Winton Absolute Return Futures Fund
A Sub-Fund of Winton UCITS Funds ICAV
(An umbrella open-ended Irish collective asset-management vehicle with segregated liability between sub-funds incorporated in Ireland under the Irish Collective Asset-Management Vehicles Act 2015 and authorised by the Central Bank as a UCITS pursuant to the UCITS Regulations).
Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND 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 - 3
Manager’s Report 4
Statement of Financial Position 5
Statement of Comprehensive Income 6
Statement of Changes in Equity 7
Statement of Cash Flows 8
Schedule of Investments 9 - 14
Notes to the Condensed Unaudited Interim Financial Statements 15 - 23
Statement of Significant Purchases and Sales 24 - 25
WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND 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 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 ABSOLUTE RETURN FUTURES FUND 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
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
3 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND 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 the 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 Absolute Return Futures Fund (the “Fund”) is a diversified investment strategy seeking positive returns on a rolling three- year basis and long-term conservative capital growth.
In pursuing this objective, the Fund operates a portfolio of systematic strategies that seeks to profit from rises and falls in equity indices, fixed income, commodities and currencies around the world. Access to markets is gained predominantly via futures and forwards.
Winton Absolute Return Futures Fund Performance
The Fund’s GBP I Shares delivered a net return of 8.31% between 1 March 2019 and 31 August 2019, to end the review period with a NAV of £110.271 per share.
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 positioning in fixed income and currencies drove the positive performance over the six months. Commodities, on the other hand, were negative for returns overall due to losses in energies.
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 all among the Fund’s top individual contributors to returns. Profits also accrued from long exposure to Italian BTPs, Japanese 10-year governments bonds and UK gilts.
In currencies, a short position in the euro accounted for most of the Fund’s profits, with the shared currency representing the portfolio’s largest individual contributor to performance. These gains were partially offset by short exposure to an appreciating Japanese yen. Returns in non-G10 currencies were slightly positive, with profits from the Chinese yuan and Korean won reduced by losses in the Brazilian real and South African rand. Other profits accrued from long positions in stock indices, particularly the S&P 500.
Performance in commodities was mixed but negative overall due to energies, where mostly long positioning in natural gas, gasoline and Brent crude led the losses. Gold was the portfolio’s largest individual detractor from performance due to a short position, but the Fund profited in metals as whole, with profits from copper and nickel. In agricultural commodities, a positive contribution to performance from crops was reduced by losses in livestock.
Winton’s infrastructure for conducting research is more robust than ever and its management processes more disciplined and effective. The firm has been rewarded with the sense of material progress in its research, which it believes has every chance of being translated into longer term investment returns for Fund investors.
4 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Financial Position Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
As at As at 31 August 28 February 2019 2019 Notes GBP GBP
Assets Financial assets at fair value through profit or loss: Transferable securities 4 77,786,391 65,044,793 Derivative instruments 4 4,009,084 1,161,338 Cash and cash equivalents 10,649,227 5,447,523 Amounts due from brokers 7,523,614 9,681,339 Interest income receivable 901,375 764,381 Receivable for fund shares sold 701,848 522,935 Operational expense rebate receivable 174,081 124,931 Prepaid expenses 14,660 15,469 Total assets 101,760,280 82,762,709
Liabilities Financial liabilities at fair value through profit or loss: Derivative instruments 4 571,724 774,037 Payable for fund shares repurchased 233,272 120,247 Amounts due to brokers 154,902 – Management fees payable 72,410 53,585 Depositary and safekeeping fees payable 9,130 1,351 Auditor fees payable 7,195 7,962 Administration fees payable 4,258 12,643 Other expenses payable 43,128 42,626 Total liabilities 1,096,019 1,012,451
Equity Share capital 100,664,261 81,750,258 Total equity 100,664,261 81,750,258
Total equity and liabilities 101,760,280 82,762,709
Shares outstanding per share class Class GBP I 912,882 802,953
Net asset value per share Class GBP I GBP 110.271 GBP 101.812
The accompanying notes form an integral part of these condensed unaudited interim financial statements 5 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Comprehensive Income Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
For the financial For the financial period ended period ended 31 August 2019 31 August 2018* Notes GBP GBP
Investment income Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7,681,234 372,841 Interest income on cash and broker balances 269,519 212,922 Other income 1,813 941 Total investment income 7,952,566 586,704
Operating expenses Management fees 412,924 112,201 Banking fees 44,120 – Administration fees 22,871 16,370 Legal and professional fees 22,326 3,084 Depositary and safekeeping fees 16,869 3,545 Interest expense 12,923 77 Auditor fees 5,312 6,915 Directors’ fees 6 3,282 3,357 Registration fees 2,451 283 Other expenses 34,497 8,454 Operational expense rebate (50,960) (24,775) Total operating expenses 526,615 129,511
Net income from operations 7,425,951 457,193
Total comprehensive income 7,425,951 457,193
There are no recognised gains or losses arising during the financial period other than those dealt with in the statement of comprehensive income. In arriving at the results for the financial period all amounts relate to continuing operations.
