Winton Trend Fund (UCITS)
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 2019 to 31 August 2019
WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Table of Contents Page(s)
General Information 2 - 5
Manager’s Report 6
Statement of Financial Position 7
Statement of Comprehensive Income 8
Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 9
Statement of Cash Flows 10
Schedule of Investments 11 - 14
Notes to the Condensed Unaudited Interim Financial Statements 15 - 22
Statement of Significant Purchases and Sales 23 - 24
WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) General Information Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Directors Dermot Butler 1,2 John Skelly 1 Alan Tooker 1,2,3 Rajeev Patel Taavi Davies 1,2,4
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 (From to 1 July 2019) Winton Fund Management Ireland DAC 32 Molesworth Street Dublin 2 Ireland
Depositary (Up to 28 February 2019) State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland
(From 1 March 2019) BNY Mellon Trust Company (Ireland) Limited One Dockland Central Guild Street Dublin 1 Ireland
Administrator and Transfer Agent (Up to 28 February 2019) State Street Fund Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland
1 These Directors of the ICAV are independent of the Investment Manager. 2 Dermot Butler, Taavi Davies and Alan Tooker are independent of all Service Providers to the ICAV. 3 Alan Tooker resigned as of 6 November 2018. 4 Taavi Davies was appointed as of 6 November 2018.
2 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) General Information (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Administrator and Transfer Agent (continued) (From 1 March 2019) Citco Fund Services (Ireland) Limited Custom House Plaza Block 6 IFSC Dublin 1 Ireland
Company Secretary MFD Secretaries Limited 32 Molesworth Street Dublin 2 Ireland
Independent Auditors KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place IFSC Dublin 1 Ireland
Legal Advisers in Ireland on Matters of Irish Law Maples and Calder 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
Broker and EMIR Reporting Provider Goldman Sachs International Plumtree Court 25 Shoe Lane London, EC4A 4AU United Kingdom
Spanish Representative Allfunds Bank C/ de los Padres Dominicos, 7 28050 Madrid Spain
3 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) General Information (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Swiss Representative First Independent Fund Services Ltd. Klausstrasse 33 Zurich, CH-8008 Switzerland
Global Registration Service Provider Maples and Calder 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
German Information Agent Zeidler Legal Services Bettinastrasse 48 60325 Frankfurt Germany
Paying Agent in Austria Erste Bank der oesterreichischen Sparkassen AG Am Belvedere 1 1100 Vienna Austria
Paying Agent in Denmark Skandinaviska Enskilda Banken AB (publ) Copenhagen Branch, Torffsgade 50 1577 Copenhagen V Denmark
Paying Agent in Luxembourg Caceis Bank Luxembourg 5 Allée Scheffer L-2520 Luxembourg
Paying Agent in Sweden Skandinaviska Enskilda Banken AB (publ) SE-106 40 Stockholm Sweden
4 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) General Information (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Paying Agent in France Société Générale 29 Boulevard Haussmann 75009 Paris France
Swiss Paying Agent NPB New Private Bank Ltd. Limmatquai 1/am Bellevue P.O. Box 8024 Zurich Switzerland
The 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 period can be obtained free of charge from the Investment Manager, and for Swiss Shareholders these can be obtained free of charge from the Swiss Representative.
The Prospectus including the relevant Fund Supplement, the KIID, the Instrument of Incorporation, the annual and semi-annual reports, a list of changes in the composition of the portfolios as well as the issue and redemption prices are available free of charge pursuant to Sec. 297(1) of the German Capital Investment Code at the office of the German information agent (under indication of its name and address).
No notification pursuant to Section 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the following sub-fund and the units/shares in this sub-fund may not be marketed to investors in the Federal Republic of Germany: Winton Absolute Return Futures Fund.
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.
5 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Manager’s Report Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Winton Capital Management Limited, the Investment Manager, and Winton Fund Management Ireland DAC, the Manager, are part of Winton Group (“Winton”). Winton is a research-based 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 approximately $20 billion of assets for many of the world’s largest pension funds, sovereign wealth funds, banks and fund platforms.
Winton Trend Fund (UCITS) (the “Fund”) aims to deliver long-term capital appreciation through compound growth.
The Fund seeks to achieve its investment objective by pursuing a trend-following strategy that has been developed by the Investment Manager.
