(a)) 1 0
Provision at the end of the year 1 0
(d) Factors that may affect future tax charges At the balance sheet date, there is a potential deferred tax asset of Nil (2019 – £22,115) in respect of unutilised management expenses. It is unlikely the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year or prior year.
22 Schroder Global Multi-Factor Equity Fund Notes to the Accounts (continued)
6 Distributions The distributions take account of revenue received on the issue of units and revenue deducted on the cancellation of units, and comprise:
2020 2019 £000’s £000’s
Final Dividend distribution 6,741 8,583
Add: Revenue deducted on cancellation of units 1,320 15,633
Deduct: Revenue received on issue of units (785) (6,889)
Distributions 7,276 17,327
Net revenue after taxation 7,278 17,323
Scrip dividends not distributed (2) (8)
Movement in undistributed revenue 0 1
Equalisation on conversions 0 11
Distributions 7,276 17,327
Details of the distributions per unit are set out in the Distribution Table on page 29. 7 Fair value hierarchy Instruments held at the year end are presented in line with amendments to FRS 102 the Financial Reporting Standard applicable in the UK and Republic of Ireland Fair value hierarchy disclosures.
2020 2019
Assets Liabilities Assets Liabilities Basis of valuation £000’s £000’s £000’s £000’s
Level 1: Quoted prices 296,349 (9) 366,941 0
Level 2: Observable market data 34 0 1 (47)
Level 3: Unobservable data 0 0 0 0
Total 296,383 (9) 366,942 (47)
Level 1: Unadjusted quoted price in an active market for an identical instrument. Level 2: Valuation techniques using observable inputs other than quoted prices within level 1. Level 3: Valuation techniques using unobservable inputs.
Unobservable data Unobservable data has been used only where relevant observable market data is not available. Where there was no reputable price source for an investment, the Manager has assessed information available from internal and external sources in order to arrive at an estimated fair value. The fair value is established by using measures of value such as the price of recent transactions, earnings multiple and net assets. The Manager of the Fund also makes judgements and estimates based on their knowledge of recent investment performance, historical experience and other assumptions that are considered reasonable under the circumstances. The estimates and the assumptions used are under continuous review by the Manager with particular attention paid to the carrying value of the investments.
Schroder Global Multi-Factor Equity Fund 23 Notes to the Accounts (continued)
8 Debtors
2020 2019 £000’s £000’s
Sales awaiting settlement 1,071 0
Accrued revenue 412 845
Overseas withholding tax recoverable 459 457
Total debtors 1,942 1,302
9 Cash and bank balances
2020 2019 £000’s £000’s
Cash and bank balances 625 1,127
Amounts held at futures clearing houses and brokers 137 193
Total cash and bank balances 762 1,320
10 Provisions for liabilities
2020 2019 £000’s £000’s
Deferred taxation 1 0
Total provisions for liabilities 1 0
11 Bank overdrafts
2020 2019 £000’s £000’s
Bank overdrafts 43 97
Total bank overdrafts 43 97
12 Other creditors
2020 2019 £000’s £000’s
Amounts payable for cancellation of units 1,339 0
Accrued expenses 68 75
Accrued Interest payable 0 2
Total other creditors 1,407 77
13 Contingent liabilities There were no contingent liabilities at the balance sheet date (2019 – Nil). 14 Related party transactions The Manager exercises control over the Fund and is therefore a related party by virtue of its controlling influence. Amounts paid during the year or due to the Manager at the balance sheet date are disclosed under Expenses and Other creditors in the Notes to the Accounts.
24 Schroder Global Multi-Factor Equity Fund Notes to the Accounts (continued)
The Manager acts as principal on all transactions of units in the Fund. The aggregate monies paid through the issue and cancellation of units are disclosed in the Statement of Change in Net Assets Attributable to Unitholders and Distributions in the Notes to the Accounts. Amounts due to the Manager in respect of unit transactions at the balance sheet date are included under Other creditors in the Notes to the Accounts. Units held or managed by the Manager or associates of the Manager as a percentage of the Fund’s net asset value at the balance sheet date were 99.63% (2019 – 80.56%). 15 Unit classes The Fund currently has two unit classes. The Annual Management charge is based on the average value of the Fund, calculated on a daily basis, and covers the remuneration of the Manager, the Investment Adviser and their overhead expenses and for each unit class is as follows: I Accumulation units 0.20% X Accumulation units 0.00% The closing net asset value of each unit class, the closing net asset value per unit and the closing number of units in issue are given in the Comparative Table on page 10. The distributions per unit class are given in the Distribution Table on page 29. Both classes have the same rights on winding up. 16 Derivative and other financial instruments The main risks arising from the Fund’s financial instruments are market price, foreign currency, liquidity and interest rate risks. The Manager’s policies for managing these risks are summarised below and have been applied throughout the year and the prior year.