* Financial period presented is for 6 months for comparability purposes.
The accompanying notes form an integral part of these condensed unaudited interim financial statements 6 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Changes in Equity Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
For the financial For the financial period ended period ended 31 August 2019 31 August 2018* GBP GBP
Total equity at the beginning of the financial period 81,750,258 18,240,973
Proceeds from capital contributions 31,070,300 14,503,290 Payments on capital redemptions (19,582,248) (599,920) Movement in equity resulting from share transactions 11,488,052 13,903,370
Total comprehensive income 7,425,951 457,193
Total equity at the end of the financial period 100,664,261 32,601,536
* Financial period presented is for 6 months for comparability purposes.
The accompanying notes form an integral part of these condensed unaudited interim financial statements 7 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Cash Flows Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
For the financial For the financial period ended period ended 31 August 2019 31 August 2018* GBP GBP
Cash flow from operating activities Total comprehensive income 7,425,951 457,193
Adjustments to reconcile total comprehensive income to cash used in operating activities Interest income on cash and broker balances (269,519) (212,922) Interest expense 12,923 77
Changes in operating assets and liabilities Increase in financial assets and liabilities at fair value through profit or loss (15,791,657) (11,871,382) Decrease/(increase) in amounts due from brokers 2,157,725 (3,883,397) Increase in operational expense rebate receivable (49,150) – Decrease/(increase) in prepaid expenses 809 (10,331) Increase in amounts due to brokers 154,902 – Increase in other liabilities 17,954 691 Net cash used in operating activities (6,340,062) (15,520,071)
Interest received 132,525 69,550 Interest expense paid (12,923) (77) Net cash used in operating activities (6,220,460) (15,450,598)
Cash flows from financing activities Proceeds from issue of shares 30,891,387 15,735,207 Payments on redemption of shares (19,469,223) (1,597,942) Net cash provided by financing activities 11,422,164 14,137,265
Net increase/(decrease) in cash and cash equivalents for the financial period 5,201,704 (1,313,333) Cash and cash equivalents at the beginning of the financial period 5,447,523 2,245,347 Cash and cash equivalents at the end of the financial period 10,649,227 932,014
* Financial period presented is for 6 months for comparability purposes.