Winton Trend Fund (UCITS) Performance
Shares (Lead Series) USD I GBP I EUR I EUR I-P CHF I Net return for the six months to +22.05% +21.09% +20.32% +20.28% +19.97% 31 August 2019 31 August 2019 $115.156 £113.415 €111.568 €111.451 CHF110.790 NAV per share
The Fund returned 22.05% from 1 March 2019 to 31 August 2019 for investors in the USD I Shares, which is the basis for the performance analysis below.
Government bonds rallied over this six-month period, with yields on 10-year German bunds and 30-year US Treasuries both falling to all-time lows by August. Other perceived safe havens also fared well over this period. The US dollar, for example, strengthened against most G10 currencies, while gold prices rose 16%. Aside from precious metals, commodity markets generally fell, with copper losing 14% and Brent crude 8%. Equity markets mostly gained, with the S&P 500 Index reaching record highs in April and again in July. Returns were negative in Asia, however, particularly in Hong Kong’s Hang Seng China Enterprises Index.
The Fund’s long positioning in fixed income drove the positive performance over the six months. Elsewhere, further profits accrued from currencies, commodities were broadly flat and stock indices resulted in losses.
The global downtrend in yields over the six months explains the Fund’s strong performance in fixed income. Long positions in Eurodollar, German bund and Euribor futures were the Fund’s top three individual contributors to returns. Profits also accrued from long exposure to Australian government bonds, long-dated US government bonds and short-sterling futures. Short positions in the euro and the British pound accounted for most of the Fund’s profits in currencies. These gains were partially offset by positioning in the Canadian dollar, Swiss franc and Mexican peso.
In commodities, the Fund made money in metals, most notably in gold, nickel and aluminium, but lost money in energies and agricultural markets. The three largest individual detractors from performance were hogs, gasoline and corn.
Winton’s trend-following strategy is actively managed by an experienced team and will continue to be developed as market behaviour changes.
6 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Statement of Financial Position Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
As at As at 31 August 28 February 2019 2019 Notes USD USD
Assets Financial assets at fair value through profit or loss: Transferable securities 4 4,451,082 3,384,482 Derivative instruments 4 1,051,304 177,543 Cash and cash equivalents 1,481,770 1,108,562 Amounts due from brokers 6,093,950 6,152,505 Operational expense rebate receivable 86,754 64,938 Interest income receivable 18,611 6,595 Prepaid expenses 10,137 35,877 Total assets 13,193,608 10,930,502
Liabilities Financial liabilities at fair value through profit or loss: Derivative instruments 4 72,670 68,094 Depositary and safekeeping fees payable 10,654 237 Auditor fees payable 10,571 8,426 Management fees payable 10,526 35,899 Administration fees payable 558 4,717 Interest payable 216 – Other expenses payable 20,109 25,200 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 125,304 142,573
Net assets attributable to holders of redeemable participating shares 13,068,304 10,787,929
Shares outstanding per share class Class CHF I 2,500 2,500 Class EUR I 12,533 12,533 Class EUR I-P 500 500 Class GBP I 1,000 1,000 Class USD I 95,980 95,980
Net asset value per share Class CHF I CHF 110.790 CHF 92.350 Class EUR I EUR 111.568 EUR 92.720 Class EUR I-P EUR 111.451 EUR 92.660 Class GBP I GBP 113.415 GBP 93.660 Class USD I USD 115.156 USD 94.350
The accompanying notes form an integral part of these condensed unaudited interim financial statements 7 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Statement of Comprehensive Income Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
For the financial period ended 31 August 2019* Notes USD
Investment income Net realised and unrealised loss on financial assets and liabilities at fair value through profit or loss 2,309,008 Interest income on cash and broker balances 75,731 Other income 1,393 Total investment income 2,386,132
Operating expenses Management fees 58,289 Depositary and safekeeping fees 15,757 Legal and professional fees 10,416 Auditor fees 7,016 Administration fees 3,436 Banking fees 2,267 Interest expense 1,496 Directors’ fees 6 508 Registration fees 313 Other expenses 28,075 Operating expense rebate (21,816) Total operating expenses 105,757
Net income from operations 2,280,375
Changes in net assets attributable to holders of redeemable participating shares resulting from operations 2,280,375
* The Fund launched on 2 July 2018 and these are the first set of Interim Financial Statements provided. Therefore there are no comparatives available.
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.