Market price risk The Fund’s investment portfolio is exposed to market price fluctuations which are monitored by the Manager in pursuance of the investment objective and policy. Adherence to investment guidelines and to investment and borrowing powers set out in the Trust Deed, the Prospectus and in the Collective Investment Schemes sourcebook mitigates the risk of excessive exposure to any particular type of security or issuer.
Foreign currency risk Where a portion of the net assets of the Fund are denominated in currencies other than sterling the balance sheet and total return can be affected by currency movements. Therefore the Manager may decide that a proportion of the investments that are not priced in sterling, may be covered by forward currency contracts, so that the Fund’s exposure to currency risk is reduced. Revenue received in other currencies is translated to sterling on or near the date of receipt. The Fund does not hedge or otherwise seek to avoid currency movement risk on accrued revenue.
Currency risk profile The currency risk profile of the Fund’s net assets at the balance sheet date was as follows:
2020 2019 Currency £000’s £000’s
Australian dollar 7,000 6,582
Brazilian real 4,769 4,657
Canadian dollar 3,630 11,770
Chinese yuan 10 29
Danish krone 4,736 5,231
Euro 18,387 37,794
Hong Kong dollar 14,386 17,622
Hungarian forint 2 0
Indonesian rupiah 317 345
Japanese yen 13,575 24,525
Malaysian ringgit 489 0
Mexican peso 1,396 0
New Zealand dollar 0 485
Norwegian krone 248 2,598
Schroder Global Multi-Factor Equity Fund 25 Notes to the Accounts (continued)
2020 2019 Currency £000’s £000’s
Singapore dollar 2,551 739
South African rand 781 1,387
South Korean won 2,399 5,418
Sterling 11,966 18,920
Swedish krona 3,923 4,213
Swiss franc 12,534 4,057
Taiwan dollar 5,362 6,810
Thai baht 318 1,134
Turkish lira 2,273 2,961
US dollar 186,575 212,066
Liquidity risk The primary source of this risk to the Fund is the liability to unitholders for any cancellation of units. This risk is minimised by holding cash, readily realisable securities and access to overdraft facilities up to the amount prescribed by the Collective Investment Schemes sourcebook.
Interest rate risk Interest rate risk is the risk that the value of the Fund’s investment holdings will fluctuate as a result of changes in interest rates. Interest receivable on bank deposits will be affected by fluctuations in interest rates. At the year end date 0.26% (2019 – 0.36%) of the net assets of the Fund were interest bearing and as such the interest rate risk is not considered significant.
Floating rate financial assets and financial liabilities Sterling denominated bank balances bear interest at rates based on the Sterling Overnight Index Average rate. Foreign currency bank balances and amounts held or overdrawn at futures clearing houses and brokers bear interest at rates based on the London Interbank Offer Rate or its international equivalent.
Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value.
Derivatives During the year the Fund entered into derivative contracts for specific investment purposes in addition to being used for efficient management.
Global risk exposure Commitment approach When using derivatives, the Manager uses a risk management process that enables it to monitor the risk of a Fund’s derivative positions. The global risk exposure of a Fund is calculated daily either by means of the commitment approach or the Value-at-Risk (VaR) approach. Under the commitment approach, the global risk exposure is defined as the underlying market value of derivatives, after netting and hedging as permitted by the regulation, not exceeding the Net Asset Value of a Fund. This is typically used on Funds where derivative usage is low or Funds which limit their derivatives commitment to 100% or less of their Net Asset Value. The global risk exposure of the Fund is calculated using the commitment approach. During the year ended 30 June 2020 the global risk exposure of the Fund did not exceed 100% of its Net Asset Value. The lowest, highest, average and actual level of leverage for the Fund as at the balance sheet date was as follows: Leverage
2020 2019 Leverage Leverage Lowest Highest Average 30 June Lowest Highest Average 30 June
0.08% 9.41% 0.91% 0.67% 0.00% 11.52% 3.16% 0.40%
26 Schroder Global Multi-Factor Equity Fund Notes to the Accounts (continued)
17 Direct transaction costs In the case of shares, broker commissions and transfer taxes/stamp duty are paid by the Fund on each transaction. In addition, there is a dealing spread between buying and selling prices of the underlying investments. Unlike shares, other types of investments (such as bonds, money market instruments, derivatives) have no separately identifiable transaction costs; these costs form part of the dealing spread. Dealing spreads vary considerably depending on the transaction value and market sentiment.