The accompanying notes form an integral part of these condensed unaudited interim financial statements 8 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 80.99%)
Investment in debt securities Fair value % of Net (28 February 2019: 79.57%) Interest rate % Maturity Notional GBP assets
France (28 February 2019: 6.05%) Société Générale SA* Zero Coupon 4/7/2022 10,703 7,438,391 7.39 %
Total France 7,438,391 7.39 %
United Kingdom (28 February 2019: 73.52%) United Kingdom Gilt 1.50 % 22/01/2021 9,000,000 9,130,860 9.07 % United Kingdom Gilt 2.00 % 22/07/2020 14,400,000 14,588,784 14.49 % United Kingdom Gilt 3.75 % 7/9/2019 9,150,000 9,155,490 9.10 % United Kingdom Gilt 3.75 % 7/9/2020 14,100,000 14,564,595 14.47 % United Kingdom Gilt 4.75 % 7/3/2020 9,550,000 9,757,235 9.69 % United Kingdom Gilt 8.00 % 7/6/2021 11,600,000 13,151,036 13.06 %
Total United Kingdom 70,348,000 69.88 %
Total investment in debt securities 77,786,391 77.27 %
Total investments in transferable securities 77,786,391 77.27 %
* Equity Linked Note
Investment in forward foreign currency exchange contracts (28 February 2019: 0.17%) Fair value % of Net Currency Buy Sell GBP assets
Forwards contracts included in trading portfolio (all expire between 03/09/2019 and 31/10/2019)
EUR/SEK 2,069,610 22,000,000 30,022 0.03 % IDR/USD 12,979,133,000 900,000 6,117 0.01 % PHP/USD 31,439,720 599,952 2,327 0.00 % TRY/USD 2,500,000 403,535 18,754 0.02 % USD/BRL 103,850 423,713 1,016 0.00 % USD/CLP 400,000 283,828,000 4,480 0.00 % USD/CNH 6,104,423 42,500,000 141,090 0.14 % USD/GBP 5,600 4,595 9 0.00 % USD/KRW 1,589,339 1,888,944,848 21,342 0.02 %
Unrealised gains on forward foreign currency exchange contracts 225,157 0.22 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 9 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 80.99%)
Investments in futures contracts (28 February 2019: 1.25%) Fair value % of Net Currency Description Notional USD assets
AUD 23 of 90 Day Australian Bills (Day Session) Dec-19 SFE 12,697,596 217 0.00 % AUD 11 of 90 Day Australian Bills (Day Session) Jun-20 6,075,604 3,396 0.00 % AUD 11 of 90 Day Australian Bills (Day Session) Mar-20 SFE 6,074,706 1,481 0.00 % AUD 101 of 3 Year Australian T-Bonds (Day Session) Sep-19 6,470,660 47,096 0.05 % AUD 51 of 6% 10 Year Australian T-Bonds (Day Session) (SFE) Sep-19 4,197,995 170,155 0.17 % AUD 11 of Share Price Index 200 (Day) Sep-19 999,694 7,787 0.01 % CAD 8 of Canadian Bankers Acceptances Dec-19 MON 1,214,304 1,268 0.00 % CAD 43 of 10 Year Canadian Govt Bond Dec-19 3,858,681 19,558 0.02 % CAD 4 of S&P/TSE 60 Index Sep-19 485,672 549 0.00 % CHF 1 of 3 Mo Euro/Swiss Franc (Euroswiss) Dec-19 IEU 209,763 104 0.00 % CHF 2 of 3 Mo Euro/Swiss Franc (Euroswiss) Mar-20 IEU 419,693 166 0.00 % EUR 62 of 3 Mo Euribor Dec-21 LIF 14,096,055 74,528 0.07 % EUR 64 of 3 Mo Euribor Dec-20 14,556,548 63,213 0.06 % EUR 46 of 3 Mo Euribor Jun-20 10,456,805 32,363 0.03 % EUR 73 of 3 Mo Euribor Jun-21 16,600,265 79,632 0.08 % EUR 57 of 3 Mo Euribor Jun-22 12,954,771 60,458 0.06 % EUR 73 of 3 Mo Euribor Mar-21 16,601,914 75,533 0.08 % EUR 60 of 3 Mo Euribor Mar-22 13,638,633 69,661 0.07 % EUR 59 of 3 Mo Euribor Sep-20 13,416,653 53,615 0.05 % EUR 68 of 3 Mo Euribor Sep-21 15,461,725 75,081 0.08 % EUR 51 of 3 Mo Euribor Sep-22 11,588,807 20,586 0.02 % EUR 125 of 2 Year German Debt in Euro Schatz Dec-19 12,724,536 6,310 0.01 % EUR 154 of 2 Year German Debt in Euro Schatz Sep-19 15,663,412 42,002 0.04 % EUR 18 of Euro Bund Dec-19 2,866,430 1,789 0.00 % EUR 15 of Euro Bund Sep-19 2,426,904 89,967 0.09 % EUR 3 of Euro Buxl 30Y Bond Sep-19 607,878 74,600 0.07 % EUR 19 of Euro-BTP Future Sep-19 2,494,106 224,605 0.22 % EUR 4 of Euro-OAT Future Dec-19 622,350 542 