The accompanying notes form an integral part of these condensed unaudited interim financial statements 8 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
For the financial period ended 31 August 2019* USD
Operating activities Changes in net assets attributable to holders of redeemable participating shares resulting from operations 2,280,375
Net increase in net assets attributable to holders of redeemable participating shares during the financial period 2,280,375 Net assets attributable to holders of redeemable participating shares at the beginning of the financial period 10,787,929 Net assets attributable to holders of redeemable participating shares at the end of the financial period 13,068,304
* The Fund launched on 2 July 2018 and these are the first set of Interim Financial Statements provided. Therefore there are no comparatives available.
The accompanying notes form an integral part of these condensed unaudited interim financial statements 9 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Statement of Cash Flows Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
For the financial period ended 31 August 2019* USD
Cash flow from operating activities Changes in net assets attributable to holders of redeemable participating shares resulting from operations 2,280,375
Adjustments to reconcile changes in net assets attributable to holders of redeemable participating shares from operations to cash provided by operating activities Interest income on cash and broker balances (75,731) Interest expense 1,496
Changes in operating assets and liabilities Increase in financial assets and liabilities at fair value through profit or loss (1,935,785) Decrease in amounts due from brokers 58,555 Decrease in prepaid expenses 25,740 Increase in operational expense rebate receivable (21,816) Decrease in other liabilities (22,061) Cash provided by operating activities 310,773
Interest received 63,715 Interest expense paid (1,280) Net cash provided by operating activities 373,208
Net increase in cash and cash equivalents for the financial period 373,208 Cash and cash equivalents at the beginning of the financial period 1,108,562 Cash and cash equivalents at the end of the financial period 1,481,770
* The Fund launched on 2 July 2018 and these are the first set of Interim Financial Statements provided. Therefore there are no comparatives available.
The accompanying notes form an integral part of these condensed unaudited interim financial statements 10 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Schedule of Investments Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 33.02%)
Investment in debt securities Interest Fair value % of Net (28 February 2019: 31.37%) rate % Maturity Notional USD assets
France (28 February 2019: 6.02%) Société Générale SA* Zero Coupon 03/07/23 1,147 927,186 7.09 %
Total France 927,186 7.09 %
Luxembourg (28 February 2019: 6.02%) Société Générale Issuer SA* Zero Coupon 03/07/23 1,147 927,186 7.09 %
Total Luxembourg 927,186 7.09 %
United States (28 February 2019: 19.33%) United States Treasury Note/Bond 1.00 % 15/10/19 500,000 499,394 3.82 % United States Treasury Note/Bond 1.25 % 31/10/19 500,000 499,375 3.82 % United States Treasury Note/Bond 1.38 % 30/09/19 500,000 499,727 3.82 % United States Treasury Note/Bond 1.38 % 29/02/20 500,000 498,730 3.82 % United States Treasury Note/Bond 1.50 % 31/10/19 600,000 599,484 4.60 %
Total United States 2,596,710 19.88 %
Total investments in debt securities 4,451,082 34.06 %
Total investments in transferable securities 4,451,082 34.06 %
* Equity Linked Note
Investment in forward foreign currency exchange contracts (28 February 2019: 0.07%) Fair value % of Net Currency Buy Sell USD assets
Forwards contract included in trading portfolio (expires on 03/09/2019) KRW/USD 6,192,508 5,121 1 0.00 % 1 0.00 %
Forwards contracts for hedging currency risk (all expire on 05/09/2019) CHF/USD 273,076 275,191 718 0.00 % GBP/USD 111,728 135,508 422 0.00 % 1,140 0.00 %