Principal Commissions Taxes Total cost Commissions Taxes % of 2020 £000’s £000’s £000’s £000’s % of principal principal
Purchases
Bonds 26,951 0 0 26,951 0.00 0.00
Equities 337,809 95 118 338,022 0.03 0.03
364,760 95 118 364,973
Sales
Bonds 26,950 0 0 26,950 0.00 0.00
Equities 406,327 (110) (91) 406,126 (0.03) (0.02)
433,277 (110) (91) 433,076
Total cost of the Fund’s average net asset value (%) 0.06 0.07
Principal Commissions Taxes Total cost Commissions Taxes % of 2019 £000’s £000’s £000’s £000’s % of principal principal
Purchases
Bonds 15,630 0 0 15,630 0.00 0.00
Equities 833,724 269 327 834,320 0.03 0.04
849,354 269 327 849,950
Sales
Bonds 15,711 0 0 15,711 0.00 0.00
Equities 1,165,620 (255) (232) 1,165,133 (0.02) (0.02)
1,181,331 (255) (232) 1,180,844
Total cost of the Fund’s average net asset value (%) 0.07 0.07
Average portfolio dealing spread As at the balance sheet date the average portfolio dealing spread was 0.09% (2019 – 0.08%). This spread represents the difference between the values determined respectively by reference to the bid and offer prices of investments expressed as a percentage of the value determined by reference to the offer price. 18 Units in issue reconciliation
Number Number of units Number Number Number of units in issue of units of units of units in issue 30.6.19 issued cancelled converted 30.6.20
I Accumulation units 398,166,238 68,267,661 (27,325,246) 0 439,108,653
X Accumulation units 260,054,751 27,261,921 (195,414,556) 0 91,902,116
Schroder Global Multi-Factor Equity Fund 27 Notes to the Accounts (continued)
19 Counterparty exposure The types of derivatives held at the balance sheet date were forward foreign currency contracts. Details of individual contracts are disclosed in the Portfolio Statement and the total position by counterparty at the balance sheet date was as follows:
Forward foreign currency contracts Total Counterparty £000’s £000’s
JPMorgan Chase
2020 0 0
2019 (47) (47)
State Street
2020 0 0
2019 1 1
UBS
2020 34 34
2019 22 22
At the balance sheet date no collateral was held or pledged by the Fund or on behalf of the counterparties in respect of the above. Previously futures contracts were disclosed in the table above. The prior comparative year figures have not been amended.
20 Non-adjusting post balance sheet events As a result of market movements and foreign exchange rates, since the balance sheet date on 30 June 2020, the price of each unit class has changed as follows:
Dealing Dealing price price p p at 5.10.20 at 30.6.20 % change
I Accumulation units 57.19 55.82 2.45
X Accumulation units 57.47 56.08 2.48
28 Schroder Global Multi-Factor Equity Fund Distribution Table
Final distribution for the year ended 30 June 2020 Group 1 Units purchased prior to 1 July 2019 Group 2 Units purchased on or after 1 July 2019
Net Distribution Distribution revenue Equalisation payable paid 2020 2020 31.8.20 31.8.19 p per unit p per unit p per unit p per unit
I Accumulation units
Group 1 1.2516 – 1.2516 1.2819
Group 2 0.2688 0.9828 1.2516 1.2819
X Accumulation units
Group 1 1.3553 – 1.3553 1.3377
Group 2 0.7242 0.6311 1.3553 1.3377
Equalisation Equalisation applies to units purchased during the distribution period (Group 2 units). It is the average amount of revenue included in the purchase price of Group 2 units and is refunded to the holders of these units as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes.