0.00 % EUR 16 of Euro-OAT Future Sep-19 2,462,949 97,320 0.10 % EUR 62 of German Euro BOBL Dec-19 7,656,425 9,151 0.01 % EUR 48 of German Euro BOBL Sep-19 5,907,175 73,281 0.07 % EUR 12 of Short Term Euro-BTP Future Sep-19 1,224,428 20,850 0.02 % EUR 3 of Amsterdam EOE Stock Index Sep-19 302,486 7,652 0.01 % EUR 12 of CAC 40 Stock Index - 10 EUR Sep-19 593,840 16,016 0.02 % GBP 75 of 3 Mo Sterling IR Dec-20 9,323,906 23,463 0.02 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 10 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 80.99%) (continued)
Investments in futures contracts (28 February 2019: 1.25%) (continued) Fair value % of Net Currency Description Notional USD assets
GBP 60 of 3 Mo Sterling IR Dec-21 7,461,375 23,456 0.02 % GBP 44 of 3 Mo Sterling IR Jun-20 5,469,475 12,900 0.01 % GBP 66 of 3 Mo Sterling IR Jun-21 8,207,925 25,288 0.03 % GBP 51 of 3 Mo Sterling IR Jun-22 6,341,850 14,819 0.02 % GBP 66 of 3 Mo Sterling IR Mar-21 8,207,925 24,719 0.03 % GBP 54 of 3 Mo Sterling IR Mar-22 6,715,238 20,256 0.02 % GBP 41 of 3 Mo Sterling IR Sep-12 5,097,838 3,406 0.00 % GBP 63 of 3 Mo Sterling IR Sep-20 7,833,263 20,800 0.02 % GBP 63 of 3 Mo Sterling IR Sep-21 7,835,231 24,175 0.02 % GBP 25 of Long Gilt Dec-19 3,357,000 33,490 0.03 % JPY 10 of 10 Year Japanese Govt Bond (Day Session) Sep-19 12,002,363 118,593 0.12 % JPY 2 of Tokyo Stock Price Index (Day Session) Sep-19 (233,551) 193 0.00 % KRW 8 of KOSPI 200 Index Future Sep-19 (352,490) 5,317 0.01 % NZD 1 of New Zealand Bank Bills Dec-19 516,429 457 0.00 % NZD 1 of New Zealand Bank Bills Mar-20 516,581 25 0.00 % SEK 4 of OMX 30 Index Future Sep-19 52,674 1,664 0.00 % SGD 3 of MSCI Singapore Index Sep-19 63,338 1,119 0.00 % USD 58 of 3 Mo Eurodollar Future Dec-20 CME 11,769,256 57,583 0.06 % USD 61 of 3 Mo Eurodollar Future Dec-21 CME 12,389,920 78,730 0.08 % USD 15 of 3 Mo Eurodollar Future Jun-20 CME 3,039,612 8,005 0.01 % USD 62 of 3 Mo Eurodollar Future Jun-21 CME 12,595,582 84,186 0.08 % USD 55 of 3 Mo Eurodollar Future Jun-22 CME 11,168,413 61,015 0.06 % USD 55 of 3 Mo Eurodollar Future Mar-21 CME 11,171,239 67,263 0.07 % USD 56 of 3 Mo Eurodollar Future Mar-22 CME 11,373,777 73,469 0.07 % USD 36 of 3 Mo Eurodollar Future Sep-20 CME 7,303,206 26,665 0.03 % USD 63 of 3 Mo Eurodollar Future Sep-21 CME 12,799,383 85,049 0.08 % USD 47 of 3 Mo Eurodollar Future Sep-22 CME 9,542,468 31,042 0.03 % USD 37 of Ultra Long Term US Treasury Bond Dec-19 6,005,086 1,901 0.00 % USD 107 of Australian Dollar Future Sep-19 CME (5,920,403) 176,848 0.19 % USD 89 of British Pound Sterling (Day Session) Sep-19 (5,560,671) 74,568 0.07 % USD 237 of Euro FX (Day Session) Sep-19 (26,762,346) 812,423 0.81 % USD 85 of Japanese Yen Future Sep-19 CME 8,227,497 43,573 0.04 % USD 34 of New Zealand Dollar Sep-19 (1,759,392) 43,263 0.04 % USD 16 of Swiss Franc Sep-19 (1,661,488) 9,669 0.01 % USD 86 of E-Mini Russell 2000 Index Sep-19 CME (5,281,595) 164,256 0.17 % USD 11 of FTSE/Xinhua China A50 Index [Sgx] Sep-19 122,501 1,315 0.00 % USD 9 of Mini MSCI Emerging Mkts Sep-19 (363,995) 2,828 0.00 % USD 4 of MSCI Taiwan Index Sep-19 128,533 3,683 0.00 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 11 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial assets at fair value through profit or loss (28 February 2019: 80.99%) (continued)
Investments in futures contracts (28 February 2019: 1.25%) (continued) Fair value % of Net Currency Description Notional USD assets
USD 12 of SGX CNX Nifty ETS Index Sep-19 (218,091) 399 0.00 % ZAR 5 of FTSE/JSE Top 40 Index Sep-19 (132,196) 1,522 0.00 %
Unrealised gains on futures contracts 3,783,927 3.76 %
Total derivative assets 4,009,084 3.98 %
Total financial assets at fair value through profit or loss 81,795,475 81.25 %