Unrealised gain on forward foreign currency exchange contracts 1,141 0.00 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 11 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 33.02%)
Investments in futures contracts (28 February 2019: 1.58%) Fair value % of Net Currency Description Notional USD assets
9 of 90 Day Australian Bills (Day Session) Dec-19 AUD SFE 6,057 6,272 0.05 % AUD 4 of 90 Day Australian Bills (Day Session) Jun-20 2,692 2,907 0.02 % 8 of 90 Day Australian Bills (Day Session) Mar-20 AUD SFE 5,384 1,946 0.01 % 41 of 3 Year Australian T Bonds (Day Session) AUD Sep-19 27,593 23,929 0.18 % 14 of 6% 10 Year Australian T Bond (Day Session) AUD (SFE) Sep-19 9,422 52,259 0.41 % AUD 2 of Share Price Index 200 (Day) Sep-19 221,114 3,432 0.03 % 3 of Canadian Bankers Acceptances Mar ‘20 CAD MON 5,643 367 0.00 % CAD 2 of 10 Year Canadian Govt Bond Dec-19 1,505 1,911 0.01 % EUR 12 of 3 Month Euribor Dec ‘21 LIF 32,969 20,440 0.16 % EUR 15 of 3 Month Euribor Dec-20 41,211 19,973 0.15 % EUR 12 of 3 Month Euribor Jun-20 32,969 13,709 0.10 % EUR 15 of 3 Month Euribor Jun-21 41,211 21,869 0.17 % EUR 10 of 3 Month Euribor Jun-22 27,474 11,333 0.09 % EUR 15 of 3 Month Euribor Mar-21 41,211 21,127 0.16 % EUR 11 of 3 Month Euribor Mar-22 30,221 18,655 0.14 % EUR 14 of 3 Month Euribor Sep-20 38,463 19,259 0.15 % EUR 14 of 3 Month Euribor Sep-21 38,463 20,317 0.16 % EUR 6 of 3 Month Euribor Sep-22 16,484 3,778 0.03 % EUR 19 of 2 Year German Debt in Euro Schatz Sep-19 20,880 9,336 0.07 % EUR 18 of Euro Bund Sep-19 19,781 137,313 1.06 % EUR 3 of Euro Buxl 30 Year Bond Sep-19 3,297 67,871 0.52 % EUR 1 of Euro-BTP Future Sep-19 1,099 8,110 0.06 % EUR 3 of Euro-OAT Future Sep-19 3,297 27,001 0.21 % EUR 18 of German Euro BOBL Sep-19 19,781 43,112 0.33 % EUR 1 of Short Term Euro-BTP Future Sep-19 1,099 2,253 0.02 % EUR 1 of CAC 40 Stock Index - 10 Eur Sep-19 60,200 1,308 0.01 % GBP 11 of 3 Month Sterling IR Dec-20 16,727 5,315 0.04 % GBP 9 of 3 Month Sterling IR Dec-21 13,686 4,524 0.03 % GBP 9 of 3 Month Sterling IR Jun-20 13,686 4,463 0.03 % GBP 11 of 3 Month Sterling IR Jun-21 16,727 6,805 0.05 % GBP 7 of 3 Month Sterling IR Jun-22 10,644 2,904 0.02 % GBP 11 of 3 Month Sterling IR Mar-21 16,727 6,113 0.05 % GBP 8 of 3 Month Sterling IR Mar-22 12,165 5,201 0.04 % GBP 5 of 3 Month Sterling IR Sep-12 7,603 570 0.00 % GBP 11 of 3 Month Sterling IR Sep-20 16,727 5,026 0.04 % GBP 11 of 3 Month Sterling IR Sep-21 16,727 4,805 0.04 % GBP 4 of Long Gilt Dec-19 4,866 7,907 0.06 % GBP 1 of FTSE 100 Index Sep-19 (87,351) 24 0.00 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 12 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 33.02%) (continued)
Investments in futures contracts (28 February 2019: 1.58%) (continued) Fair value % of Net Currency Description Notional USD assets
3 of 10 Year Japanese Govt Bond (Day Session) JPY Sep-19 28,223 51,084 0.39 % KRW 7 of KOSPI 200 Index Future Sep-19 (375,204) 4,757 0.04 % NZD 2 of New Zealand Bank Bills Dec-19 1,260 1,636 0.01 % NZD 2 of New Zealand Bank Bills Mar-20 1,260 62 0.00 % USD 15 of 3 Month Eurodollar Future Dec ‘20 CME 37,500 15,325 0.12 % USD 12 of 3 Month Eurodollar Future Dec ‘21 CME 30,000 14,675 0.11 % USD 12 of 3 Month Eurodollar Future Jun ‘20 CME 30,000 10,600 0.08 % USD 15 of 3 Month Eurodollar Future Jun ‘21 CME 37,500 17,475 0.13 % USD 10 of 3 Month Eurodollar Future Jun ‘22 CME 25,000 11,988 0.09 % USD 15 of 3 Month Eurodollar Future Mar ‘21 CME 37,500 17,350 0.13 % USD 11 of 3 Month Eurodollar Future Mar ‘22 CME 27,500 13,538 0.10 % USD 14 of 3 Month Eurodollar Future Sep ‘20 CME 35,000 13,725 0.11 % USD 14 of 3 Month Eurodollar Future Sep ‘21 CME 35,000 17,450 0.13 % USD 6 of 3 Month Eurodollar Future Sep ‘22 CME 15,000 4,713 0.04 % USD 17 of 2 Year U.S. Treasury Notes Dec-19 34,000 1,328 0.01 % USD 3 of Ultra Long Term US Treasury Bond Dec-19 3,000 188 0.00 % USD 23 of Australian Dollar Future Sep ‘19 CME (23,000) 26,650 0.20 % USD 39 of British Pound Sterling (Day Session) Sep-19 (24,375) 71,281 0.56 % USD 26 of Euro FX (Day Session) Sep-19 (3,250,000) 88,362 0.69 % USD 36 of Japanese Yen Future Sep ‘19 CME 45,000 42,181 0.32 % USD 5 of New Zealand Dollar Sep-19 (5,000) 9,430 0.07 % USD 1 of E-Mini Russell 2000 Index Sep ‘19 CME (74,710) 345 0.00 % USD 2 of E-Mini S&P 500 Stock Index Sep-19 292,475 650 0.00 % USD 3 of FTSE/Xinhua China A50 Index [Sgx] Sep-19 40,643 383 0.00 % USD 1 of MSCI Taiwan Index Sep-19 39,090 1,120 0.01 % ZAR 1 of FTSE/JSE Top 40 Index Sep-19 (32,163) 423 0.00 %