Schroder Global Multi-Factor Equity Fund 29 Remuneration
UCITS remuneration disclosures for Schroder Unit Trusts Limited (‘SUTL’) for the year to 31 December 2019 These disclosures form part of the non-audited section of this annual report and accounts and should be read in conjunction with the Schroders plc Remuneration Report on pages 72 to 108 of the 2019 Annual Report & Accounts (available on the Group’s website – www.schroders.com/annualreport2019), which provides more information on the activities of our Remuneration Committee and our remuneration principles and policies. The UCITS Material Risk Takers (‘UCITS MRTs’) of SUTL are individuals whose roles within the Schroders Group can materially affect the risk of SUTL or any UCITS fund that it manages. These roles are identified in line with the requirements of the UCITS Directive and guidance issued by the European Securities and Markets Authority. The Remuneration Committee of Schroders plc has established a remuneration policy to ensure the requirements of the UCITS Directive are met for all UCITS MRTs. The Remuneration Committee and the Board of Schroders plc review remuneration strategy at least annually. The directors of SUTL are responsible for the adoption of the remuneration policy, for reviewing its general principles at least annually, for overseeing its implementation and for ensuring compliance with relevant local legislation and regulation. During 2019 the Remuneration Policy was reviewed to ensure compliance with the UCITS/AIFMD remuneration requirements and no significant changes were made. The implementation of the remuneration policy is, at least annually, subject to independent internal review for compliance with the policies and procedures for remuneration adopted by the Board of SUTL and the Remuneration Committee. The most recent review found no fundamental issues but resulted in a range of more minor recommendations, principally improvements to process and policy documentation. The total spend on remuneration is determined based on a profit share ratio, measuring variable remuneration charge against pre-bonus profit, and from a total compensation ratio, measuring total remuneration expense against net income. This ensures that the interests of employees are aligned with Schroders financial performance. In determining the remuneration spend each year, the underlying strength and sustainability of the business is taken into account, along with reports on risk, legal, compliance and internal audit matters from the heads of those areas. The remuneration data that follows reflects amounts paid in respect of performance during 2019. – The total amount of remuneration paid by SUTL to its staff was nil as SUTL has no employees. SUTL has two independent Non Executive Directors who receive fees in respect of their role on the Board of SUTL1. Employees of other Schroders Group entities who serve as Directors of SUTL receive no additional fees in respect of their role on the Board of SUTL. – The following disclosures relate to UCITS MRTs of SUTL. Most of those UCITS MRTs were employed by and provided services to other Schroders group companies and clients. As a result, only a portion of remuneration for those individuals is included in the aggregate remuneration figures that follow, based on an objective apportionment to reflect the balance of each role using relevant regulated AUM as a proportion of the total AUM within the scope of each role. The aggregate total remuneration paid to the 176 UCITS MRTs of SUTL in respect of the financial year ended 31 December 2019, and attributed to SUTL or the UCITS funds that it manages, is £17.10 million, of which £3.29 million was paid to senior management, and £13.81 million was paid to MRTs deemed to be taking risk on behalf of SUTL or the UCITS funds that it manages and Control Function MRTs. For additional qualitative information on remuneration policies and practices see www.schroders.com/rem-disclosures.
1 The fees are not disclosed due to confidentiality and data protection considerations. The amount is not material to SUTL.
30 Schroder Global Multi-Factor Equity Fund General Information
Manager Registrar Schroder Unit Trusts Limited Schroder Unit Trusts Limited 1 London Wall Place 1 London Wall Place London EC2Y 5AU London EC2Y 5AU Authorised and regulated by the Financial Conduct Authority Authorised and regulated by the Financial Conduct Authority
Investment Adviser The Manager is responsible for maintaining the register for each Fund. It has delegated certain registrar functions to HSBC Bank Schroder Investment Management Limited Plc, 8 Canada Square, London, E14 8HQ. 1 London Wall Place London EC2Y 5AU Administration Details Authorised and regulated by the Financial Conduct Authority Schroders Investor Services PO BOX 1402 Trustee SUNDERLAND J.P. Morgan Europe Limited SR43 4AF Chaseside Bournemouth BH7 7DA Independent Auditors Authorised by the Prudential Regulation Authority and regulated PricewaterhouseCoopers LLP by the Financial Conduct Authority and Prudential Regulation Atria One Authority 144 Morrison Street Edinburgh EH3 8EX
Authorisation The Fund is an authorised unit trust and is constituted pursuant to the Collective Investment Schemes sourcebook and is structured as a Trust. The Fund is a UCITS scheme for the purpose of the categorisation of the Collective Investment Schemes sourcebook. Value Assessment A statement on the Assessment of Value is published on the Global Fund Centre in the Fund Literature section at www.Schroders.com within 4 months of the annual ‘reference date’ 31 December.
Other information The Prospectus, the Key Investor Information Document and details of investment charges and costs are available on request or can be downloaded from our website www.schroders.com.
Schroder Global Multi-Factor Equity Fund 31 schroders.com @schroders
For further literature please contact Schroder Investor Services on 0800 182 2399 or [email protected] for Retail Clients, or 0345 030 7277 or [email protected] for Institutional Clients, or visit our website at www.schroders.com. Issued in October 2020 by Schroder Unit Trusts Limited, 1 London Wall Place, London EC2Y 5AU. Registered Number 4191730 England. Schroder Unit Trusts Limited is an authorised corporate director, authorised unit trust manager and an ISA plan manager, and is authorised and regulated by the Financial Conduct Authority. For your security, communications may be taped and monitored.