Financial liabilities at fair value through profit or loss (28 February 2019: (0.95)%)
Investment in forward foreign currency exchange contracts (28 February 2019: (0.15)%) Fair value % of Net Currency Buy Sell GBP assets
Forwards contracts included in trading portfolio (all expire between 04/09/2019 and 29/11/2019)
IDR/USD 31,072,080,000 2,196,693 (11,118) (0.01) % INR/USD 735,287,400 10,385,491 (173,654) (0.17) % NOK/EUR 20,000,000 2,058,975 (58,512) (0.06) % PLN/EUR 3,500,000 818,576 (17,903) (0.02) % RUB/USD 85,174,615 1,296,442 (23,186) (0.02) % USD/BRL 202,751 843,680 (1,038) 0.00 % USD/KRW 1,300,000 1,570,054,000 (391) 0.00 % USD/TWD 700,000 21,877,680 (203) 0.00 % ZAR/USD 16,000,000 1,075,982 (20,730) (0.02) %
Unrealised losses on forward foreign currency exchange contracts (306,735) (0.30) %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 12 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Financial liabilities at fair value through profit or loss (28 February 2019: (0.80%))
Investments in futures contracts (28 February 2019: (0.80)%) Fair value % of Net Currency Description Notional USD assets
AUD 14 of 90 Day Australian Bills (SFE) Sep-20 7,733,348 (177) (0.00) % CAD 10 of Canadian Bankers Acceptances Mar-20 MON 1,520,122 (193) (0.00) % EUR 7 of Short Term Euro-Btp Future Dec-19 709,950 (1,265) (0.00) % EUR 33 of Dow Jones Euro Stoxx 50 Sep-19 1,019,246 (9,165) (0.01) % EUR 1 of FTSE MIB Index Sep-19 96,299 (3,591) (0.00) % GBP 10 of FTSE 100 Index Sep-19 718,050 (24,745) (0.02) % HKD 4 of Hang Seng China Enterprises Index Sep-19 (211,300) (4,802) (0.00) % HKD 2 of Hang Seng Index Sep-19 (268,502) (4,188) (0.00) % JPY 1 of Nikkei 225 Stock Index (Day Session) Sep-19 160,006 (6,573) (0.01) % USD 108 of 10 Year US Govt Treasury Note Dec-19 11,693,896 (2,440) (0.00) % USD 92 of 2 Year US Treasury Notes Dec-19 (16,344,250) (6,499) (0.01) % USD 36 of 5 Year US Treasury Note Dec-19 (3,550,478) (1,849) (0.00) % USD 58 of US Long Bond Dec-19 7,878,751 (8,940) (0.01) % USD 74 of Canadian Dollar (Day Session) Sep-19 4,567,439 (84,435) (0.09) % USD 128 of Mexican Peso Sep-19 2,619,975 (77,250) (0.09) % USD 3 of DJIA Mini Sep-19 325,598 (5,849) (0.01) % USD 7 of E-Mini Nasdaq 100 Index Sep-19 885,084 (11,462) (0.01) % USD 77 of E-Mini S&P 500 Stock Index Sep-19 9,256,299 (11,566) (0.01) %
Unrealised losses on futures contracts (264,989) (0.27) %
Total derivative liabilities (571,724) (0.57) %
Total financial liabilities at fair value through profit or loss (571,724) (0.57) %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 13 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Schedule of Investments (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Fair value % of Net GBP assets
Analysis of net assets Total financial assets and liabilities at fair value through profit or loss (28 February 2019: 80.04%) 81,223,751 80.69 % Cash and cash equivalents (28 February 2019: 6.66%) 10,649,227 10.58 % Other net assets (28 February 2019: 13.30%) 8,791,283 8.73 %
Total equity 100,664,261 100.00 %
% of Total assets
Analysis of total assets Transferable securities admitted to an official stock exchange listing 7.31 % Transferable securities dealt on another regulated market 69.13 % Exchange traded financial derivative instruments 3.72 % Over the counter financial derivative instruments 0.22 % Other current assets 19.62 %
100.00 %
The accompanying notes form an integral part of these condensed unaudited interim financial statements 14 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND 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 Absolute Return Futures Fund (“WARF” or the “Fund”), a sub-fund of the ICAV.