Unrealised gains on futures contracts 1,050,163 8.04 %
Total derivative assets 1,051,304 8.04 %
Total financial assets at fair value through profit or loss 5,502,386 42.10 %
Derivative liabilities at fair value through profit or loss (28 February 2019: (0.63)%)
Investment in forward foreign currency exchange contracts (28 February 2019: 0.00%) Fair value % of Net Currency Buy Sell USD assets
Forwards contract for hedging currency risk (expires on 05/09/2019) EUR/USD 1,432,749 1,585,857 (11,141) (0.09) %
Unrealised losses on forward foreign currency exchange contracts (11,141) (0.09) %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 13 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial liabilities at fair value through profit or loss (28 February 2019: (0.63%)
Investments in futures contracts (28 February 2019: (0.63)%) Fair value % of Net Currency Description Notional USD assets
AUD 3 of 90 Day Australian Bills (SFE) Sep-20 2,019 (17) (0.00) % CAD 2 of Canadian Bankers Acceptances Dec ‘19 MON 3,762 (235) (0.00) % EUR 1 of DAX Stock Index Sep-19 (327,281) (8,076) (0.07) % EUR 3 of Dow Jones Euro Stoxx 50 Sep-19 112,719 (1,945) (0.01) % HKD 3 of Hang Seng China Enterprises Index Sep-19 (192,785) (4,305) (0.03) % HKD 2 of Hang Seng Index Sep-19 (326,633) (5,446) (0.04) % JPY 2 of Nikkei 225 Stock Index (Day Session) Sep-19 (389,294) (6,106) (0.05) % 3 of Tokyo Stock Price Index (Day Session) JPY Sep-19 (426,172) (6,727) (0.05) % SEK 1 of OMX 30 Index Future Sep-19 (16,019) (463) (0.00) % SGD 1 of MSCI Singapore Index Sep-19 (25,684) (61) (0.00) % USD 9 of 10 Year US Govt Treasury Note Dec-19 9,000 (234) (0.00) % USD 14 of 5 Year US Treasury Note Dec-19 14,000 (55) (0.00) % USD 5 of US Long Bond Dec-19 5,000 (781) (0.01) % USD 4 of Canadian Dollar (Day Session) Sep-19 4,000 (6,535) (0.05) % USD 7 of Mexican Peso Sep-19 35,000 (7,670) (0.06) % USD 5 of Swiss Franc Sep-19 6,250 (7,438) (0.06) % USD 1 of E-Mini Nasdaq 100 Index Sep-19 153,815 (1,155) (0.01) % USD 5 of Mini MSCI Emerging Mkts Sep-19 (246,000) (4,280) (0.03) %
Unrealised losses on futures contracts (61,529) (0.47) %
Total derivative liabilities (72,670) (0.56) %
Total financial liabilities at fair value through profit or loss (72,670) (0.56) %
Fair value % of Net USD assets
Analysis of net assets Total financial assets and liabilities at fair value through profit or loss (28 February 2019: 32.39%) 5,429,716 41.55 % Cash and cash equivalents (28 February 2019: 10.28%) 1,481,770 11.34 % Other net assets (28 February 2019: 57.33%) 6,156,818 47.11 % Net assets attributable to holders of redeemable participating shares 13,068,304 100.00 %
% of Total assets
Analysis of total assets Transferable securities admitted to an official stock exchange listing 14.06 % Transferable securities dealt on another regulated market 19.67 % Exchange traded financial derivative instruments 7.96 % Over the counter financial derivative instruments 0.01 % Other current assets 58.30 % 100.00 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 14 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
1. General information
The 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 2015) (the “Central Bank UCITS Regulations”). The 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") remains in place as the Investment Manager and Distributor of the ICAV. As at 31 August 2019, the ICAV has the following sub-funds:
Name Launch date Next year end date
Winton Global Equity Fund (“WGEF”) 1 December 2010 31 December 2019 Winton European Equity Fund (“WEEF”) 6 May 2014 31 December 2019 Winton US Equity Fund (“WUSEF”)* 6 May 2014 Not applicable Winton Absolute Return Futures Fund (“WARF”) 3 July 2017 29 February 2020 Winton Diversified Fund (UCITS) (“WDFU”) 3 July 2017 29 February 2020 Winton Trend Fund (UCITS) (“WTFU”) 2 July 2018 29 February 2020
* WUSEF was closed on 7 May 2019 and is currently in liquidation.
The financial statements have been prepared for Winton Trend Fund (UCITS) (“WTFU” or the “Fund”), a sub-fund of the ICAV.
Several classes of shares may be issued in respect of WTFU, distinguished, inter alia, by their criteria for subscription, redemption, minimum holding, fee structure, currency and dividend policy. The classes of shares currently available for WTFU are set out in the relevant Supplement to the Prospectus. Further classes of shares may be created in accordance with the requirements of the Central Bank of Ireland. As at 31 August 2019, all of the shares in issue are not listed on any exchange and Class CHF I, Class EUR I, Class EUR I-P and Class GBP I were currency hedged.
The ICAV had no employees during the financial periods ended 31 August 2019 and 28 February 2019.
The current Prospectus of the ICAV is dated 1 July 2019.
The Fund is diversified and therefore does not concentrate on any specific industrial sectors in the markets in which it pursues its strategy. The Investment Manager may revise the investment approach, including the technical trading factors used, the instruments traded and/or the money management principles applied in accordance with the UCITS Regulations. The trading methods used by the Investment Manager are consistent with the statistical and technical analysis, quantitative models and systematic trading underlying the investment advice provided by the Investment Manager to other funds. Return predictions are derived from fundamental and price-based predictive proprietary signals.
15 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
1. General information (continued)
Total expense ratios
The annualised Total Expense Ratio (“TER”) per share class for the financial period ended 31 August 2019 is as follow:
31 August 2019*
Class CHF I 1.30 % Class EUR I 1.30 % Class EUR I-P 1.37 % Class GBP I 1.30 % Class USD I 1.30 %
All expenses are included within the TER with the exception of interest expense and transaction fees, if applicable.
* The Fund launched on 2 July 2018 and these are the first set of Interim Financial Statements provided. Therefore there are no comparatives available.
2. Significant accounting policies
Statement of compliance and basis of preparation
These condensed unaudited interim financial statements should be read in conjunction with the 28 February 2019 annual report and audited financial statements which have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union. The unaudited interim financial statements have been compiled using accounting policies, methods of computation and presentation which are consistent with the annual report for the period ended 28 February 2019, 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.
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 period ended 28 February 2019 and those detailed within the “Risk Factors” section of the Prospectus.
4. Fair value measurements recognised in the statement of financial position
The Fund has classified its financial instruments that are measured at fair value using a fair value hierarchy. The fair value hierarchy groups the financial instruments into levels 1 to 3 based on the degree to which the fair value is observable:
Level 1 - fair value measurements using quoted (unadjusted) prices in active markets for identical assets or liabilities; Level 2 - fair value measurements using 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); and Level 3 - fair value measurements are derived from valuation techniques that include inputs for the asset or liability that are not based on observable market data (i.e. unobservable inputs).