The only shares currently available for WARF are GBP I shares, as set out in the relevant Supplement to the Prospectus. As at 31 August 2019, GBP I shares were not currency hedged nor listed on any exchange.
The ICAV had no employees during the financial period ended 31 August 2019 and financial year ended 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 strategy as it is applied to the Fund, including the signals used, the instruments traded and/or the money management principles applied in accordance with the UCITS Regulations. The trading methods to be 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 ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
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 year 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.
IFRS 9 Financial Instruments
The Fund has consistently applied the accounting policies as set out in this note to all periods presented in these financial statements.
IFRS 9 sets out requirements for recognising and measuring financial assets and financial liabilities. This standard replaces IAS 39 Financial Instruments: Recognition and Measurement.
As a result of the adoption of IFRS 9 on 1 March 2018, the Fund has adopted consequential amendments to IAS 1 Presentation of Financial Statements, which require:
• Impairment of financial assets to be presented in a separate line item in the statement of comprehensive income. Under IAS 39, impairment was recognised when losses were incurred. The Fund has no such losses to report.
Additionally, the Fund has adopted consequential amendments to IFRS 7 Financial Instruments: Disclosures (“IFRS 7”), which are applied to disclosures about 2018.
(a) Classification and measurement of financial assets and financial liabilities
IFRS 9 contains three principal classification categories for financial assets: measured at amortised cost, fair value through other comprehensive income (“FVOCI”), and fair value through profit or loss (“FVTPL”). The classification of financial assets under IFRS 9 is generally based on the business model in which a financial asset is managed and its contractual cash flow characteristics. Under IFRS 9, derivatives embedded in contracts where the host is a financial asset in the scope of the standard are never separated. Instead, the hybrid financial instrument as a whole is assessed for classification.
IFRS 9 largely retains the existing requirements in IAS 39 for the classification and measurement of financial liabilities. The adoption of IFRS 9 has not had a significant effect on the Fund’s accounting policies related to financial liabilities and derivative financial instruments.
(b) Impairment of financial assets
IFRS 9 replaces the ‘incurred loss’ model in IAS 39 with an Expected Credit Loss (“ECL”) model. The new impairment model applies to financial assets measured at amortised cost and debt investments at FVOCI, but not investments in equity instruments. Under IFRS 9, the Fund shall measure loss allowance on financial assets at an amount equal to the lifetime ECL if the credit risk has increased significantly since initial recognition. If, at the reporting year, the credit risk has not increased significantly since initial recognition, the Fund shall measure the loss allowance at an amount equal to 12-month ECL. Significant financial difficulties, probability of entering bankruptcy or financial reorganisation and default in payments are all considered indicators that a loss allowance may be required.
16 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
2. Significant accounting policies (continued)
New standards, amendments and interpretations that are not yet effective and which have not been early adopted
There are no other standards, interpretations or amendments to existing standards that are not yet effective that would be expected to have a significant impact on the Fund.
3. Financial instruments and associated risks
The risks of the Fund are consistent with those set out in the audited financial statements for the year ended 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).
Investments
Investments whose values may be obtained from quoted prices in active markets and are therefore classified in Level 1 include government bonds and future contracts. The ICAV does not adjust the quoted price for such instruments.
Derivatives
Derivative instruments can be exchange-traded or privately negotiated over the counter (“OTC”) derivatives. OTC derivatives, in this case forward foreign currency exchange contracts, are valued by the Fund using observable inputs, such as quotations received from the counterparty, dealers or broker, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs.