16 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
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 Fund does not adjust the quoted price for such instruments.
Derivatives
Derivative instruments can be exchange-traded or privately negotiated over the counter (“OTC”) derivatives. 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 foreign exchange spot trades and forward foreign currency exchange contracts, may have inputs which can generally be corroborated by market data and therefore classified within Level 2.
The following tables provide an analysis of financial assets and liabilities at fair value through profit and loss as at 31 August 2019.
Level 1 Level 2 Level 3 Total USD USD USD USD Financial assets at fair value through profit or loss Transferable securities Government bonds 2,596,710 – – 2,596,710 Other debt securities – 1,854,372 – 1,854,372 Total transferable securities 2,596,710 1,854,372 – 4,451,082
Derivative instruments Forward foreign currency exchange contracts – 1,141 – 1,141 Futures contracts 1,050,163 – – 1,050,163 Total derivative instruments 1,050,163 1,141 – 1,051,304
Total financial assets at fair value through profit or loss 3,646,873 1,855,513 – 5,502,386
17 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
4. Fair value measurements recognised in the statement of financial position (continued)
Derivatives (continued)
Level 1 Level 2 Level 3 Total USD USD USD USD Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (11,141) – (11,141) Futures contracts (61,529) – – (61,529) Total derivative instruments (61,529) (11,141) – (72,670)
Total financial liabilities at fair value through profit or loss (61,529) (11,141) – (72,670)
The following table provides an analysis of financial assets and liabilities at fair value through profit and loss at 28 February 2019.
Level 1 Level 2 Level 3 Total USD USD USD USD Financial assets at fair value through profit or loss Transferable securities Government bonds 2,084,966 – – 2,084,966 Other debt securities – 1,299,516 – 1,299,516 Total transferable securities 2,084,966 1,299,516 – 3,384,482
Derivative instruments Forward foreign currency exchange contracts – 7,891 – 7,891 Futures contracts 169,652 – – 169,652 Total derivative instruments 169,652 7,891 – 177,543
Total financial assets at fair value through profit or loss 2,254,618 1,307,407 – 3,562,025
Level 1 Level 2 Level 3 Total USD USD USD USD Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (161) – (161) Futures contracts (67,933) – – (67,933) Total derivative instruments (67,933) (161) – (68,094)
Total financial liabilities at fair value through profit or loss (67,933) (161) – (68,094)
18 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
4. Fair value measurements recognised in the statement of financial position (continued)
Derivatives (continued)
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.
All level analyses are consistent with the prior financial period and there have been no transfers between Levels 1, 2 or 3 during the financial periods ended 31 August 2019 and 28 February 2019, respectively. Any transfers that occur are deemed to have occurred at the end of the reporting periods. All financial assets and liabilities which are not measured at fair value are classified as Level 2.
For the assets and liabilities of the Fund which have not been measured at fair value at 31 August 2019 and 28 February 2019 the amounts presented in the statement of financial position are a reasonable approximation of fair value.
5. Exchange rates
The following exchange rates were used to translate foreign currency assets and liabilities held by the Fund into USD:
As at As at 31 August 28 February 2019 2019
Australian Dollar 1.48588 1.40560 Canadian Dollar 1.32900 1.31700 Swiss Franc 0.98990 0.99620 Euro 0.90996 0.87820 Pound Sterling 0.82203 0.75180 Hong Kong Dollar 7.84060 7.84980 Japanese Yen 106.29500 111.32000 South Korean Won 1,208.71000 1,124.70000 New Zealand Dollar 1.58781 1.46740 Swedish Krona 9.83030 9.23070 Singapore Dollar 1.38805 1.35120
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 V10TCOM Offshore Fund SP which the Société Générale SA/Société Générale Issuer SA equity linked notes invest into, in which the Fund invests 14.18% of its net assets as at 31 August 2019 (28 February 2019: 12.04%).
19 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
6. Directors’ fees, related and connected persons transactions (continued)
Directors
The listing of the Directors is shown on page 2. All the Directors who held office at the financial period end are non-executive.
As at 31 August 2019 and 28 February 2019, Dermot Butler held one non-participating share of the ICAV in trust for the Investment Manager. As at 31 August 2019 and 28 February 2019, the Investment Manager held one redeemable non- participating share of the ICAV.