OTC derivatives, such as forward foreign currency exchange contracts, may have inputs which can generally be corroborated by market data and therefore classified within Level 2.
17 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
4. Fair value measurements recognised in the statement of financial position (continued)
The following table provides an analysis of financial assets and liabilities at fair value through profit and loss at 31 August 2019.
Level 1 Level 2 Level 3 Total GBP GBP GBP GBP
Financial assets at fair value through profit or loss Transferable securities Government bonds 70,348,000 – – 70,348,000 Other debt securities – 7,438,391 – 7,438,391 Total transferable securities 70,348,000 7,438,391 – 77,786,391
Derivative instruments Forward foreign currency exchange contracts – 225,157 – 225,157 Futures contracts 3,783,927 – – 3,783,927 Total derivative instruments 3,783,927 225,157 – 4,009,084
Total financial assets at fair value through profit or loss 74,131,927 7,663,548 – 81,795,475
Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (306,735) – (306,735) Futures contracts (264,989) – – (264,989) Total derivative instruments (264,989) (306,735) – (571,724)
Total financial liabilities at fair value through profit or loss (264,989) (306,735) – (571,724)
18 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
4. Fair value measurements recognised in the statement of financial position (continued)
The following tables provide an analysis of financial assets and liabilities at fair value through profit and loss as at 28 February 2019.
Level 1 Level 2 Level 3 Total GBP GBP GBP GBP
Financial assets at fair value through profit or loss Transferable securities Government bonds 60,098,909 – – 60,098,909 Other debt securities – 4,945,884 – 4,945,884 Total transferable securities 60,098,909 4,945,884 – 65,044,793
Derivative instruments Forward foreign currency exchange contracts – 137,109 – 137,109 Futures contracts 1,024,229 – – 1,024,229 Total derivative instruments 1,024,229 137,109 – 1,161,338
Total financial assets at fair value through profit or loss 61,123,138 5,082,993 – 66,206,131
Financial liabilities at fair value through profit or loss Derivative instruments Forward foreign currency exchange contracts – (123,187) – (123,187) Futures contracts (650,850) – – (650,850) Total derivative instruments (650,850) (123,187) – (774,037)
Total financial liabilities at fair value through profit or loss (650,850) (123,187) – (774,037)
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 period and year ended 31 August 2019 and 28 February 2019, respectively. Any transfers that occur are deemed to have occurred at the end of the reporting period/year. 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 as at 31 August 2019 and 28 February 2019 the amounts presented in the statement of financial position are a reasonable approximation of fair value.
19 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
5. Exchange rates
The following exchange rates were used to translate foreign currency assets and liabilities held by the Fund into GBP:
As at As at 31 August 28 February 2019 2019
Australian Dollar 1.80758 1.86956 Brazilian Real 5.02317 4.98821 Canadian Dollar 1.61673 1.75174 Swiss Franc 1.20421 1.32505 Chilean Peso 875.27783 870.98293 Yuan Renminbi 8.71075 8.90529 Yuan Renminbi Offshore 8.70625 8.89332 Euro 1.10697 1.16809 Hong Kong Dollar 9.53809 10.44102 Indonesian Rupiah 17,256.05250 18,711.18601 Indian Rupee 86.92257 94.60505 Japanese Yen 129.30787 148.06677 South Korean Won 1,470.39572 1,495.96381 Norwegian Krone 11.09448 11.36757 New Zealand Dollar 1.93157 1.95172 Philippine Peso 63.41493 68.79279 Polish Zloty 4.84684 5.02578 Russian Ruble 81.22716 87.64862 Swedish Krona 11.95856 12.27776 Singapore Dollar 1.68856 1.79723 Turkish Lira 7.08800 7.09476 New Taiwan Dollar 38.10443 40.93583 United States Dollar 1.21650 1.33010 South African Rand 18.48581 18.70121
6. Directors’ fees, related and connected persons transactions
Related parties
Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions.
The Investment Manager is also the Trading Adviser to V5COM Offshore Fund SP which the Société Générale SA equity linked notes invest into, in which the Fund invests 7.39% (28 February 2019: 6.05%) of its net assets as at 31 August 2019.
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.
20 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 31 August 2019
6. Directors’ fees, related and connected persons transactions (continued)
Directors (continued)
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.
Mr. John Skelly is a Director of the ICAV and also an employee of Carne Global Financial Services Limited, which provided company secretary services, fund registration services, designated person and money laundering reporting officer services to the Fund up to 30 June 2018. During the financial period ended 31 August 2019, fees of GBPNil (31 August 2018: GBP65) were charged to the Fund by Carne Global Financial Services Limited. Out of the fees incurred during the financial period ended 31 August 2019, GBPNil (28 February 2019: GBPNil) was outstanding at financial period end.
Carne Global Financial Services (UK) LLP, which acted as the UK facilities agent for the Fund up to 30 June 2018, is also an entity within the Carne Group of companies. During the financial period, fees of GBPNil (31 August 2018: GBP31) were charged to the Fund by Carne Global Financial Services (UK) LLP. Out of fees incurred during the financial period, GBPNil (28 February 2019: GBPNil) are outstanding at the financial period end.
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. Up until 18 April 2018, the Directors received an annual fee not exceeding an amount of USD10,000 per Director. With effect from 18 April 2018, this amount has been revised to EUR20,000 (or equivalent) and was backdated to 1 January 2018.
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 GBP3,282 (31 August 2018: GBP3,357) were charged to the Fund during the financial period of which GBPNil was outstanding at the financial period end (28 February 2019: GBP1,300).
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 Winton Group owned 7.32% (28 February 2019: 8.33%) of the Class GBP 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).
21 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 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 on financial assets and liabilities at fair value through profit or loss” in the statement of comprehensive income.
As at 31 August 2019, the Fund held futures contracts and forward foreign currency exchange contracts as presented in the schedule of investments.
The Fund will gain exposure to commodity futures by investing in structured financial instruments ("SFI") via the Société Générale SA equity linked notes which invest in the V5COM Offshore Fund SP. See note 6 for further details.
8. Dividends
There were no dividends paid nor proposed for the six month financial periods ended 31 August 2019 or 31 August 2018.
9. Soft commissions arrangements and directed brokerage
There were no soft commissions paid during the six month financial periods ended 31 August 2019 or 31 August 2018.
There were no directed brokerage services utilised for the six month financial periods ended 31 August 2019 or 31 August 2018.
22 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Notes to the Condensed Unaudited Interim Financial Statements (continued) For the financial period from 1 March 2019 to 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, an updated Prospectus was issued to reflect the removal of JPY I shares and 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.
23 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Significant Purchases Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
Nominal Cost % of total Security shares GBP purchases
United Kingdom Gilt 8.00% 07/06/2021 11,600,000 13,349,698 31.03 % United Kingdom Gilt 1.50% 22/01/2021 9,000,000 9,150,202 21.27 % United Kingdom Gilt 3.75% 07/09/2020 5,000,000 5,229,480 12.15 % United Kingdom Gilt 2.00% 22/07/2020 5,000,000 5,115,024 11.89 % United Kingdom Gilt 1.75% 22/07/2019 5,000,000 5,030,572 11.69 % Société Générale SA Zero Coupon 04/07/2022 5,258 3,154,595 7.33 % United Kingdom Treasury Bill Zero Coupon 23/09/2019 1,000,000 998,460 2.32 % United Kingdom Treasury Bill Zero Coupon 08/07/2019 1,000,000 998,338 2.32 %
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.
24 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Significant Sales Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019
There were no sales during the period. Below is the list of all securities that matured during the period.
Nominal Cost % of total Security shares GBP maturities
United Kingdom Gilt 4.50% 07/03/2019 8,200,000 8,200,000 29.46 % United Kingdom Gilt 1.75% 22/07/2019 6,600,000 6,600,000 23.79 % United Kingdom Gilt 1.75% 22/07/2019 5,000,000 5,000,000 18.06 % United Kingdom Treasury Bill Zero Coupon 08/04/2019 3,000,000 3,000,000 10.76 % United Kingdom Treasury Bill Zero Coupon 07/05/2019 3,000,000 3,000,000 10.76 % United Kingdom Treasury Bill Zero Coupon 08/07/2019 1,000,000 1,000,000 3.58 % United Kingdom Treasury Bill Zero Coupon 18/03/2019 1,000,000 1,000,000 3.59 %
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.
25