As at 31 August 2019 and 28 February 2019, Rajeev Patel has a holding in the Winton Group, which owns 100% of the Investment Manager.
No other Director has any interest in the shares of the Fund or in any contract of significance with the Fund or the ICAV.
The ICAV has agreed to remunerate the Directors for services rendered in accordance with the Directors’ Service Agreements. The Directors received 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 USD508 were charged to the Fund during the financial period of which USD686 (28 February 2019: USD530) was outstanding at the financial period end.
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 31 August 2019, the Investment Manager held 40% (28 February 2019: 40%) of the Class CHF I Shares, 7.98% (28 February 2019: 7.98%) of the Class EUR I Shares, 100% (28 February 2019: 100%) of the Class EUR I-P Shares, 100% (28 February 2019: 100%) of the Class GBP I Distribution Shares and 99.50% (28 February 2019: 99.50%) of the Class USD I Shares issued by the Fund.
Dealings with connected persons
Regulation 41(1) of the Central Bank UCITS Regulations states that “a responsible person shall ensure that any transaction between a UCITS and a connected person is conducted (a) at arm’s length; and (b) in the best interest of the Shareholders of the UCITS”.
As required under UCITS Regulation 78(4) of the Central Bank UCITS Regulations, the Directors are satisfied that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 41(1) are applied to all transactions with a connected person; and all transactions with connected persons that were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 41(1).
20 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
7. 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 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 unrealised gain/losses on financial assets and liabilities at fair value through profit or loss” in the statement of comprehensive income.
As at 31 August 2019 and 28 February 2019, the Fund held forward foreign currency exchange contracts and future 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/Société Générale Issuer SA equity linked notes which invest in the V10TCOM Offshore Fund SP. See note 6 for further details.
8. Dividends
There were no dividends paid nor proposed for the six month financial period ended 31 August 2019.
9. Soft commissions arrangements and directed brokerage
There were no soft commissions paid during the six month financial period ended 31 August 2019.
There were no directed brokerage services utilised for the six month financial period ended 31 August 2019.
10. Significant events during the financial period
On 1 March 2019, Citco Fund Services (Ireland) Limited was appointed as Administrator and Transfer Agent to the ICAV.
On 1 March 2019, BNY Mellon Trust Company (Ireland) Limited was appointed as Depositary to the ICAV.
On 1 March 2019, the ICAV issued a new Prospectus.
On 7 May 2019, WUSEF closed and is currently in liquidation.
On 1 July 2019, the Fund changed its NAV liquidity from weekly to daily calculation.
21 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
10. Significant events during the financial period (continued)
On 1 July 2019, an updated Prospectus was issued to reflect the conversion of the ICAV from a self-managed investment vehicle, to an externally managed investment vehicle. The Manager was appointed with effect from 1 July 2019, to manage and administer the affairs of the ICAV.
There were no other significant events during the financial period.
11. Subsequent events
In an advisory referendum held in June 2016, the United Kingdom electorate voted to leave the EU. While it is difficult to predict with certainty if or when the United Kingdom will leave the EU, it is currently estimated that the United Kingdom may leave the EU within the next year. An exit by the United Kingdom from the EU is expected to result in legal and regulatory changes. The Directors do not believe that this will present any significant risks to the ICAV and, if required, appropriate contingency arrangements will be put in place.
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
The condensed unaudited interim financial statements were approved by the Board of Directors on 29 October 2019.
22 WINTON UCITS FUNDS ICAV – WINTON TREND FUND (UCITS) Statement of Significant Purchases Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Nominal Cost % of Total Security shares USD purchases
United States Treasury Note/Bond 1.50% 31/10/2019 600,000 600,345 36.41 United States Treasury Note/Bond 1.00% 15/10/2019 500,000 498,345 30.23 Société Générale SA Zero Coupon 03/07/2023 389 274,937 16.68 Société Générale Issuer SA Zero Coupon 03/07/2023 389 274,937 16.68
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 TREND FUND (UCITS) Statement of Significant Sales Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
There were no sales during the period. Listed below is the security that matured during the period.
Nominal Proceeds % of Total Security shares USD maturities
United States Treasury Note/Bond 1.63% 30/06/2019 500,000 598,267 100.00
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.
24